The conditioning role of performance on the bank risk-taking channel of monetary policy: Evidence from a multiple-tool regime

The study investigates how monetary policy affects bank risk-taking under a multiple-tool regime of Vietnam during 2007–2018. Particularly, we also consider the conditioning role of bank performance, broken down by bank profitability and cost efficiency, in this nexus. Using both dynamic and static panel models, we show that the liquidity injection initiated by the central bank’s asset purchases induces banks to take more risks, captured by the traditional Z-score and two alternative measures of credit risk. However, monetary policy easing through decreased interest rates is beneficial to the credit portfolio and financial stability of banks, which therefore challenges the functioning of the bank risk-taking channel. This startling result is robust across three different interest rate measures, including lending rates, refinance rates and rediscount rates. Further analysis reveals that our observed effects are alleviated for banks with higher performance — i.e., more profitable and efficient banks. This in-depth finding offers more insights into the “search for yield” incentive, based on the theory of information asymmetry and the two competing hypotheses of “bad management” and “cost skimping”.     

Peer effects in corporate advertisement expenditure: Evidence from China

This study investigates whether industry peers affect focal firms’ advertising expenditure decisions and further explores the mechanisms and economic consequences of such effects. We find that peer firms have a significantly positive influence on the focal firm’s advertising expenditure. The results hold after a series of robustness tests. Additionally, the peer effects in advertising expenditure are more salient in industries with intense competition; and when economic policy uncertainty and demand uncertainty is higher. Interestingly, our results show that followers mimic the advertising expenditure of industry leaders, while leaders also react to followers’ advertising expenditure. We also find that the peer effects in advertising expenditure improve firms’ sales and market value. Our study contributes to a better understanding of peer effects on corporate decisions.     

通货膨胀的门限效应与金融—经济增长关系——基于中国数据的经验研究

在探讨金融与经济增长关系的研究中,一个重要的研究问题就是金融发展与经济增长之间关系是否取决于通货膨胀的水平。基于门限效应回归模型,本文利用中国1952年至2008年的年度数据将通货膨胀作为门限变量进行了实证研究。研究结果表明金融发展与中国的经济增长之间存在着统计意义上显著的非线性关系,通货膨胀处于门限值以下金融发展促进经济增长,而通货膨胀超过门限值金融发展则不再显著地促进经济增长。这启示我们强调金融发展的增长效应时,政策制定者需要将通货膨胀率保持在其发生结构性变化水平以内。     

Policy uncertainty and overseas property purchases: Evidence from China

A political leadership transition occurs in China every five years. This shift in leadership is accompanied by tremendous uncertainty within Chinese society, particularly for the nation's wealthy people. Examining private residential property transaction data in Singapore, this paper reveals that the number of transactions by Chinese mainland buyers increases by half during political transitions that occurred between 1998 and 2013, in comparison to buyers from Malaysia, the US, and Hong Kong.     

Policy uncertainty and peer effects: Evidence from corporate investment in China

This study investigates whether economic policy uncertainty (EPU) magnifies peer effects in corporate investment in China and the economic mechanisms through which EPU may act upon this property. We examine this relationship by analysing a large sample of publicly listed companies in China for the period of 2009–2019, adopting the peer-firm-average idiosyncratic stock return to capture exogenous variations in peer firms’ investment activities. We demonstrate that peer effects are stronger when EPU is increasing in intensity. We also find that high EPU magnifies peer effects by decreasing the accuracy of firms’ signals regarding their investment opportunities, asymmetrically impacting their capacity to acquire information and exacerbating managers’ career concerns. We further show that increased EPU magnifies peer effects only for underinvesting firms, causing underinvestment to persist and retarding recovery from an economic downturn. Our investigation provides original evidence of how EPU influences corporate investment decisions through peer effects, contributing to the continuing debate on the role of EPU and corporate investment efficiency by establishing that the adoption of consistent and transparent economic policies optimize returns on a company’s investments, especially during an economic downturn.     

Economic policy uncertainty and environmental governance company volatility: Evidence from China

This study primarily investigates whether China’s economic policy uncertainty (EPU) can predict the environmental governance index volatility, which selects companies regarding environmental protection such as sewage treatment, solid waste treatment, air treatment, and energy saving. Empirical results reveal that China’s EPU index can predict the environmental governance index volatility. Furthermore, even during periods of fluctuating volatility and the COVID-19 pandemic, China’s EPU index can reliably forecast the environmental governance index volatility. This paper tries to provide new evidence regarding the connection between EPU and environmental governance companies’ stock volatility.     

The role of gold futures in mitigating the impact of economic uncertainty on spot prices: Evidence from China

This paper studies the co-integration relationship and volatility spillover effect between China's gold futures and spot prices through the VECM-BEKK-GARCH model. Then, MSGARCH and DCCE-GARCH are applied to study the relationship among China's gold futures market, spot market price volatility and the stabilization effect in uncertain economic environments. This paper enriches the current research, providing gold market participants with hints to address economic uncertainty. The empirical results show that China's gold futures market has a weak stabilization effect on spot price volatility. In scenarios with uncertain economic information and uncertain macroeconomic changes, the correlation between gold futures and spot price volatility is reduced in China, and the role of gold futures in stabilizing the spot price weakens. Furthermore, with economic uncertainty, the fluctuation range of the gold futures price is greater than that of the spot price, with a tendency of more frequent fluctuations. This also means that the effectiveness of the futures market in regulating the spot price will be reduced, and gold market regulators need to stabilize the market through alternative methods to futures.     

Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China

This study explores the spillovers between economic policy uncertainty (EPU) and stock market realized volatility (RV). The monthly index of Chinese and US EPU and RV are used to analyze the pairwise directional spillovers. We find that RV is a net receiver that is more vulnerable to shocks from U.S. EPU than to shocks from Chinese EPU. We further decompose the RV into good and bad volatility to test the asymmetric spillover effect between the stock market and EPU. The results suggest that EPU has a bigger effect on bad volatility in the stock market throughout most of the sample period. However, we find that good volatility spillovers become larger during periods of stimulated reform, whereas bad volatility spillovers become larger during periods of international disputes. We show that Chinese stock market volatility is sensitive to both U.S. and Chinese EPU and that the spillover is asymmetric in different periods.     

Information-sharing in health and social care: Lessons from a socio-technical initiative

Advances in information technology have led to new and innovative approaches in data-sharing, analysis, interpretation, and the potential for real-time responses to changes in health and social care status. However, health and social care information is not only complex but often socially and personally sensitive in ways that do not apply in other domains. This requires adoption of a tailored interdisciplinary (social, ethical, legal, technical and data science) and intersectoral (health and social care, academic and commercial institutions and citizens) approach to technology development. The authors present some important lessons to date from ongoing development of an innovative infrastructure for sharing health and social care data.     

Non-linear dynamics in international resource markets: Evidence from regime switching approach

This paper examines the nonstationary and nonlinear features of the non-renewable resource markets: the crude oil (US West Texas Intermediate and UK Brent), bituminous coal and natural gas markets. In particular, we achieve this goal by using the Markov switching unit root regression. This approach is attractive because it allows price to switch between stationary and nonstationary regimes (partial nonstationarity). It also allows price to switch between two stationary regimes (varied stationarity) or to switch between two nonstationary regimes (varied nonstationarity). The results of a range of non-linear tests show that the independently and identically distributed (i.i.d.) hypothesis or the random walk hypothesis is untenable for the non-renewable resource prices. The results from the Markov regression indicate that, in the cases of US West Texas Intermediate, UK Brent as well as bituminous coal, prices are characterized by the local nonstationarity in both regimes, and therefore varied nonstationarity is sustained. The price of natural gas is characterized by partial nonstationarity, indicating that this market is inconsistent with the efficient market.     

Market valuation of greenhouse gas emissions under a mandatory reporting regime: Evidence from the UK

This study provides evidence on the potential benefits of mandatory environmental reporting for listed firms’ market valuation. It takes advantage of recent regulation that requires all listed firms in the UK to report their annual greenhouse gas (GHG) emissions in their annual reports and shows that the magnitude of the negative association between GHG emissions and the market value of listed firms decreased after the introduction of the reporting regulation. This decline is attributed to regulation forestalling shareholders’ negative reflexive reaction toward firms’ carbon disclosures, as proposed by the theoretical work of Unerman and O’Dwyer (2007).     

中国经济增长的驱动力研究——基于教育发展结构的视角

建立计量经济模型定量考察了1991~2014年中国高等教育和基础教育、教育发展质量提升和数量扩张对经济增长的贡献,结果表明：中国高等教育、基础教育发展的数量和质量与经济增长之间都存在长期均衡的协整关系;中国高等教育发展的质量和数量、基础教育的数量都与经济增长之间存在显著的双向因果关系,但基础教育质量对经济增长的影响不够显著;在几种教育发展变量中,高等教育发展的数量扩张对经济增长的贡献相对最大,达到32%,其次是基础教育和高等教育发展的质量,而基础教育发展的数量规模以及科技创新水平对经济增长的贡献相对较弱,仅为1%左右。     

Exchange Rate Exposure,Foreign Currency Debt,and the Use of Derivatives: Evidence from Brazil

This paper studies the exchange rate exposure and its determinants for a sample of nonfinancial Brazilian companies from 1996 to 2006. The results indicate that the number of firms exposed to exchange rate fluctuations is higher in periods of crisis and under a fixed exchange rate regime. In addition, the results point out that, although companies' international activities, operational hedging, and financial policies are important determinants of firms' exposure, the changes in companies' exposure that took place when Brazil moved from a fixed to a floating exchange rate regime were mainly driven by changes in companies' foreign currency borrowing and the use of derivatives that occurred in that period.     

中国的“影子保险”:来自监管自然实验的证据

影子保险在金融稳定中扮演着重要角色,但现有文献较多关注影子银行,对影子保险关注不足。“影子保险”即保险公司通过再保险方式将保险业务转移给不受监管或者受监管较弱的关联企业的活动,这会推高其真实的杠杆水平,增加金融体系脆弱性。然而,由于影子保险的不透明性和缺少自然实验,现有研究仅基于有限数据或模型给出简单的特征事实或结构性估计,很少能从因果关系上清楚地识别影子保险活动及其机制。本文利用中国加强对中资保险公司(处理组)再保险关联交易监管的政策冲击这一自然实验,使用微观数据和双重差分方法,识别了中国金融体系中的影子保险活动。研究发现,相关监管有效降低了影子保险活动,这一效应对集团公司的影响尤为显著;在机制方面,相关监管通过影响中资保险公司资产负债表两端的结构性调整进而降低了其风险承担行为,提高了经营稳定性。本文方法对识别金融机构的监管套利和防范系统性金融风险具有一定参考意义。     

Economic policy uncertainty and credit growth: Evidence from a global sample

This study extends the research of Bordo, Duca, and Koch (2016) and Hu and Gong (2018) by examining the influences of economic policy uncertainty (EPU) at domestic and global levels on aggregate bank credit growth. The empirical analysis is conducted through both supply and demand side factors of bank credit growth in 22 economies over the period 2001–2015. This study employs different measures of EPU and applies panel-corrected standard errors (PCSE) and feasible generalized least squares (FGLS), which are suitable for unbalanced panel data models. Three principal findings are follows. First, higher level of EPU has negative impact on bank credit growth, which is significant for domestic EPU measures. Second, the positive change in EPU appears to have favorable effects on bank credit growth. The effects in both cases are different for the credit demand and supply sides. The findings suggest the need for appropriate measures to tackle bank credit risk-taking activities in uncertain conditions. Third, the impacts of EPU in emerging economies are negative and somewhat stronger than in advanced economies.     

国民经济核算视角下的保险产出及中国的实证

保险公司在生产什么？保险投资是不是保险生产活动？保险产出应采用“总额法”还是“净额法”计量？这些保险经济学的基础性问题,至今仍存在着计量分歧和理论争议。本文综合运用国民经济核算、保险学和经济学的知识体系,搭建了保险生产的创新理论框架和核算方法。在对我国两阶段的保险企业会计科目对比分析的基础上,测算了我国2003-2015年的保险产出,得出两种保险产出数据存在显著差异的结论。     

International diversification and risk of multinational banks: Evidence from the pre-crisis period

The recent financial crisis has clearly shown that the relationship between bank internationalization and risk is complex. Multinational banks can benefit from portfolio diversification, reducing their overall riskiness, but this effect can be offset by incentives going in the opposite direction, leading them to take on excessive risks. Since both effects are grounded on solid theoretical arguments, the answer of what is the actual relationship between bank internationalization and risk is left to the empirical analysis. In this paper, we study such relationship in the period leading to the financial crisis of 2007–2008. For a sample of 384 listed banks from 56 countries, we calculate two measures of risk for the period from 2001 to 2007 – the expected default frequency (EDF), a market-based and forward-looking indicator, and the Z-score, a balance-sheet-based and backward-looking measure – and relate them to the degree of banks’ internationalization. We find robust evidence that international diversification increases bank risk.     

官员历练、经济增长与政治擢升——基于1978～2008年中国省级官员的经验证据

本文手工搜集了1978～2008年期间中国省级官员政治生涯变动的经验数据,构建了"官员历练"指数,以GDP增长率的加速度作为经济增长的替代,研究了官员历练和经济增长因素对省级官员的政治擢升产生的竞争性影响。本文研究结果一致表明,官员历练与经济增长因素均显著影响了省级官员的擢升:(1)省级官员(含总体、省委书记子样本、省长子样本)的擢升概率与官员历练(包括虚拟变量及历练指数)、经济增长均显著正相关,但对官员历练因素更为敏感;(2)区分具体的官员历练类型后的结果表明,省级官员的擢升概率与中央工作经历、企业工作经历、经济增长均显著正相关;(3)按照地域与时间区间的分组研究结果表明,官员历练与经济增长对省级官员的擢升具有不对称的影响。     

Inter-industry FDI spillovers from foreign banks: Evidence in transition economies

Using a sample of nonfinancial domestic firms in transition economies from Eastern Europe and Central Asia, we examine whether and how inter-industry spillover from foreign direct investment in the banking sector occurs. Our findings show that the innovation pursued by domestic firms benefits from foreign bank penetration. However, these positive inter-industry spillovers surprisingly do not seem to work through enhanced credit access. We further find these positive spillovers to occur mainly for foreign banks that use relationship lending, domestic firms that do not export, and host countries that are less open to the global market.     

The value relevance of disclosure: Evidence from the emerging capital market of Egypt

This study examines the value of voluntary and mandatory disclosure in a market that applies International Accounting Standards (IAS) with limited penalties for non compliance. The lack of enforcement creates an element of choice in the level of mandatory disclosure by companies. Using panel-data analysis, our empirical results show that, after controlling for factors such as asset size and profitability, mandatory disclosure has a highly significant but negative relationship with firm value. This result, although puzzling from a traditional perspective, is consistent with the predictions of analytical accounting models, which emphasize the complex interplay of factors determining disclosure effects. Our results also show that voluntary disclosure has a positive but insignificant association with firm value. This lack of statistical significance supports the view that there is a complex interplay of different factors determining the relationship between disclosure and firm value.