The fragile capital structure of hedge funds and the limits to arbitrage

During a financial crisis, when investors are most in need of liquidity and accurate prices, hedge funds cut their arbitrage positions and hoard cash. The paper explains this phenomenon. We argue that the fragile nature of the capital structure of hedge funds, combined with low market liquidity, creates a risk of coordination in redemptions among hedge fund investors that severely limits hedge funds' arbitrage capabilities. We present a model of hedge funds' optimal asset allocation in the presence of coordination risk among investors. We show that hedge fund managers behave conservatively and even abstain from participating in the market once coordination risk is factored into their investment decisions. The model suggests a new source of limits to arbitrage.     

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。     

THE EFFECTS OF BANK CONSOLIDATION ON RISK CAPITAL ALLOCATION AND MARKET LIQUIDITY

We investigate the effects of financial market consolidation on the allocation of risk capital in a financial institution and the implications for market liquidity in dealership markets. An increase in financial market consolidation can increase liquidity in foreign exchange and government securities markets. We assume that financial institutions use risk‐management tools in the allocation of risk capital and that capital is determined at the firm level and allocated among separate business lines or divisions. The ability of market makers to supply liquidity is influenced by their risk‐bearing capacity, which is directly related to the amount of risk capital allocated to this activity.     

银行同业业务、资产负债变化与金融市场流动性“悖论”：基于面板数据的实证研究

本文以银行同业业务和金融市场流动性为研究对象,试图厘清银行同业业务对市场流动性产生影响的作用机制,研究发现银行同业业务与流动性管理二者之间存在天然的“悖论”,体现在对资产负债期限错配的不同偏好上：期限错配是同业业务盈利的重要来源,而流动性管理的目标则是严格约束期限错配。本文还在系统构建金融市场流动性测度指标的基础上,借助面板数据,实证检验了不同规模银行、不同类型同业业务对金融市场流动性的影响大小,最后给出政策建议。     

银行资产配置趋势与中央银行流动性管理——基于动力系统模型的模拟分析

近年来,我国宏观流动性投放逐步由以前的被动投放(外汇占款)向主动投放转变,银行业资产配置结构更趋多元化,金融创新更加活跃,这些都在一定程度上改变了金融体系流动性传导的渠道和机制,迫使我们重新审视流动性在金融体系中消长、转移的内在逻辑,探讨新形势下流动性管理的合理方式和路径。本文运用动力系统模型来分析和论证银行资产配置结构变化对市场流动性状况的影响机制,以及中央银行流动性管理工具的有效性。研究表明,银行资产配置趋势的同质化容易导致市场流动性状况的恶化;中央银行需要进一步完善利率传导机制,强化货币政策与宏观审慎评估政策的协同配合,以提升流动性管理的有效性。     

银行间市场流动性与金融风险救助机制研究

文章从我国银行间市场结构特征出发,分析了近年来银行间市场利率和流动性大 幅波动的内在机理与原因。研究认为,塔形市场交易结构下,银行间市场存在流动性风险易聚 集不易分散的缺陷,且难以依靠“有形之手”得到弥补。文章结合塔形市场结构的特点建立矩 阵分析法,对40家金融机构资产负债表进行实证分析。结论印证了理论分析,即塔形市场交易 结构下风险冲击影响时间更长,且央行流动性救助效果降低,但流动性救助机制能降低风险对 中小型地方法人金融机构的冲击。因此,有必要建立流动性风险救助机制,弥补银行间市场客 观存在的缺陷,增强中小型地方法人金融机构抵御银行间市场流动性风险冲击的能力。     

Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality

We examine the dynamics and the drivers of market liquidity during the financial crisis, using a unique volume-weighted spread measure. According to the literature we find that market liquidity is impaired when stock markets decline, implying a positive relation between market and liquidity risk. Moreover, this relationship is the stronger the deeper one digs into the order book. Even more interestingly, this paper sheds further light on so far puzzling features of market liquidity: liquidity commonality and flight-to-quality. We show that liquidity commonality varies over time, increases during market downturns, peaks at major crisis events and becomes weaker the deeper we look into the limit order book. Consistent with recent theoretical models that argue for a spiral effect between the financial sector’s funding liquidity and an asset’s market liquidity, we find that funding liquidity tightness induces an increase in liquidity commonality which then leads to market-wide liquidity dry-ups. Therefore our findings corroborate the view that market liquidity can be a driving force for financial contagion. Finally, we show that there is a positive relationship between credit risk and liquidity risk, i.e., there is a spread between liquidity costs of high and low credit quality stocks, and that in times of increased market uncertainty the impact of credit risk on liquidity risk intensifies. This corroborates the existence of a flight-to-quality or flight-to-liquidity phenomenon also on the stock markets.     

巴塞尔协议Ⅲ下我国商业银行流动性风险监管研究

近年来,遵照巴塞尔协议Ⅲ,我国的流动性风险监管新规促使我国商业银行优化了优质流动性资产的配置,提高了商业银行抵御金融风险的能力。但是目前我国商业银行的流动性风险监管仍然存在着流动性监管指标因存款增长不足而导致的优化困难、中小型银行流动性风险监管压力持续增加、监管难度因商业银行同方向调整资产负债结构而增加、金融市场存在一定程度的扭曲、流动性监管指标监管效果尚需评估等诸多问题。为进一步完善商业银行流动性风险的监管体系,我国亟需有效引导商业银行完善资产负债配置、引导中小型商业银行实施差异化发展策略、建立差异化的流动性监管指标、建立业务数据动态报备制度、及时更新与修正流动性风险的监管政策等。     

Stock and Bond Liquidity and its Effect on Prices and Financial Policies

An asset is liquid if it can be traded at the prevailing market price quickly and at low cost. We show that in addition to risk, liquidity affects asset prices and returns. Theories of asset pricing suggest that the expected return of an asset is increasing in its risk, because risk-averse investors require compensation for bearing more risk. Because investors are also averse to the costs of illiquidity and want to be compensated for bearing them, asset returns are increasing in illiquidity. Thus, asset prices should depend on two asset characteristics: risk and liquidity. This paper surveys research on the effects of liquidity on asset prices and returns, showing that liquidity is an important factor in capital asset pricing.     

货币政策对流动性风险的影响——基于银行信贷行为视角

本文基于我国现实背景和《巴塞尔协议Ⅲ》,利用2008年至2017年间194家商业银行的相关数据,对我国银行净稳定资金率进行了度量,并在此基础上,检验了货币政策对我国商业银行流动性风险的影响,探究了其影响机理和传导渠道。研究表明:扩张型货币政策会提高商业银行的流动性风险;不同经济环境下,货币政策对流动性风险的影响存在差异但不具备异质性;不同类型的商业银行中,货币政策对流动性风险的影响不具有异质性;在货币政策对流动性风险的影响中,银行信贷行为是重要的传导渠道。因此,央行可基于货币政策对流动性风险的影响差异进行相机抉择;商业银行则要加强信贷规模和质量的管理,优化资产结构,通过弱化信贷渠道作用来降低货币政策对银行流动性风险的不良影响。     

监测系统性金融风险——中国金融市场压力指数构建和状态识别

对系统性金融风险进行识别和评估,日益成为各国中央银行的核心关切。囿于数据频率,基于金融机构经营稳健性评估的金融系统性风险监测存在一定的滞后性,不利于中央银行及时进行风险应对,利用金融市场交易数据进行风险监测可极大程度克服滞后性问题。本文根据中国金融市场特点,选取债券市场、股票市场、货币市场和外汇市场17个有代表性的指标,运用经验累积分布函数法分别构造了各子市场的压力指数,以各子市场之间时变的相关关系刻画系统性金融风险的跨市场传染特征,合成金融市场压力指数,并通过建立马尔可夫区制转换模型,对金融市场压力状态进行识别。金融市场压力指数能有效反映样本域内的压力事件,并兼具稳健性、能逐日监测等优点,为监测评估系统性金融风险、选择政策实施窗口和评估政策实施效果等提供了有力工具。     

金融资产配置与违约风险:蓄水池效应,还是逐利效应？

本文以2007—2016年中国A股上市公司为研究对象,检验了企业金融资产配置对违约风险的影响。实证研究发现:金融资产持有量越多,企业的违约风险越低,金融资产配置的“蓄水池效应”显著;在货币政策宽松时期,金融资产配置导致的代理冲突显现,宽松的货币政策会抑制金融资产投资对违约风险的降低作用。政府规制也会有一定的公司治理作用,将产业政策纳入讨论发现:对于产业政策支持的行业来说,企业金融资产配置能够降低违约风险,但是宽松的货币政策会刺激管理层的短视投资行为,抑制政府规制的公司治理作用。进一步地,本文提出会计稳健性的提升是企业金融资产配置降低违约风险的重要路径。本文的研究结论丰富了企业金融资产配置动机和违约风险影响因素的讨论,能够为政府部门防范经济运行中的内在风险提供有益借鉴。     

管理者团队特征、金融资产配置与实体企业信用风险

基于实体企业信用风险视角,本文探讨金融资产配置效果,并考察管理者团队特征对金融资产配置效果的调节作用。研究发现,增加金融资产配置可减少实体企业信用风险,但长期看,金融资产的风险缓冲作用在逐渐减弱;管理者团队年龄越大、任期越长的企业,越倾向于增加金融资产配置,这有助于减少实体企业信用风险,而管理者团队学历对金融资产配置与信用风险之间的调节作用不明显。进一步研究发现董事长年龄越大、任期越长,管理者团队的年龄及任期对金融资产配置效果的影响越弱。本文研究拓展了实体企业配置金融资产的经济后果分析,对优化管理者团队结构、降低企业信用风险具有启示意义。     

Creating Value Through Best‐In‐Class Capital Allocation1

With the economy showing signs of recovery, companies are shifting their focus from liquidity and balance sheet concerns back towards capital allocation and value creation. This article provides a comprehensive framework to examine shareholder value creation through capital allocation, and discusses important capital allocation lessons that have re‐emerged over the last few years. Notable among the key lessons are the following:

• ? Growth alone does not guarantee value creation, which suggests that companies should allocate capital based on the economic value of each investment opportunity.
• ? The limits of diversification in a financial crisis should be considered when allocating capital and managing liquidity.
• ? Companies should be conservative with base‐case cash flow projections and incorporate the possibility of downside scenarios into their projections.
• ? It is important to incorporate all forms of capital when managing liquidity.
• ? Whether using a long‐term or current‐market approach, companies should be consistent throughout the cycle in their cost of capital methodology.
• ? Companies should continually rethink investments and allocate capital in an attempt to maintain a competitive advantage.
• ? Evaluate returns relative to risk and cost of capital, and not against the company's average ROIC.
• ? Comparing the IRR of share repurchases to new investments is not an apples‐to‐apples comparison.

Finally, companies should concentrate on the strategic uses and value of particular assets and not allow their decisions to be driven by the value they might receive relative to their initial cost.     

An early warning indicator system to monitor the unsecured interbank funds market

A core goal of regulators and financial authorities is to understand how market prices convey information on the financial health of its participants. From this viewpoint we build an Early-Warning Indicators System (EWIS) that allows for identifying those financial institutions perceived as risky counterparts by the participants of the interbank market. We use micro-level data from bilateral overnight unsecured loans performed in the interbank market between January 2011 and December 2014. The EWIS identifies those participants that systematically pay high prices for liquidity in this market. We employ coverage tests to estimate EWIS’ robustness and consistency. We find that financial institutions with an elevated frequency of signals tend to exhibit a net borrower liquidity position in the interbank market, hence suggesting they are facing recurrent liquidity needs. Those institutions also exhibit higher probability of insolvency measured by the Z-score indicator. Thus, our results support the existence of market discipline based on peer-monitoring. Overall, the EWIS may assist financial authorities in focusing their attention and resources on those financial institutions perceived by the market as those closer to distress.     

The internationalisation of monetary policy

The case for formal central bank cooperation remains limited, and practical considerations make its implementation difficult. That being said, central banks need to be engaged in a constant dialogue so as to remain ready for rapid coordinated action in exceptional circumstances. Also, they should strive to strengthen the global financial safety nets within their monetary policy mandates so that they can better address global or regional liquidity crises, thereby limiting the case for self-insurance.     

流动性、风险收益与B股市场境外投资者行为

通过对B股市场的流动性、风险及国外投资者的投资动机进行了研究和度量后发现,B股市场对内开放的确加强了它的流动性,但是B股市场波动风险依然高于A股市场,且国外投资者投资B股市场受流动性变化影响不大,因为其他们投资的主要目的不是分散风险而是获取超额预期回报率。因而,在B股市场存废问题在短期内不能解决的情况下,加强B股市场管理,改善市场结构,对国外投资者的投资行为进行合理的监督和引导是完善B股市场的非常重要的举措。     

Fire sales and the financial accelerator

During financial turmoil, increases in risk lead to higher default, foreclosure, and fire sales. This paper introduces a costly liquidation process for foreclosed collateral and pro-cyclical recovery rates in a dynamic stochastic general equilibrium model of the financial accelerator. Links between endogenous recovery rates, risk premia, and default risk generate a liquidity spiral, magnifying financial accelerator effects. We illustrate how collateral liquidation and monetary policy alter the real impact of financial shocks operating through macro-financial linkages; and the way a government subsidy on collateral liquidity and required liquidity buffers can help dampen the liquidity spiral by shoring up recovery rates.     

流动性覆盖率监管会影响货币政策传导效率吗？——来自中国银行业的证据

本文从流动性覆盖率监管要求出发,探讨了流动性监管与货币政策的协调机制问题。我们将流动性覆盖率监管要求纳入传统的Monti-Klein模型中,推导出流动性覆盖率监管对货币政策传导效率的影响及其作用机制。在此基础上,采用手工收集的我国65家商业银行2015—2019年半年度面板数据对理论假设进行实证检验。研究发现,流动性覆盖率监管要求会对货币政策传导效率产生影响,但这种影响取决于流动性监管约束下商业银行流动性管理行为的选择。商业银行主动调整融资结构、增强负债质量的行为在提高银行短期流动性水平的同时,也能显著提高货币政策传导效率,而流动性资产的囤积则可能降低货币政策传导效率。因此,应客观看待流动性覆盖率监管对货币政策传导效率的影响,引导商业银行的流动性管理行为,这将有助于实现流动性监管与货币政策有效传导的“双赢”目标。