Consumer preferences,the demand for Divisia money,and the welfare costs of inflation

This paper uses neoclassical demand theory to calculate the welfare costs of inflation. It considers the demand interactions between money, consumption goods, and leisure, relaxes the assumption of fixed consumer preferences, and addresses the inter-related problems of estimation of money demand functions, instability of money demand relations, and monetary aggregation. It makes full use of the relevant economic theory and econometrics and generates inference in terms of long-run welfare costs of inflation that is internally consistent with the data and models used.     

财务危机预测模型的构建

基于Logistic回归模型,选取中国制造业上市公司作为样本对财务危机预测进行研究。从企业的盈利能力、营运能力、偿债能力、成长能力、现金流量等方面出发,选取了10个财务预警指标,经过回归分析得出,总资产收益率、总资产周转率、资产负债率、主营业务增长率、经营活动现金净流量对负债的比率五项财务指标对上市公司发生财务危机有重要影响。从而提出要从提高盈利能力、提升营运能力、增强偿债能力、提高成长能力、保障现金流的充足几方面来应对财务危机。     

全球金融危机对台湾决策思维的影响

2008年全球金融海啸使得发达国家面对自上世纪30年代以来最大的衰退，但是发展中国家如金砖四国却依然持续发展。许多经济学家严厉地警告，家计单位及企业的消费支出减少，而对产出的影响更为严重，此举迫使台湾不得不通过扩大消费的方式，来挽回疲弱的经济力。本文针对此次全球金融危机对于台湾当局在因应策略上，关于全球金融体制的崩溃分析、有关当局的处理布局、国际经济组织及先进国家处理经验及建立新的清算机制等因应之道做分析与探讨，提供政策建议，希望封尔後的金融布局有所帮助。     

The US monetary performance prior to the 2008 crisis

This article uses a Structural Vector Autoregressive (SVAR) approach to study the different shocks to the monetary performance in the two decades of the US economy prior to the 2008 financial crisis. By using the Federal Fund Rate as a measure of change in the monetary policy, this study shows that interest rate expectation is informative about the future movement of Federal Fund Rate and the anticipated monetary policy should be one of the crucial reasons in causing monetary and financial deterioration in the US economy. This article discusses a possible conjecture of a low interest rate trap when a persistent and prolonged low interest rate regime led to financial instability.     

中国金融危机法构建的探讨

本次震撼全球的美国金融危机给世人敲响了金融危机不定时爆发的警钟。全球化背景下金融危机的传染性更强、金融风险更大。中国相对脆弱的金融体系需要探索如何防范金融系统性风险,如何健全金融监管体系的制度与法制建设。随着人民币国际化过程深入,制定并颁布《金融危机法》能克服目前金融监管纵向监管体系缺陷,对提高我国金融监管机构应对金融危机能力、稳定金融市场与保增长具有重要意义。     

美国金融危机成因分析及对中国的警示

美国金融危机引发全球金融市场动荡。这场金融危机从美国的房地产市场开始，以惊人的速度蔓延，波及至信贷市场、资本市场，封全球尤其是西方金融机构和金融市场造成重大冲击，短期内升级为全球金融风暴。中国目前正处于资产价格上涨、信贷投放过度的经济环境之中，美国的金融危机给中国敲响了警钟。本文通过描述此次危机的发展脉络，在分析美国金融危机背景的基础上，从强化房地产按揭贷款业务风险管理，审慎推进资产证券化等六个方面得出了对中国的警示。     

Investing against the wind: contagion during the recent financial crisis

This article examines the effect of Warren Buffett’s investment in Goldman Sachs on 24 September 2008, during the subprime mortgage crisis. Although this event is arguably perceived to be the biggest expression of confidence in the financial market during the crisis, by conducting event studies, we do not find the major counterparties of Goldman Sachs displayed positive abnormal returns. Moreover, the abnormal return is not significantly related to the counterparty connection. We have similar findings on these financial institutions’ default probabilities using credit default swap.     

Understanding spread in the electronic futures markets: financial crisis perspective

This article analyses bid–ask spreads in U.S. electronic futures markets around the recent financial crisis. We decompose the bid–ask spread into three components – order processing, inventory holding and adverse selection costs – and show that adverse selection costs increased the most during the crisis while order processing costs are the largest cost component. Volume significantly affects inventory holding and order processing costs, whereas volatility only influences inventory holding costs. The crisis period had a significant effect on these relations. This study extends the existing literature on liquidity in equity to futures markets.     

Overall effects of financial liberalization: financial crisis versus economic growth

ABSTRACT

The contribution of this work consists firstly in decomposing the effect of financial liberalization into a global direct positive effect on growth and an indirect negative effect via financial fragility and crisis. We show that the aggregate positive effect of financial liberalization outweighs the negative partial or temporary effect. Secondly, contrary to previous works, we distinguish many types of financial reforms. We found that equity market liberalization is the most important component in reducing economical costs associated with financial crisis. Thus, equity market liberalization is the most important favoring growth. Interest rate liberalization enhances significantly the probability of crisis leading to a short-run indirect effect more important than other financial reforms. Thirdly, we improved our work by addressing model uncertainty using Bayesian Model Averaging techniques to choose appropriate indicators for model crisis specification.     

Dealer behaviour in the Euro money market during times of crisis

This article shows how the recent money market disruptions with elevated counterparty risks and uncertainty about the fundamental value of liquidity influenced the trading behaviour of a key dealer in the Euro money market. The complete trading record in the unsecured segment of the money market for 2007 and 2008 is used to estimate a stylized pricing model, which explicitly accounts for the over-the-counter structure. The empirical results suggest that the market maker learns from order flow, but this information aggregation was increasingly hampered as the crisis unfolded.     

The Korean financial crisis and the soft budget constraint

A panel of Korean firms is used to test for the soft budget constraint (SBC) in bank lending before and after the 1997–1998 financial crisis. SBC is present if a firm can borrow from its bank despite being in financial distress, which we define by a low Altman's z-score. We find that prior to 1997 financially distressed firms were able to borrow while after the crisis their ability to borrow declined substantially. We also demonstrate that SBC was a significant factor in the firms’ propensity to default during the crisis.     

Investor sentiment and the financial crisis: a sentiment-based portfolio theory perspective

The article proposes a portfolio model subjected to a constraint that captures the investor’s goal, with maximum estimation of expected return that is affected by investor sentiment. And we give a solution of the portfolio model by exploring the geometric features. Furthermore, we discuss the relationship between investor sentiment and the financial crisis by analysing the optimal allocation. The results show that: when investor sentiment is low enough, the investor should reject the investment, this condition leads the depression financial market to prevail, then the financial crisis erupts; when investor sentiment is modest, the financial crisis is difficult to erupt unless the decline of investor sentiment is quick and deep; but there is a special status that the financial crisis is caused by other factors rather than by investor sentiment; and only improving investor sentiment cannot move away from the financial crisis.     

Modelling the causes and manifestation of bank stress: an example from the financial crisis

In this study, I model the predictors and manifestation of bank stress during the financial crisis using a Multiple Indicator Multiple Cause model. Unlike most early warning models that predict failure probabilities, this article describes a framework for predicting a broader notion of bank stress that need not rely on regulatory decisions. As such, this method can be easily applied to large institutions, and avoids the complications associated with modelling a regulatory decision such as failure or a CAMELS downgrade. Using bank reliance on Term Auction Facility funds and the out-of-sample incidence of failures and acquisitions, I demonstrate that the measure of bank stress generated here accords with other notions of bank-level distress. Finally, this method catalogues predictors of distress during the financial crisis. Thus, this article can help assess the validity of several recent regulatory proposals. I find that those banks entering the crisis with more Tier 1 capital, more liquid balance sheets, and relatively stable liabilities subsequently came under less stress. These findings support the Basel III recommended increases in banks’ capital adequacy, liquidity and stable funding.     

Neoliberal growth models,monetary union and the Euro crisis. A post-Keynesian perspective

The paper offers an account of the Euro crisis based on post-Keynesian monetary theory and its typology of demand regimes. Neoliberalism has transformed social and financial relations in Europe but it has not given rise to a sustained profit-led growth process. Instead, growth has relied either on financial bubbles and rising household debt (‘debt-driven growth’) or on net exports (‘export-driven growth’). In Europe the financial crisis has been amplified by an economic policy architecture (the Stability and Growth Pact) that aimed at restricting the role of fiscal policy and monetary policy. This neoliberal economic policy regime in conjunction with the separation of monetary and fiscal spheres has turned the financial crisis of 2007 into a sovereign debt crisis in southern Europe.     

全球金融危机中消费型增值税对我国经济的影响

实行消费型增值税是我国的一项重大减税政策,是应对世界金融危机的积极财政政策的重要组成部分,是增加企业利润的有利因素,对刺激投资和经济回暖起到了一定的积极作用。     

Effects of financial constraints on export performance of firms during the global financial crisis: microeconomic evidence from Korea

This study uses a manufacturing firm-level panel data set of South Korea for 2006–2013 to investigate the effect of financial constraints on the export performance of firms, with particular emphasis on the corporate ownership structure. The empirical results show that foreign multinational corporation (MNC) subsidiaries are not affected by financial constraint during both crisis and noncrisis periods, implying advantages of foreign ownership. However, domestic firms suffer more from financial constraints on exports during crisis years. In particular, domestic firms without parent firms are financially constrained during both crisis and noncrisis periods. However, those with parent firms do not experience financial constraints during noncrisis periods, although they too suffer from them during crisis periods. Thus, parent–subsidiary linkage among domestic firms plays an important role in alleviating financial constraints on export activity in noncrisis years but not as much during crisis years. Therefore, domestic parent firms exhibit less resilience to the global financial crisis, in comparison to foreign MNC parent firms.     

The financial fragility and the crisis of the Greek government sector

The purpose of this paper is to develop Minskyan financial fragility indices for the government sector and to examine the financial structure of the Greek government before and after the onset of the sovereign debt crisis in 2009. We provide empirical evidence that clearly shows the growing financial fragility of the Greek public sector in the 2000s. We also assess the effectiveness of the implemented bailout adjustment programmes in Greece and claim that the conducted austerity measures and fiscal consolidation have not significantly improved the financial posture of the Greek government sector. We argue that the implementation of fiscal and wage austerity in an economy that lacks structural competitiveness produces prolonged recession and unemployment with adverse feedback effects on the financial fragility of the government.     

Economics of the crisis and the crisis of economics

Abstract

The macroeconomic instability revealed in the recent deep recession steams from the condition of balance sheets. Generally high leverage and strained maturity mismatches build up slowly but generate a financial structure so brittle that the impulse that eventually sends it crashing is hard to identify. The US financial system had been rendered more vulnerable by the financial reforms that swept away the Glass-Steagall regulations. The crisis made the inadquancies of the ruling macroeconomic paradigm painfully obvious. DSGE models generally did not include a financial sector and did not take the possibility of dramatic instability seriously. Unanticipated violations of budget constraints do not fit easily into general equilibrium models.     

The countercyclical role of Italian local banks during the financial crisis

The article analyses the role of local banks in Italy during the 2008–2009 crisis from the perspective of the relationship lending model. During the crisis, the risk of cascading failures of financial organizations has dramatically increased, thus causing a return of attention to local banking as a possible source of countercyclical behaviours in the financial markets thanks to their ability to establish fiduciary long-term relationships with small businesses.

The purpose of this article is to test this hypothesis and to disentangle the response of local banks during the financial turmoil according to their governance structure and location. Our results show that non-independent local banks and, to a limited extent, cooperative banks located in the rural area actually played a significant countercyclical role across the crisis. Policy implications suggest that prudential supervision should rethink the indicators of systemic risk in order to differentiate banks according to their capability of mitigating it.     

Socially responsible and conventional investment funds: performance comparison and the global financial crisis

We investigate the performance of socially responsible funds (SRFs) and conventional funds (CFs) in different market (geographical area and class size) segments during the period 1992–2012. From an unbalanced sample of more than 22 000 funds, we define a matched sample using a beta-distance measure to match any SRF with the ‘nearest neighbour’ CF in terms of sensitivity to risk factors. Using this matching approach and a recursive analysis, we identify several switch points in the lead/lag relationship between the two investment styles over time in different market segments. A relevant finding of our analysis is that SRFs played an ‘insurance role’ outperforming CFs during the 2007 global financial crisis.