The role of trade credit in the recent subprime financial crisis

This study tests firms’ financing behavior, especially the causal relation between trade credit and bank credit around the time of the recent subprime financial crises. I find bank credit and accounts payable/receivable are simultaneously determined and there is a substitute/complementary effect between bank credit and accounts payable/receivable. Moreover, I test a cross-sectional response to crisis and find that firms with a more vulnerable financial position (i.e., financially constrained firms) are more likely to be negatively affected by crisis and, in turn, are more likely to cut their supply of credit to customers and increase their use of credit from suppliers.     

Defaults in bank loans to SMEs during the financial crisis

We investigate the role of (business) collateral and (personal) guarantees alongside small and medium enterprise (SME), lending bank and loan characteristics, macroeconomic conditions, sectors, and geographic locations while controlling for unobserved time effects in predicting default at the peak of the financial crisis. First, we find a positive relation between collateral and default, and a negative relation between guarantees and default. Second, we find a negative relation between the joint influence of collateral and high credit score, and a positive relation between the joint influence of collateral and low credit score and default. We also find a negative relation between the joint influence of guarantees and high credit score. These findings are relevant for SME policies aimed at facilitating access to credit, reducing the cost of borrowing, and decreasing default; risk management of banks; and the application of theories of financial economics in the context of a financial crisis.     

CEO incentives and bank risk

We investigate the relationship between CEO compensation and bank default risk predictors to determine if short-term incentives can explain recent excesses in bank risk. We investigate early warning off-site surveillance parameters and expected default frequency (EDF) as well as crisis-related risky bank activities. We find only modest evidence that CEO compensation structures promote significant firm-specific heterogeneity in bank risk measures or risky activities. Compensation elements commonly thought to be the riskiest components, unvested options and bonuses, are either insignificant or negatively correlated with common risk variables, and only positively significant in predicting the level of trading assets and securitization income.     

It happened again: A Minskian analysis of the subprime loan crisis

The advanced countries are now going through the worst crisis since the Depression, but today's dominant current theories and econometric models proved unable to predict the crisis. The paper investigates whether the financial instability hypothesis of Hyman P. Minsky offers a better explanation. Minsky argued that in a period of economic growth and tranquility economic agents are more prone to take risk, and banks are more willing to finance borrowers. Meanwhile, in the course of the boom over-indebtedness and financial innovations make the financial system more fragile, and more exposed to adverse effects. We show that both these effects made themselves felt in the subprime loan crisis. Specifically, the main determinants of the crisis have been the increasing appetite for risk and financial innovations. So, we conclude that, although this crisis differs in some of its features from previous crashes and from Minsky's account, the mechanisms underscored by Minsky were and are nevertheless at work.     

International versus domestic auditing of bank solvency

This paper examines alternative ways to prevent losses from bank insolvencies. We develop a model that compares two alternative institutions for bank auditing. The first is a system of central bank auditing of national banks. The second is carried out by an international agency that collects and disseminates risk information on banks in all countries. The international auditor is shown to perform at least as well, and sometimes better than, auditing by either central banks or voluntary disclosure by the banks themselves in preventing losses. The international auditor's credibility comes from the fact that its incentives are not distorted by a sovereignty bias.     

Endogenous financial intermediation and real effects of capital account liberalization

We consider lending and investment under asymmetric information in a small, developing economy. We allow different forms of financial contracts to arise endogenously. Financial intermediaries mitigate a moral hazard problem in investment choice through costly monitoring. We then examine the impact of opening the capital account on both welfare and the structure of lending contracts. Liberalizing the capital account may improve or worsen the efficiency of financial intermediaries, leading to an improvement or worsening of the aggregate composition of investment projects. We show that efficient financial intermediaries in the closed economy are neither necessary nor sufficient for a capital account liberalization to improve welfare.     

The contagion effect of default risk insurer downgrades: The impact on insured municipal bonds

Municipal bonds are often insured by insurance companies that promise to pay investors in the event of default on the part of the issuer. However, just as the financial strength of the insurer can provide assurance to investors, questions about insurer stability may heighten investor concerns. This paper considers three major downgrades to large municipal bond insurers and the effects of each downgrade on a large sample of municipal bonds. Results reveal the effects to be widespread: not only are risk premiums on bonds insured by the downgraded insurer affected, but so are those on bonds insured by other insurance companies.     

Cross-border banking,credit access,and the financial crisis

We study the sensitivity of credit supply to bank financial conditions in 16 emerging European countries before and during the financial crisis. We use survey data on 10,701 applicant and non-applicant firms that enable us to disentangle effects driven by positive and negative shocks to the banking system from demand shocks that may vary across lenders. We find strong evidence that firms' access to credit was affected by changes in the financial conditions of their banks. During the crisis firms were more credit constrained if they were dealing with banks that experienced a decline in equity and Tier 1 capital, as well as losses on financial assets. We also find that access to credit reflects the balance sheet conditions of foreign parent banks. The effect of positive and negative shocks to a bank is greater for riskier firms and firms with fewer tangible assets.     

Managers, investors, and crises: mutual fund strategies in emerging markets

We examine the trading strategies of mutual funds in emerging markets. We develop a method for disentangling the behavior of fund managers from that of underlying investors. For both managers and investors, we strongly reject the null hypothesis of no momentum trading: mutual funds systematically sell losers and buy winners. Selling current losers and buying current winners is stronger during crises, and equally strong for managers and investors. Selling past losers and buying past winners is stronger for managers. Managers and investors also practice contagion trading—they sell (buy) assets from one country when asset prices fall (rise) in another.     

受金融危机影响船舶市场面临下跌的风险

2001年以来,我国船舶工业发展取得了举世瞩目的成就：造船产量翻了两番,占世界市场份额从6％提高到20％以上。近几年,我国船舶工业呈现出速度、质量和效益协调发展的良好态势。国际市场的占有率逐年提高。     

金融危机下主权财富基金投资的风险控制与策略

占有总额约2万亿美元的资产,主权财富基金是近年来最受瞩目的国际投资者.此次美国次贷危机引起全球金融市场剧烈波动,且已由虚拟经济向实体经济蔓延,而以长期投资为主的主权财富基金被认为在一定程度上可对全球动荡的经济起到稳定器的作用,因此,对金融危机下主权财富基金的投资策略的研究具有重大的意义.     

An empirical examination of the informational content of credit ratings in China

We examine the certification effect of initial rating announcements and the signaling effect of rating downgrade announcements in China using a pooled time-series cross-sectional issuer rating data of 170 companies listed on the Shanghai and Shenzhen Stock Exchanges from 2002 to July 2006. The empirical evidence supports our hypothesis of an asymmetric certification effect. Consistent with the literature, we also find some negative signaling effects in our rating downgrade sub-sample. Overall, although there are some qualitative arguments that credit ratings in China do not have information content, our empirical findings suggest otherwise. When a normally positively biased rating agency gives a low rating, it is valuable news to market participants.     

International portfolios, capital accumulation and foreign assets dynamics

Despite the liberalization of capital flows among OECD countries, equity home bias remains sizable. We depart from the two familiar explanations of equity home bias: transaction costs that impede international diversification, and terms of trade responses to supply shocks that provide risk sharing, so that there is little incentive to hold diversified portfolios. We show that the interaction of the following ingredients generates a realistic equity home bias: capital accumulation and international trade in stocks and bonds. In our model, domestic stocks are used to hedge fluctuations in local wage income. Terms of trade risk is hedged using bonds denominated in local goods and in foreign goods. In contrast to related models, the low level of international diversification does not depend on strongly countercyclical terms of trade. The model also reproduces the cyclical dynamics of foreign asset positions and of international capital flows.     

Global financial conditions,country spreads and macroeconomic fluctuations in emerging countries

This paper uses a panel structural vector autoregressive (VAR) model to investigate the extent to which global financial conditions, i.e., a global risk-free interest rate and global financial risk, and country spreads contribute to macroeconomic fluctuations in emerging countries. The main findings are: (1) global financial risk shocks explain about 20% of movements both in the country spread and in the aggregate activity in emerging economies. (2) The contribution of global risk-free interest rate shocks to macroeconomic fluctuations in emerging economies is negligible. Its role, which was emphasized in the literature, is taken up by global financial risk shocks. (3) Country spread shocks explain about 15 percent of the business cycles in emerging economies. (4) Interdependence between economic activity and the country spread is a key mechanism through which global financial shocks are transmitted to emerging economies.     

Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates

This study analyzes bank margins in the German secondary market for exchange‐traded structured financial products, with particular emphasis on the influence of banks' credit risk. A structural model allowing for the incorporation of correlation effects between market and credit risk is applied to compare quoted and fair theoretical prices. For discount certificates, as the most popular type of structured financial products in Germany, an empirical study is conducted. Compared to earlier studies, total margins are found to be rather low, whereas the portion that draws back to credit risk appears to be a material part of the total margin. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 376–397, 2008     

对金融危机的反思并浅析中国投资银行发展之路

反思此次金融危机,探讨当下一次国际金融预警机制失效时,怎样提高我国防范金融风险的能力;对比美国几大投资银行在此次危机之前的表现,分析我国投资银行的发展之路,提出不仅不能因扼废食,而且还要大力提倡金融领域的创新,继续做大做强我国投资银行业的观点;争取在国际贸易间尽快推进人民币结算业务,使人民币尽快融入国际货币体系,增大别国央行将人民币作为外汇储备的可行性.     

Pricing dynamics of index options and index futures in Hong Kong before and during the Asian financial crisis

This article studies the impact of the Asian financial crisis on index options and index futures markets in Hong Kong. We employed a time‐stamped transaction data set of the Hang Seng Index options and futures contracts that were traded on the Hong Kong Futures Exchange. The results show that during the crisis period, the arbitrage profits, and the standard deviations of these profits increased in both ex‐post and ex‐ante analyses. In a market turbulent time, market volatility brings a higher arbitrage profit level. However, despite the increased market volatility, the profitability of the arbitrage trades declined substantially with longer execution time lags in the ex‐ante analysis. This suggests that the HSI futures and options markets are mature and resilient. A multiple regression analysis on the ex‐post arbitrage profit also suggests that there were structural changes during the Asian financial crisis and the Hong Kong government intervention periods. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 145–166, 2000     

企业财务风险的表现形式及应对措施

风险管理是一门新兴的管理学科,只有将企业作为一个整体对财务风险进行度量、控制和处理,才能实现真正的企业财务风险管理所要达到的目的,这是值得深入研究的重要课题.