金融体系制度性顺周期机制： 理论与实证分析

内生于金融体系的顺周期属性会显著放大经济“繁荣-萧条周期”并导致金融不稳定，是20世纪70年代以来全球范围内金融危机频发的重要启示之一。与传统文献关注金融体系“自身行为顺周期效应”不同，本文聚集于“制度性顺周期效应”，从资本监管、贷款损失拨备制度以及公允价值会计准则等三个典型事例切入，对金融体系的制度性顺周期机制进行系统阐述。结果表明，根植于金融部门与实体经济中间的制度性正反馈机制与经济波动程度存在较强的相关性，是导致金融不稳定的重要原因。     

证券化、流动性与货币政策——基于美国金融危机的反思

从金融发展的路径来看,经济货币化发展到一定阶段,便是金融证券化的蓬勃发展,其实质是经济主体互相融通资金规模的扩张和便利程度的提高.在以银行为主导的金融体系中,市场流动性主要表现为货币供应量和银行信贷的变化,但在金融证券化发展到一定程度以后,金融资产交易量或流量的变化就显得尤为重要,并且金融投资的顺周期性进一步放大了金融运行扩张和收缩的这种周期性.     

宏观审慎监管：目标、工具与相关制度安排

最近40年的金融危机史表明,随着金融市场的日渐发达和复杂化,金融失衡不仅周期性地发生,而且与宏观经济的失衡彼此强化,这种强化使得经济和金融长期持续、显著地偏离长期标准。在金融体系顺周期性的负面效应日渐明显的情况下,为确保宏观经济和金融体系的稳定,在传统微观审慎监管的基础上全面建立和完善宏观审慎监管已成为大势所趋。强调宏观审慎的监管理念认为,仅凭微观层面的努力难以实现金融体系的整体稳定,监管当局需要从经济活动、金融市场以及金融机构行为之间相互关联的角度,从整体上评估金融体系的风险,并在此基础上健全金融体系的制度设计并作出政策反应     

宏观审慎监管框架下金融会计问题研究

宏观审慎监管是为了维护金融体系的稳定,防止金融系统对经济体系的负外部溢出而采取的一种自上而下的监管模式。2009年初,国际清算银行（BIS）提出用宏观审慎性的概念来概括导致次贷危机中＂大而不能倒＂、顺周期性、监管不足、标准不高等问题。但同时也带来了会计准则和监管要求不相匹配等一系列问题。为解决现有的相关金融会计问题,笔者提出了会计信息的转换处理、计量模型的改进、披露机制的完善等多种措施,但从长远角度看,应充分发挥中央银行在金融会计领域的宏观审慎监管作用。     

影子银行、金融风险与宏观审慎监管有效性

近年来,众多学者提出影子银行监管不充分是国际金融危机发生的重要原因,影子银行规模扩张增强了金融体系的顺周期性并造成了金融风险的积累.与此同时,具有逆周期调控理念的宏观审慎政策开始被各国金融监管机构付诸实践.本文通过构建符合中国经济金融运行特点,纳入影子银行和宏观审慎政策的NK-DSGE模型进行脉冲响应分析,研究了影子银行对中国金融风险的影响以及宏观审慎政策调控的有效性问题.研究结果表明,影子银行高杠杆的经营方式加剧了金融系统脆弱性与风险积累,对影子银行和商业银行信贷监管不对称会刺激影子银行规模扩张;宏观审慎政策实施能有效防范金融风险,包含影子银行的宏观审慎政策能够抑制影子银行的顺周期性,使金融调控政策更为有效.     

资本流动管制有望成为新兴经济体新工具

布雷顿森林体系解体后，随着全球浮动汇率体系的建立以及各国金融自由化政策的实施，资本的大规模跨境流动成为全球金融体系的最重要特征。资本流动的顺周期性极大增加了新兴经济体宏观经济风险管理的复杂性，并对货币汇率体系和金融稳定产生现实的影响。因此，新兴经济体如何应对国际跨境资本流动，采取何种政策工具有效实施资本流动管制，已经成为最迫切的战略性议题。     

金融生态系统中农村金融企业动态能力的重要影响因子研究

农村金融是促进农民增收和农村经济发展的重要因素。随着我国金融体系的全面开放,农村金融企业只有不断提高自身的动态能力,才能有效应对多变和复杂的金融环境。在金融生态系统中,金融生态主体与其环境发展的关系是相互的、辩证的。金融生态主体总是依赖一定环境而生存和演变,不同的环境会创造出不同的金融生态主体组织结构和行为机能。农村金融企业需培育理性协调机制、理性创新机制,需从内部寻求竞争优势的源泉。     

金融体系比较与演进:理论综述

根据直接融资(保持距离型融资)和间接融资(关系型融资)在一国金融体系中比重的大小,我们可以大致将世界各国的金融体系简单的分为市场主导型金融体系和金融中介(银行)主导型金融体系。金融中介与金融市场的关系应该采取动态的功能主义观点进行考察;两种金融体系在促进经济增长的功能机制发挥上不存在明显差异;极端型的金融体系稳定性较差,混合型金融体系稳定性较好;民法法系国家容易形成中介主导型金融体系,普通法系国家容易形成市场主导型金融体系;金融中介与市场的竞争、银行经营制度、经济国家转轨是影响金融体系演进的重要因素,金融体系的演进符合路径依赖理论,金融体系的设计应该采取整体的观点。     

全球金融体系模式的一个变革——2009年1月9日欧洲央行行长Jean—Claude Trichet在巴黎举行的主题为“新世界，新资本主义”的国际研讨会圆桌会议上的演讲

次贷危机爆发以来,欧央行、美联储等主要央行纷纷采取提供流动性等手段重塑金融市场信心。不过全球经济仍未走出衰退,欧央行行长特里谢认为,短期行为主义、宏观经济政策的顺周期性以及透明度不足成为滋生危机条件和加剧其严重后果的元凶。为此,特里谢（Jean-Claude Trichet）强调,全球金融体系需要进行改革,而中长期可持续性、金融体系弹性以及提倡良好宏观政策组合和解决全球失衡的整体论等理念是其核心。     

我国政策性金融体系基本定位的再思考

现阶段,对政策性金融认识模糊、政策性银行功能错位等问题阻碍了我国政策性金融体系的积极探索和健康发展。在坚定不移地推进金融体系市场化改革,充分提升金融体系效率的同时,必须正确处理政策性金融与商业性金融的关系,重新审视政策性金融在整个国家金融体系中的地位和作用,将政策性金融体系作为我国社会资金融通的重要组成部分,合理填充补足财政直接支出和商业性融资之间的中间地带,追求政府财力依托机制的转换及实现效率提升的倍加效应,服务于科学发展观所要求的全面、协调、可持续的统筹发展和某些战略重点上的赶超突破。     

The political economy of fiscal procyclicality

It is well-recognized that fiscal spending in developing countries tends to display significant procyclicality (increased spending during expansions and vice versa), in contravention of rational stabilization policy. Theoretical explanations have relied on either financial access or political-economic factors to justify this phenomenon. In this paper, we model the fiscal-output relationship as a dcc-garch process, and inquire whether debt or political economy constraints play a comparatively more important role in conditioning this correlation. Our evidence favors a positive effect from political economy, with weaker and more mixed results pertaining to financial access. Somewhat surprisingly, we also find that politics-induced procyclicality appears to be driven by advanced economies, and fiscal rules exacerbate procyclical tendencies.     

Cyclical behavior of the financial stability of eurozone commercial banks

In light of the financial crisis and the European sovereign debt crisis, we investigate the cyclical behavior of the financial stability of banks of the Eurozone, using an unbalanced dynamic panel of 722 commercial banks covering the period 1999–2013, and the generalized method of moments system. We find a negative relationship between business cycle and bank risk-taking, indicating that financial stability is procyclical. In addition, the study shows that lending activity increases risk-taking while rising capital requirements boost financial stability. Moreover, our findings suggest positive co-movements between the business cycle and lending, compared to bank's capital, whereby the procyclicality of lending and bank capital have negative effects on the financial stability of commercial banks in the Eurozone. We notice then that the cyclical behavior of commercial banks, in terms of capital requirements and lending activities, depends on their size. Therefore, lending and capital of smaller banks are procyclical while lending and capital of larger banks are countercyclical. Finally, we find the Troika institutions’ bailouts programs significantly impacted banking stability in the Eurozone.     

宏观经济、异质治理环境与公允价值顺周期计量实证

公允价值顺周期性在金融风险形成中存在重要效应。理论上剖析公允价值顺周期效应的内在机理,探寻多重因素效应于公允价值顺周期的作用机制。实证研究发现:宏观经济形势越好,市场非理性效应加剧了公允价值对金融类资产计量的放大效应,公允价值的顺周期效应越明显;市场化程度越高,公允价值的顺周期效应越明显;相比于非国有企业,国有企业中公允价值计量的顺周期效应越明显。国有企业中宏观经济形势与公允价值计量顺周期性间的敏感性在金融危机前后差异不大,而在非国有企业中差异表现明显,在市场化程度较高的地方越明显,但在市场化越低的上市公司中宏观经济形势与公允价值计量顺周期性间的敏感性在金融危机前后差异不大。     

银行顺周期性文献述评

本文对国内外有关银行顺周期性的文献进行了初步梳理。银行顺周期性在2008年国际金融危机后引起了广泛关注,对其发生机理,学术界从不同视角进行了解读。现行的监管体系由于更多地关注银行机构微观层次的稳健性而对宏观层面的风险关注不够。虽然最新的巴塞尔资本协议进行了有针对性地改进,但其实际效果如何仍有待检验。目前,对银行顺周期的讨论仍存在分歧,有待进行更深层次的研究。     

“When it rains,it pours”: Fiscal policy,credit constraints and business cycles in emerging and developed economies

Fiscal procyclicality, meaning co-movement between government expenditure and macroeconomic fundamentals, is an important feature of business cycle dynamics for emerging and poor economies. I estimate a panel SVAR to investigate the reasons for fiscal procyclicality. The analysis sheds light on the role of external financial constraints in shaping fiscal policy. My findings suggest that the response of emerging governments to output fluctuations is similar to that of developed governments. However, emerging governments curtail spending in response to increases in the sovereign borrowing rate, which forces their consumption expenditure to act more procyclically. Using counterfactual analysis, I show that the key forces behind fiscal procyclicality are the sensitivity of government spending to international borrowing costs and the procyclical nature of these costs for emerging economies.     

ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition

We tested the hypothesis of the procyclicality of stock exchanges regarding the economic activity of CEE and SEE countries, to measure the level of financial integration during the last decade of the transition period, and to compare these two groups of emerging countries. Our ARDL panel estimates support the hypothesis of procyclicality in the transition period in the CEE and SEE regions, and further financial integration, due to the opening up of the market economy and repricing of systematic risk, followed by large capital inflows, trade liberalization and industrial production, along with the implementation of institutional reforms regarding EU integration. In addition, the significant positive coefficient of capital inflows and negative coefficient of unemployment rate in the CEE and SEE panel ARDL results confirm the volatility of the transition process, as is obvious in higher industrial production, followed by the significant impact of import on CEE countries and the much higher significant impact of export on SEE countries.     

Oil shocks and fiscal policy procyclicality in Angola: Assessing the role of asymmetries and institutions

The aim of this article is to examine procyclicality in Angola, assess whether it behaves asymmetrically over the oil cycle, and test the hypothesis that institutions and fiscal rules can moderate procyclicality. Received wisdom suggests that in resource‐rich economies, fiscal policy tends to be procyclical albeit improvements in the past decades due to institutional reforms. Similar evidence is available for oil‐rich economies; however, we know little about how procyclicality behaves over the oil cycle; that is, whether spending (and revenue) grows faster during oil‐market booms, than during downturns. Further, evidence on institutions and fiscal rules in oil‐exporting economies is still ambiguous. We bridge both gaps by examining fiscal policy procyclicality in Angola, one of the largest oil‐producers in Africa, and a country that has experienced an intense process of institutional reforms since 2002. Therefore, it is an ideal candidate for our study. We use data for the 2004–2014 period to estimate a threshold vector error correction model that extends vector autoregressive and vector correction methods used up to date. Our results indicate that revenue and spending are generally procyclical to oil shocks, that revenue is more procyclical during booms, and that institutional quality, net inflows, financial openness, and fiscal rules affect procyclicality.     

Capital reallocation: A tale of two frictions*

This paper explores the role of search and financial frictions in the used capital market. A tractable dynamic general equilibrium model with both frictions is developed to account for procyclicality of reallocation and the price of used capital. Both the aggregate productivity shock and the financial shock can generate procyclical reallocation of used capital. Quantitatively, the financial shock accounts for almost all the variation of used capital reallocation. The aggregate productivity shock is more responsible for the variation of the price of used capital as well as variables outside the used capital market.