新兴市场国际资本流动的动因——基于亚洲和拉美新兴市场的研究

本文基于亚洲和拉美新兴市场13个样本国家1980~2013年的季度数据,运用静态和动态非均衡面板模型,对国际资本流动两种重要形式——直接投资和证券投资的动因进行区域比较研究。实证结果表明:本国和发达国家经济发展水平均对新兴市场的国际资本流动具有较为明显的拉动和推动作用;贸易开放度、利率水平、金融深化程度等表征一国投资环境的指标是国际资本流动的重要驱动因素;重大事件的发生、经济预期和汇市预期等预期因素的作用亦不可忽视;直接投资和证券投资的驱动因素存在显著的区域性差异。     

近期人民币汇率走势的多角度观察——专访摩根大通银行（中国）有限公司亚洲新兴市场中国区主管徐文波先生

2014年以来,国际汇市风云突变,美元指数在沉寂中迎来爆发,而人民币即期汇率在中间价波幅进一步放宽的基础上呈现明显的双向波动态势。如何理解各个货币涨跌背后的逻辑？展望4季度以及明年上半年,包括政策面、外汇市场业务、宏观经济走势等在内的多重因素会对人民币汇率走势产生怎样的影响？国际汇市格局将如何演变？针对这些问题,本刊从第10期开始将陆续刊发一组稿件,邀请市场知名机构的资深人士发表对于人民币汇率与国际汇市走势以及外汇市场业务相关问题的预测和看法,供读者参考。     

亚洲新兴市场银行业的崛起:现状、挑战与实现路径——兼评2007年全球1000家大银行排行榜

新世纪以来,亚洲新兴市场银行业发展迅猛,在2007年全球1000家大银行中,总资产、一级资本和税前利润规模全面超越日本银行业,与美国银行业差距逐步缩小,但当前仍然面临如何全面提高经营效率的种种挑战。以欧美经验为鉴,充分立足和挖掘本土市场、着眼经营战略转型、审慎掌握改革开放节奏、重视区域金融合作,应是亚洲新兴市场银行业走向崛起的重要路径选择。     

人民币离岸市场：风险可识规模可控政策可调——专访德意志银行大中华区首席经济学家马骏

2010年下半年以来,香港的离岸人民币市场高速成长,成为人民币国际化过程中最引人瞩目的亮点。但伴随着人民币离岸市场的高速发展,关于人民币国际化和离岸市场发展风险的讨论也日渐升级。     

银行与股票市场越走越近

西方一位营销专家、曾经这样描述过五六十年代西方商业银行传统业务的繁荣景象：“主管信贷的银行高级职员，面色呆板地把客户安排在大写字台前比自己低得多的觉子上，居高临下，颐指气使。阳光透过窗子照在孤立无援的贷款者身上，他正在对银行的高级职员叙述着自己的贷款理由，而冰；争的银行大楼则宛如希腊神殿．让人不寒而粟。”     

亚洲经济体和金融市场面临的挑战

金融危机后亚洲国家取得了很多成绩,但仍然面临金融全球化、人口结构的改变、分配不公和贫困问题带来的挑战,这些挑战当中也蕴涵着机遇。十年前,亚洲主要经济体经历了由资本短期内大规模外逃导致的货币危机,此次资本外逃的规模和速度是前所未有的。危机暴露了金融业和产业界隐藏的风险,并造成了严重破坏。但亚洲国家最终成功走出危机。当私人部门的资本撤离亚洲国家时,国际社会通过IMF与包括日本的亚     

Arbitrage risk and market efficiency

This article explores arbitràge risk and models a testable hypothesis for studies in the treasury bill futures market efficiency. The modern mean-variance theory applied to a hedged arbitrage portfolio is used for the analysis. For a given expected arbitrage profit, we derive minimum variance arbitrage (MVA) conditions. A minimum variance arbitrage line (MVAL) is then derived to show the risk-return tradeoff for arbitrage. Market efficiency conditions are discussed by taking into account arbitrage risk along with bid-ask spreads. The analysis in this study helps explain the puzzle of inefficiencies in the T-bill futures market. Because refinancing and variation margin (due to marking-to-market) are required for arbitrage using futures trading in general, our ex ante arbitrage model using the case of T-bill futures can be applied to other futures markets.     

Asian sovereign debt and country risk

This paper analyzes systematic risk of sovereign bonds in four East Asian countries: China, Malaysia, Philippines, and Thailand. A bivariate stochastic volatility model that allows for time-varying correlation is estimated with Markov Chain Monte Carlo simulation. The volatilities and correlation are then used to calculate the time-varying betas. The results show that country-specific systematic risk in Asian sovereign bonds varies over time. When adjusting for inherent exchange rate risk, the pattern of systematic risk is similar, even though the level is generally lower. The findings have important implications for international portfolio managers that invest in emerging sovereign bonds and those who need benchmark instruments to analyze risk in assets such as corporate bonds in the emerging Asian financial markets.     

Interaction of market and credit risk

Experience during the financial crisis illustrates that the integrated measurement and management of different forms of risk remains a challenge for industry practitioners, researchers and financial supervisors alike. In the context of related literature, this article summarizes new research on the interaction of market and credit risk and implications for risk management that is presented in this special issue. The research covered highlights in particular the errors that can occur in the aggregation of the two types of risk and the strong relationships between them that suggest caution in the use of pragmatic distinctions between them. The article also touches on some research-based lessons for supervisory policies and suggests some directions for future research.     

Uninsurable risk and financial market puzzles

We compare the empirical performances of three risk-sharing arrangements involving idiosyncratic skill shocks: (a) where individuals are unable to directly insure their consumption against individual-specific shocks, (b) where agents strike long-term insurance contract with financial intermediaries involving a truth revelation constraint as in Kocherlakota and Pistaferri (2009), (c) full risk sharing. Based on the widely accepted assumption of cross-sectional log-normality of individual consumption levels, we work out closed form expressions of the pricing kernels for (a) and (b). We put these three models to test four financial market anomalies, namely the equity premium, currency premium, risk-free rate, and consumption-real exchange rate puzzles simultaneously in an integrated framework. We find that the pricing kernel associated with (a) outperforms the other two models in terms of the produced estimates of the agent’s preference parameters and the model ability to predict the equity and currency premia, the risk-free rate, and the log growth in the exchange rate. However, the predictive ability is still far from satisfactory for all three models under scrutiny.     

Product market competition and credit risk

This study theoretically and empirically investigates effects of product market competition on credit risk. We first develop a real-options-based structural model in a homogeneous oligopoly and show that credit spreads are positively related to the number of firms in an industry. The disparity of firm size in an industry is relevant to both product market competition and credit risk, and we therefore extend the model to an asymmetric duopoly case. In particular, we demonstrate that credit spreads of relatively small (large) firms within an industry are positively (negatively) related to Herfindahl-Hirschman index, and the relative firm size in an industry is an important determinant of credit risk. The models’ implications are empirically scrutinized by a reduced-form hazard model and generally supported. By performing out-of-sample analyses, the results demonstrate that firm size together with the interaction terms between intra-industry firm size dummies and competition intensity can effectively predict default.     

Firm-specific risk and equity market development

We show that the increase in firm-specific risk in the US stock market is the result of new listings by riskier companies. In addition, our results explain why prior researchers have found that growth opportunities, profit margin, firm size, and industry composition (among other factors) are related to increases in firm-specific risk. The new listing effect is not driven by small companies becoming riskier but instead by a riskier sub-sample of the economy becoming publicly traded. These results are consistent with prior research that documents time trends in financial market development.     

Extreme downside risk and market turbulence

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali et al. [Is there an intertemporal relation between downside risk and expected returns? Journal of Financial and Quantitative Analysis, 2009, 44, 883–909] with a Markov switching mechanism. We show that the risk-return relationship identified by Bali et al. (2009) is highly significant in the low volatility state but disappears during periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We show that the absence of the risk-return relationship in the high volatility state is due to leverage and volatility feedback effects arising from increased persistence in volatility. To better filter out these effects, we propose a simple modification that yields a positive tail risk-return relationship in all states of market volatility.     

Effects of market returns and market volatility on investor risk tolerance

The 2008 credit market debacle and subsequent “Great Recession” accompanied by the stock market crash of 2008 has caused many investors and their advisors to reevaluate their risk tolerance and investment asset allocation choices. Additionally, marketers for many financial institutions and investment advisors are rethinking the strategies and tactics they use for both individual and corporate clients about the level of risk that is appropriate to meet their investment objectives. This research shows that an investor’s risk tolerance is not as stable as it has been portrayed previously in the literature and can be affected by both the direction of movement and the volatility in the market. In addition, this research provides some suggestions on how to frame investment decisions for individual investors to better assess their actual risk tolerance in the face of a volatile market.