RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS

We propose a simple multiperiod model of price impact from trading in a market with multiple assets, which illustrates how feedback effects due to distressed selling and short selling lead to endogenous correlations between asset classes. We show that distressed selling by investors exiting a fund and short selling of the fund’s positions by traders may have nonnegligible impact on the realized correlations between returns of assets held by the fund. These feedback effects may lead to positive realized correlations between fundamentally uncorrelated assets, as well as an increase in correlations across all asset classes and in the fund’s volatility which is exacerbated in scenarios in which the fund undergoes large losses. By studying the diffusion limit of our discrete time model, we obtain analytical expressions for the realized covariance and show that the realized covariance may be decomposed as the sum of a fundamental covariance and a liquidity‐dependent “excess” covariance. Finally, we examine the impact of these feedback effects on the volatility of other funds. Our results provide insight into the nature of spikes in correlation associated with the failure or liquidation of large funds.     

广西地方金融机构流动性风险及防范

结合广西地方金融机构具体情况,用传统流动性风险和流动性过剩两种观点相结合的方法进行分析,认为广西农村信用社和城市商业银行都存在的流动性风险,只是农信社存在的风险较大,而城市商业银行的流动性风险相对较小,针对流动性风险提出防范和减少地方金融机构流动性风险的方法。     

Applying Diffusion Models with Regional Heterogeneity

Recent studies of innovation diffusion have investigated cross-country heterogeneity, but implicitly assumed within-country homogeneity. As such, these studies potentially overlook within-country variations in diffusion patterns, which may be even more important to marketing managers and researchers alike. The current paper is concerned with such intra-country variations using one of many possible a priori segmentation schemes, namely geographic segmentation. It empirically demonstrates that when substantial regional variations in diffusion patterns occur, taking account of these regional differences improves both short- and long-term forecasting under certain conditions. Regional differences in diffusion patterns also provide some important normative implications.     

THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING

Though liquidity is commonly believed to be a major effect in financial markets, there appears to be no consensus definition of what it is or how it is to be measured. In this paper, we understand liquidity as a nonlinear transaction cost incurred as a function of rate of change of portfolio. Using this definition, we obtain the optimal hedging policy for the hedging of a call option in a Black‐Scholes model. This is a more challenging question than the more common studies of optimal strategy for liquidating an initial position, because our goal requires us to match a random final value. The solution we obtain reduces in the case of quadratic loss to the solution of three partial differential equations of Black‐Scholes type, one of them nonlinear.     

金融因素对我国农产品价格波动的影响研究

随着农产品市场化程度的不断提高,我国农产品价格波动受到金融因素的影响日益显著。利用Newey-West一致协方差估计法分别对稻谷、大豆、棉花和生猪的需求因素进行实证分析的结果表明:从总体上看,由于不同农产品的市场化程度具有差异性,金融因素对我国农产品价格的具体品种影响程度并不一致,其中人口数量对四类主要农产品具有显著影响,而经济的较快发展对整体农产品影响显著;金融变量总体上会对农产品价格产生不同程度影响;对于其他因素,包括居民的消费水平、农业国际直接投资等对农产品价格影响不显著。     

资本约束对不同类型商业银行流动性创造能力的非对称影响研究

在过去的20年间,巴塞尔协议下资本监管框架越来越繁杂,但其仍难以满足不同禀赋的商业银行。本文试图从商业银行重要的基本功能流动性创造的角度,验证资本充足率的统一监管对商业银行带来的非对称影响。研究表明,从2005年至2008年,样本商业银行创造了大量的流动性。资本的提高会显著促进股份制商业银行提高对风险的吸收能力,提高其流动性创造能力,但是会压缩区域性商业银行的流动性创造能力以及中小企业贷款,非对称效应显著。     

中信银行流动性风险管理现状的实证分析

通过对中信银行2003-2009年流动性指标的分析,得出中信银行在2003-2009年期间,贷款总额与总资产的比率偏高;不良贷款比率都在一个比较低的水平并逐年下降;拥有高比例的一级储备比率,但二级储备比率稍低;2003—2008年的贷存款比率都在监管范围之内,却有一定的波动性,2009年流动性风险管理能力有所削弱。这说明中信银行流动性风险管理存在着管理意识淡薄、内控系统不完善,以利润为核心的经营责任机制和金融创新欠缺等问题。为健全和完善中信银行流动性风险管理。应增强防范风险的内部控制意识,构建内部控制机制的总体框架,加快金融创新的步伐,以提高中信银行的竞争力。     

What drove the financial crisis? Structuring our historical understanding of a predictable evolutionary disaster

This article revisits the 2008 financial crisis, considering how we can draw on the historical record to reappraise what created the problems and inform theory. It looks in detail at neglected factors such as the nature of the selection environment, the agency of actors, and the influence of structure. On the basis of that evidence, as well as the premise that feedback, rather than foresight, drives behavior, we reach new conclusions on what drove the crisis, and open up an exciting opportunity for historical methods to inform theory. This challenges current policy in terms of the idea of ‘Too Big To Fail’ and the focus of regulation; it also helps us revisit the lessons that we should take from this crisis, taking us away from macro-economic factors and individual malfeasance towards structure. Overall, the analysis suggests that a historical, institutional, and evolutionary analysis, based in theory, can add a fresh perspective.     

我国农产品期货与农村金融工程建设

农产品价格风险管理是一个系统工程,金融工程建设是价格风险管理的现代手段。随着农产品期货投融资功能的日益增强,农产品期货市场将成为今后几年我国农村金融工程建设的战略重点。为此,应该科学规划与设计农产品期货。     

On Modeling Questions In Security Valuation

After mentioning some deficiencies of the standard Black-Scholes model for the valuation of call options, we discuss discrete models which allow price changes of the underlying security at discrete time points only. It is shown that, given any distribution with a moment higher than 2, the paths of the Black-Scholes stock price process can be approximated uniformly as closely as one wishes by discrete paths generated by this distribution. Based on this approximation, discrete-time trading strategies are defined. Convergence (in measure and almost surely) of the corresponding financial gain processes is obtained. the results show the robustness of the Black-Scholes model.