Human capital costs,firm leverage,and unemployment rates

Because bankruptcy is costly for employees, theoretical studies argue that firms with higher leverage have to pay their employees higher wages. In this paper we empirically test this prediction. We find that firm leverage is positively related to the wages of employees, both in the United States and in the Netherlands. In the United States, the positive relation between wages and leverage is strongest in the 21st century, which is a period that also shows a positive relation between wages and unemployment rates. We conclude that the human capital costs of bankruptcy are an important disadvantage of debt.     

Money and exchange rates in the Grossman-Weiss-Rotemberg model

We analyze the impact of monetary policy on inflation, interest rates and exchange rates in a model with segmented asset markets developed by Grossman and Weiss (1983) and Rotemberg (1984, 1985). We find parameters for which real and nominal exchange rates in this model are (1) much more volatile than interest rates, inflation rates, and money growth rates, (2) highly correlated with each other, and (3) highly persistent. While this model fails to match the data in other important respects, it illustrates a potentially useful approach to modelling exchange rate behavior.     

Banking market conditions and deposit interest rates

This paper shows that the impact of market structure on bank deposit interest rates is complex. Both market size structure and multimarket bank presence have independent effects on rates. There is evidence that mid-size banks were more aggressive competitors than other banks, but that the effect of market structure on deposit rates has evolved over time, with mega-banks recently becoming more aggressive competitors. This may be related to the growth of mega-banks in many markets. These findings have implications for existing theories of deposit pricing and, by extension, antitrust policy in banking.     

A model for interest rates with clustering effects

We propose a model for short-term rates driven by a self-exciting jump process to reproduce the clustering of shocks on the Euro overnight index average (EONIA). The key element of the model is the feedback effect between the absolute value of jumps and the intensity of their arrival process. In this setting, we obtain a closed-form solution for the characteristic function for interest rates and their integral. We introduce a class of equivalent measures under which the features of the process are preserved. We infer the prices of bonds and their dynamics under a risk-neutral measure. The question of derivatives pricing is developed under a forward measure, and a numerical algorithm is proposed to evaluate caplets and floorlets. The model is fitted to EONIA rates from 2004 to 2014 using a peaks-over-threshold procedure. From observation of swap curves over the same period, we filter the evolution of risk premiums for Brownian and jump components. Finally, we analyse the sensitivity of implied caplet volatility to parameters defining the level of self-excitation.     

Uncovered interest parity, monetary policy and time-varying risk premia

In a recent paper, McCallum argued that monetary-policy behavior can be responsible for the apparent empirical failure of uncovered interest parity (UIP). The present paper investigates whether optimizing policy behavior can account for the observed regime-dependence of UIP evidence. The main result is that the tradeoff between interest-rate and exchange-rate stability is a potential candidate for the explanation of the apparent failure of UIP and that the consideration of policy reactions can explain why deviations from UIP differ systematically by the exchange-rate regime.     

流动性、银行间市场摩擦与借贷便利类货币政策工具

通过内生引入流动性短缺银行(拆入行)对流动性盈余银行(拆出行)的流动性需求机制,本文构建了一个包含银行间市场的DSGE模型,对借贷便利类货币政策工具的传导机制和传导效果进行了理论和实证研究。研究表明:(1)负向冲击会同时增加拆入行和拆出行对流动性的预防性需求,在经济形势不确定的情形下,拆出行不会很快恢复对拆入行的流动性供给,引起银行间市场流动性缺口放大和市场失灵。(2)由于仅依赖银行间市场自发回归稳态的过程太过缓慢,需要央行进行流动性干预。借贷便利类工具可以通过引导贷款市场定价和流动性效应这两个渠道来影响银行融资可得性,进而降低银行间市场流动性风险对宏观经济的负面影响。(3)借贷便利类货币政策工具的影响效果边际递减,央行可根据借贷便利操作的收益和成本,制定最佳的反应程度参数。     

流动性、银行间市场摩擦与借贷便利类货币政策工具

通过内生引入流动性短缺银行(拆入行)对流动性盈余银行(拆出行)的流动性需求机制,本文构建了一个包含银行间市场的DSGE模型,对借贷便利类货币政策工具的传导机制和传导效果进行了理论和实证研究。研究表明:(1)负向冲击会同时增加拆入行和拆出行对流动性的预防性需求,在经济形势不确定的情形下,拆出行不会很快恢复对拆入行的流动性供给,引起银行间市场流动性缺口放大和市场失灵。(2)由于仅依赖银行间市场自发回归稳态的过程太过缓慢,需要央行进行流动性干预。借贷便利类工具可以通过引导贷款市场定价和流动性效应这两个渠道来影响银行融资可得性,进而降低银行间市场流动性风险对宏观经济的负面影响。(3)借贷便利类货币政策工具的影响效果边际递减,央行可根据借贷便利操作的收益和成本,制定最佳的反应程度参数。     

Sterilization of short-term capital inflows—through lower interest rates?

Reductions in international interest rates are a major cause of capital flows to emerging economies. Increases in domestic interest rates are a frequent policy response to the resulting price increases. This is often unsuccessful. The paper suggests a theoretical explanation based on distinctive features of emerging financial markets, including imperfect asset substitutability and imperfect capital mobility for some sectors of the economy. It concludes that the appropriate policy response to capital inflows may be lower interest rates.     

流动性过剩与流动性悖论

造成当前流动性过剩的一个重要原因是由于我国存在着一种"流动性悖论".而造成流动性悖论的原因又可以上溯到国内金融结构的体制性缺陷,具体包括银行体系、资本市场、人民币汇率制度和资本账户管制等四个方面的结构性问题.要根本上解决国际收支"双顺差"以及流动性悖论,长期看需要从经济与金融结构层面进行调整,近期则主要是汇率的调整,取消强制结汇制以及加强周边国家(地区)的政策协调.     

中国市场利率流动性溢酬实证分析

市场利率的流动性溢酬(liquiditypremium),也称为期限溢酬(termpremium),是为了弥补投资者投资于长期证券所承担的额外利率波动风险(Hicks,1942)。这种风险一般随着期限的延长而增加,因此,相应的流动性溢酬也要随着期限的延长而增加。本文在郑振龙、林海(2003)对中国利率期限结构的静态估计的基础之上,通过一个直接的通用模型对中国市场利率的流动性溢酬进行了实证考察和分析,这个模型直接使用总收益率而不是利率的概念,从而就可以避免Nelson(1972)所提出的问题,而且没有对利率的分布做任何假定。同时为了比较分析不同期限的流动性溢酬,这个模型还进行了标准化处理。检验结果表明,中国存在比较明显的流动性溢酬,而且这个流动性溢酬水平随着期限的延长而上升。而且,通过对流动性溢酬随时间变动情况的分析,发现不同期限的流动性溢酬都随时间变动,因此常数流动性溢酬假设就被拒绝。     

International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore

This paper investigates the responses of market interest rates to US monetary policy announcements for the US and two emerging economies, Hong Kong and Singapore which are similar on many respects but have experienced opposite exchange rate regimes in the last twenty years. Our results, based on market expectations extracted from federal fund futures rates, document that FOMC announcements significantly affect the term structure of interest rate in the US and both Asian countries. Further, international interest rate differentials around FOMC meeting dates tend to be negative for short maturities with the impact gradually dissipating as bond maturity increases. Finally, for the case of Singapore, we find that domestic interest rates react to both external and domestic monetary policy announcements with a magnitude that is larger over the full bond maturity spectrum for domestic announcements. These results are robust to time-varying futures risk premia and alternative measures of interest rates expectations.     

Climate change financial risks: Implications for asset pricing and interest rates

In addition to tail macroeconomic events (e.g. wars, financial crises and pandemics), climate change poses a threat to financial stability — with extreme climatic events increasing in frequency and intensity and policy risks putting pressure on asset valuations. We study the effect of a changing climate on asset prices and interest rates through the lens of a dynamic CAPM with rare disasters, time-varying risk and recursive preferences. In our model, a changing climate makes tail events more frequent and less predictable, increasing the premium of climate risk; interestingly, this change may not be fully reflected in the overall market risk premium that includes both components of risk: macroeconomic and environmental. Our results also support the hypothesis of a declining real rate of interest as the planet warms, while the increasing risk of climate policy reduces the participation of brown assets in the market portfolio.     

A model of discontinuous interest rate behavior,yield curves,and volatility

This paper develops an equilibrium model in which interest rates follow a discontinuous (generalized) gamma process. The gamma process has finite variation, takes an infinite number of “small” jumps in every interval, and includes the Wiener process as a limiting case. The gamma interest rate model produces yield curves that closely resemble those of diffusion models. But in contrast to diffusion models, the curvature of the yield curve does not directly depend on the true volatility of the interest rate process, but instead depends on a different risk-neutral volatility. The gamma model appears to fit the distribution of interest rates changes and the jump characteristics of interest rate paths. Empirical tests reject a diffusion model of interest rates in favor of the more general gamma model because daily interest rate innovations are highly leptokurtic. The author appreciates comments from George Constantinides, Jon Ingersoll, Herbert Johnson, Ray Rishel, and an anonymous referee, computational assistance from Kerry Back and Saikat Nandi, and support from Atlantic Asset Management. Any errors are the responsibility of the author.     

Banking and interest rates in monetary policy analysis: A quantitative exploration

The paper reconsiders the role of money and banking in monetary policy analysis by including a banking sector and money in an optimizing model otherwise of a standard type. The model is implemented quantitatively, with a calibration based on US data. It is reasonably successful in providing an endogenous explanation for substantial steady-state differentials between the interbank policy rate and (i) the collateralized loan rate, (ii) the uncollateralized loan rate, (iii) the T-bill rate, (iv) the net marginal product of capital, and (v) a pure intertemporal rate. We find a differential of over 3% p.a. between (iii) and (iv), thereby contributing to resolution of the equity premium puzzle. Dynamic impulse response functions imply pro- or counter-cyclical movements in an external finance premium that can be of quantitative significance. In addition, they suggest that a central bank that fails to recognize the distinction between interbank and other short rates could miss its appropriate settings by as much as 4% p.a. Also, shocks to banking productivity or collateral effectiveness call for large responses in the policy rate.     

Impact of interest rate surprises on Islamic and conventional stocks and bonds

This paper studies the impact of interest rate news surprises on Islamic and conventional stock and bond indices, using a dataset which covers interest rate announcements and forecasts, as well as stock and bond indices in three Islamic and eight non-Islamic countris. We find that interest rate surprises tend to have a smaller impact on the returns and volatility of Islamic than conventional bonds because Islamic bonds are structured to avoid explicit interest rates. However, interest rate surprises have about the same or bigger impact on the returns and volatility of Islamic relative to conventional stocks, despite the low amounts of cash and debt holdings of firms comprising Islamic stock indices.     

流动性导流——中国货币需求及现阶段流动性过剩问题研究

近年来,流动性过剩成为了我国宏观经济的要害性问题.所谓"流动性导流",就是将目前过剩的流动性通过若干可能的渠道疏导到实体经济之外,使之基本不对实体经济产生负面影响.我国流动性过剩是由外向型经济结构引起的外汇过多流人造成的,在经济结构短期内难以根本改变且人民币升值预期难以根本逆转的情况下,只能从疏导过多流动性的角度来寻找防治通胀之道.具体的疏导渠道包括将一部分流动性导向境外和在境内扩大虚拟经济以吸收一部分流动性.后者是解决当前通胀压力和股市扩容压力的一箭双雕之策,也是本文的新观点所在.     

Impact of interest rates on the life insurance market development: Cross-country evidence

Studies have found that interest rates create incentives for insurance firms to focus on financial markets through investments. Using a cross-country context, we conjecture that interest rates affect the life insurance market’s development. Using an initial sample comprising the time series of interest rates and insurance markets’ measures from 34 countries across 1998–2017, we found that the density and penetration of the life insurance market is low in countries with high interest rates. Using another sample of 6,451 observations from insurance firms operating in the same 34 countries, we verified that the financial and operational incomes are equally significant in predicting the net income for life insurance companies that operate in countries with high interest rates. Our study contributes to observations that the lack of governmental control over public expenses impacts interest rates and, thereby, the opportunities for insurers.     

Liquidity,assets and business cycles

The objective here is to evaluate the quantitative importance of financial frictions in business cycles. The analysis shows that a negative financial shock can cause aggregate investment, employment and consumption to fall with output. Despite this realistic comovement among macro quantities, a negative financial shock generates an equity price boom as the shock tightens firms׳ financing constraint. This counterfactual response of the equity price is robust to a wide range of variations in how financial frictions are modeled and whether financial shocks affect asset liquidity or firms׳ collateral constraints. Some possible resolutions to this puzzle are discussed.