Dual-track interest rates and capital misallocation

The control-track interest rate and the market-track interest rate constitute China's dual-track interest rates. A theoretical model of dual-track interest rates and financial frictions is studied. In the model, bank loans are provided to state-owned enterprises with the control-track interest rate, private enterprises resort to shadow banking with the market-track interest rate. The interest rate wedge between these two interest rates distorts capital allocation, even driving a sector out of production. Full interest rate liberalization which eliminates the interest rate wedge alleviates cross-sector capital misallocation. However, the net effect on aggregate TFP is ambiguous due to the within-sector effect. Under calibrated parameters, full interest rate liberalization improves aggregate TFP moderately, unless the financial reform aimed to have SOEs and POEs face the same degree of financial frictions is also implemented.     

双循环格局下的竞争中性与国企改革——来自国有资本差异化功能的证据

本文在一般均衡框架下构建理论模型,从微观视角考察国有资本功能在国有、民营两部门中的差异,讨论"双循环"战略下如何有效配置国有资本,推动竞争中性框架的建立.研究表明:国有资本在理论上具有正向的经济效率并促进企业积极承担社会责任,但经验证据显示其经济效率偏低,且在国有和民营部门有较大差异.在国有部门中,国有资本的经济效率显...     

“Subsidies” or “taxes”? Corporate credit misallocation induced by the nexus of state-owned enterprises and state-owned banks

Diverging from common claims made in the literature, this paper shows that “two-way” credit misallocation is linked to state ownership status. Specifically, not all Chinese state-owned firms benefit from their ownership status by obtaining lower interest costs as a type of subsidy. Some firms are subjected to higher interest costs as a form of tax. We report further evidence for the relationship between financial development and economic growth by accounting for heterogeneity in interstate banking coverage. From listed and unlisted firms’ data, we find that when the presence of state-owned banks is strong, state ownership-associated distortions in interest costs are more severe.     

A hallmark of India’s new economic policy:: deregulation and liberalization of the financial sector

A fundamental job of the financial sector of any economy is to allocate capital efficiently. To achieve this, capital is supposed to be invested in the sectors that are expected to have high returns and be withdrawn from sectors with poor prospects. The purpose of this paper is to ascertain the validity of this proposition in the context of financial liberalization in India. We first examine whether the total funds (debt and equity) available for investment started flowing to the “more efficient” (defined later), Indian firms due to financial liberalization. We examine changes in the allocation of credit across industrial sectors and changes in the allocation of capital among firms within the same sector or industry. Our empirical analysis shows that during the early years of financial liberalization the share of investment going to the more efficient firms did not rise, resulting in no perceptible rise in the overall efficiency of investment allocation for the economy. Our analysis of the sources and uses of funds shows that in the period immediately following the announcement of liberalization in 1991, there was a tendency in the Indian corporate sector towards a myopic use of funds. The surge in the availability of funds in the stock market, coming mainly from small and medium savers, failed to translate itself into any noticeable rise in gross fixed assets (GFAs). Thus, the lack of an improvement in the index of efficiency of investment allocation can be partly ascribed to bad investments to begin with. The message that emerges is that financial reforms in an inadequate regulatory framework do not necessarily have positive effects.     

住房、负债与家庭股市参与——基于CHFS的实证研究

房产是家庭总资产的重要组成部分，近些年中国家庭在房产上的过度追逐必然影响到家庭的股票投资行为。不同于以往的研究思路，文章运用中国家庭金融调查数据，不仅研究了住房对家庭股市和风险资本市场参与的影响，验证了已有学者得出的住房对家庭参与金融市场的挤出效应；又进一步研究了不同类型的住房负债对该挤出效应的影响程度。首先，文章研究发现，住房对家庭参与股市和风险资本市场有显著的挤出效应，住房不仅降低了家庭进入股票和风险资本市场的概率，也降低了家庭参与股票和风险资本市场的深度。其次，文章研究发现，房屋负债抑制了住房对家庭股市参与的挤出效应，但房屋正规贷款和房屋民间借款对股市参与的影响相反，房屋正规贷款能够促进家庭参与股市，降低住房对股市参与的抑制作用；但房屋民间借款的存在增加了住房对家庭股市参与的挤出效应。文章认为，严控住房市场，抑制家庭多套房的投资行为，使多余的资金合理的流向金融市场，深化金融市场，才能促进金融市场健康有序的发展。     

利率市场化及其传导效率的时变效应——基于DSGE和SV-TVP-VAR模型的分析

文章首先构建新凯恩斯DSGE模型从理论上模拟了我国政策利率传导的基准效应,然后构建SV-TVP-VAR模型实证研究了利率市场化进程中传导的时变效应并根据基准效应计算了传导效率。DSGE理论模拟结果显示,在理想的情况下政策利率可以传导至产出、价格、消费、投资等变量以及影响劳动力市场和工资水平,同时理想的政策利率传导没有时滞效应。从持续期来看,政策利率冲击对产出、价格、消费、投资、劳动力需求等变量的调控效果在中长期趋于收敛,但对工资的影响并没有表现出收敛趋势。基于SV-TVP-VAR模型的实证结果表明,我国政策利率对产出、通货膨胀率、消费、投资变量均产生了良好的逆周期调控效果,对通货膨胀率、消费和投资的调控存在一定的时滞效应。综合两个模型结果的进一步分析表明,随着利率市场化的推进,政策利率对产出、通货膨胀率、消费、投资的传导效率不断提升,1996-2019年对四个变量的传导效率分别由43%、27%、18%、52%上升至86%、36%、54%、95%。文章推断,所有制差异和利率双轨制可能是现阶段制约传导效率提升的两大问题,应以破解利率双轨制逐步取消存贷款基准利率为抓手推进利率市场化,形成政策...     

Monetary policy and financial stability: what role for the interest rate?

We propose an ex-post analysis of the behavior of a central bank confronted with financial turmoil. For this purpose, we rely on a DSGE model that combines credit market frictions with a boom and bust scenario on the price of capital. Within this framework, we seek to understand the extent to which central banks could have intervened to limit the effects of the financial bubble and its bursting. We compare the results obtained in terms of economic stabilization under a simple Taylor rule with those of an augmented rule that takes into account a financial indicator. We show that a central bank using as sole instrument the interest rate cannot simultaneously improve inflation and credit cycles.     

Crowding out and the rate of return on capital in Japan

It is often argued that a crowding out of capital must be accompanied by a rise in the rate of return on capital and in the interest rate. This paper demonstrates that this does not need to be the case by showing that the hypothesis of a crowding out of capital in Japan during the 1990s is consistent with a fall in the rate of return on capital and in the interest rate. In the model economy constructed in the paper, persistent increases in government debt which crowd out capital also induce a decline in the price of existing capital goods. This decline leads to capital losses. When these capital losses are large enough to offset increases in the marginal product of capital stemming from the fall in the stock of capital, the rate of return on capital will fall. Numerical exercises suggest that the crowding out of capital contributed to the decline in the rate of return of capital observed in Japan during the 1990s.     

Expansionary monetary policy and credit allocation: Evidence from China

We identify the impact of expansionary monetary policy in China during the 2008–2009 global financial crisis on the credit and investment allocation among firms. We obtain robust evidence that expansionary monetary policy led to the misallocation of bank credit to less productive firms after controlling for confounding factors. However, we find that investment increased more for more productive firms. Additional analyses show that this occurred partly because more productive firms hoarded cash before the crisis, and partly because less productive firms invested more in financial assets.     

Do NBFCs propagate real shocks?

Notwithstanding a smaller share of total loans vis-à-vis commercial banks, we investigate a possible role of Non-banking financial companies (NBFCs) in propagating a real shock to the rest of the economy. Our two-sector model captures emerging economy characteristics such as NBFC borrowings from commercial banks, heterogeneities in financial constraints, and labour market friction faced by firms. Our theoretical and simulation results, using Indian parameters, indicate that an idiosyncratic shock (i.e., higher realization of the failed firms) and a sectoral productivity shock (in the sector financed by NBFCs) increase the interest rate charged by the banks, and the unemployment rate while reducing the real wages and per capita capital formation. However, the reverse happens given a structural shock, assumed as an increase in the average number of failed firms. Early detection of such shocks and quick policy intervention are required to provide a cushion for capital formation and job creation.     

For the Motion

The interest rate is one of the most important factors in farmers’ decision-making of borrowing and lending in the informal financial market in China. This paper explores the determinants of the interest rate with microfinance data. Results show that the income disparity, the relationship between borrowers and lenders, the usage of borrowing, and formal credit constraints are important factors affecting interest rates. More importantly, to borrow from those in the higher income hierarchy, farmers have to bear higher interest rates. We attribute this to different social capitals across income groups and higher default risks for the poor. This paper contributes to a better understanding of the informal financial market in rural China and sheds light on the mechanism of higher informal interest rate formation.     

税制改革和国有商业银行资本充足率的内源性提升

金融部门被认为是现代市场经济的枢纽和命脉,其效率水平会对整个经济的效率水平产生基础性影响。资本充足率是衡量银行抵御风险能力和稳健性的重要指标,我国国有商业银行资本充足率状况不容乐观。税收作为国家主要政策手段,是金融发展的重要制度因素。文章从税制改革角度,探讨提升国有商业银行资本充足率的问题。     

金融发展、融资约束与中国本土企业出口绩效——基于省际面板数据的经验研究

通过纾缓融资约束提高企业出口能力是开放条件下金融发展影响一国(地区)经济增长的重要渠道之一。本文利用1999～2006年省际面板数据,构建衡量金融发展的综合指标体系,运用系统广义矩估计方法进行实证研究发现:我国金融发展有限地促进了本土企业的出口增长;尽管非国有本土企业和中小企业对出口贡献呈上升趋势,但难以从正规金融体系中获取充分的融资支持,国有银行寡头垄断的金融市场结构抑制了本土企业出口绩效的持续增进。本文得出的政策建议是进一步深化金融改革,为企业改善贸易竞争力提供合理有效的外部环境。     

科创板与沪市A股主板市场金融资源配置的相关性研究

本文基于2013—2020年科创板与沪市A股1570家上市公司数据,从完善我国金融市场资源配置功能的视角,通过构建金融资源配置效率模型,实证分析了科创板与沪市A股主板市场的关联性因素。研究结果表明,科创板对沪市A股主板市场局部短期内存在一定的竞争效应,但是从中长期来看,两者构成相容互通的资本池,科创板对于提升沪市A股主板市场金融资源配置效率、促进资本市场结构优化和完善我国多层次资本市场体系建设具有积极作用。基于此,本文从我国资本市场金融资源配置优化的视角,研究提出以科创板制度创新加快提升我国资本市场国际化、市场化和专业化功能的对策建议。     

Monetary policy and financial investments of nonfinancial firms: New evidence from China

This paper develops a portfolio choice model by incorporating monetary policy and analyzes the determinants of financial investments of nonfinancial firms in China. Unlike the literature assuming financial investments are riskless, we allow risks in both financial and real investments in firms' portfolio choice model. Our theoretical framework suggests that monetary policy, relative risk in fixed investment, and the risk-adjusted return gap between financial and fixed investments are determinants of firms' financial investments. Using firm-level panel data over the period from 2006 to 2016, we find that the relative risk in fixed investment and quantitative expansionary monetary policy have led to rising financial investments of nonfinancial firms in China over the post-2008 financial crisis period, whereas the rate of the risk-adjusted return gap between financial and fixed investments plays no role in firms' financial investments. The impact of monetary policy on firms' financial investments is also interlinked with their ownerships, with distinct impacts emerging between state-owned and non-state-owned firms.     

A simple accounting framework for the effect of resource misallocation on aggregate productivity

This paper develops a simple accounting framework that measures the effect of resource misallocation on aggregate productivity. This framework is based on a multi-sector equilibrium model with sector-specific frictions in the form of taxes on sectoral factor inputs. Our framework is flexible for the assumption on preferences or aggregate production functions. Moreover, this framework is consistent with that commonly used in productivity analysis. I apply this framework to measure the extent to which resource misallocation explains the difference in aggregate productivity across developed countries. I find that around 9 percentage points of the difference in the measured aggregate productivity between Japan and the US can be accounted for by resource misallocation. Using the framework, I also decompose the causes of the misallocation effect.     

The Impact of the US Interest Rate Hike on Emerging Market Economies and the Belt and Road Initiative

Since the end of 2015, the US Federal Reserve has raised its benchmark interest rate nine times. This has led to capital outflows and asset depreciation in many emerging market economies. The present paper examines the factors that determine the financial volatility of emerging markets in the face of external shocks. By calculating the capital flows of 30 emerging markets from 1990 to 2018 and conducting panel regression, this paper finds that countries with good infrastructure facilities, a sound banking system and high economic growth have significantly lower cross‐border financial risks. An implication from the empirical analysis is that emerging countries would benefit greatly by actively taking part in the Belt and Road Initiative. The framework of the Belt and Road Initiative allows emerging countries better access to China's massive consumer market to promote trade and long‐term growth. Their quality of infrastructure can be improved through cooperation with China in infrastructure investment. They can also jointly establish a cooperative financial framework to enhance regional financial stability. These strategies will reduce systematic financial risks and counteract the negative impacts of US interest rate hikes.     

Human capital in the financial sector and corporate debt maturity

This study examines how human capital in the financial sector affects corporate debt maturity. To illustrate the mechanisms underlying the effects, we propose a theoretical framework that highlights the effects of human capital in the financial sector on mitigating the information asymmetry between financial intermediaries, households, and firms. Using the Chinese National Economic Census in 2008 and the Industrial Enterprises Database over 2011–2013, we find that the financial sector's human capital plays a significant and positive (negative) role in short-term (long-term) debt and this effect is more pronounced for firms with greater information asymmetry. Further analyses demonstrate that the baseline findings are consistent with the credit supply hypothesis. Our study indicates that human capital in the financial sector strengthens its renegotiation capacity for corporate borrowing, which is consistent with China's financial repression policy and leads to increased exposure of firms to credit and liquidity risks.     

环境规制与中国生产率的动态变化:基于异质性企业视角

本文基于异质性企业分析框架,研究了环境规制如何通过要素替代、创新补偿以及资源重置3种渠道塑造中国企业和行业生产率的静态与动态变化过程。研究发现,在企业层面上,环境规制会提升高效企业生产率,降低低效企业生产率。在行业层面上,环境规制强度提高将不利于资源错配严重行业的加总生产率增长。我们基于1998-2007年中国微观企业数据验证了上述结论和3种渠道各自的作用。因此要实现环境改善型的技术进步不仅需要各级政府坚定不移地执行环境保护政策,更重要的是减少要素在行业内和行业间流动的摩擦以及各种制度性障碍,降低行业资源错配程度。     

Zombie firms and over-capacity in Chinese manufacturing

The problems of over-capacity and zombie firms in China's manufacturing attract all aspects of attention, but academic analysis is still absent. Using firm-level data of Chinese manufacturing, this study first documents the problems of over-capacity and zombie firms during 2011–2013. We find that the over-capacity problem is much more severe in the northeastern and western regions of China, in heavy chemical industries, and in state-owned sector. The distribution of zombie firms is in a similar manner across region, industry and ownership. We also empirically test the relationship between zombie firms and over-capacity, finding that zombie firms cause and worsen over-capacity by crowding out healthy firms.