当前国际金融市场的问题和发展趋势

20世纪90年代以来,全球金融领域发生了许多基于金融技术的革命性变革所引起的深刻变化。这种金融技术的革命性变革是知识经济迅猛发展的结果,也是知识经济最激动人心的部分。相应地,世界金融进入了新金融时代,这主要表现在以下五个方面。     

Debt, interest rates, and integration of financial markets

It is commonly believed that higher budget deficits raise interest rates. However, these crowding out effects of increasing public debt have usually been found to be small or non-existent. One explanation is that on globalised bond markets interest rate differentials are offset due to financial integration. This paper tests crowding out, and measures the degree of integration of government bond markets, using spatial modelling techniques. Our main finding is that the crowding out effect of public debt on domestic long term interest rates is small: a 1% increase in the debt ratio pushes up domestic rates by 2 pp at most. Financial integration implies an important spillover effect via international bond markets, but only between OECD, and in particular EU, countries. The feedback effect from these markets on long term interest rates is as important as the domestic crowding out effect of higher public debt. Emerging markets are not as well integrated into international capital markets, causing a stronger crowding out effect.     

Policy uncertainty and international financial markets: the case of Brexit

ABSTRACT

This study assesses the impact of the Brexit probability on both the UK and on international financial markets, for the first and the second statistical moments. As financial markets are by nature highly interlinked, one might expect that the uncertainty engendered by Brexit also has an impact on financial markets in several other countries. We first estimate the time-varying interactions between UK policy uncertainty, which to a large extent is attributed to uncertainty about Brexit and UK financial market volatilities. Second, we use two other measures of the perceived probability of Brexit before the referendum, namely daily data released by Betfair and results of polls published by Bloomberg. Based on these data sets, and using both panel and single-country SUR estimation methods, we analyse the Brexit effect on levels of stock returns, sovereign CDS, 10-year interest rates in 19 predominantly European countries, and those of the British pound and the euro. We show that Brexit-induced policy uncertainty will continue to cause instability in key financial markets and has the potential to damage the real economy in both the UK and other European countries. The main losers outside the UK are the ‘GIIPS’ economies: Greece, Ireland, Italy, Portugal and Spain.     

Differences in growth with international capital markets and financial innovation

This paper presents a model in which technological progress affects the productivity of the financial sector. When technological progress moves quicky, the financial intermediation costs are low, which increases the incentives to invest in new technology. This feedback process involves two types of long-run equilibria: one with low financial intermediation costs and high growth, and the other with high financial intermediation costs and low growth. These divergences in growth rates among countries hold even in the presence of international capital markets with free capital mobility, a very unusual result in the endogenous growth literature.     

Corporate environmental disclosure, financial markets and the media: An international perspective

In this study, we analyze the information dynamics between corporate environmental disclosure, financial markets (as proxied by financial analysts' earnings forecasts) and public pressures (as proxied by a firm's media exposure). We adopt a comprehensive view of disclosure that encompasses environmental information that is both print-based as well as web-based. The sample comprises firms from both continental Europe (Belgium, France, Germany, and Netherlands) as well as North America (Canada and the United States). Relying on a system of equations that controls for endogeneity between environmental disclosure determination and financial analysts' work, we show that enhanced environmental disclosure translates into more precise earnings forecasts by analysts. Such effect is reduced for firms with extensive analyst following and in environmentally sensitive industries. However, these relationships are shown to be starker in Europe than in North America, i.e., environmental disclosure has a greater impact on analysts' forecasts but is also more greatly attenuated by analyst following and membership in an environmentally sensitive industry. Most observed relationships hold for either print- or web-based disclosure, except for North America in which web-based disclosure seems to have no impact on analysts' forecasting work.     

The future of financial markets: financial crisis avoidance

This article considers the lessons from the global financial crisis for redesigning the financial system and its regulation to make the chance of future such crises lower. It focuses on three areas: improvements to the regulation of individual financial firms; macroprudential analysis and improving the structure of crisis resolution and management. It argues that if the authorities implement a credible crisis management regime where no firm is too big to be resolved, a smarter and more incentive based approach to the regulation of individual financial firms and extensive macroprudential analysis that both makes the structure of financial markets less risky and identifies risks, the risk of future crises will be reduced. But no framework can eliminate the risk altogether.     

Incomplete markets: transverse financial structures

Summary. In a multiperiod economy with incomplete markets and assets with payoff depending on the price history (e.g., asset and derivatives), we show that in order to get endowment generic existence of an equilibrium it is not needed to alter settlement features such as when payments are made and when the asset is traded. This is non-trivial as each such characteristic introduces a non-generic subclass of financial instruments. We show essentially that expiry date payments are the only payments that one needs perturbing (if at all). For previous periods - the P&L discovery map - is the one relevant for wealth transfers. This map transfers wealth between one period and the next by associating to each portfolio next period potential profit and losses as a function of the revealed information at the node. All present values involved can in general - because of backward induction pricing structure - be appropriately controlled via expiry payoffs only. This enables us to extend two-period work and introduce Transverse Financial Structures for multiperiod economies, where one cannot identify the payoffs of financial instruments to the P&L discovery map (in other words we introduce some financial ingeneering for Transverse Financial Structures). We capitalize on that difference using unexploited “maturity payout degrees of freedom” and rolling back the uncertainty tree. As an application of this approach we prove a conjecture by Magill and Quinzii that commodity forward contracts lead to endowment generic existence of an equilibrium in a multiperiod set-up. Received: June 25, 1999; revised version: April 4, 2001     

Asymmetric information and survival in financial markets

Summary. In the evolutionary setting for a financial market developed by Blume and Easley (1992), we consider an infinitely repeated version of a model á la Grossman and Stiglitz (1980) with asymmetrically informed traders. Informed traders observe the realisation of a payoff relevant signal before making their portfolio decisions. Uninformed traders do not have direct access to this kind of information, but can partially infer it from market prices. As a counterpart for their privileged information, informed traders pay a per period cost. As a result, information acquisition triggers a trade-off in our setting. We prove that, so long as information is costly, uninformed traders survive.JEL Classification Numbers: D50, D82, G14.I am deeply indebted to Luca Anderlini for his helpful guidance. I also benefited from discussion with Larry Blume, David Easley, Jayasri Dutta, Thorsten Hens, Hamid Sabourian, Klaus Reiner Schenk-Hoppé and Hyun Song Shin. Useful comments came from an anonymous referee and participants to seminars in Barcelona, Bielefeld, Cambridge, Manchester, Oxford, Rotterdam, Venice, Zurich, to the PhD Awards Italian tour in Rome, Naples, Padova and Milan, and to ESEM99 and EEA99 in Santiago de Compostela.     

Rural development and financial markets in Romania

In the transition from a centrally planned to a market-oriented economy, such as in Romania, the domestic financial market plays two important roles. First, the financial market itself must be fundamentally restructured. Second, its efficient functioning is a crucial precondition for economic transformation. In transition economies, however, financial market institutions tend to concentrate their services on urban or larger rural enterprises. So far, small rural enterprises, even those with profitable investment plans, often do not have access to the financial market. This paper briefly characterizes the key issues of agricultural production units and their institutional environment and analyzes the depth and the efficiency of rural finance and its effect on Romania's rural economic transformation. It concludes with policy and institutional recommendations to strengthen rural finance.     

Demand for international reserves: a review article

This paper examines the twofold role of the labour market in household economic risk management: as a source of household consumption risk, and as an instrument for insuring consumption against contingencies. It outlines a framework for analysing this twofold role of the labour market, and uses data from the British Household Panel Survey 1991–1996 to explore this empirically. It identifies the relative importance of the labour market, and other factors, in producing changes in the financial situation of individuals. It also implements ‘full insurance’ tests of whether unemployment and other external shocks to the household are correlated with consumption growth. It concludes that labour market factors are a dominant source of change in individuals financial situation, with a predominantly positive effect on the financial situation of the better off, and a predominantly negative impact on the financial situation of the less well off. It also finds that households are unable to fully insure their consumption against unemployment, and that as a result labour market factors pose a significant economic risk.     

Hoarding for stormy days—Test of international reserves adjustment providing financial buffer stock services

This paper outlines a tractable cost‐benefit analysis of the buffer stock financial services provided by international reserves (IR) and applies it to eight of the largest Emerging Markets (BRICS, Indonesia, Mexico, Turkey) during 2000–2019. The efficient management of IR generates sizable benefits for countries characterized by hard‐currency external debt. These benefits increase with the volatility of the real exchange rates and sovereign spreads. While the first‐best policy calls for prudential regulations, counter‐cyclical management of hoarding reserves in good times and selling them in bad times provides buffers stock financial services adding up to about 3% of the gross domestic product during our sample period.     

Credit layering in informal financial markets

Informal lenders with access to markets or capital often find it attractive to delegate loan provision to downstream lenders who have an information or enforcement advantage in dealing with particular borrowers. In this paper we examine the conditions under which such an arrangement is preferred by two informal lenders, a landlord and a merchant, who compete in loan provision to tenant farmers differentiated by wealth. We show that credit layering is preferred only when tenants are sufficiently poor. In this case, the trader lends to tenant farmers via a contract with their landlord. Otherwise, only the trader lends. As a consequence, a pattern of borrowing emerges in which relatively wealthy tenants borrow from merchants while poor tenants borrow mainly from their landlords. Interlinkage between land and credit thus arises only for a subset of tenants and purely as a consequence of credit layering. This pattern is shown to be supported empirically.     

Modelling price pressure in financial markets

We present experimental evidence that, unlike traditional assumptions in economic theory, security prices do not respond to pressure from their own excess demand. Instead, prices respond to excess demand of all securities, despite the absence of a direct link between markets. We propose a model of price pressure that explains these findings. In our model, agents set order prices that reflect the marginal valuation of desired future holdings, called “aspiration levels.”In the short run, as agents encounter difficulties executing their orders, they scale back their aspiration levels. Marginal valuations, order prices, and hence, transaction prices change correspondingly. The resulting price adjustment process coincides with the Global Newton Method. The assumptions of the model as well as its empirical implications are fully borne out by the data. Our model thus provides an economic foundation for why markets appear to search for equilibrium according to Newton’s procedure.     

Innovation,growth and financial markets

We review some of the literature at the intersection of innovation, financial markets, and economic growth. We explore two key questions: (i) How financial markets interact with innovation; (ii) what type of quality transformations are brought about by innovation. A special emphasis is given to questions that stem from the 2008 economic and financial crisis, and to subjects further developed in the articles collected in this issue.     

Incomplete financial markets and differential information

We provide a model of an incomplete markets economy where private restrictions on consumption are interpreted as lack of information. We prove existence of an equilibrium where agents are unable to infer any additional information from prices. When assets are nominal, these non-enlightening equilibrium prices result in a reduction of the degree of real indeterminacy.     

Sunspots and incomplete financial markets: The general case

Summary This paper examines the effects of extrinsic uncertainty or sunspots on competitive equilibrium when financial markets are incomplete. For the canonical two-period, pure-exchange model with bonds (or so-called nominal assets, yielding fixed overall returns specified in units of account, and including pure inside money), the following result is established: Generically in endowments, if there areS sunspot states in the second period, but only 0<I<S distinct types of bonds, then — corresponding to the inherent deficiency in the financial markets — sunspots will generateD=S–I dimensions of consumption allocation or real (as well as spot price or nominal) indeterminacy.