金融危机启示:金融一体化监管趋势下的保险监管

任何一次危机的爆发都是风险释放的过程,研究危机更重要的是关注风险的积累过程。因此,分析危机前的风险积累过程,查找危机产生的原因,对防范和化解危机具有现实意义。本文通过对新近发生的美国次贷危机进而延伸到对10年前亚洲金融危机分析,以及全球金融一体化监管最新演进趋势的借鉴,论述我国保险监管组织架构的未来展望。     

The dispositif of risk management: Reconstructing risk management after the financial crisis

Despite its dubious role during the global financial crisis of 2008, risk management has continued its expansion. This paper addresses the question why risk management, in the face of its evident failure to manage risks during the crisis, has retained its importance even today. We build on the existing critical literature on risk management (Power, 2007) and advance it by introducing a more rigorous consideration of power. We refer to the notion of the “permanent state of exception” as conceptualized by the Italian social theorist Giorgio Agamben, 1998, Agamben, 2005 in order to argue that risk is a powerful social category as it reflects a potential exception, challenging norms as well as normalizing forms of control. We conclude that a dispositif of risk management, an assemblage of institutions, regulations and models, lies at the heart of risk management. This dispositif provides elites engaged in risk management with an argument that allows them – in exceptional situations – to take extraordinary measures which cannot be rescinded after the initial state of exception has ended. The logic of the state of exception can be used as a discursive resource and adds to, but also gradually replaces, other forms of management control. Our study contributes to management control theory by focusing on post-disciplinary forms of control and provides a novel focus on how elites use management control systems for their own interests.     

Linkages between Indian and US financial markets: impact of global financial crisis and Eurozone debt crisis

This paper examines inter-linkages between Indian and US equity, foreign exchange and money markets using the vector autoregressive-multivariate GARCH-BEKK framework. We investigate the impact of global financial crisis (GFC) and Eurozone debt crisis (EZDC) on the conditional volatility and conditional correlation estimates derived from the multivariate GARCH model for Indian and US financial markets. Our results indicate that there is significant bidirectional causality-in-mean between the Indian stock market returns and the Rs./USD market returns, and significant unidirectional causality-in-mean from the US stock market returns to the Indian stock market returns. As regards volatility spillovers, we find that volatility in the Indian stock market rises in response to domestic as well as US financial market shocks but Indian financial market shocks do not impact the US markets. Further, impact of the recent crisis episodes on the covariance matrix is found to be significant. We find that volatility in the Indian and US financial markets significantly amplified during GFC. The conditional correlations across asset markets were significantly accentuated in the wake of the two crisis episodes. The impact of GFC on cross-market conditional correlations is higher for majority of the asset market pairs in comparison to the EZDC.     

An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis

This article employs the asymmetric dynamic conditional correlation (DCC) model to assess impacts of the recent sovereign debt crisis on the time-varying correlations of five European financial institutions holding large amounts of Greek sovereign bonds (National Bank of Greece, BNP Paribas, Dexia, Generali, and Commerzbank). Contrary to the results of preceding studies, we find significant increases in the correlations between several combinations of the financial institutions’ stock returns after the inception of the sovereign debt crisis, indicating contagion effects. Moreover, our findings show that the parameter of the standardized negative residuals is statistically significant in the case of DCC estimates between two specific institutions. This suggests that the conditional correlation of stock returns between the two institutions is more significantly influenced by negative shocks than by positive innovations to return.     

从货币地位角度看美国次贷危机与亚洲金融危机的差异

相比亚洲金融危机等历次金融危机,美国次贷危机有着类似的宏观经济和制度背景,但次贷危机在形式、影响和危机国应对政策方面均体现出与传统金融危机不同的特征。该文比较了美国次贷危机与亚洲金融危机的差异,认为危机发源国货币地位的不同是这些差异产生的重要因素。     

金融危机前后国际信用衍生产品市场的发展及启示

信用衍生产品自问世以来在分散金融机构信用风险、完善信用风险定价机制、提高债券市场流动性等方面发挥了积极的作用。该文介绍了信用衍生产品的主要功能及其在本次金融危机前、中、后三个时期的发展特点,肯定了基础信用衍生产品对金融市场的重要作用,指出中国应推动金融创新,建立有中国特色的信用衍生产品市场。     

金融监管体系演进与发展趋势问题研究——基于金融危机视角

从金融危机的视角看,金融监管体系演进与发展和金融危机密切相关。监管当局为了维护金融体系的安全与稳定,降低金融危机的影响与危害,避免金融危机的再次发生,总是不断寻找新的监管重点、变革监管范围和手段,来保持金融监管的有效性。本文从三代金融危机导致金融体系不稳定的因素存在差异出发,阐述金融监管体系变革的过程和发展趋势,并得出了几点启示。     

The real effects of financial constraints: Evidence from a financial crisis

We survey 1,050 Chief Financial Officers (CFOs) in the U.S., Europe, and Asia to directly assess whether their firms are credit constrained during the global financial crisis of 2008. We study whether corporate spending plans differ conditional on this survey-based measure of financial constraint. Our evidence indicates that constrained firms planned deeper cuts in tech spending, employment, and capital spending. Constrained firms also burned through more cash, drew more heavily on lines of credit for fear banks would restrict access in the future, and sold more assets to fund their operations. We also find that the inability to borrow externally caused many firms to bypass attractive investment opportunities, with 86% of constrained U.S. CFOs saying their investment in attractive projects was restricted during the credit crisis of 2008. More than half of the respondents said they canceled or postponed their planned investments. Our results also hold in Europe and Asia, and in many cases are stronger in those economies. Our analysis adds to the portfolio of approaches and knowledge about the impact of credit constraints on real firm behavior.     

The performance of banks in the MENA region during the global financial crisis

This paper examines the impact of the global financial crisis on the banking sector in the Middle East and North Africa (MENA) region, as well as the main determinants of the profitability of both domestic and foreign banks. The empirical findings suggest that during the crisis the former outperformed the latter in that region. As for the determinants of profitability, size does not appear to play a role, whilst the liquidity ratio and net interest revenues seem to have a negative and positive effect respectively; GDP has a positive effect in the case of domestic banks.     

Self-fulfilling dynamics: The interactions of sovereign spreads,sovereign ratings and bank ratings during the euro financial crisis

During the euro-area financial crisis, interactions among sovereign spreads, sovereign credit ratings, and bank credit ratings appeared to have been characterized by self-generating feedback loops. To investigate the existence of feedback loops, we consider a panel of five euro-area stressed countries within a three-equation simultaneous system in which sovereign spreads, sovereign ratings and bank ratings are endogenous. We estimate the system using two approaches. First we apply GMM estimation, which allows us to calculate persistence and multiplier effects. Second, we apply a new, system time-varying-parameter technique that provides bias-free estimates. Our results show that sovereign ratings, sovereign spreads, and bank ratings strongly interacted with each other during the euro crisis, confirming strong doom-loop effects.     

The global financial crisis and the evolution of markets, institutions and regulation

This paper analyses the recent global financial crisis in the context of the dual processes of market development and regulation. It discusses how, in the absence of a globally integrated financial framework, past and present regulations and interventions in reaction to national and global financial crises did not resolve the cross border regulatory arbitrage. The paper discusses how crises often lead to the emergence of new national and international institutions. It also analyses the proposed “new global framework” that needs to be in place if the policy recommendations contained in the G20 communiqué are going to be effectively implemented. The paper argues that unless international agreements are ratified by all nations and become part of national rules and laws, the presence of regulatory arbitrage and the lack of adequate cross border information and data may prevent the global economy from addressing the underlying causes of the recent global financial crisis. The paper also discusses the evolution of central banks and their new role in contributing to global financial stability. The paper argues that the recent global financial crisis has provided a unique opportunity to go beyond economic data and attempt to capture cross border financial data and other information that could assist international and national institutions to measure and manage financial risk more effectively. Finally, the paper discusses “too big to fail” and argues that only an internationally integrated financial system will make large banks global, both when operational and in the event of insolvency.     

国际金融危机与美元国际储备货币地位的变化

文章认为,国际金融危机使美元面临重大挑战。文章分析了危机中美元仍维持主要储备货币地位的原因,主要包括大量黄金储备的支撑作用、美国金融市场对全球资金的吸引、主要竞争对手未成熟完善、回复（改良的）金本位并不可行等。最后,文章展望了美国货币政策走向和美元汇率行情,以及相关货币与美元的关系。     

Fiscal policy in Korea: Before and after the financial crisis

This paper examines the role of fiscal policy in the Korean financial crisis and the subsequent recovery from it. We specifically address three questions: Was Korea’s fiscal policy prior to the crisis conservative, or were there large hidden contingent liabilities not captured in the official budget balance? What were the main characteristics of fiscal policy in stimulating and restructuring the economy under the IMF stabilization program in Korea? How effective were the financial guarantee and public investment programs as part of the counter-cyclical fiscal policy in the recovery process from the crisis? To address these questions, we re-estimate the consolidated budget deficits in Korea by incorporating the quasi-fiscal activities of public funds and public enterprises using their micro balance-sheet data from 1972 to 2003.     

Economists in the 2008 financial crisis: Slow to see,fast to act

We study the economics- and finance-scholars’ reaction to the 2008 financial crisis using machine learning language analyses methods of Latent Dirichlet Allocation and dynamic topic modelling algorithms, to analyze the texts of 14,270 NBER working papers covering the 1999–2016 period. We find that academic scholars as a group were insufficiently engaged in crises’ studies before 2008. As the crisis unraveled, however, they switched their focus to studying the crisis, its causes, and consequences. Thus, the scholars were “slow-to-see,” but they were “fast-to-act.” Their initial response to the ongoing Covid-19 crisis is consistent with these conclusions.     

International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis

This study considers the linkage of the Russian equity market to the world market, examining the international transmission of the Russia's 1998 financial crisis utilizing the GARCH–BEKK model proposed by Engle and Kroner [Engle, R.F., Kroner, K.F., 1995. Multivariate simultaneous generalized ARCH. Economet. Theor. 11, 122–150]. We find evidence of direct linkage between the Russian equity market with regards to returns and volatility, while the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market. At the time of the crisis, evidence of contagion is clear.     

Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London

This paper investigates how international money markets reflected credit and liquidity risk during the global financial crisis. After matching the currency denomination, we examine how the Tokyo Interbank Offered Rate (TIBOR) was synchronized with the London Interbank Offered Rate (LIBOR). We find remarkably asymmetric responses in market-specific and currency-specific risk during the crisis. The regression results suggest that market-specific credit risk increased the difference across markets, whereas liquidity risk caused the difference across currency denominations. They also support the view that liquidity shortage of the US dollar occurred in international money markets during the crisis. Coordinated central bank liquidity provisions were useful in reducing the liquidity shortage of the US dollar, but their effectiveness was asymmetric across markets.     

Impact of the global financial crisis on Islamic and conventional stocks and bonds

This study explores the impact of the global financial crisis (GFC) on Islamic and conventional stock and bond indices in 11 Islamic and eight non‐Islamic countries. We find that there are benefits of Islamic stocks during the GFC, particularly during the early stage of the crisis because Islamic institutions are prohibited from holding sub‐prime mortgage securities and derivatives. The strongest benefits of Islamic stocks are in the UK and USA. We conclude that there are benefits of risk reduction and stability for Islamic stocks during a financial crisis, although not necessarily during a global recession.     

Market power in CEE banking sectors and the impact of the global financial crisis

The aim of this study is to undertake an up-to-date assessment of market power in Central and Eastern European banking markets and explore how the global financial crisis has affected market power and what has been the impact of foreign ownership. Three main results emerge. First, while there is some convergence in country-level market power during the pre-crisis period, the onset of the global crisis has put an end to this process. Second, bank-level market power appears to vary significantly with respect to ownership characteristics. Third, asset quality and capitalization affect differently the margins in the pre-crisis and the crisis periods. While in the pre-crisis period the impacts are similar for all banks regardless of ownership status, in the crisis period non-performing loans have a negative effect and capitalization a positive effect only for domestically-owned banks.     

Lean and mean in the civil service: the case of processing in HMRC

The public sector has been importing private sector methods and practices aimed at generating efficiencies and cost savings. However, the consequences of these changes on the working lives of civil servants are under-researched. This article uses detailed fieldwork to investigate the impact of Lean on labour processes in HM Revenue and Customs (HMRC). We argue that Lean has a detrimental effect on employees, their working lives, and the service that is provided to the public. The consequences of Lean on public sector work are highly problematic, which is of serious concern given its progressive impact on other civil service departments in the UK.     

Financial distress,outside directors and corporate tax aggressiveness spanning the global financial crisis: An empirical analysis

We examine financial distress and tax aggressiveness spanning the global financial crisis (GFC) of 2008 and the impact of the interaction between board independence and firm-specific financial distress on tax aggressiveness. Our regression results show that both financial distress and the GFC are positively associated with tax aggressiveness. More importantly, we find that the positive association between financial distress and tax aggressiveness is magnified by the GFC. We also observe that the interaction between board independence and financial distress is positively associated with tax aggressiveness. Our results are robust to multiple measures of financial distress and tax aggressiveness.