系统性金融风险的历史考察与防范对策

深入学习习近平在中国共产党第十九次全国代表大会上的报告,在考察20世纪以来的12次金融危机的基础上,对系统性金融风险发生的根源进行了研究,并结合我国当前系统性金融风险面临的形势,提出了防范系统性金融风险的对策建议。研究表明,将过去100多年引发金融危机的系统性金融风险的根源与我国当前的金融形势进行比较分析,可以发现我国面临的系统性金融风险形势十分严峻,必须在党的领导下,采取打击金融腐败、适当收紧货币政策、完善金融监管体系、维护币值稳定、加强金融科技监管等相关政策来防止系统金融风险的发生。     

Modern pandemic crises and default risk: Worldwide evidence

This article examines the relationship between modern health pandemic crises and financial stability. Specifically, it collects data on 250,223 firms in 43 countries (or regions) during five modern pandemic crises, SARS (2003), H1N1 (2009), MERS (2012), Ebola (2014), and Zika (2016), and finds that pandemic crises significantly increase the default risk of enterprises. Further analysis shows that formal and informal institutions acted as a “cushion” against the pandemic crisis. The earlier a country adopts IFRS, the more unimpeded access to information, and the more stable religious and ethnic relations within the country can reduce the negative impact of a pandemic on financial stability. This article addresses the hitherto inadequacy of COVID-related data. In addition, this article argues that governments should build sound state institutions to withstand macroeconomic shocks and highlights the heterogeneity of default risk for enterprises operating in countries with different institutions.     

A Primer on Financial Contagion

Abstract.  This paper presents a theoretical framework to highlight possible channels for the international transmission of financial shocks. We first review the different definitions and measures of contagion adopted by the literature. We then use a simple multi-country asset pricing model to classify the main elements of the current debate on contagion and provide a stylized account of how a crisis in one country can spread to the world economy. In particular, the model shows how crises can be transmitted across countries, without assuming ad hoc portfolio management rules or market imperfections. Finally, tracking our classification, we survey the results of the empirical literature on contagion.     

Forecasting financial crises for an enterprise by using the Grey Markov forecasting model

The business environment is rapidly changing and some enterprises have announced unexpected restructurings, leading to stagnating stock prices and declines in their business performance. To prepare for calamity, it is becoming increasingly important for enterprise managers to use current financial data for short-term financial forecasting. Managers and investors are increasingly concerned with immediately and accurately forecasting firm financial crises using a limited amount of financial data. This work employs Z-Score value, which can be used to measure multinomial financial crisis index for forecasting, and utilizes Grey Markov forecasting for valuation. Based on the research results, the accuracy of the Grey Markov forecasting model is as expected, with excellent Z-Score, and the model can rapidly forecast the likelihood of firm financial crises. The study results can provide a good reference for government and financial institutions in examining financial risk, and for investors in selecting investment targets.     

European Periphery Crises,International Financial Markets,and Democracy

This article analyzes the origin and causes of the recent economic and financial crises, mainly for the countries located in the periphery of the European Union (EU), as well as their evolution and transformation into social, political, and institutional crises. After explaining the differential impact of the crises on EU economies, we analyze how the economic policies developed thus far not only are unable to resolve the current crisis pattern but also actually entail a risk to the present democratic models by transferring the legitimate control over governments from citizens and democratic parliaments to unelected, nonrepresentative international financial markets.     

Quantity of finance and financial crisis: A non-monotonic investigation☆

Whether finance is beneficial to economic development remains ambiguous. There are studies arguing that finance can facilitate growth and increase stability. However, the recent global financial crisis has led some to argue that finance can decrease stability and lead to more crises. This paper constructs a non-monotonic framework of quantity of finance (measured by leverage) and financial crisis and decomposes leverage into fundamental and excess components. Using cross-country level data, the empirical results confirms that it is excess leverage, rather than fundamental leverage, that results in the increase of probability of financial crisis. Further empirical results show that excess leverage leads to a higher probability of currency crisis, asset price collapse, and banking crisis, while fundamental leverage helps alleviates the crises. This paper reconciles the two contrasting views of the relationship between finance and economic development and provides strong policy implication to pay special attention to the sudden increase of leverage, which is probably excessive, rather than fundamental leverage.     

Crises, portfolio flows, and foreign direct investment: An application to Turkey

We analyze how financial and economic crises affect the relation between the components of capital flows and their determinants in an emerging economy. Our results suggest that the composition of capital flows matters, crises can explain the volatility of portfolio flows and foreign direct investment, and modeling them as endogenous breakpoints improves the results considerably. By using data from the Turkish economy, we estimate these breakpoints together with the parameters of the model and find that they correspond to international and domestic crises that hit the country. Although both components are affected by similar crises, direct investment reacts strongly to the domestic crisis, while portfolios flows are more sensitive to global financial conditions. Breaks also have an effect on the significance and sign of determinants of each type of international investment. Evidence indicates changes in all coefficients in both investment types and suggests that analyses assuming parameter constancy lead to misleading results if they ignore the influence of endogenous breaks.     

Future of capitalism: Is it failing?

This special issue includes six papers on issues regarding the recent 2007–2009 global financial crisis. They discuss the underlying reasons for the crisis, offer reforms for preventing future crises, and provide some empirical estimates of the unit price of risk associated with the crisis. In addition, the experience of some individual countries and the European Union dealing with the crisis is explored. Regarding future prospects, the appetite of Chinese and Indian citizens for a capitalistic society is evaluated, and it is investigated whether capitalism is a necessary condition for political freedom.     

Upside/Downside spillovers between oil and Chinese stock sectors: From the global financial crisis to global pandemic

This paper examines the effects of the COVID-19 outbreak, recent oil price fall, and both global and European financial crises on dependence structure and asymmetric risk spillovers between crude oil and Chinese stock sectors. Using time-varying symmetric and asymmetric copula functions and the conditional Value at Risk measure, we provide evidence of positive tail dependence in most sectors using copula and conditional Value-at-Risk techniques. We can see the average dependence between oil and industries during the oil crisis. Moreover, we find strong evidence of bidirectional risk spillovers for all oil-sector pairs. The intensity of risk spillovers from oil to all stock sectors varies across sectors. The risk spillovers from sectors to oil are substantially larger than those from oil to sectors during COVID-19. Furthermore, the return spillover is time varying and sensitive to external shocks. The spillover strengths are higher during COVID-19 than financial and oil crises. Finally, oil do not exhibit neither hedge nor safe-haven characteristics irrespective of crisis periods.     

To What Extent Does the Interest Burden Affect Firm Survival? Evidence from a Panel of UK Firms during the Recent Financial Crisis

Using a panel of mainly unquoted UK firms over the period 2000–09, we document a significant effect of changes in the interest burden from debt‐servicing on firm survival. The effect is found to be stronger during the recent financial crisis compared with more tranquil periods. Furthermore, the survival chances of bank‐dependent, younger, and non‐exporting firms are most affected by changes in the interest burden, especially during the crisis. Our results are robust to using different estimation methods and different interest burden measures They suggest that one way for policymakers to mitigate the effects of financial crises by limiting firm failures would be to prevent financing costs from rising, especially for those firms more likely to face liquidity constraints.     

初探泰国税收优惠政策

泰国是一个典型的外向型国家,对外资和进出口贸易的依赖性很强。近年来,泰国的引资政策取得了显著的成效,文章主要考察泰国近年来的税收激励政策,发现在亚洲金融危机爆发后,这些政策发挥了较大的作用,帮助泰国高效、合理地利用外资,从而使其快速地从危机中摆脱出来。     

Which exchange rate regimes in an era of high capital mobility?☆

This paper asks what influence increasing capital mobility has on the choice of exchange rate regime. Among exchange rate regimes considered are currency boards and dollarization. It is argued that a key lesson of the recent currency and financial crises in the emerging markets is that corner solutions in exchange rate policy may be preferable to less rigidly fixed exchange rates. The paper concludes that in the end the optimal exchange rate regime depends on the circumstances of a particular country and time, because each exchange rate system requires the fulfillment of certain preconditions. The paper then discusses institutional measures and innovations that may be necessary to enable exchange rate arrangements to avoid financial and currency crises or to dampen their consequences.     

Foreign bank lending during a crisis: The impact of financial regulations

This study examines foreign bank lending during crises by using data on 1,558 individual banks in Asian and Latin American countries during the period 1987-2013. Our results reveal that, in a crisis period, Asian banks with a higher level of foreign ownership tend to reduce their lending. Nevertheless, during crises banks consistently increase their lending in order to support their borrowers; in fact, in Latin America, crises stimulate foreign banks to lend more. Our evidence on lending during a crisis supports credit rationing theories with a flight to quality. The international substitution effect also holds based on our results. Taking financial structures and regulation into consideration, for banks with more foreign ownership in a highly concentrated financial system in Asia, the crisis has less effect on a cut in lending, while it has a greater effect on cuts in lending for countries with a higher level of government-owned assets. This paper contributes to the existing literature on the bank lending channel and provides implications for policymakers.     

The impact of EMU on bond yield convergence: Evidence from a time-varying dynamic factor model

This paper examines the dynamics of long term sovereign bond yields for 21 OECD countries. Following Del Negro and Otrok (2008), we estimate a dynamic factor model, with time varying parameters and stochastic volatility, that decomposes the observed variation in bond yields for each country into a common factor, a regional factor (EMU/non-EMU), and an idiosyncratic country specific factor. We find that prior to the financial crisis of 2008, the common factor played a dominant role for most countries in our sample. In the post financial crisis period there is substantial heterogeneity in the relative importance of the EMU and the idiosyncratic factors across different countries. For instance, our results suggest that there was a decoupling between the EMU and bond markets of the periphery economies of Greece, Ireland and Portugal in the post-2008 period. We find that after the onset of sovereign debt crises in these economies, the idiosyncratic factor assumed an important role in driving the bond yield variation. Thereafter, the EMU’s share in bond yield changes in Ireland and Portugal increased considerably since 2012, whereas for Greece the idiosyncratic factor continued to play a significant role in driving bond yields. In contrast, the EMU factor consistently played a dominant role in explaining bond yield changes in Italy and Spain, the other two economies that also experienced severe debt crisis during this period. We argue such differences in the importance of the EMU factor between core and periphery economies can be attributed to the systemic importance of core members for the EMU. This is indicated by our finding that bond yields and credit default swap (CDS) are less sensitive to changes in debt-GDP ratios in countries where the EMU factor played a larger role in the post-2008 period.     

3. Money, Credit, and Crisis

The financial crisis of 2008–2009 has antecedents in earlier crises, including the Great Depression. In order to understand how the current crisis arose, we must review the most fundamental principles of banking. Doing that, we find that the main service performed by banks is the creation of liquidity, a collective good that can be destroyed by the behavior of individual financial institutions. The key element in creating liquidity is the monetization of various types of collateral. When collateral takes the form of land or capital that turns over slowly, banks lose liquidity. That is why major banking crises have frequently been associated with real estate lending. The best way to restore health to the financial system is by restoring the principles of the "real bills" doctrine that requires loans to be self-liquidating.     

Relative risk aversion and the transmission of financial crises

We study how investor behavior affects the transmission of financial crises. If investors exhibit decreasing relative risk aversion, then negative wealth shocks increase the risk premium required to hold risky assets. We integrate this into a second generation model of currency crises which allows for contagion through changes in fundamentals. Investor behavior can be a transmission channel of financial crises, as changes in risk premia increase the coverage ratio and makes the defense of a peg less attractive for the policy maker. The feedback effect of the risk premia on the probability of devaluation also makes multiple equilibria more likely. The possible stabilization effects of capital controls and a Tobin tax on the international transmission of financial crises are also studied.     

基于大数据的企业集团财务共享服务的构建探析

论文主要探讨了当前大数据时代发展背景下企业财务共享服务面临的危机与构建方式。论文分析了当前企业集团的财务共享服务构建过程中存在管理层不重视、服务人员的流动性过高、信息安全不足、部门之间不能有效沟通等问题。企业管理人员需要通过建立风险评估制度、进行战略规划、加强人员管理、积极引进新技术等方法促进财务共享服务的构建。     

操作风险管理的治本之道:金融制度创新

操作风险是当前商业银行所面临的主要风险之一。但是,与市场风险和信用风险相比,商业银行对操作风险的认识和管理都处于较低水平。在不否认进行思想教育能在一定程度上减少操作风险损失事件的同时,着重强调了制度缺陷是我国银行业操作风险产生的根本原因,只有加强金融制度创新才能从根本上防范和化解操作风险。     

Stock market linkages and financial contagion: A cobreaking analysis

Financial crises have shown that dramatic movements in one financial market can have a powerful impact on other markets. This paper proposes to use cobreaking to model comovements between stock markets during crises and to test for contagion. We find evidence of cobreaking between developed stock markets. In emerging stock markets, the evidence of cobreaking is mainly due to the non-financial event of the World Trade Center terrorist attacks in 2001. We find evidence of short-term linkages during times of crisis but not contagion. These short-term linkages have important implications for investors, risk managers and regulators.     

Formulation of public debt management strategies: An empirical study of possible drivers

A well-designed public debt management strategy can help countries reduce their borrowing cost, contain financial risks and develop their domestic markets. Using survey data on debt management strategies, this paper studies whether the probability that a country has a formal debt management strategy, publishes the strategy document, and uses quantitative benchmarks to formulate its debt management strategy is affected by democratic accountability, institutional quality, past debt crises/defaults, official development assistance, and participation in debt management programs. We find that countries located in Latin America and the Caribbean are less likely to have developed a debt management strategy and, if they have, are less likely to publish it. In contrast, countries located in the Middle East and North Africa are less likely to use quantitative benchmarks in the formulation of their debt management strategies. A country is more likely to have developed a debt management strategy if it has the experience of a past debt crisis, but not of repeated debt crises. Institutional quality and democratic accountability could significantly contribute to the emergence of more transparent and accountable debt management strategies in developing countries. IFIs’ technical assistance on public debt management could be enhanced by IFIs conducting their own, prior diagnostic reviews.