金融危机前后国际信用衍生产品市场的发展及启示

信用衍生产品自问世以来在分散金融机构信用风险、完善信用风险定价机制、提高债券市场流动性等方面发挥了积极的作用。该文介绍了信用衍生产品的主要功能及其在本次金融危机前、中、后三个时期的发展特点,肯定了基础信用衍生产品对金融市场的重要作用,指出中国应推动金融创新,建立有中国特色的信用衍生产品市场。     

The performance of banks in the MENA region during the global financial crisis

This paper examines the impact of the global financial crisis on the banking sector in the Middle East and North Africa (MENA) region, as well as the main determinants of the profitability of both domestic and foreign banks. The empirical findings suggest that during the crisis the former outperformed the latter in that region. As for the determinants of profitability, size does not appear to play a role, whilst the liquidity ratio and net interest revenues seem to have a negative and positive effect respectively; GDP has a positive effect in the case of domestic banks.     

全球金融危机后的场外金融衍生品市场变革

后金融危机时代的全球场外衍生品市场正处于深刻变革之中,各国政府、监管部门和金融行业改革场外衍生品市场的一系列举措对我国也有着重要的借鉴意义。文章对金融危机以来全球场外衍生品市场发展改革的情况进行了整理研究,并结合我国实际提出相关建议。     

金融危机启示:金融一体化监管趋势下的保险监管

任何一次危机的爆发都是风险释放的过程,研究危机更重要的是关注风险的积累过程。因此,分析危机前的风险积累过程,查找危机产生的原因,对防范和化解危机具有现实意义。本文通过对新近发生的美国次贷危机进而延伸到对10年前亚洲金融危机分析,以及全球金融一体化监管最新演进趋势的借鉴,论述我国保险监管组织架构的未来展望。     

Shareholder protection and bank executive compensation after the global financial crisis

We use a hand-collected international database to analyze the change in the risk-taking incentives embedded in bank executive compensation after the onset of the global financial crisis. Our results reveal a reduction in both the risk sensitivity of stock option grants (vega) and total and cash pay-risk sensitivities in countries suffering systemic banking crises. This reduction is greater in countries with strong shareholder protection, especially in banks with good corporate governance, solvent banks, and banks that suffered a reduction in their specific investment opportunity set. The regressions control for government intervention, banking development, and crisis intensity. Our results confirm that the contracting hypothesis is more relevant in countries with stronger shareholder protection, and provide support for measures improving shareholder rights in the approval of bank executive compensation.     

Linkages between Indian and US financial markets: impact of global financial crisis and Eurozone debt crisis

This paper examines inter-linkages between Indian and US equity, foreign exchange and money markets using the vector autoregressive-multivariate GARCH-BEKK framework. We investigate the impact of global financial crisis (GFC) and Eurozone debt crisis (EZDC) on the conditional volatility and conditional correlation estimates derived from the multivariate GARCH model for Indian and US financial markets. Our results indicate that there is significant bidirectional causality-in-mean between the Indian stock market returns and the Rs./USD market returns, and significant unidirectional causality-in-mean from the US stock market returns to the Indian stock market returns. As regards volatility spillovers, we find that volatility in the Indian stock market rises in response to domestic as well as US financial market shocks but Indian financial market shocks do not impact the US markets. Further, impact of the recent crisis episodes on the covariance matrix is found to be significant. We find that volatility in the Indian and US financial markets significantly amplified during GFC. The conditional correlations across asset markets were significantly accentuated in the wake of the two crisis episodes. The impact of GFC on cross-market conditional correlations is higher for majority of the asset market pairs in comparison to the EZDC.     

Individual financial risk tolerance and the global financial crisis

We investigate individual investors’ tolerance towards financial risk by focusing on changes associated with the global financial crisis (GFC) of 2007–2009. Financial risk tolerance (FRT) is analysed longitudinally controlling for demographic, socio‐economic and regional variations. In absolute terms, the change in FRT is small and contrasts with a popular view that risk tolerance is an elastic psychological state overly influenced by the pervading market conditions. Even in the presence of significant financial events, FRT tends to be a reasonably stable attribute in the shorter term but possibly influenced and reshaped by events more gradually over time.     

冰岛金融危机的起因、教训与启示

在全球金融危机的冲击下,冰岛成为第一个陷入困境而向IMF求助的发达国家。该文分析了冰岛金融危机的起因及教训,认为冰岛危机是自身经济发展失衡、金融过度膨胀且存在结构缺陷的后果;政府的金融监管与危机应对措施也负有重大责任。对其他国家都有着重要的警示意义。     

Fiscal policy in Korea: Before and after the financial crisis

This paper examines the role of fiscal policy in the Korean financial crisis and the subsequent recovery from it. We specifically address three questions: Was Korea’s fiscal policy prior to the crisis conservative, or were there large hidden contingent liabilities not captured in the official budget balance? What were the main characteristics of fiscal policy in stimulating and restructuring the economy under the IMF stabilization program in Korea? How effective were the financial guarantee and public investment programs as part of the counter-cyclical fiscal policy in the recovery process from the crisis? To address these questions, we re-estimate the consolidated budget deficits in Korea by incorporating the quasi-fiscal activities of public funds and public enterprises using their micro balance-sheet data from 1972 to 2003.     

美国金融风暴的警示——实现国际收支平衡至关重要

近几年,我国国际收支不平衡的情况日益恶化,国际收支顺差的规模也不断扩大,主要体现在外汇储备的快速增长上;而由于我国的外汇储备投资的资产主要集中在美国国债及其他美元债券上,美国金融危机的爆发使得我国的外汇储备资产价值受到了严峻的挑战,文章指出外汇储备大量投资美元资产不仅使得我们承担了来自美国政府、美元汇率的风险,还使得我们不得不为美国的金融危机买单,而且外需拉动型的经济增长模式也不具有可持续性。因此文章建议从扩大内需、降低贸易顺差、控制外商直接投资、治理热钱流入四个方面,多管齐下切实纠正我国国际收支失衡的现状。     

Liquidity risk and stock performance during the financial crisis

We investigate whether and how ex-ante liquidity risk affects realized stock returns during the global financial crisis of 2008–2009 in international equity markets. We find that stocks with higher pre-crisis return exposure to global market liquidity shocks experience larger price reductions during the crisis period. Our findings provide further insight into the comprehensive picture of the effect of liquidity risk on asset prices, especially in an international context and under different market conditions.     

从货币地位角度看美国次贷危机与亚洲金融危机的差异

相比亚洲金融危机等历次金融危机,美国次贷危机有着类似的宏观经济和制度背景,但次贷危机在形式、影响和危机国应对政策方面均体现出与传统金融危机不同的特征。该文比较了美国次贷危机与亚洲金融危机的差异,认为危机发源国货币地位的不同是这些差异产生的重要因素。     

How the German government responded to the financial,economic and fiscal crises

This paper explains the German government's response to the financial, economic and fiscal crises. It covers the financial crisis in 2008 when banks were supported (SoFFin), the economic crisis in 2009, and the fiscal crisis of increasing state debts and budget deficits which caused the German government to cut spending (Sparpaket) in 2010. The author looks at the contents of the government's responses, but also at the political and administrative aspects of the government's decision-making processes.     

欧洲债务危机影响全球金融市场

2011年12月,国际清算银行（BIS）发布季度报告,指出欧债危机已成为影响全球金融市场的主要因素。文章结合这一报告从全球增长预期与货币政策应对、欧债主权债融资形势、欧洲银行融资及清偿力状况、全球溢出效应等多个视角系统而具体地回顾了2011年四季度以来欧债危机形势的演变及影响,以期为投资者分析与展望2012年全球金融市场前景提供参考。     

Crisis transmission: Some evidence from the Asian financial crisis

We used a crisis measure of financial market as defined by Sexena (1998) to study the nature of crisis transmission and the channels through which the 1997 crisis was transmitted among Asian financial markets. Estimated with a vector autoregression (VAR) and an OLS model on Asian financial markets from January 1990 to December 1998, we found that:

1.

During the crisis period, crisis transmission was more significant than during other noncrisis periods;

2.

Comparing the crisis transmission within the industrialized countries (Taiwan, Korea, and Japan), within the emerging countries (Thailand, Malaysia, The Philippines, and Indonesia), and between the industrialized and emerging groups, it is shown that

2.1.

The crisis transmission among the three industrialized countries was not significant.

2.2.

The crises originated from Thailand and Malaysia were transmitted to other emerging countries.

2.3.

The crisis transmission between industrialized and emerging countries was not found to be significant. There was evidence showing that Singapore served as an intermediary transmitting crisis between industrialized and emerging countries during this particular crisis.

3.

The transmission through the wake-up call effect was found to be more significant than other transmission channels. Trade relationship and cash-in effects only existed in Korea, Thailand, and Malaysia.

     

从美国次贷危机看金融创新的风险管理

该文指出美国次贷危机的根源是对金融创新的风险管理不到位,文章分析了金融创新的特征以及市场参与者对金融创新的风险意识淡薄的现状,指出美国次贷危机的教训在于金融机构应充分重视金融创新中的风险管理,而监管机构对金融创新的风险监管则是业务发展和市场稳定的有力保障;最后文章对如何加强我国金融创新的风险管理提出相关的意见和建议。     

How the Dutch government responded to financial,economic and fiscal crisis

This article describes how the Dutch government responded to that country's financial, economic and fiscal crises. The article covers the financial crisis in 2008 when the Dutch government took measures to support and save banks; the economic crisis in 2009, which forced the government to take economic recovery measures; and the resulting fiscal crisis of increasing state debts and budget deficits which led the incoming government in 2010 to begin cutbacks in public expenditure.     

Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas

Understanding how financial crises spread is important for policy-makers and regulators in order to take adequate measures to prevent or contain the spread of these crises. This paper will test whether there was contagion of the subprime financial crisis to the European stock markets of the NYSE Euronext group (Belgium, France, the Netherlands and Portugal) and, if evidence of contagion is found, it will determine the investor-induced channels through which the crisis propagated. We will use copula models for this purpose. After assessing whether there is evidence of financial contagion in the stock markets, we will examine whether the ‘wealth constraints’ transmission mechanism prevails over the ‘portfolio rebalancing’ channel. An additional test looks at the interaction between stock and bond markets during the crisis and allows us to determine if the transmission occurred due to the ‘cross market rebalancing’ channel or the ‘flying to quality’ phenomenon. The tests suggest that (i) financial contagion is present in all analyzed stock markets, (ii) a ‘portfolio rebalancing’ channel is the most important crisis transmission mechanism, (iii) and the ‘flight-to-quality’ phenomenon is also present in all analyzed stock markets.     

The influence of accounting enforcement on earnings quality of banks: Implications of bank regulation and the global financial crisis

We study the effects of country-level accounting enforcement on earnings quality of banks and whether bank regulation substitutes or complements the effect of accounting enforcement on bank earnings quality. We also examine whether the influence of accounting enforcement on bank earnings quality changed after the global financial crisis. Using a sample of listed banks from 40 countries between 2001 and 2014, and abnormal loan loss provisions (ALLP) as our main proxy for earnings quality, we document a consistent and strong association between accounting enforcement and bank earnings quality. More specifically, an increase in accounting enforcement decreases the level of ALLP and decreases the propensity to manage earnings to avoid losses. Furthermore, we provide empirical evidence that bank regulation complements the effect of accounting enforcement on bank earnings quality. Finally, unlike in the pre-crisis period, we find a positive association between accounting enforcement and income-decreasing ALLP in the post-crisis period, which indicates that stronger accounting enforcement is associated with more conservative earnings and higher loan loss reserves. Overall, our results indicate that accounting enforcement reduces opportunistic earnings management.