解析温州民间借贷

当前温州民间借贷"已经到了疯狂的地步",一旦某个环节出现问题,可能导致"多米诺骨牌"效应,最后使实体经济受到重大影响。国家银根收紧,实业制造业不景气,越来越多缺钱的企业将目光转向了民间借贷,从而抬高了利率水平,高息诱惑下,不少原本投资于实业的资本开始向金融衍生品市场转移。     

The role of banking regulation in an economy under credit risk and liquidity shock

This paper develops a Dynamic Stochastic General Equilibrium model which includes a financial sector to analyze the effects of liquidity shock and credit risk in the Brazilian economy. Banks use equity capital and deposits from agents to finance investments of the productive sector. The sources of financial frictions are default rate and liquidity shock, due to deposits withdrawn in advance. The banking supervisor injects liquidity in the deposit market. Using data for the Brazilian economy in the period from 1995 to 2009, the structural parameters are estimated by Bayesian methods. Impulse response functions are computed to describe the dynamic effects of exogenous shocks. The major results show that credit risk is pro-cyclical and default risk depends on structural features. The banking regulator is able to set up a policy to promote financial stability and efficiently reduce fluctuations in the output.     

Sectoral bubbles,misallocation, and endogenous growth

Stock price bubbles are often on productive assets and occur in a sector of the economy. In addition, their occurrence is often accompanied by credit booms. Incorporating these features, we provide a two-sector endogenous growth model with credit-driven stock price bubbles. Bubbles have a credit easing effect in that they relax collateral constraints and improve investment efficiency. Sectoral bubbles also have a capital reallocation effect in the sense that bubbles in a sector attract more capital to be reallocated to that sector. Their impact on economic growth depends on the interplay between these two effects. Bubbles may misallocate resources across sectors and reduce welfare.     

Prices,debt and market structure in an agent-based model of the financial market

We develop an agent-based model in which heterogeneous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the liabilities side. A number of findings emerge when simulating the model: we find that the empirically observable log-normal distribution of bank balance sheet size naturally emerges and that higher levels of leverage lead to a greater inequality among agents. Furthermore, greater leverage increases the frequency of bankruptcies and systemic events. Credit frictions, which we define as the stickiness of debt adjustments, are able to explain a key difference in the relation between leverage and assets observed for different bank types. Lowering credit frictions leads to an increasingly procyclical behavior of leverage, which is typical for investment banks. Nevertheless, the impact of credit frictions on the fragility of the model financial system is complex. Lower frictions do increase the stability of the system most of the time, while systemic events become more probable. In particular, we observe an increasing frequency of severe liquidity crises that can lead to the collapse of the entire model financial system.     

苏州中小民营企业融资问题研究

本文首先分析了苏州民营中小企业融资难的原因,其中主要原因是融资渠道单一,根本原因是信用障碍。针对原因,本文提出要根本性的解决民营中小企业融资难的问题必须要完善民营企业的公司治理,建立规范的治理结构,培育良好的信用环境。最后提出了具体解决融资难的的措施,主要有拓宽融资渠道、推动直接融资,规范非正规金融,引进风险资本,构建适宜的担保结构。     

Impact of financial development on SAARC’S human development

The objective of the study is to investigate the link between economic growth and financial development (i.e., broad money supply, credit to private sector (CPS) and bank deposit liabilities) in human development for a panel of selected South Asian Association for Regional Cooperation (SAARC) countries; namely, Bangladesh, India, Nepal, Pakistan and Sri Lanka during 1988–2008; over the period of 1988–2008. The panel cointegration technique is employed for analysis of short and long-run relationship between the variables. The results of panel cointegration found that there is a long-run relationship between financial development indicators and economic growth in human development in SAARC region. The estimated results indicate that in the short run, bank deposit liabilities exerts the maximum impact (i.e., 0.425 %) on human development in SAARC region, subsequently, broad money supply (i.e., 0.301 %) and CPS (i.e., 0.128 %) respectively, while there is a negative relationship between real GDP growth and human capital (i.e., \(-\) 0.189 %). In the long-run, DOLS estimator constitutes broad money supply which increases by 0.912 %, followed by credit to private sector (i.e., 0.121 %) on human development. While, in case of FMOLS estimator, these results are disappear, as broad money supply does not have any significant impact on human development in SAARC region. The coefficient of real GDP per capita in both estimators, have a negative impact on human development, however, the intensity of both estimators are different in nature, as real GDP per capita decrease human development in FMOLS (i.e., \(-\) 0.828 %) and in DOLS estimators (i.e., 0.458 %). The results indicate that due to a low quality of human capital in SAARC region; the direct effect of economic growth becomes negative; however, financial development indicators act as an important driver for increase in human capital in SAARC region. The implications of present research relate to heightening the need for labor market reforms and making the educational system more flexible.     

Diversification by Urbanization: Tracing the Property‐Finance Nexus in Dubai and the Gulf

This article explores the role of liberalized real estate markets in shaping financial‐sector development in the Arab Gulf region. Since 2001, record oil revenues and the inflow of repatriated wealth into the region have generated immense demand for new, productive destinations for surplus capital. Gulf Cooperation Council states have subsequently undergone rapid growth that is intimately tied to the regulatory transformation of urban real estate markets and the circulation of surplus capital from oil rents to the ‘secondary circuit’ of the built environment. With an emphasis on the city of Dubai, we employ the notion of diversification by urbanization to trace the re‐regulation of real estate markets and highlight how these strategies have subsequently shaped Gulf financial markets. Through an examination of the impacts of real estate mega‐project development on local banking credit, equities and Islamic financial markets, we reframe recent urbanization in the region as a process of financial re‐engineering, and identify the emergence of capital groups whose accumulation activities are tightly connected to both the real estate and financial circuit.     

Can money matter for interest rate policy?

In this paper it is shown that money can matter for macroeconomic stability under interest rate policy when transactions frictions are non-negligible. We develop a sticky price model with a shopping time function, which induces the marginal utility of consumption to depend on the (predetermined) stock of money held at the beginning of the period. Equilibrium stability and uniqueness are then ensured by a passive interest rate policy, whereas activeness is associated with an explosive equilibrium. By reacting to changes in beginning-of-period real balances, the central bank can restore stability. Interest rates further depend on lagged real balances even if the central bank acts in an entirely forward-looking way, as under discretionary optimization. If the model is revised such that end-of-period money provides transaction services, money can in principle be neglected for a stabilizing interest rate policy. Discretionary monetary policy is, however, likely to be associated with equilibrium indeterminacy, which can be avoided if interest rates are set contingent on beginning-of-period real balances.     

Poverty traps, the money growth rule, and the stage of financial development

This paper investigates how monetary policy influences the emergence of local indeterminacy, local bifurcations, and multiple steady states, depending upon the degree of the commitment parameter that defines financial market imperfection, using Diamond's overlapping generations model with credit market frictions. The analytical results will show that poverty traps happen as an inevitable outcome under a wider range of money growth rates, because financial markets are less developed. Put differently, we derive analytically the positive link between financial development and per capita income.     

Money and production: A stochastic frontier approach

Considerable controversy surrounds the role of money in the production of goods and services. Previous empirical research has appeared to find that the real money stock affects aggregate output, holding other, more conventional inputs constant. However, the theoretical literature offers no convincing explanation for this empirical finding. One interpretation is that real money balances reduce the extent to which labor and capital are diverted into exchange-related activities instead of being used in production defined in a more narrow sense. To investigate this hypothesis, we estimate a production function augmented with real money balances as an input, using time-series data for the aggregate U.S. economy. A stochastic production frontier is then estimated without real money balances. We use these estimates to establish the presence of technical inefficiency. Finally, we show that the extent of technical inefficiency is negatively correlated with the real money stock. Our results provide a reconciliation between the empirical literature, which finds that real money balances affect output in a production function framework, and the theoretical literature, which suggests that real money balances enhance the technical efficiency of the economy.     

增补预防性储蓄的托宾-索洛模型

非预期的预防性储蓄通过资产替代产生稳态名义货币增长率(或稳态通货膨胀率)对稳态人均资本(或稳态人均产出)的非线性门槛效应。门槛的临界值是非预期预防性储蓄与实际货币增加量比率的递减函数。非线性机制取决于非预期预防性储蓄与实际货币增加量比率和人均实际货币余额-人均资本比率与通货膨胀率、人均资本边际产出的相关性。     

金融生态环境、债务治理效应与现金持有价值

文章将现金持有价值作为衡量企业资本配置效率的指标,系统考察了银行信用和商业信用两种债务融资的治理效应。实证检验发现,银行信用比例与现金持有价值呈负相关关系,在短期银行信用比例较高的企业中这一负相关关系尤为明显,特别对处于金融生态环境较差地区的企业,银行信用不仅不具有债务治理效应,反而会阻碍资本的有效配置。较之银行信用,商业信用并没有显示出显著更优的资金效率治理功能,并且其治理效应不受金融生态环境地区差异的影响。     

金融发展、金融市场化与实体经济资本配置效率

在对Wurgler的资本配置效率估算模型进行修正的基础上,实证检验了我国金融发展和金融市场化水平对实体经济资本配置效率的影响,研究表明：金融市场化显著优化了我国实体经济资本的配置,而我国以银行信贷为主体的金融体系的发展虽然促进了实体经济资本配置效率的提高,但效果不明显。研究还发现：在所引入的控制变量中,经济发展水平对资本配置效率的影响显著较大。进一步分区域回归结果显示,经济越发达的地区,金融市场化程度越高,其优化作用越显著,但随着地区经济发展,经济发展水平自身对资本配置的优化作用在减弱。     

BANK CAPITAL REQUIREMENTS, BUSINESS CYCLE FLUCTUATIONS AND THE BASEL ACCORDS: A SYNTHESIS

Abstract.  In order to survey the mechanisms through which the introduction of Basel II bank capital requirements is likely to accentuate the procyclical tendencies of banking, this paper brings together the theoretical literature on the bank capital channel of propagation of exogenous shocks and the literature on the regulatory framework of capital requirements under the Basel Accords. We conclude that the theoretical models that revisit the bank capital channel under the new accord generally support the Basel II procyclicality hypothesis and that the magnitude of the procyclical effects essentially depends on (i) the composition of banks' asset portfolios, (ii) the approach adopted by banks to compute their minimum capital requirements, (iii) the nature of the rating system used by banks, (iv) the view adopted concerning how credit risk evolves through time, (v) the capital buffers over the regulatory minimum held by the banking institutions, (vi) the improvements in credit risk management and (vii) the supervisor and market intervention under Basel II. The recent events and instability in financial markets all over the world have led the procyclicality issue to enter the agendas of several political international  fora  and some measures to mitigate procyclicality are being put forward. The bank capital channel literature should now play an important role in evaluating their effectiveness.     

企业支付结算方式发展方向分析

企业资金结算是指单位在社会经济活动中完成资金从一方当事人向另一方当事人的转移。企业资金结算方式随着商品经济、科技发展及信用体系而不断创新。本文对20世纪末以来企业资金结算方式的发展进行研究分析,找出未来企业资金结算方式的发展趋势,以便企业在激烈的竞争中抓住先机,提高企业效益。     

The Credit View, Old and New

Recent writings in the so-called 'credit view' focus on binding finance constraints of macroeconomic activity which arise from the incomplete substitutability of bank credit and from changes in borrowers' net worth. They criticize the standard approaches in the 'money view' for not taking full account of the observable effects of monetary restrictions on real activity. In this paper, the 'new credit view' is contrasted with older macroeconomic theories that placed special emphasis on the banks' systemic potential to expand credit beyond planned saving. The comparative discussion of the underlying arguments about bank behaviour, about the non-neutrality of credit money, and about the transmission of monetary policy impulses reveals some shortcomings in the new view. History helps, moreover, to set the conventional confrontations of the 'credit view' and the 'money view' in perspective. JEL-classification: B22, E32, E44, E51, E52     

电子货币对货币政策的冲击——供给和需求层面的分析

随着网络技术的持续发展,消费者购物行为与支付方式亦随之改变,如信用卡、电子现金与电子支票等支付工具的蓬勃发展,无现金社会环境衍然已成趋势。电子货币乃因应电子支付系统之发展,以及消费者支持各类创新支付工具下所产生。本文主要从供给和需求两个层面来探讨电子货币出现情况下央行货币政策所受到的冲击。     

The implications of financial frictions and imperfect knowledge in the estimated DSGE model of the U.S. economy

In this paper, I study how alternative assumptions about expectation formation can modify the implications of financial frictions for the real economy. I incorporate a financial accelerator mechanism into a version of the Smets and Wouters (2007) DSGE framework and explore the properties of the model assuming, on the one hand, complete rationality of expectations and, alternatively, several learning algorithms that differ in terms of the information set used by agents to produce the forecasts. I show that the implications of the financial accelerator for the business cycle may vary depending on the approach to modeling the expectations. The results suggest that the learning scheme based on small forecasting functions is able to amplify the effects of financial frictions relative to the model with Rational Expectations. Specifically, I show that the dynamics of real variables under learning is driven to a significant extent by the time variation of agents’ beliefs about financial sector variables. During periods when agents perceive asset prices as being relatively more persistent, financial shocks lead to more pronounced macroeconomic outcomes. The amplification effect rises as financial frictions become more severe. At the same time, a learning specification in which agents use more information to generate predictions produces very different asset price and investment dynamics. In such a framework, learning cannot significantly alter the real effects of financial frictions implied by the Rational Expectations model.     

On credit and output: Is the supply of credit relevant?

The consensus that changes in the supply of credit were irrelevant to making monetary policy decisions existed among macroeconomists during the second half of the twentieth century. Transmission of shocks to the real economy through changes in the supply of credit, however, played an important role in the recent U.S. financial crisis. This paper explores the extent to which policymakers should consider changes in the supply of credit when making forecasts and monetary policy decisions. More specifically, it considers whether a measure of real credit balances offers consistent and stable information, beyond that of a real interest rate and real money balances, about future output gaps during the U.S. post-war era. Results yield evidence that changes in real credit balances are the only variable, among those considered, to provide consistent and stable information about future output gaps over the entire sample period. Each information variable, however, provides relatively little value added for forecasting future output gaps, beyond a simple autoregressive model. To improve upon forecasts and monetary policy decisions, policymakers therefore should consider a broader range of information variables and occasionally reassess the relative weightings assigned to each.     

Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

This paper presents a dynamic portfolio credit model following the regulatory framework, using macroeconomic and latent risk factors to predict the aggregate loan portfolio loss in a banking system. The latent risk factors have three levels: global across the entire banking system, parent-sectoral for the intermediate loan sectors and sector-specific for the individual loan sectors. The aggregate credit loss distribution of the banking system over a risk horizon is generated by Monte Carlo simulation, and a quantile estimator is used to produce the aggregate risk measure and economic capital. The risk contributions of the individual sectors and risk factors are measured by combining the Hoeffding decomposition with the Euler capital allocation rule. For the U.S. banking system, we find that the real GDP growth rate, the global and sector-wide frailty risk factors and their spillovers significantly affect loan defaults, and the impacts of the frailty factors are not only economy-wide but also sector-specific. We also find that the frailty risk factors make more significant risk contributions to the aggregate portfolio risk than the macroeconomic factors, while the macroeconomic factors help to improve the accuracy and efficiency of the credit risk forecasts.