Bilateral portfolio dynamics during the global financial crisis

There has been considerable bilateral variation in the pattern of portfolio capital flows during the global financial crisis: for a given destination, investors from different countries adjusted their holdings to different degrees. We show that the size of the initial bilateral holding, geographical distance, common language, the level of trade and common institutional linkages help to explain the pattern of adjustment. These bilateral factors are more important for equities than for bonds and for investors from developing countries than for investors from advanced countries.     

全球金融危机反思与我国金融体制改革深化

始于美国次贷危机的本次全球金融危机,在使得主要国家金融体系遭受重创的同时,也揭示出发达国家金融体制的某些缺陷和未来改革趋向.在反思全球金融危机的成因,以及各国采取的应对金融危机措施的基础上,从体制、政策等多方面提出了深化我国金融体制改革的思考和建议,旨在为拓宽我国金融体制改革的思路提供参考,建立符合科学发展观的金融体制.     

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。     

On the dividend smoothing,signaling and the global financial crisis

This paper addresses twin problems related to dividend smoothing and signaling. Firstly, it provides direct test for dividend smoothing and signaling. Secondly, this paper attempts to examine the impact of Global Financial Crisis (GFC) on dividend stability. The paper estimates the Lintner model by incorporating Tobit structure using ten years longitudinal data of firms listed on the Muscat Securities Market. An empirical case study is conducted to demonstrate the usefulness of the model. Our empirical results validate both the original and the modified Lintner model, which is consistent with the signaling hypothesis. The paper finds that the impact of GFC on dividend policy is insignificant. Moreover, the evidence lends support to the substitute model of agency costs theory.     

Sovereign credit ratings,growth volatility and the global financial crisis

Using monthly data from January 1996 to May 2010 for a panel of 76 developed and emerging economies and adopting an instrumental variable (IV) estimation technique by correcting for both heterogeneity and endogeneity with the generalized two-stage least squares (G2SLS, EC2SLS) procedure method suggested by Balestra and Varadharajan-Krishnakumar (1987) and Baltagi and Li (1995), this article provides empirical evidence that volatility of per capita GDP growth is reduced when there are positive changes in credit ratings; in other words when sovereign credit risk improves. To deal with potential simultaneity between sovereign credit ratings and output volatility, a system (3SLS) approach is undertaken, and our findings remain robust. By weakening the volatility dampening effects of ratings changes, it is found that the global financial crisis (GFC) has enhanced macroeconomic volatility. One of the channels via which sovereign rating changes affect growth volatility is the financial markets’ repricing of sovereign default risk that is reflected in sovereign credit default swap (CDS) spreads and its volatility.     

An empirical analysis of currency volatilities during the recent global financial crisis

This paper investigates the impact of the 2008–2009 global financial crisis on the co-movement of 16 currencies in the sample. It employs a two-step atheoretic empirical methodology; it i) applies change point estimation based on geometric Brownian motion to detect change points in volatilities and ii) applies Engle's (2002) dynamic conditional correlation (DCCR) approach to estimate time varying correlations and then, observes the behavior of volatility co-movements during the periods found in (i). The results show that volatilities increase at least twofold with the outbreak of the crisis and there is an inverse relationship between volatility and the duration of the crisis. The DCCRs usually increase with the onset of the crisis and they fluctuate smoothly afterwards while keeping that increased level.     

The global financial crisis and protectionism: Substitution from tariffs to non-tariff measures

This study empirically investigates the relationships between tariffs and non-tariff measures before and after the global financial crisis (GFC). The panel analysis is based on traded products of 70 countries from 1997 to 2015. For developed countries, we find that tariffs and non-tariff measures were complementary before the crisis, but they became substitutional afterward. We do not find such shift for developing countries. We also run the analysis by income levels and by types of products and observe differential effects of the GFC on the relationship between the two trade policies.     

The bank lending channel of monetary policy in EU countries during the global financial crisis

The study examines the existence of the bank lending channel of monetary policy in European Union (EU) countries. The paper advances current research on the monetary transmission mechanism in the following ways: Firstly, we analyze the differences between ‘old’ Economic Monetary Union (EMU) and ‘new’ EU countries. Secondly, we examine the key bank characteristics and monetary policy indicators that may have an impact on the bank lending channel. We assume that short-term market interest rates and monetary aggregate M2 affect banks' activities. We apply the generalized method of moments (GMM) with pooled data from 1999 to 2012. We show that in the pre-crisis period the effect of changing the short-term market interest rates on the bank lending channel of monetary policy is more pronounced among ‘old’ EMU countries, whereas the effect of M2 is significant during the period of the global financial crisis (GFC) among ‘old’ EMU countries. Last but not least the important finding is that banks in ‘new’ EU countries react differently to monetary shocks.     

Europe's income convergence and the latest global financial crisis

This paper examines the effects of the 2008 financial crisis on economic growth and convergence across European countries from 1973 to 2012. Employing cross-sectional and dynamic panel data techniques, the results show that the global financial crisis has brought a greater absolute convergence rate rather than divergence, affected richer members more heavily and, presumably, allowed less developed members to recover more quickly. We find evidence that creating the European Union has contributed toward economic growth and convergence; meanwhile, no similar evidence is found concerning the European Monetary Union. Moreover, we present evidence that both the average output per capita and the rate of convergence during the financial crisis fell around 7%.     

Dynamic relationship between Turkey and European countries during the global financial crisis

This study examines the relationship between time-varying risk perceptions of investors towards major European countries and Turkey. In that manner, we first obtain the dynamic conditional correlations between the credit default spreads (CDSs) of Turkey and 13 European countries from September 2004 to April 2013. Next, we endogenously detect the shifts in these dynamic correlation levels using a penalized contrast methodology. Accordingly, we find positive level shifts in all correlations following the US crisis. The upward trend in all CDS correlations holds during the eurozone debt crisis, but positive changes in correlations are not flagged as level shifts by the model, except in a few cases. The results suggest that Turkey is not immune to global financial conditions and there is integration between Turkey and the major European economies in terms of risk perception after the global financial crisis.     

Selective swap arrangements and the global financial crisis: Analysis and interpretation

This paper explores the logic inducing the FED to extend unprecedented swap-lines to four emerging markets in September 2008. Exposure of US banks to EMs turned out to be the most important selection criterion for explaining the “selected four” swap-lines. This result is consistent with the outlined model. The FED swap-lines had relatively large short-run impact on the exchange rates of the selected EMs, but much smaller effect on the spreads. Yet, all the swap countries saw their exchange rate subsequently depreciate to a level lower than pre-swap rate, calling into question the long-run impact of the swap arrangements.     

金融危机背景下鞍钢产品策略现状与对策

从鞍钢集团的产品策略角度出发,结合金融危机背景条件,对鞍钢的应对策略和产品线调整状况作出分析,在此基础上总结鞍钢在金融危机中成功应对的经验,并分析未来产品策略。     

The future of financial markets: financial crisis avoidance

This article considers the lessons from the global financial crisis for redesigning the financial system and its regulation to make the chance of future such crises lower. It focuses on three areas: improvements to the regulation of individual financial firms; macroprudential analysis and improving the structure of crisis resolution and management. It argues that if the authorities implement a credible crisis management regime where no firm is too big to be resolved, a smarter and more incentive based approach to the regulation of individual financial firms and extensive macroprudential analysis that both makes the structure of financial markets less risky and identifies risks, the risk of future crises will be reduced. But no framework can eliminate the risk altogether.     

金融衍生品经济无限制膨胀是美国次贷危机、环球金融震荡的直接祸根

美国“次贷”危机的核心特徵是：“次贷”转为“次债”CDOs；从间接融资领域追入直接融资的资本市场领域；从美国金融市场跨越到国际金融市场；骨牌效应前所未有，皆归因于近年来美国金融衍生品经济的无限制膨胀。金融衍生品不断创新与发展基于上世纪70年代金汇兑本位货币制度的崩溃，是自由市场经济为解决自身矛盾在金融领域高度发展的必然结果。金融衍生品经济为发达市场经济运行带来了正效应，但其本质是虚拟经济运行，对实体经济必然呈现反向“锋刃”。近15年的环球金融风暴，无处不见发达市场经济金融衍生品泛滥的身影；规避的根本途径是：第一，约束发达市场经济国家金融衍生品经济的发展规模，其实体经济总规模应是“虚拟经济”交易总规模的理论最高值；第二，重建环球市场经济体系中的货币稳定机制与汇率稳定机制，建议建立环球中央银行，并构建环球中央银行的“基础货币”即国际通行储备货币与国际金融平衡调节货币。     

The political economy of the Ecuadorian financial crisis

This paper takes the unusual step of exploring economic hypothesesthrough interviews with key economic agents. It focuses on thecauses of Ecuador's 1999 banking collapse, within an eclecticframework with Minskian elements. Broad support is found for‘endogenous’ explanations of financial crises andlittle backing for explanations such as accidents or policymistakes. Interviewees argued that after the stabilisation programmeof 1992, agents became euphoric and accumulated debt to financeimprudent levels of expansion; that incentives for moral hazardled to financial corruption and excessive risk taking; and thatweak regulation after financial liberalisation encouraged financialfragility.     

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.     

Emerging market sovereign bond spreads,credit ratings and global financial crisis

This paper investigates the impacts of sovereign credit ratings and global financial conditions on the evolution of EMBI Global (EMBIG) spreads for a panel of 23 developing countries by using daily data for the period between 1998 and 2012. To this end, we employ not only the conventional panel estimation procedures, but also the recent methods tackling with either cross-sectional dependence stemming from common global shocks or a potential endogeneity. Our results suggest that credit ratings along with global financial conditions re the main determinants of EMBIG spreads. The determinants of EMBIG spreads are not invariant to speculative and investment grade episodes and transitions between them. The recent global crisis changed the determinants of EMBIG spreads and led to credit ratings' impact to converge between speculative and investment grade countries.     

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.     

The effect of coffee price shock on school dropout: new evidence from the 2008 global financial crisis

This article examines the effect of coffee price shock on the school dropout status of children in rural Ethiopia. To identify the effect, I exploit the exogenous coffee price shock caused by the 2008 global financial crisis. Using a unique rural data set collected before and shortly after the crisis, I compare the school dropout status of children in coffee-producing and non–coffee-producing villages. The difference-in-difference estimate suggests that the decline in the global price of coffee during the financial crisis increased school dropout rates among children aged 15–18 in coffee-producing villages. The effect is more pronounced among female children in this age group.     

The role of controls in the international financial crisis

The impact of the great financial crisis that started in the United States with the implosion of “subprime” loans has drawn the public’s attention on one of the most innovative branches of financial market, the famous derivatives. The financial crisis and the involvement of major banking institutions thus call for some thinking about the concept of control in Italy and in a globalized world. In Italy, even though the scale of the risks connected with transactions in derivatives is limited, some banks may have damaged their reputations by pushing complex derivative products onto unwitting clients. Apart from reassurance and all kinds of justifications, and without arguing whether this was deliberate or not, the monetary authorities, Consob, and ABI have clearly reported the risk of a world financial crisis too late.