Macroeconomic dynamics in a model of goods,labor, and credit market frictions

Goods market frictions drastically change the dynamics of the labor market, both in terms of persistence and volatility. In a model with three imperfect markets – goods, labor, and credit – we find that credit and goods market imperfections are substitutable in raising volatility. Goods market frictions are unique in generating persistence. Two key mechanisms in the goods market generate large hump-shaped responses to productivity shocks: countercyclical goods market tightness and prices alter future profit flows and raise persistence; procyclical search effort of consumers and firms raises amplification. Goods market frictions are thus key in understanding labor market dynamics.     

Accounting: a source of market imperfection

Evidence is presented to show that accounting reports do not necessarily represent the position and performince of firms, and that audit reports are ambiguous indicators of the quality of accounting information. As such, contemporary accounting practices contribute to 'imperfection' in the securities market, and hence are likely to lower the efficiency of the securities market in allocating resources to productive uses.     

Fiscal shocks and spillovers in a dynamic two-country model

International Tax and Public Finance - This paper examines the cross-border effects of domestic fiscal shocks on foreign economic activities by constructing a two-country general equilibrium model....     

Comparative statics of a two-country capital/money model

This paper presents a two country version of James Tobin's capital/money model, with international trade and capital transactions. The model is used to derive comparative static properties of financial market equilibrium under four alternative regimes: fixed or flexible exchange rates combined with a pegged foreign government interest rate or a fixed supply of foreign government debt. The comparative static results derived by Tobin for a closed economy, and by William Branson for a small country with an open economy, are preserved in the model developed here only in the case where both the exchange rate and the foreign interest rate are pegged. The reasons for this are explored.     

Financial liberalization,market structure and credit penetration

This paper shows that the effects of financial liberalization on the credit market of a small and capital constrained economy depend on the market structure of domestic banks prior to liberalization. Specifically, under perfect competition in the domestic credit market prior to liberalization, liberalization leads to lower domestic interest rates, in turn leading to increased credit penetration. However, when the initial market structure is one of imperfect competition, liberalization can lead to the exclusion of less wealthy entrepreneurs from the credit market. This provides a rationale for the mixed empirical evidence concerning the effects of liberalization on access to credit in developing markets. Moreover, the analysis provides new insights into the consequences of foreign lenders’ entry into developing economies.     

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.     

信用对金融市场的价值--专访美国康乃尔大学金融学教授黄明

信用对于金融市场意味着什么?中国优秀的信用评级机构怎样产生?针对信用建设和金融市场发展等的诸多问题,本刊记者采访了美国康乃尔大学金融学教授黄明,相信黄教授的理念会带给我们新的思考,会让我们体味久违的诚信价值.     

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.     

Public inputs and the credit market

This paper studies the impact of public goods provision in an adverse selection environment. Public inputs used collectively by firms have indirect spillovers in imperfect credit markets by affecting the random returns of borrowers in this market. Public inputs change the nature of the binding incentive constraint and mitigate distortions in the credit market. The magnitude of such indirect benefits depends upon the ‘type’ of the public input being considered. Public inputs targeted to benefit the less-efficient borrowers in the economy have greater indirect benefits as compared to pure public inputs that benefit all. These additional efficiency gains, emerging out of information-asymmetries in the credit market, should be considered in the cost-benefit analysis of such public inputs. JEL Classification: H4 · D8 · O16     

论我国信贷市场需求特征与农业银行信贷营销策略

本文分析了当前信贷市场的需求特征及农行信贷营销中存在的问题 ,对如何加强现阶段信贷资产营销进行了探讨。     

Competition among regulators and credit market integration

We analyze the incentives for independent bank regulators with financially integrated jurisdictions to form a regulatory union. Externalities lead competing regulators to choose suboptimally low standards. Centralized regulation, however, entails a loss of flexibility if equal standards must be applied across jurisdictions. We find that, first, centralized regulation will more likely emerge among relatively homogeneous jurisdictions/countries. Second, centralized regulation will be unanimously preferred to independence only if it entails standards higher than those of the country with the highest individual standards. Third, financial integration among more than two jurisdictions may prevent partial unions, which, in turn, may prevent more comprehensive agreements.     

Interest rates and currency prices in a two-country world

This paper is a theoretical study of the determination of prices, interest rates and currency exchange rates, set in an infinitely-lived two-country world which is subject both to stochastic endowment shocks and to monetary instability. Formulas are obtained for pricing all equity claims, nominally-denominated bonds, and currencies, and these formulas are related to earlier, closely related results in the theories of money, finance international trade.     

Monetary and commercial policy in a two-country flexible exchange rate model with perfect capital mobility

A two-country portfolio-balance model is developed in this paper in order to analyse the international transmission of monetary and commercial policy disturbances under a flexible exchange rate regime. Particular emphasis is placed on the role of capital mobility, differences in the asset demand functions across countries, and national net-asset positions in determining the effects of these policies on the macroeconomic variables of the two countries. Both the short and the long-run effects are considered with expectations assumed to be formed rationally.     

Cyclical fiscal policy,credit constraints,and industry growth

What are the effects of cyclical fiscal policy on industry growth? We show that industries with a relatively heavier reliance on external finance or lower asset tangibility tend to grow faster (in terms of both value added and of labor productivity growth) in countries that implement fiscal policies that are more countercyclical. We reach this conclusion using Rajan and Zingales׳s (1998) difference-in-difference methodology on a panel data sample of manufacturing industries across 15 OECD countries over the period 1980–2005.     

中国农村信贷市场深化

对借款人来说更重要的是贷款的可获得性,而不是贷款的价格。在农村金融市场,彻底推行利率市场化,不仅会改变非正规金融的抑制状况,也将对正规金融形成激励,大大改善农村地区金融资源的供给状况。     

The US financial crisis,market volatility,credit risk and stock returns in the Americas

We employ the multivariate DCC-GARCH model to identify contagion from the USA to the largest developed and emerging markets in the Americas during the US financial crisis. We analyze the dynamic conditional correlations between stock market returns, changes in the general economy’s credit risk represented by the TED spread, and changes in the US market volatility represented by the CBOE Volatility Index^® (VIX). Our sample includes daily closing prices from January 1, 2002 to December 31, 2015, for the USA and stock markets in Argentina, Brazil, Canada, Chile, Colombia, Mexico, and Peru. We first identify that increases in VIX have a negative intertemporal and contemporaneous relationship with most of the stock returns, and these relationships increase significantly during the US financial crisis. We then find evidence of significant increases in contemporaneous conditional correlations between changes in the TED spread and stock returns. Increases in conditional correlations during the financial crisis are associated with financial contagion from the USA to the Americas. Our findings have policy implications and are of interest to practitioners since they illustrate that during periods of financial distress, US stock volatility and weakening credit market conditions could promote financial contagion to the Americas.

     

招商银行全面布局高端市场

2008年4月,招商银行在北京黄浦会私人会所发布了其面向顶级精英人士的信用卡产品--无限卡.这款高透支额度的信用卡不仅让其持有者可以根据需要自由享受信用额度,更蕴含了旅程无限、关爱无限、品味无限、专业无限、红火无限和服务无限等招商银行对其顶级客户的服务承诺.     

Sovereign asset values and implications for the credit market

Using the contingent claim approach and market data on sovereign credit default swaps we assess the drivers of a country's risk perception. Deriving market-based asset values for a set of advanced economies we gain insights into the capital markets' perspectives on sovereign creditworthiness. We find the market-based asset values to be positively influenced by debt and to be an early risk indicator for economic developments. In a cross-section analysis we identify drivers of the economic risk of countries. Clustering the countries according to their debt to asset value ratios provides further insights into the market perceptions of sovereign credit risk. For example we find that the asset values of countries with higher ratios react to changes in the global equity market. Countries with a lower ratio react more to the political stability within the country.     

Tempered stable structural model in pricing credit spread and credit default swap

In this paper, we explore the features of a structural credit risk model wherein the firm value is driven by normal tempered stable (NTS) process belonging to the larger class of Lévy processes. For the purpose of comparability, the calibration to the term structure of a corporate bond credit spread is conducted under both NTS structural model and Merton structural model. We find that NTS structural model provides better fit for all credit ratings than Merton structural model. However, it is noticed that probabilities of default derived from the calibration of the term structure of a bond credit spread might be overestimated since the bond credit spread could contain non-default components such as illiquidity risk or asymmetric tax treatment. Hence, considering CDS spread as a reflection of the pure credit risk for the reference entity, we calibrate it in order to obtain more reasonable probability of default and obtain valid results in calibration of the market CDS spread with NTS structural model.