The Microstructure of the Federal Funds Market

Unique transaction‐level data for nearly every federal funds transaction made during the first quarter of 1998 forms the foundation for this in‐depth exploration of the federal funds market. Unlike previous studies that have relied on aggregate and typically infrequent measures of federal funds market participation, the transaction‐level data exploited here allows a closer look at the microstructure of the market. The paper explores the relationship between bank size and participation in the funds market and discovers that even the largest banks are frequently net sellers of funds. A time‐of‐day pattern is uncovered, as is significant market concentration. Preliminary exploration into trading patterns, or networks, is conducted, and the existence of relationship lending in the interbank market is investigated.     

A Micro Model of the Federal Funds Market

This paper demonstrates that valuable insights into the determination of Federal funds rates can be gained through modeling the micro-decisions of market participants. Fed fund demand functions are derived for different bank valuation functions and several implications are discussed. Specifically, it is: (i) possible to rationalize the observation that large banks are net purchasers and small banks net sellers of Fed funds; (ii) to explain the positive spread of Fed funds rates over other short-term money market rates; and (iii) to link the size of this spread to the Federal Reserve's underlying monetary policy strategy.     

市场与政府:金融危机中的表现

本文是作者2010年6月份的演讲,由中国银监会培训中心摘译,主要介绍了全球金融危机前、危机期间和危机后市场与政府的关系,重新揭示了市场运行和政府监管的作用。     

金融危机与对冲基金新趋势

本轮危机之前的对冲基金利用良好的表现遮盖了其高杠杆和其它一些结构性等问题。危机之中,正是对冲基金的去杠杆化使风险放大,引发了全球金融风暴。危机过后的基金,痛定思痛,正通过改变策略,走出困境。重点对对冲基金的最新变化趋势进行了分析。     

金融危机、财政注资与市场波动

本文通过运用GARCH模型和事件研究方法分析美国政府财政注资在金融危机中的作用。研究表明,在金融危机中,财政注资能有效地稳定市场情绪和抑制金融市场波动。据此,本文为我国健全财政注资机制,完善金融安全网指明了方向。     

金融危机背景下中国金融衍生品市场的发展

本轮金融危机被冠以衍生品泛滥之名,使得国内对发不发展和如何发展我国金融衍生品市场产生纷争。本文通过分析指出本次危机是系统性危机,金融衍生品是其复杂传导链条中的一个环节,不应担当危机爆发的主要责任。通过中美金融衍生品市场的比较,发现我国金融衍生品市场仍处于初级阶段,与差距逐渐缩小的中美债券市场规模、中美经济总量规模相比,中国金融衍生品市场发展缓慢,市场发展空间巨大。最后指出我们应该深化基础市场建设,逐步建立多层次的金融衍生产品市场结构,并建议商业银行培育自身金融衍生产品的核心竞争力,提升风险管理水平。     

Financial Crisis and Credit Crunch in the Housing Market

We investigate the recent financial crisis with an emphasis on the interlock among housing, mortgage, and credit markets. Following Geanakoplos (Econometric Society Monographs 2:170–205, 2003, 2010), we develop a model in which both prices of the mortgage and its collateral are simultaneously and endogenously determined. Our empirical tests confirm the model’s prediction that an adverse change in the risk free rate or the loan recovery rate can trigger the financial crisis as we observed. Finally, we discuss how the pro-cyclical leveraging practice by financial intermediaries can magnify their losses in mortgage-related assets and consequently cause significant contraction in the balance sheets of these firms.     

Pacific Rim Stock Market Integration Under Different Federal Funds Rate Regimes

This study uses Sims-type vector autoregression technique to examine the stock markets integration among the US and four major Asian-Pacific stock exchanges during 1993 and 1994. The two different sample periods capture the change in US monetary policy in 1994. Empirical results show that when the US was targeting the federal funds rate in 1994, the variations in US stock returns much better explain the variations of stock returns in Hong Kong, Singapore and Australia.     

金融危机冲击下国际跨境资金市场稳定性分析

正国际金融危机引发了国际资金市场前所未有的动荡。流动性危机从美元市场开始,突破时区和币种的界限扩散到全球资金市场,并由此引发对在岸和离岸资金市场功能和稳定性问题的探讨。本文借鉴国际经验和有关研究成果,对跨境资金市场和资金流动问题进行初步分析,重点阐述     

再析美国金融危机前的利率政策

全球金融危机与美国货币政策的变化密不可分,从低利率货币信贷扩张的流动性过剩到高利率的流动性紧缩,使宏观经济产生剧烈波动,前期低利率带来过剩的流动性,后期利率的提高造成巨量房地产泡沫的破灭。让美联储无视资产泡沫的原因是美联储货币政策一贯秉持的"泰勒规则"指导原则没有纳入资产价格因子,致使美联储货币政策调控失误。     

Latin America After the Argentine Crisis: Diminishing Financial Market Integration

Original Papers

Latin America After the Argentine Crisis: Diminishing Financial Market Integration     

全球金融危机下主权财富基金:投资新动向及其对中国的启示

美国次贷危机引起全球金融市场剧烈波动,且已由虚拟经济向实体经济蔓延。以长期投资为主的主权财富基金被认为在一定程度上可对全球动荡的经济起到稳定器的作用,正在发生的金融危机为其提供了一个难得的投资机会,并且一些基金已经利用了这些机会。中国的主权财富基金也应当抓住机遇,积极应对国际投资环境的变化,在风险可控的前提下实现更高的回报率。     

超越房市的救市之争

我国部分城市的房价收入比过高,表明房地产市场存在泡沫,要使其持续健康发展,就必须挤压出累积的泡沫。目前房地产市场成交量低迷,正是市场步入自然调整状态的信号,人为中断调整只会埋下更大的隐患。房地产价格的调整可以促使房地产市场回归理性,促进产业间的均衡发展并有利于自主创新。当前,我们应更加关注市场运行规则和监管机制,而不是纠缠救市之争。     

金融危机前后的美联储货币政策调控方式演变

2008年国际金融危机前后,美联储的货币政策调控方式发生了明显变化.从金融危机之前准备金短缺下的公开市场操作调控转变为金融危机之后准备金充裕下的利率走廊与公开市场操作相结合的调控方式.本文详细分析了危机前后美联储货币政策调控方式的变化情况,这对于理解和预测未来美联储货币政策调控具有重要意义.     

危机后期货市场的表现及政策建议

本轮金融危机中,金融衍生品成为众矢之的。对场外衍生品和场内衍生品不加区分,造成了人们对场内衍生品的误解。数据分析表明,以期货为代表的场内衍生品市场在此次金融危机中表现稳定,继续发挥功能作用。危机之后,大力稳步发展以期货为代表的场内衍生品,将有助于提高我国的国际影响力和在国际大宗商品定价中的话语权。     

Product Market Competition and Financial Decisions During a Financial Crisis

We find that in the presence of the “flight to quality” during the 2007‐2008 financial crisis, firms that depended less on external financing (or internal finance dependent (IFD) firms) prior to the crisis were able to secure additional financing and increased investments, while external finance dependent (EFD) firms significantly contracted their external financing and investments. IFD firms’ increased investments during the crisis were associated with higher market share growth, while EFD competitors lost their market share. The results indicate that firms’ financial decisions during the financial crisis are interrelated with their product market dimensions.     

Efficient Funds in a Financial Market with Options: a New Irrelevance Proposition

Under the same assumptions that Ross used to assert the existence of an efficient fund (on which a spanning set of options can be written) we prove that almost any portfolio is an efficient fund. From a constructive point of view, a randomly chosen vector of portfolio weights yields an efficient fund. When the Ross assumptions are relaxed, a limited notion of efficiency-maximal efficiency-is the best attainable. The maximally efficient funds are also everywhere dense in the portfolio space. Some implications are discussed and illustrative examples given.     

金融危机对拉美国家私营养老金的影响及经验启示

2008年爆发的金融危机对全球经济产生了重要影响,也对拉美国家私营养老金制度的发展产生了巨大冲击。文章介绍了拉美国家私营养老金制度的改革路径和养老基金概况,从养老金资产价值、投资收益率、投资组合、雇员、制度覆盖面和缴费密度方面切入,分析了金融危机对拉美私营养老金制度的影响。在现状分析的基础上,得出了要保障私营养老金制度可持续运行的一些经验启示:构建多元化的混合型养老金体系,增强退休和养老金支付的灵活性,积极运用生命周期投资策略,实施多元化和分散化投资,以养老金长期收益作为投资目标,建立社会风险应急储备基金和政府担保机制,以及加强员工退休教育。     

金融危机后我国场外金融衍生产品市场的发展研究

发生在美国的次贷危机向全球扩散,演变成全球性的金融危机,乃至经济危机。场外金融衍生产品的过度创新对危机的扩散和演变起到了助推器和放大器的作用。我国场外金融衍生产品的发展既要吸取危机的教训,同时要根据我国的国情,鼓励金融创新、完善有关场外衍生金融产品市场的法律法规、加强对衍生金融产品监管的协调与合作、完善市场基础设施建设并加强场外衍生产品市场的信息披露。