Adverse selection and moral hazard: Quantitative implications for unemployment insurance

A model of optimal unemployment insurance with adverse selection and moral hazard is constructed. The model generates both qualitative and quantitative implications for the optimal provision of unemployment insurance. Qualitatively, for some agents, incentives in the optimal contract imply consumption increases over the duration of non-employment. Calibrating the model to a stylized version of the U.S. economy quantitatively illustrates these theoretical predictions. The optimal contract achieves a welfare gain of 1.94% relative to the current U.S. system, an additional 0.87% of gains relative to a planner who ignores adverse selection and focuses only on moral hazard.     

Moral hazard and adverse selection in the originate-to-distribute model of bank credit

Bank credit has evolved from the traditional relationship banking model to an originate-to-distribute model. We show that the borrowers whose loans are sold in the secondary market underperform their peers by about 9% per year (risk-adjusted) over the three-year period following the initial sale of their loans. Therefore, either banks are originating and selling loans of lower quality borrowers based on unobservable private information (adverse selection), and/or loan sales lead to diminished bank monitoring that affects borrowers negatively (moral hazard). We propose regulatory restrictions on loan sales, increased disclosure, and a loan trading exchange/clearinghouse as mechanisms to alleviate these problems.     

Staged-financing contracts with private information

This paper studies the use of incentive contracts in the Bolton–Scharfstein model when some agents in the population are technically constrained from falsifying reports and stealing cash [Bolton, P., Scharfstein, D., 1990. A theory of predation based on agency problems in financial contracting. Amer. Econ. Rev. 80, 94–106]. The original Bolton–Scharfstein contract may not be optimal for a large range of parametric values. The optimal contract may induce falsification and stealing in equilibrium and social welfare may be improved. Moreover, the optimal contract does not screen different types of agents. Empirical implications for various types of staged-contracts are discussed.     

完全信息状态下保险市场主体间的静态博弈研究

保险市场主体的行为以及他们之间的复杂关系直接影响着保险市场的发展,特别是投保人的逆向选择、道德风险和保险代理人的违规操作广泛存在,长期困扰着保险界。本文针对投保人和保险代理人的问题行为,通过建立完全信息静态博弈模型,来深入研究保险人与投保人、保险代理人之间的博弈关系,探讨解决问题的现实对策。     

A reconsideration of the Jensen-Meckling model of outside finance

The paper studies outside finance in a model of two-dimensional moral hazard, involving risk choices as well as effort choices. If the entrepreneur has insufficient funds, a first-best outcome cannot be implemented. Second-best outcomes involve greater failure risk than first-best outcomes. For a Cobb-Douglas technology, second-best effort and investment levels are smaller than first-best; for other technologies, the comparison depends on the elasticity of substitution. If firm returns are not too noisy as signals of behaviour, the optimal incentive scheme corresponds to some mix of debt and equity finance. If firm returns are too noisy, this interpretation is not available.     

The choice of maturity and additional covenants in debt contracts: A panel data approach

This paper provides a comprehensive analysis for the choice of contract terms in UK Eurobonds. Typically, the theory associates the choice of debt contract terms to firm and market characteristics, arguing that an adequate choice of these terms allows for the reduction of debt contracting costs. We use a panel data approach to examine the validity of extant predictions concerning the choice of maturity, call options, convertible options and protective covenants. Findings provide support to the agency prediction that debt contract terms function as alternative control mechanisms. Additionally, complementary role is found for the use of convertible and call options. Evidence that managers follow a maturity-matching rule, favour capital structure's flexibility in high growth scenarios and use protective covenants when firm's credibility is low corroborates further agency predictions.     

Optimal securitization with moral hazard

We consider the optimal design of mortgage-backed securities (MBS) in a dynamic setting in which a mortgage underwriter with limited liability can engage in costly hidden effort to screen borrowers and can sell loans to investors. We show that (i) the timing of payments to the underwriter is the key incentive mechanism, (ii) the maturity of the optimal contract can be short, and that (iii) bundling mortgages is efficient as it allows investors to learn about underwriter effort more quickly, an information enhancement effect. Finally, we demonstrate that the optimal contract can be closely approximated by the “first loss piece.”     

会计准则改革、会计利润信息与银行债务契约

本文考察了新、旧准则下合并报表净利润对银行信贷决策有用性的变化,以及新、旧准则下合并—母公司净利润差异对银行信贷决策有用性的变化。研究发现,合并报表净利润是银行信贷决策的重要依据,新准则下合并报表净利润与债务契约的相关性减弱,且公允价值变动损益高的公司更明显。论文还发现,新准则实施后,合并—母公司净利润差异与企业获得银行借款的相关性减弱,说明新准则下的合并母公司净利润差异为银行信贷决策提供了新的信息含量。     

我国银行次级债市场的衍生功能与改革方向

本文研究了银行次级债的债项特征设计对其市场约束功能和附属资本功能的影响．在此工作的基础上,再结合我国银行次级债市场的实际情况和具体特征,对其衍生功能进行了中外对比式的逻辑推理,并从次级债的债项特征、市场建设、法定监管等视角讨论了在满足附属资本功能的同时．如何尽可能地激发其市场约束功能,为我国银行次级债市场的改革提供了有意义的启示。     

地方竞争是否阻碍了地方政府债务绩效的提升？——理论框架及空间计量研究

本文从举债行为策略视角考察地方竞争对地方政府债务绩效的影响。 首先,从不同地区间举债行为策略互动的视角对地方竞争如何影响地方政府债务绩效进行理论诠释,其次,在采用Global超效率DEA方法测度地方政府债务绩效的基础上,突破空间独立性假设,运用空间杜宾模型对地方竞争影响地方政府债务绩效的效果及空间外溢性进行实证检验。研究发现,在地方效用最大化目标导向下,无论是地方税收竞争还是公共投资竞争,都对债务增速产生了较为显著的正向影响和空间外溢效应,导致地方采取主动扩大债务规模的举债行为策略。与此同时,随着债务规模的持续增长,无论是地方税收竞争还是公共投资竞争,都将对债务绩效产生“规模报酬递减”的负向影响和空间外溢效应,尤其是公共投资竞争的影响效果更加明显。进一步地,如果考虑到可能存在预算软约束现象,地方竞争还将与预算软约束行为相结合,对债务绩效产生了“使用效率递减”的负向影响。本文结论为通过债务合理使用来促进经济高质量发展,防范化解地方政府债务风险提供了政策启示。     

“三稳目标”背景下我国房地产去金融化的影响研究

现阶段我国房地产市场发展迅速,与金融业的关联日渐紧密,金融化泡沫化日趋严重,在一定程度上影响了国民经济内部良性循环。随着“345”规则、房地产贷款集中管理制度等监管政策落地,在稳地价、稳房价、稳预期调控基调不变情况下,一些房地产企业的债务风险逐步暴露和蔓延,引起社会各界对引发次生金融风险的担忧,房地产去金融化已是大势所趋。本文从房地产金融化的表现、采取的应对措施角度出发,对房地产去金融化的影响进行分析,同时立足“三稳目标”,提出全面强化对内部经营融资资金监管、建立健全房企有息债务信息公开机制、督导金融机构把控房地产融资关口、强化房产金融关联监管四个方面的建议。     

How do IMF announcements affect financial markets in crises?: Evidence from forward exchange markets

We employ a theoretical model to interpret the liquidity and moral hazard effects of IMF support during a financial crisis. We then estimate the response of forward exchange markets to IMF-related announcements, using data on the 3-, 9-, and 12-month forward exchange rates. Our results indicate that the announcement of IMF negotiations is associated with a premium on the baht and the rupiah, where the premium is much larger on the latter. This result is largely consistent with the responses of stock and bond markets, especially when country-specific data are employed.     

我国企业年金逆向选择和道德风险管理研究

当前形势下我国人口老龄化问题日益凸显,基本养老保险制度面临着巨大的支付压力。企业年金在缓解基本养老保险给付方面起到了重大的补充作用,但是我国现行的企业年金在实际运营管理中存在很多问题。论文从委托代理角度分析企业年金各主体之间的逆向选择和道德风险问题,并提出几点相关政策建议,以完善我国企业年金制度,使其更好地为企业职工提供更安全更实惠的社会福利。     

企业债务融资决策与产品竞争决策的互动关系研究述评

企业债务融资决策行为与产品市场竞争行为之间具有战略互动作用.一方面,债务融资可能会产生增加企业产品市场竞争行为侵略性的硬承诺作用;也可能产生相反的软承诺作用;另一方面,企业因投资专用性而形成的套牢关系、企业的技术选择和产品的技术特性等问题都将影响企业的债务融资决策.在综述国外现有研究成果之后,结合国内外市场环境的差异,讨论这一问题在我国未来的研究方向.     

债务展期金融契约视角下信用担保风险定价研究

通过把存款保险定价思路引入到信用担保风险定价领域,从信贷债务展期金融契约视角构建的信用担保风险定价模型及其数值求解方法,并进行的实证分析证明了基于债务展期金融契约视角下信用担保风险定价模型的科学性与应用前景.     

Reg-FD and the competitiveness of all-star analysts

We examine the impact of Regulation Fair Disclosure on the competitive advantage of All-Star analysts as measured by turnover in the rankings. Institutional Investor All-Americans, chosen by votes of institutional investors based on overall helpfulness, experienced a significant increase in turnover as Reg-FD was implemented. Non-US analysts and US analysts ranked solely on the basis of public stock recommendations did not. Within a few years, however, All-American turnover returned to pre-Reg-FD levels, suggesting that the new All-Americans built a competitive advantage stressing aspects of performance less dependent on privileged communication.