移动支付对中国家庭储蓄率的影响

中国的高储蓄问题由来已久,降低家庭储蓄率、提高消费有助于形成以国内大循环为主体、国内国际双循环相互促进的新发展格局。本文基于2017年和2019年中国家庭金融调查(CHFS)数据,实证研究了移动支付对中国家庭储蓄率的影响。结果表明,移动支付显著降低了家庭储蓄率。进一步研究发现,缓解流动性约束、信贷约束和扩大社会网络是移动支付降低家庭储蓄率的主要途径。此外,移动支付显著降低家庭为应对健康风险、医疗风险、失业风险、收入风险等不确定性而进行的预防性储蓄。地区异质性分析显示,移动支付对家庭储蓄率的影响在西部地区、四五线城市、农村地区更大。家庭特征异质性分析显示,移动支付对家庭储蓄率的影响在农业户口家庭、中低收入家庭、低受教育水平家庭中效果更加突出。本文研究为理解中国高储蓄问题提供了新的视角,可为制定相关政策提供参考依据。     

宏观审慎管理框架下的支付系统流动性风险测度及评估研究

本文试图引入宏观审慎管理理念,从支付系统整体流动性入手,通过构建logistic模型来测度与评估支付系统流动性风险。实证结果显示,系统参与者整体流动性风险概率水平波动较为频繁,但处于较低状态。在宏观审慎管理框架下,人民银行应重点关注系统性风险,把系统潜在的流动性风险降到最低层次。     

Stock Market Declines and Liquidity

Consistent with recent theoretical models where binding capital constraints lead to sudden liquidity dry-ups, we find that negative market returns decrease stock liquidity, especially during times of tightness in the funding market. The asymmetric effect of changes in aggregate asset values on liquidity and commonality in liquidity cannot be fully explained by changes in demand for liquidity or volatility effects. We document interindustry spillover effects in liquidity, which are likely to arise from capital constraints in the market making sector. We also find economically significant returns to supplying liquidity following periods of large drops in market valuations.     

Liquidity risk and policy options

On the basis of a liquidity management model, liquidity risks, defined as the probability of payment failures in a real-time gross settlement (RTGS) payment system, may either stem from liquidity management inefficiencies or insufficient cash balances. I will show that penalties charged on the amount of payment failures minimise liquidity risks without interfering with the bank’s technology preferences. I will instead show that liquidity requirements, although as effective as penalties to contain the risk of liquidity shortage, may distort the bank’s technology preferences and cannot stem liquidity management inefficiencies. I will also show that liquidity risks within RTGS payment systems are potentially smaller because they depend more on the liquidity management efficiency than on the randomness of cash inflows and outflows.     

Commitment, banks and markets

We examine how banks and financial markets interact with one another to provide liquidity to investors. The critical assumption is that financial markets are characterized by limited enforcement of contracts, and in the event of default only a fraction of borrowers’ assets can be seized. Limited enforcement reduces the fraction of assets that can be used as collateral and thus individuals subject to liquidity shocks face borrowing constraints. We show how banks endogenously overcome these borrowing constraints by pooling resources across several depositors, and increase the liquidity provided by financial markets.     

购房借贷约束与缴存家庭消费——基于公积金运营流动性视角的分析

研究制约住房公积金制度效率的因素及作用机制,对保障国民安居、推动经济高质量发展具有重要的现实意义。鉴于此,本文首先通过构建理论模型,阐述了流动性压力下,公积金对缴存家庭贷款决策与消费的影响及作用机制,并使用中国家庭金融调查数据(CHFS)对理论假说进行实证检验。研究结果表明:借贷约束会显著降低缴存家庭使用公积金贷款的概率;流动性压力是公积金管理机构提高贷款门槛,从而降低借贷受约束家庭使用公积金贷款概率的重要原因;未获得公积金贷款支持的缴存家庭因购房成本的增加,家庭的非耐用品消费受到显著抑制。本文进一步通过倾向得分匹配方法和两阶段最小二乘法处理内生性问题,识别结果显示上述结论稳健可靠。本文研究表明:改善运营资金流动性不仅有助于提高公积金制度的运行效率,完善我国的住房保障体系,还有助于促进居民消费,提振内需,并为企业减费降负提供有效支持。     

Quantifying the components of the banks’ net interest margin

Using unique data sets on German banks, we decompose their net interest margin and quantify the different components by estimating the costs of the various functions they perform. We investigate three major functions: liquidity and payment management for customers, bearing credit risk, and term transformation. For 2013, the costs of liquidity and payment management correspond, in the median, to 47% of the net interest margin, with bearing of credit risk and earnings from term transformation accounting for 12 and 37%, respectively.     

THE ROLE OF INFORMATION AND THE TIME BETWEEN TRADES: AN EMPIRICAL INVESTIGATION

Previous studies propose that the time between trades is a measure of the existence of information and a manifestation of the demand and supply of liquidity. I find evidence that the time between trades is a measure of the existence of information. However, the evidence does not imply that liquidity constraints are an unimportant determinant of price changes. Further investigation indicates that price changes are partially related to liquidity constraints, when the liquidity constraint is measured by the availability of multiple counterparties. Finally, I find some evidence that information about trades, not necessarily related to information about the underlying asset, also affects price changes.     

Banks’ intraday liquidity management during operational outages: Theory and evidence from the UK payment system

We investigate how settlement banks in the United Kingdom’s large-value payment system deal with intraday liquidity and operational risk. In particular, we are interested in payments behaviour towards a bank that is, for operational reasons, unable to make but able to receive payments. If other banks did not sufficiently monitor their outgoing payments, these operational shocks could impact the entire payment system because the affected bank could absorb liquidity from the system. Our game-theoretic model predicts that only early in the day, when they are uncertain about the payment instructions they might have to execute, banks stop sending payments to a counterparty which is unable to make payments. Using a non-parametric method, we find that this prediction is supported by the data, implying that banks effectively contain the disruption caused by the operational outage: payment flows between healthy banks remain unaffected.     

Using Cash to Monitor Liquidity: Implications for Payments,Currency Demand,and Withdrawal Behavior

This paper provides one explanation why cash is still used for transactions despite a broad diffusion of noncash payment instruments. In particular, we argue that a distinctive feature of cash—a glance into one's pocket gives a signal of the remaining budget and past expenses—provides utility to some consumers. Using payment survey data, we show that consumers who need to keep control over their remaining liquidity and who have elevated costs of information processing conduct a larger percentage of payments using cash, withdraw less often, and hold larger cash balances than other consumers.     

One size fits all? High frequency trading,tick size changes and the implications for exchanges: market quality and market structure considerations

This paper offers a systematic review of the empirical literature on the implications of tick size changes for exchanges. Our focus is twofold: first, we are concerned with the market quality implications of a change in the minimum tick size. Second, we are interested in the implications of changes in the minimum tick size on market structure. We show that there is a large body of empirical literature that documents a decrease in transaction costs following a decrease in the minimum tick size. However, even though market liquidity increases, the incentive to provide market making activities decreases. We document a strong link between the minimum tick size regulations and the recent increase in high frequency trading activity. A smaller tick enhances the price discovery process. However, the question of how multiple tick size regimes affect market liquidity in a fragmented market remains to be answered. Finally, we identify topics for future research; we discuss the empirical literature on the minimum trade unit and the recent calls for a minimum resting time for quotes.     

Improving the Equity-Efficiency Trade-Off: Mandatory Savings Accounts for Social Insurance

In the modern welfare state a substantial part of an individual's tax bill is transferred back to the same individual taxpayer in the form of social transfers. This provides a rationale for financing part of social insurance through mandatory savings accounts. We analyze the behavioral and welfare effects of compulsory savings accounts in an intertemporal model with uncertainty, involuntary unemployment, endogenous retirement decisions, credit constraints, and heterogeneous agents. We show that the introduction of (early) retirement and unemployment accounts generates a Pareto improvement by enabling the government to provide lifetime income insurance and liquidity insurance in a more efficient manner.     

隐性杠杆约束、流动性风险和投资者情绪

本文以2003—2019年间开放式主动管理型的股票型和偏股型基金为样本,以持仓占比为权重估算基金投组中A股的总市场风险暴露,检验结果表明,该序列上升反映了基金面临的隐性杠杆约束收紧,刻画了市场的弱流动性。内在逻辑在于,流动性收紧时,投资者难以通过融资直接增加杠杆,更倾向于重仓持有高市场风险头寸的股票而间接实现杠杆。本文发现隐性杠杆约束所刻画的风险在股票或基金收益截面上的无条件定价基本失效,而条件定价则依赖于低市场情绪与弱流动性。分解基金持股的敞口,进一步发现,因中小盘基金在流动性收紧时具有更强的流动性偏好,其持股的市场风险头寸能够更敏锐地捕捉到弱流动性风险。     

Mortgage Design in an Equilibrium Model of the Housing Market

How can mortgages be redesigned to reduce macrovolatility and default? We address this question using a quantitative equilibrium life‐cycle model. Designs with countercyclical payments outperform fixed payments. Among those, designs that front‐load payment reductions in recessions outperform those that spread relief over the full term. Front‐loading alleviates liquidity constraints when they bind most, reducing default and stimulating housing demand. To illustrate, a fixed‐rate mortgage (FRM) with an option to convert to adjustable‐rate mortgage, which front‐loads payment reductions relative to an FRM with an option to refinance underwater, reduces price and consumption declines six times as much and default three times as much.     

Investor heterogeneity,trading account types and competing liquidity channels for Malaysian stocks

This paper examines the relationship between various investor groups and stock liquidity for Malaysian public listed firms over the 2002–2009 sample period. Using the Amihud illiquidity ratio, we extend the literature by addressing the issues of investor heterogeneity, trading account types and the interactions of competing liquidity channels. The analysis reveals that only local institutions and local individual investors who trade through the direct accounts are significantly associated with the liquidity of domestic firms. In contrast, the significant liquidity effect for foreign investors operates through the nominee accounts. While institutional ownership exhibits a linear negative relationship, our findings on local individuals and foreign nominees differ greatly from previous studies in that their relationship with stock liquidity is non-monotonic. Apart from the widely-researched information asymmetry and trading effects, we find that liquidity is also driven by the largely ignored information competition channel. An important insight from our findings is that the large shareholdings by any particular investor group is detrimental to stock liquidity as they exacerbate information asymmetry, reduce the degree of competition and lower the level of trading activity.     

Liquidity,default, taxes,and yields on municipal bonds

We examine the effects of liquidity, default and personal taxes on the relative yields of Treasuries and municipals using a generalized model with liquidity risk. The municipal yield model includes liquidity as a state factor. Using a unique transaction dataset, we estimate the liquidity risk of municipals and its effect on bond yields. Empirical evidence shows that municipal bond yields are strongly affected by all three factors. The effects of default and liquidity risk on municipal yields increase with maturity and credit risk. Liquidity premium accounts for about 9–13% of municipal yields for AAA bonds, 9–15% for AA/A bonds and 8–19% for BBB bonds. A substantial portion of the maturity spread between long- and short-maturity municipal bonds is attributed to the liquidity premium. Ignoring the liquidity risk effect thus results in a severe underestimation of municipal bond yields. Conditional on the effects of default and liquidity risk, we obtain implicit tax rates very close to the statutory tax rates of high-income individuals and institutional investors. Furthermore, these implicit income tax rates are quite stable across bonds of different maturities. Results show that including liquidity risk in the municipal bond pricing model helps explain the muni puzzle.     

Municipal Bond Liquidity and Default Risk

This paper examines the pricing of municipal bonds. I use three distinct, complementary approaches to decompose municipal bond spreads into default and liquidity components, and find that default risk accounts for 74% to 84% of the average spread after adjusting for tax‐exempt status. The first approach estimates the liquidity component using transaction data, the second measures the default component with credit default swap data, and the third is a quasi‐natural experiment that estimates changes in default risk around pre‐refunding events. The price of default risk is high given the rare incidence of municipal default and implies a high risk premium.     

Discussion of “Information and Liquidity”

I discuss the model of asset liquidity by Lester, Postlewaite, and Wright (2011, this issue, Forthcoming) . I consider a model with bilateral matching and bargaining in which a perfectly divisible asset serves as means of payment. A recognizability problem is introduced by assuming that the asset can be counterfeited at a positive cost. In contrast to Lester, Postlewaite, and Wright , in equilibrium sellers always accept objects that they do not recognize. The private information problem manifests itself by smaller quantities traded in uninformed matches.     

How do designated market makers create value for small-caps?

A poor liquidity level and a high liquidity risk significantly raise the required return for small-cap stocks. Euronext allows these firms to hire designated market makers (DMMs) who guarantee a minimum liquidity supply for a lump sum annual fee. In an event study based on 74 DMM stocks, we find that the contract improves liquidity level, reduces liquidity risk, and generates an average abnormal return of 3.5%. DMMs participate in more trades and incur a trading loss on high quoted-spread days (days when their constraint is likely to bind). Finally, DMMs reduce the size of pricing errors.     

Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area

This paper investigates the impact of ample liquidity provision by the European Central Bank on the functioning of the overnight unsecured interbank market from 2008 to 2014. We use novel data on interbank transactions derived from TARGET2, the main euro area payment system. To identify exogenous shocks to central bank liquidity, we exploit the timing of ECB liquidity operations and use a simple structural vector auto-regression framework. We argue that the ECB acted as a de facto lender-of-last-resort to the euro area banking system and identify two main effects of central bank liquidity provision on interbank markets. First, central bank liquidity replaces the demand for liquidity in the interbank market, especially during the financial crisis (2008–2010). Second, it increases the supply of liquidity in the interbank market in stressed countries (Greece, Italy and Spain) during the sovereign debt crisis (2011–2013).