FINANCIAL INTEGRATION IN EAST ASIAN EQUITY MARKETS

Abstract.  This paper examines the degree of financial integration that exists in East Asian equity markets using the International Capital Asset Pricing Model methodology. We employ three market portfolios to test for integration: the weighted average equity index of all sample countries, the Japanese market index and the US market index. The study shows that the level of financial efficiency and the integration of sample countries is high and has improved significantly during 1991 to 2005, and they are more financially integrated within the region and with the Asian leading market (Japan) than with the world leading market (the USA).     

ASIAN FINANCIAL CRISIS AND KOREAN TRADE DYNAMICS

Since the Asian financial crisis in 1997, Korean international trade has gone up substantially in both volume and trade balances. The improvement is largely due to an expansion of international markets through various bilateral trade agreements and the structural changes in Korean exchange rates. This article investigates the exchange rate–trade balance dynamics, popularly known as the J‐Curve phenomenon. Employing the bounds‐testing approach to cointegration and error‐correction modeling on Korean bilateral trade for the pre‐ and post‐Asian crisis periods, the study finds that support for the strict version of the J‐Curves has been fading after the crisis. While the weaker version of J‐Curve is generally supported in both pre‐ and post‐crisis sample periods, we also notice patterns such as M, N, or W‐Curves. There exists a long‐run relationship among the Korean exchange rates, domestic income, foreign income, and Korean trading balances. (JEL F14, F32)     

THE EFFECTS OF THE BANK OF JAPAN'S ZERO INTEREST RATE COMMITMENT AND QUANTITATIVE MONETARY EASING ON THE YIELD CURVE: A MACRO‐FINANCE APPROACH*

This paper empirically investigates the effects of the Bank of Japan's (BOJ) zero interest rate commitment and quantitative monetary easing on the yield curve. Applying a macro‐finance approach, we decompose interest rates into expectations and risk premium components and extract the market's perception of the BOJ's policy stance. We make clear the counterfactual policy without the BOJ's commitment. We find some evidence that the commitment lowered interest rates and mat raising the reserve target may have been perceived as a signal indicating the BOJ's accommodative policy stance. The portfolio rebalancing effect has not been found to be significant.     

功能失调、认知和行为偏差与农村政策性金融困境

农村政策性金融是国家保障农村社会强位弱势群体金融发展权和金融平等权的特殊制度安排.但由于内外种种原因,当前我国农村政策性金融改革发展中面临着一些问题及困境.本文依据行为金融学及结构方程模型等现代金融前沿理论与方法,通过实证分析,认为有关农村政策性金融的认知偏差、行为偏差和功能失调,对农村政策性金融发展困境具有正向影响,而且认知偏差与行为偏差对于农村政策性金融功能弱化也有显著的正相关关系,进而提出了相应的政策建议.     

FINANCE,DISTRIBUTION AND THE ECONOMIC OBJECTIVE OF FINANCIAL COOPERATIVE INSTITUTIONS

This paper proposes a model where the structure rather than the size of the financial sector explains its influence on income distribution. Because of information asymmetries, a financial sector dominated solely by profit‐maximizing financial intermediaries will increase income and wealth inequality as it gives preferential access to credit for high‐income agents, whereas a diversified inclusive financial sector with alternative models of finance, like cooperatives, will reduce the inequality gap. No full convergence in income distribution can be realized through finance only and there is still a need for redistribution policies. Accordingly, an objective function for cooperative financial institutions should define a desired pricing behaviour that can increase the income of members at a rate higher than the average growth rate of the economy.     

FACTOR ACCUMULATION AND THE TERMS OF TRADE: APPLICATIONS TO THE ASIAN FINANCIAL CRISIS

Abstract.  This paper investigates the effects of population growth and capital accumulation on trade and welfare. In the absence of a terms of trade effect, an population increase reduces the standard of living and causes a reduction in welfare. An increase in population causes deterioration in the terms of trade of a labour abundant country, whereas capital accumulation improves them, regardless of the source of growth. Moreover, an increase in the South's population is immiserizing.     

CO‐OP OPEN MEMBERSHIP: ECONOMIC AND FINANCIAL EFFECTS

This paper aims to analyze the objectives pursued by cooperatives upon opening doors to new members and how this affects business activity and financial indicators. Surprisingly, the results show that accepting new partners makes no positive impact on the return on assets, but it does make a variable impact on financial indicators according to the type of cooperative. Distinguishing between agricultural and worker co‐ops, we conduct a cross‐sectional study of a sample of Galician cooperatives to find whether they apply this principle the same way regardless of membership size. Our results corroborate that cooperatives apply the principle differently. This not only allows us to extract other relevant information from accounting for cooperatives, but it also permits other agents like financial entities to obtain indicators that reflect the true company image more adequately.     

FINANCIAL DEVELOPMENT AND THE FDI‐INEQUALITY NEXUS

This article empirically investigates whether the link between foreign direct investment (FDI) and income inequality varies with financial development. Using a smooth transition regression model to a panel of developing and advanced countries over the period of 1976–2005, the results indicate that financial development indeed defines the relationship between FDI and inequality. FDI raises income inequality and the effect becomes stronger in magnitude with financial sophistication. The results also indicate a large variation in the FDI effect across countries and over time, contingent on financial development. (JEL C23, F40, O15)     

A MODEL OF SELF‐FULFILLING FINANCIAL CRISES*

This paper combines the structural weakness and the self‐fulfilling panic view to explain the cause of the East Asian crises. In this model economy, the diversification strategies induce conglomerate firms to overinvest. They accumulate losses due to their unprofitable sectors and then compensate by obtaining bank loans. Domestic banks, which borrow from foreign banks, lend money as long as the total amount of accumulated loans remains within the firms’ collateral value. The model shows that if the debt to collateral value ratio belongs to a certain range a self‐fulfilling crisis can occur due to the self‐fulfilling expectations of foreign investors.     

CROSS‐BORDER INTEGRATION IN NORTHEAST ASIAN AIR TRANSPORT MARKET

This study highlights the recent global trends of the air transport market and develops a simulation model to assess the welfare impacts of tripartite liberalization in the Northeast Asian air transport market. First, in the global air transport market, routes between 1000 and 2000 km are identified as the fastest growing segment. Gravity model analysis reveals that there is potentially significant room for further growth from cross‐border liberalization. Second, in the impact assessment of market liberalization in Northeast Asia, the effect of tripartite market liberalization of triangular routes that connect major cities in each of the three nations, Japan, South Korea and Mainland China, is analyzed. Simulation using a Cournot model with product differentiation shows that overall welfare gains would be achieved from tripartite liberalization. Air carriers' losses are overridden by an increase in consumer surplus. Such an arrangement by the three nations might eventually lead to an integrated environment in which airlines could evolve into a true multi‐hub Northeast Asian air carriers.     

SHORT‐RUN AND LONG‐RUN IMPLICATIONS OF ENVIRONMENTAL REGULATION ON FINANCIAL PERFORMANCE

Opposing theoretical arguments exist regarding the effect of environmental regulation on financial performance. Some studies argue that environmental regulation constrains firms' abilities to exploit revenue‐enhancing or cost‐reducing opportunities. Other studies, representing the Porter hypothesis, argue that environmental regulation motivates firms to innovate, which ultimately improves financial performance. Although much of the debate focuses on long‐run effects, there are also important short‐run effects. This study provides empirical evidence regarding the short‐run and long‐run effects of Clean Water Act regulation on financial performance. To generate this evidence, we examine the effect of permitted wastewater discharge limits, on the return on sales, using panel data on publicly owned firms in the chemical manufacturing industries. We find that Clean Water Act regulation improves financial performance in both the short run and the long run with a stronger effect in the long run. These results suggest that some net benefits may be realized during a short‐run transition to comply with a tighter permitted discharge limit, with additional benefits accruing to the firm in the long run because the firm has more time to innovate. (JEL K23, L25, L51, L65, Q52)     

金融包容：新型危机背景下金融地理学视阈的新拓展

新型危机背景下,金融空间结构由于路径依赖而呈现的刚性开始松动,金融包容成为实现社会公平、协调、增长、共赢的必需手段。它是金融排斥理念的拓展与深化,也是动态、多层次、复合维度理念,不仅包括微观供求主体的包容,也涵盖了区域层面的包容共生,即各区域经济、金融、社会的协调、城乡金融协调以及区际金融协调。影响金融包容的因素包括需求、供给与社会三个方面,其作用渠道与强度随国别、文化、历史、经济、社会的不同而有所差异,深度包容比宽度包容更为重要,不能将其简单理解为金融普惠。包容的精髓在于充分信息下所有参与主体的机会均等、自主选择与互利共赢。     

中国金融发展的区域差异与区域金融协调发展研究进展与评论

文章从以下几个方面对中国金融发展的区域差异与区域金融协调发展的研究状况进行了考察:区域金融发展水平及其差异的测度方法;区域金融发展与经济增长关系;金融发展区域差异的动态特征与构成;金融发展区域差异的形成原因;区域金融协调发展政策。在此基础上,从金融地理学和新金融发展理论视角,分析了现有研究的不足和未来研究的改进方向。     

金融资源空间分布规律:一个金融地理学的分析框架

金融地理学的研究角度可以归纳为空间差异、空间过程与空间的相互作用三个层次.从这三个层次来看,金融资源空间分布呈现非均衡态势;金融资源空间分布是一个金融集聚与扩散的过程;金融资源空间分布的相互作用是金融效率的空间调整和提高的过程,也是金融功能的空问深化和完善的过程.     

BANK PERFORMANCE,FINANCIAL STABILITY AND MARKET CONCENTRATION: EVIDENCE FROM COOPERATIVE AND NON‐COOPERATIVE BANKS

Relying upon highly territorially disaggregated data taken at labour market areas, the paper explores the relationship between bank performances and financial stability of the banking system taking into account the role of market concentration. The z‐score is used as financial stability indicator, while the performance of financial intermediaries is measured using a parametric method recently developed (Kumbhakar et al. 2014). The empirical evidence shows a positive relationship between bank performance and financial stability and supports the ‘concentration–stability’ view for non‐cooperative banks only when concentration is measured on the whole sample of banks. Differences in the performance–stability nexus seem to depend more on the type of banks rather than different levels of market concentration. Higher market concentration of cooperative banks affects systemic stability by reducing the z‐scores of non‐cooperative banks, supporting the hypothesis that the presence of non‐profit‐maximizing entities can pull down stability of other financial institutions.     

ALLOWING FOR JUMP MEASUREMENTS IN VOLATILITY: A HIGH‐FREQUENCY FINANCIAL DATA ANALYSIS OF INDIVIDUAL STOCKS

Following recent advances in the non‐parametric realized volatility approach, we separately measure the discontinuous jump part of the quadratic variation process for individual stocks and incorporate it into heterogeneous autoregressive volatility models. We analyse the distributional properties of the jump measures vis‐à‐vis the corresponding realized volatility ones, and compare them to those of aggregate US market index series. We also demonstrate important gains in the forecasting accuracy of high‐frequency volatility models.     

THE POST‐ASIAN CRISIS DROP IN INVESTMENT: THE CASES OF INDONESIA,KOREA, MALAYSIA,AND THAILAND

This study analyzes drops in East Asian investment and their determinants after the 1997–1998 Asian financial crisis. We first employ a random level‐shift autoregressive model to quantify the shift in investment ratios of four Asian economies hit by the 1997–1998 Asian financial crisis: Indonesia, Korea, Malaysia, and Thailand. We trace the major historical shifts in the levels of investment ratios and we find that the cumulated downward shifts in investment ratios during 1997–1998 for Indonesia, Korea, Malaysia, and Thailand are 6, 5, 14, and 14 percentage points, respectively. The investment ratios of most countries experienced several rebounds between 1999 and 2001, but the rebounds were too small to bring investment ratios back to their pre‐1990 levels. Having identified the episodes of investment shifts, the Bayesian Model Averaging (BMA) and several robust tests are employed to investigate the determinants of those level shifts in investment ratios. We find that real per capita gross domestic product growth and banking crises are the two most important factors contributing to shifts in the investment levels of these four crisis‐hit Asian economies. The results are useful in understanding the causes and remedies of global imbalances. (JEL C11, E22, F32, O53)     

RECENT ADVANCES IN INTERNATIONAL FINANCE: INTRODUCTION

Arguably, international finance is one of the most exciting areas in economics. The development of international finance is influenced and shaped, at least in part, by the continuing process of globalization and integration. In the last 25 years the profession has witnessed the proliferation of both theoretical models and empirical analyses in international finance. The analysis of both new and existing issues has benefited from increasingly elaborate modelling techniques and sophisticated empirical tools.