Liquidity and bank capital structure

Bank capital requirements reduce the probability of bank failure and help mitigate taxpayers’ sharing in the losses that result from bank failures. Under Basel III, direct capital requirements are supplemented with liquidity requirements. Our results suggest that liquidity provisions of banks are connected to bank capital and that changes in liquidity indirectly affect the capital structure of financial institutions. Liquidity appears to be another instrument for adjusting bank capital structure beyond just capital requirements. Consistent with Diamond and Rajan (2005), we find that liquidity and capital should be considered jointly for promoting financial stability.     

Liquidity and firm characteristics: Evidence from mergers and acquisitions

We explore factors affecting liquidity by examining the relation between liquidity changes and changes in firm characteristics around mergers and acquisitions. We find that spreads decline as the number of analysts, number of shareholders, number of market makers, firm size, and volume increase or as volatility decreases. Increased volume and firm size, and decreased volatility, are associated with increased depth. We find no evidence diversifying and non-diversifying mergers affect liquidity differently. We note that mergers and acquisitions are associated with reductions, on average, in spreads but that the reductions are fully explained by the accompanying changes in firm characteristics.     

流动性、银行间市场摩擦与借贷便利类货币政策工具

通过内生引入流动性短缺银行(拆入行)对流动性盈余银行(拆出行)的流动性需求机制,本文构建了一个包含银行间市场的DSGE模型,对借贷便利类货币政策工具的传导机制和传导效果进行了理论和实证研究。研究表明:(1)负向冲击会同时增加拆入行和拆出行对流动性的预防性需求,在经济形势不确定的情形下,拆出行不会很快恢复对拆入行的流动性供给,引起银行间市场流动性缺口放大和市场失灵。(2)由于仅依赖银行间市场自发回归稳态的过程太过缓慢,需要央行进行流动性干预。借贷便利类工具可以通过引导贷款市场定价和流动性效应这两个渠道来影响银行融资可得性,进而降低银行间市场流动性风险对宏观经济的负面影响。(3)借贷便利类货币政策工具的影响效果边际递减,央行可根据借贷便利操作的收益和成本,制定最佳的反应程度参数。     

流动性、银行间市场摩擦与借贷便利类货币政策工具

通过内生引入流动性短缺银行(拆入行)对流动性盈余银行(拆出行)的流动性需求机制,本文构建了一个包含银行间市场的DSGE模型,对借贷便利类货币政策工具的传导机制和传导效果进行了理论和实证研究。研究表明:(1)负向冲击会同时增加拆入行和拆出行对流动性的预防性需求,在经济形势不确定的情形下,拆出行不会很快恢复对拆入行的流动性供给,引起银行间市场流动性缺口放大和市场失灵。(2)由于仅依赖银行间市场自发回归稳态的过程太过缓慢,需要央行进行流动性干预。借贷便利类工具可以通过引导贷款市场定价和流动性效应这两个渠道来影响银行融资可得性,进而降低银行间市场流动性风险对宏观经济的负面影响。(3)借贷便利类货币政策工具的影响效果边际递减,央行可根据借贷便利操作的收益和成本,制定最佳的反应程度参数。     

Liquidity and market incompleteness

This note shows that according to Lippman and McCall’s (Am Econ Rev 76, 43–55, 1986) operational definition of liquidity, incomplete markets are a necessary condition for illiquidity. This note is a revised subset of a larger paper that circulated under the name of “Liquidity as an Insurance Problem” (Zurita 2001). I am grateful to Luis Ahumada, David K. Levine, Raimundo Soto, Gert Wagner, Federico Weinschelbaum and seminar participants at UCLA, Summer Meeting of the Econometric Society, Banco Central de Chile, LACEA, Jornadas de Economía del Banco Central del Uruguay, and ILADES, for their helpful comments, as well as the feedback of an anonymous referee. Financial support from Vicerrectoría Académica de la Pontificia Universidad Católica de Chile is gratefully acknowledged.     

股票流动性对公司资本结构的影响研究

本文分析了流动性对公司资本结构的影响。理论分析表明,一个公司股权交易流动性的提高,使得公司股权融资成本得以降低,公司更倾向于采用增发、配股等股权融资的方式融资,这会降低公司的财务杠杆率。同时,借鉴资本结构动态调整的思想分析,发现个股流动性越高,资本结构的调整速度越快。本文基于2002—2010沪深两市发行的非金融业A股数据,采用面板数据回归等方法研究了股票流动性等因素对公司资本结构的影响,本文的经验结果支持这一理论假设。     

现阶段我国商业银行流动性过剩问题及对策研究

流动性管理是商业银行的生命线。上个世纪末国内商业银行出现了持续性的流动性过剩,引起了理论界、实务界的普遍关注。本文考察了商业银行流动性管理理论的发展,分析了我国商业银行流动性问题发展阶段、特点,提出了商业银行改善流动性管理的政策建议。     

The impact of culture on market timing in capital structure choices

This study uses Hofstede's (2001) cultural dimensions to investigate the impact of market reception on capital structure. We examine the interaction of these dimensions with stock returns, our proxy for market timing. Based on our market leverage results, we find evidence that firms do engage in market timing by reducing their leverage ratios when their share prices increase. Furthermore, we find that firms in countries with high uncertainty avoidance and high power distance have lower market leverage ratios and that these cultural dimensions serve to reduce the impact of market timing. These results are consistent for developed markets but mixed for emerging markets. On a book leverage basis, the results are generally consistent but less conclusive. To the extent that culture impacts manager perception of risk and investor reception of newly issued shares, we conclude that cultural dimensions impact the degree to which a firm can modify its capital structure to take advantage of perceived market mispricings.     

Liquidity risk and syndicate structure

We decompose syndicated loan risk into credit, market, and liquidity risk and test how these shape syndicate structure. Commercial banks dominate relative to non-banks in loan syndicates that expose lenders to liquidity risk. This dominance is most pronounced when borrowers have high levels of credit or market risk. We then tie commercial banks’ advantage in liquidity risk to access to transactions deposits by comparing investments across banks. The results suggest that risk-management considerations matter most for participants relative to lead arrangers. Links from transactions deposits to liquidity exposure, for instance, are more than 50% larger at participants than at lead arrangers.     

商业银行的流动性转换职能

利用Diamond的两个模型说明商业银行流动性转换职能的性质及其发展趋势.在信息技术不发达、人们的市场参与程度比较低时,传统商业银行的流动性转换是有效的,然而它有内在的不稳定性,容易受到挤兑的冲击.随着信息技术的改善、人们的市场参与度提高,金融市场的流动性转换职能将逐渐变得重要.     

流动性过剩与流动性悖论

造成当前流动性过剩的一个重要原因是由于我国存在着一种"流动性悖论".而造成流动性悖论的原因又可以上溯到国内金融结构的体制性缺陷,具体包括银行体系、资本市场、人民币汇率制度和资本账户管制等四个方面的结构性问题.要根本上解决国际收支"双顺差"以及流动性悖论,长期看需要从经济与金融结构层面进行调整,近期则主要是汇率的调整,取消强制结汇制以及加强周边国家(地区)的政策协调.     

产品市场势力、公司治理与股票市场流动性

本文实证研究了我国股票市场的流动性问题。结果表明,产品市场势力能够促进信息传递,提高股票的流动性。这种影响即使控制了公司治理因素依然显著,同时随着信息不对称程度的提高而更为明显。另外,在对股票流动性的影响上,产品市场势力与董事会规模、高管薪酬激励之间存在替代关系。同时,股权分散能增强产品市场势力的影响,但是产品市场势力会削弱股权分散的积极作用。     

市场约束、流动性援助与存款保险——基于银行审慎经营的激励兼容分析

银行审慎经营是金融稳定的微观基础，而银行治理过程中利益相关者的动态均衡是银行审慎经营的保证。市场约束是利益相关者参与银行治理的外部机制，流动性援助和存款保险是维护金融稳定的安全设施，市场约束、流动性援助和存款保险的激励兼容才能增加银行审慎经营可能性。在一定的制度设施基础上。完善市场约束，减少流动性援助和存款保险带来的道德风险，建立一个市场约束、流动性援助和存款保险激励兼容的外部框架有利于银行的审慎经营。     

Stock and Bond Liquidity and its Effect on Prices and Financial Policies

An asset is liquid if it can be traded at the prevailing market price quickly and at low cost. We show that in addition to risk, liquidity affects asset prices and returns. Theories of asset pricing suggest that the expected return of an asset is increasing in its risk, because risk-averse investors require compensation for bearing more risk. Because investors are also averse to the costs of illiquidity and want to be compensated for bearing them, asset returns are increasing in illiquidity. Thus, asset prices should depend on two asset characteristics: risk and liquidity. This paper surveys research on the effects of liquidity on asset prices and returns, showing that liquidity is an important factor in capital asset pricing.     

Liquidity provider incentives in fragmented securities markets

We test theoretical predictions of changes in make/take fees in a setting with isolated make rebates for liquidity providers on a single trading venue (Xetra) by examining the impact on both Xetra and the overall market. The rebates lead to higher quoted depth but do not change bid–ask spreads or trading volume on Xetra. For the overall market, no change in trading volume or liquidity is observable. This shows that market participants redistribute their orders to the venue offering fee rebates rather than providing additional liquidity to the overall market. Consequently, the impact of fee changes depends on the setting.     

银行间市场流动性与金融风险救助机制研究

文章从我国银行间市场结构特征出发,分析了近年来银行间市场利率和流动性大 幅波动的内在机理与原因。研究认为,塔形市场交易结构下,银行间市场存在流动性风险易聚 集不易分散的缺陷,且难以依靠“有形之手”得到弥补。文章结合塔形市场结构的特点建立矩 阵分析法,对40家金融机构资产负债表进行实证分析。结论印证了理论分析,即塔形市场交易 结构下风险冲击影响时间更长,且央行流动性救助效果降低,但流动性救助机制能降低风险对 中小型地方法人金融机构的冲击。因此,有必要建立流动性风险救助机制,弥补银行间市场客 观存在的缺陷,增强中小型地方法人金融机构抵御银行间市场流动性风险冲击的能力。     

Closing call auctions and liquidity

The present paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction on the Australian Stock Exchange on 10 February 1997. The introduction of the closing call auction is associated with a reduction in trading volume at the close of continuous trading. However, bid‐ask spreads during continuous trading are largely unaffected by the introduction of the closing call auction. Therefore, closing call auctions consolidate liquidity at a single point in time without having any adverse effect on the cost of trading.     

The welfare cost of bank capital requirements

Capital requirements are the cornerstone of modern bank regulation, yet little is known about their welfare cost. This paper measures this cost and finds that it is surprisingly large. I present a simple framework, which embeds the role of liquidity creating banks in an otherwise standard general equilibrium growth model. A capital requirement limits the moral hazard on the part of banks that arises due to deposit insurance. However, this capital requirement is also costly because it reduces the ability of banks to create liquidity. The key insight is that equilibrium asset returns reveal the strength of households’ preferences for liquidity and this allows for the derivation of a simple formula for the welfare cost of capital requirements that is a function of observable variables only. Using US data, the welfare cost of current capital adequacy regulation is found to be equivalent to a permanent loss in consumption of between 0.1% and 1%.     

Optimal capital structure,bargaining, and the supplier market structure

This paper studies the relationship between firm leverage and supplier market structure. We find that firm leverage decreases with the degree of competition between suppliers. Specifically, leverage decreases with the elasticity of substitution between suppliers. Leverage also decreases with the number of suppliers when the elasticity of substitution is high, and increases with the number of suppliers when the elasticity is low. We also provide empirical evidence that is consistent with the model predictions.     

国内外支付系统流动性风险管理比较与借鉴

本文在对支付系统流动性风险进行归类和总结的基础卜,研究对比借鉴了美同两大支付体系(联邦储备通信系统Fedwire和清算所银行同业支付系统chips)多年运行过程中的风险控制实践和经验.分别从强化风险意识、制定损失分摊原则、建市风险评估机制和创新风险防范工具等方面,提出了改进我国支付系统流动性风险管理的建议措施.