财政支出、银行信贷与经济增长——来自2008年汶川大地震的新因果证据

学术界就财政支出与银行信贷如何影响经济增长这一问题一直未能达成共识.本文将2008年汶川大地震作为研究窗口,在财政支出和银行信贷由于震后出台的行政命令与政策外生化的研究前提下,综合使用合成控制法(SCM)、系统广义矩估计(System GMM)、回归控制法(RCM)、交叉滞后模型(Cross-lagged Panel Model)等方法,检验了地震后财政支出、银行信贷和经济增长的具体变化以及相互作用方向.研究发现:尽管汶川地震后财政支出和银行信贷显著增加,促进了经济增长,但由于震后四川省的直接经济损失较大,最终四川省在短期内GDP明显减少.这一发现明确了财政支出、银行信贷以及经济增长之间的因果关系与作用方向:首先,在中国,财政支出与经济增长之间的因果关系符合“凯恩斯假设”,即财政支出的增加“因果性地”决定了GDP的增长.其次,增加银行信贷能够“因果性地”促进GDP增长.最后,财政支出增加促进了银行信贷的扩张,而非公共投资“挤出”了私人投资.     

Reputation,Information, and Herding in Credit Ratings: Evidence from CMBS

The Journal of Real Estate Finance and Economics - We find strong evidence of herding behavior among credit rating agencies (CRAs) in the CMBS market. CRAs are more likely to change their rating if...     

环境信息透明度与企业信用评级——基于债券评级市场的经验证据

基于2008至2015年期间公司债券发行主体的信用评级数据和手工收集的上市公司环境信息数据,本文研究了环境信息透明度对企业信用评级的影响。研究结果显示,公司获得高信用评级的概率与其环境信息透明度显著正相关;环境信息传递出公司的特质风险、盈余持续性以及盈余质量等信息,从而影响评级决策。进一步研究发现,环境信息透明度与企业信用评级之间的正相关关系在内部控制质量高、具有高质量外部审计的公司中更显著。采用工具变量两阶段回归方法、公司固定效应模型以及倾向得分配对方法控制内生性后,上述结论依然成立。此外,本文发现环境信息透明度可通过影响企业信用评级降低公司的债券融资成本,环境信息透明度对企业信用评级和债券融资成本的影响在污染行业中显著更强。上述研究发现有助于拓展环境信息披露对市场中介行为影响的相关研究,对认识非财务信息在资本市场中的作用和推进节能减排提供了重要参考。     

Public Information Precision and Coordination Failure: An Experiment

More precise public disclosure reduces uncertainty about economic fundamentals, but it can increase uncertainty about other agents' actions, leading to coordination failure. We conducted a laboratory experiment to study the effects of public information precision and strategic complementarity on coordination failure. Information precision is operationalized in terms of “granularity” (level of detail). We found that (1) granular public disclosure, which is disaggregated and precise, increases the likelihood of coordination failure and decreases coordination efficiency when public information is pessimistic about future economic prospects; (2) the deleterious effect of granular disclosure is stronger when strategic complementarity is high; and (3) higher levels of strategic complementarity decrease coordination efficiency. Overall, the observed likelihood of coordination failure is higher and coordination efficiency is lower than predicted by theory. Our findings have implications for the Federal Reserve's decision to publicly disclose detailed stress test results for distressed banks, and the debate on whether the Public Company Accounting Oversight Board should publicly release reports on firm‐specific quality‐control deficiencies of audit firms.     

The Role of Soft Information in a Dynamic Contract Setting: Evidence from the Home Equity Credit Market

Credit underwriting is a dynamic process involving multiple interactions between borrower and lender. During this process, lenders have the opportunity to obtain hard and soft information from the borrower. We analyze more than 108,000 home equity loans and lines‐of‐credit applications to study the role of soft and hard information during underwriting. Our data set allows us to distinguish lender actions that are based strictly on hard information from decisions that involve the collection of soft information. Our analysis confirms the importance of soft information and suggests that its use can be effective in reducing overall portfolio credit losses ex post.     

Bond Yields, Ratings, and Financial Information: Evidence from Public Utility Issues

This study investigates the relative roles of bond ratings and financial information in the setting of bond yields. Structural equation modeling techniques are used to learn whether ratings determine yields or whether both ratings and yields are determined by a concurrent set of economic and financial factors. Tests of alternative structural model configurations provide evidence regarding the associations between bond ratings, financial information, and bond yields. Both ratings and financial information are found to play an important role in determining bond yields. In addition, yields are consistent with the higher rating in cases of split ratings.     

Credit Rationing and Credit View: Empirical Evidence from an Ethical Bank in Italy

Attempts have been made in the empirical literature to identify credit rationing and its determinants using balance sheet data or evidence from corporate surveys. However, observational equivalence, identification problems, and interview biases are serious problems in these studies. We analyze directly the determinants of credit rationing in credit files by examining the difference between the amounts demanded by and supplied to each borrower, as shown by official bank records. Our findings provide microeconomic evidence that supports the credit view hypothesis by showing that the European Central Bank refinancing rate is significantly and positively related to partial (but not total) credit rationing. This finding is consistent with the hypothesis that this variable affects the total volume of bank loans.     

Information, Credit Risk, Lender Specialization and Loan Pricing: Evidence from the DIP Financing Market

We provide an empirical support for theories of lender specialization using the recently developed market for Debtor-in-Possession (DIP) financing. The legal environment in which DIP financing operates represents a natural laboratory for testing determinants of lending specialization (e.g. lender choice). We find that the choice of lender is not driven by credit risk, but by information considerations and that this lending specialization has loan pricing effects. In short, banks (non-bank lenders) lend to more (less) transparent firms and at lower (higher) loan spreads. Our results are consistent with the interpretation that banks provide important and useful services.

Credit supply and corporate capital structure: Evidence from Japan

In this paper we examine how financial constraints, especially fluctuations in the supply of credit, affect the capital structure of 1537 publicly listed Japanese firms from 1980 to 2007, in a data set with 33,000 observations. It is one of the first studies to do so and is inspired by the recent studies of Leary (2009) and Faulkender and Petersen (2006). Japan was selected due to the extreme credit supply fluctuations observed during the last 30 years. It thus offers an ideal natural experiment to test the impact of credit supply on corporate capital structure. In particular, in our panel data study we investigated the impact of the asset bubble in the 1980s and the credit crunch of the late 1990s on corporate capital structure decisions. The results of this paper show, among other findings, that financial policy decisions are indeed influenced by monetary conditions and the supply of credit. In particular, smaller sized firms face financial constraints, especially during economic downturns.     

Legal System and Trade Credit: Evidence from Emerging Economies

Using a large-scale, firm-level dataset from 68 emerging economies for the period of 2002–2006 compiled by the World Bank, we find that legal systems have a positive and significant impact on the provision of trade credit. This result is robust to the inclusion of conventional controls used in the literature, to alternate specifications that address endogeneity and measurement error problems, and to different measures of trade credit and legal systems. Legal systems have a larger impact on trade credit for firms with overdraft facilities than for those without overdraft facilities, and the impact of legal systems on trade credit is significant in more developed countries but not in less developed countries.     

Trade Credit and Industry Dynamics: Evidence from Trucking Firms

Long payment terms are a strong impediment to the entry and survival of liquidity‐constrained firms. To test this idea and its implications, I consider the effect of a reform restricting the trade credit supply of French trucking firms. In a difference‐in‐differences setting, I find that trucking firms' corporate default probability decreases by 25% following the restriction. The effect is persistent, concentrated among liquidity‐constrained firms, and not offset by a decrease in profits. The restriction also triggers an increase in the entry of small trucking firms.     

媒体报道的信息中介作用:来自我国银行授信的证据

本文基于中国上市公司的媒体报道数据,实证检验了媒体报道对企业获取银行授信的影响。研究发现,在整体上,新闻媒体发挥了重要的信息中介作用;媒体关注度越高、正面报道倾向越强,企业越容易获取银行授信。进一步研究表明,媒体报道对银行授信的作用主要存在于非国有企业、市场化程度高的地区和资产负债率高的企业中;媒体报道对银行授信的影响存在一定的中长期效应;与负面报道相比,媒体正面报道在银行授信中的作用更为显著。本文不仅丰富了媒体报道与银行授信领域的研究,而且为新闻媒体信息中介作用的有效发挥提供了政策启示。     

Trade Credit Terms: Asymmetric Information and Price Discrimination Evidence From Three Continents

Abstract:   Trade credit terms offer firms contractual solutions to informational asymmetries between buyers and sellers. The credit period permits buyers to reduce uncertainty concerning product quality prior to payment, while the seller can reduce uncertainty concerning buyer payment intentions by prescribing payment before/on delivery or through two‐part payment terms and other mechanisms. Variation in trade credit terms also offers firms price discriminating opportunities. This study, drawing on the responses of 700 large firms in the US, UK and Australia, explores trade credit terms through the twin objectives of reducing information asymmetries and discriminatory pricing. Support is found for both theories.     

Credit Relationships: Evidence from Experiments with Real Bankers

We experimentally examine to what extent long‐term “lender–borrower” relationships mitigate moral hazard. The originality of our research lies in recruiting not only students but also commercial and social bankers. The opportunity to engage in bilateral long‐term relationships mitigates the repayment problem. Lenders take advantage of their long‐term situation by increasing their rates. Consequently, borrowers are incited to take more risk. Improving information disclosure ameliorates the repayment but does not incite lenders to offer more credits. Social bankers exhibit a higher probability of granting a loan and make fairer credit offers to borrowers than the other subject pools do.     

公共信用信息归集制度的理论探析

公共信用信息是公共信用体系的核心要素,而信用信息归集是建立信用体系的基础.目前,我国公共信用信息归集制度陷于信息归集的边界不清晰这一困境.从限制公权力、保护私权益这个角度出发,借鉴两分法的信义关系来分析公权力机关对信息主体所负有的义务,并围绕公共信用信息的属性和价值展开讨论,通过贯彻最小够用原则和健全信息主体的知情权来为公共信用信息归集制度的构建夯实理论基础.     

Credit Spread Changes and Equity Volatility: Evidence from Daily Data

We investigate the determinants of daily changes in credit spreads in the U.S. corporate bond market. Using a sample of liquid investment grade and high‐yield bonds, we show that both systematic bond and stock market factors as well as idiosyncratic equity market factors affect changes in the yield spread at the daily frequency. In particular, we find that increase in stock market volatility has a positive effect on changes in the spread of corporate bonds over the corresponding Treasuries beyond that captured by standard term structure variables. Our results show that there is an almost contemporaneous inverse relationship between changes in the bond yield spread and the stock return of the issuing firm.     

Corporate Disclosure as a Tacit Coordination Mechanism: Evidence from Cartel Enforcement Regulations

We empirically study how collusion in product markets affects firms' financial disclosure strategies. We find that after a rise in cartel enforcement, U.S. firms start sharing more detailed information in their financial disclosure about their customers, contracts, and products. This new information potentially benefits peers by helping to tacitly coordinate actions in product markets. Indeed, changes in disclosure are associated with higher future profitability. Our results highlight the potential conflict between securities and antitrust regulations.     

Confucian Culture and Trade Credit: Evidence from Chinese Listed Companies

This paper examines the effect of cultural factors on the use of trade credit, an important non-formal financial channel. Using a sample of Chinese listed companies from 2007–2017, we find that firms headquartered in regions with a stronger Confucianism atmosphere can obtain more trade credit than their peers elsewhere. Further, the positive association between Confucianism and trade credit is more prominent for non-state-owned enterprises and firms located in regions with underdeveloped financial markets. Overall, our results highlight that Confucian culture—as an implicit value norm and an ethical philosophy—plays an important positive role in fostering honesty, and thus, promoting the use of trade credit. It enriches the literature on the determinants of trade credit and provides insights on the impact of Confucianism on corporate behavior and its underlying mechanism.