Corporate Credit Spreads and the Sovereign Ceiling in Latin America

We exploit a panel of 72 US dollar-denominated bonds issued by Latin American publicly listed firms between 1996 and 2004, a period of regional financial crises, to answer the following three questions: (1) Is sovereign risk a statistically and economically significant determinant of the corporate credit spread, controlling for firm- and bond-specific characteristics? (2) If yes, do market participants apply the sovereign ceiling rule adopted by rating agencies in the pricing of our bond market data? And (3) how do market views compare with the rating agencies ceiling policy for each corporate bond? We find strong evidence of an economically and statistically significant effect of sovereign risk on corporate spreads across different panel econometric specifications and bonds. Moreover, markets do not apply the ceiling rule in 77–90% of the bonds we sample and these findings are consistent with rating agencies’ policies toward the latter for about 50% of the firms. These results are robust to the inclusion of firm- and bond-specific variables derived from the structural approach to credit risk and to the business cycle in each country.     

Idiosyncratic Risk in Emerging Markets

In this study, I examine the properties and portfolio management implications of value‐weighted idiosyncratic volatility in 24 emerging markets. This paper provides evidence against the view that the rise of idiosyncratic risk is a global phenomenon. Furthermore, specific and market risks jointly predict market returns as there is a negative (positive) relation between idiosyncratic (market) risk and subsequent stock returns. Idiosyncratic volatility is the most important component of tracking error volatility, and it does not exhibit either an upward or a downward trend. Thus, investors do not have to increase, on average, the number of stocks they hold to keep the active risk constant.     

Fiscal and Monetary Policy Coordination,Macroeconomic Stability,and Sovereign Risk Premia

In standard macroeconomic models, equilibrium stability and uniqueness require monetary policy to actively target inflation and fiscal policy to ensure long‐run debt sustainability. We show analytically that these requirements change, and depend on the cyclicality of fiscal policy, when government debt is risky. In that case, budget deficits raise interest rates and crowd out consumption. Consequently, countercyclical fiscal policies reduce the parameter space supporting stable and unique equilibria and are feasible only if complemented with more aggressive debt consolidation and/or active monetary policy. Stability is more easily achieved, however, under procyclical fiscal policies.     

Idiosyncratic Risk and Corporate Governance: Evidence from Jordan

ABSTRACT

This article offers evidence in support of the hypothesis that when investors have weak protection, small investors can suffer expropriation by large shareholders. In this kind of situation, a stock’s idiosyncratic risk is found to be negatively related to ownership concentration, which indicates that the cost of controlling ownership may outweigh its benefits. This is consistent with the view that minority investors have less incentive to invest in companies with weak protection for investors. When this is accompanied by low-quality information disclosed to the public, private information is not likely to be reflected in stock prices, resulting in lower idiosyncratic risk.     

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries

This paper analyzes how exchange rate policy affects the issuance and pricing of sovereign bonds for developing countries. We find that countries with less flexible exchange rate regimes pay higher spreads and are less likely to issue bonds. Changing a free‐floating regime to a fixed regime decreases the likelihood of bond issuance by 5.5% and increases the spread by 88 basis points on average. Countries with real overvaluation have higher spreads and higher bond issuance probabilities. The effects of real overvaluation on sovereign bonds tend to be magnified for countries with fixed exchange rate regimes.     

浙江省上市企业股价特殊风险的信息特征研究

金融市场的事实已经证明,股票价格风险波动不仅受市场风险波动的制约,而且随资本市场的环境变化,股价特殊风险已越来越显著的影响和决定着股价总体波动水平的变化。文章从浙江省上市企业的股价收益序列中分解、提炼出股价特殊风险,用投资者行为效应来判断其信息特征的变动规律,通过与系统风险信息特征及其投资者行为效应的对比,获取特殊风险呈现的信息特征规律。     

后危机时代美欧货币政策的成效分析与诱因比较

美国金融海啸与欧元区主权债务危机的爆发推动了非传统货币政策工具的运用,改变了发达国家对危机前货币政策的共识。央行资产负债表变动和前瞻性指引成了危机期间美欧频繁使用的量化宽松政策,这些政策使美国从金融海啸中走出来并重拾经济复兴之路。但欧元区主权债务危机的反复爆发和传染表明,这些政策要充分发挥作用尚需要超国家的欧洲政治经济机构的整合。美国的成功取决于美国联邦政府和货币机构作为一个整体,愿意共同合作并做出对国家最有利的事情,而且共同服从国家利益的观念得到社会普遍的认可和尊重。欧元区走不出危机泥潭、经济继续衰退主要源于：一是危机解决的公共品属性诱发了成员国的集体行动和道德风险;二是货币政策引发的利益冲突与强权政治的影响;三是作为一个松散的联邦,当共同面对危机问题时,缺乏一个超国家的权威政府,能够在促进公共利益上做出正确的政策决策。     

参股保险业与企业流动性风险管理:基于货币政策变更背景

现阶段宏观经济政策不断变更给企业经营带来诸多不确定性,从而增加了流动性风险,而通过参股保险公司所建立的产融结合平台能使企业降低制度调整的风险成本。我们对此进行了实证分析,以2006年～2010年上市公司季度数据为样本,利用倾向概率配对模型控制样本内生性问题后实证检验发现:参股保险公司的上市公司日常现金持有水平和调整水平较未参股公司低,且在面对从紧货币政策时,这种流动性风险管理的提升效果更加突出。结论显示,上市公司与保险公司建立产融结合平台具有财务协同效应,部分抵消了货币政策变更不确定性的冲击。这一研究对于企业产融结合实践策略部署有着重要的现实意义,对保险行业引导产融结合趋势也有较强的实践参考价值。     

稳健货币政策背景下民间借贷风险探析

随着央行多次上调金融机构存款准备金率和利率叠加效应的进一步发挥,2011年商业银行严格执行稳健的货币政策,作为正规金融有益补充的民间借贷日趋活跃。笔者通过对资源和资金富集区的陕西省神木县的调查,发现该县民间借贷市场上出现了一些新情况、新问题,其潜在风险应予高度关注。     

欧洲主权债务危机演进及对中资银行的启示

受全球金融危机的持续影响和欧元区制度问题的激化,欧洲主权债务危机呈愈演愈烈之势,逐步从边缘国家扩散至核心国家,并从主权债务危机向银行业危机演化。目前,欧元区重债国采取的财务整顿政策难以在短期发挥缩减赤字的作用,反而加大复苏风险;对重债国援助资金总量有限,其发放门槛徒增短期违约风险;欧洲央行购买国债虽有利于缓解危机恶化,但量化宽松的政策与其控制通胀的设立宗旨存在矛盾。在此背景下,中资银行应调整涉欧资产配置,进一步加强国别风险研究和管理,积极稳健地推进国际化经营,打造资产、业务和经营地域多元化的国际化银行。     

商业银行金融创新与系统性风险

本文利用2007—2018年间我国商业银行金融创新财务数据和基于尾部依赖度量的系统性风险,分析了商业银行金融创新对系统性风险的影响。结果显示:第一,我国商业银行金融创新在经济上行时期会降低系统性风险,在经济下行时期会增加系统性风险;第二,按照不同类型商业银行金融创新来看,在经济下行时期,商业银行衍生金融负债业务、理财及代理业务创新会增加系统性风险,而衍生金融资产业务和信贷业务创新会降低系统性风险。本文对实证结果提供了可能的经济学解释,并基于实证结果及原因,进一步提出了相应的监管措施和政策建议。     

Sovereign Risk Contagion in East Asia: A Mixture of Time-Varying Copulas Approach

This study analyzes sovereign risk contagion between four East Asian economies (China, Hong Kong, Japan, and Korea) and its structural changes through the Global Financial Crisis (GFC) and the European Debt Crisis (EDC) by applying the mixture of time-varying copulas to those economies’ credit default swap (CDS) spreads.

This article first finds a strong contagion from the US and PIIGS economies to the East Asian sovereign CDS markets and intraregional contagion within the East Asian markets. Second, the impact of contagion is different according to whether it is measured by the linear (Gaussian) or the upper tail dependence. Third, Japan plays an important role in increasing the linear dependence whereas China and Korea are crucial in terms of the upper tail dependence. Lastly, the GFC has structurally increased the linear dependence but not the upper tail dependence between the East Asian sovereign CDS markets.     

U.S. Monetary Policy and International Bond Markets

This paper analyzes how U.S. monetary policy affects the pricing of dollar‐denominated sovereign debt. We document that yields on dollar‐denominated sovereign bonds are highly responsive to U.S. monetary policy surprises—during both the conventional and unconventional policy regimes—and that the passthrough of unconventional policy to foreign bond yields is, on balance, comparable to that of conventional policy. In addition, a conventional U.S. monetary easing (tightening) leads to a significant narrowing (widening) of credit spreads on sovereign bonds issued by countries with a speculative‐grade credit rating but has no effect on the corresponding weighted average of bilateral exchange rates for a basket of currencies from the same set of risky countries; this indicates that an unanticipated tightening of U.S. monetary policy widens credit spreads on risky sovereign debt directly through the financial channel, as opposed to indirectly through the exchange rate channel. During the unconventional policy regime, yields on both investment‐ and speculative‐grade sovereign bonds move one‐to‐one with policy‐induced fluctuations in yields on comparable U.S. Treasuries. We also examine whether the response of sovereign credit spreads to US monetary policy differs between policy easings and tightenings and find no evidence of such asymmetry.     

资产证券化信用评级制度与系统性风险分析

资产证券化的复杂性和高度杠杆化加剧了投资者与发行人之间的信息不对称问题,信用评级制度作为信息披露手段,在减轻信息不对称、促进风险资产定价和保护投资者利益等方面发挥着重要作用.但若缺乏有效的制度保障,资产证券化信用评级过程中隐含的对系统性风险的累积和传导危险则会对金融系统稳定产生负面作用.我国信用评级制度缺乏良好的法律监管环境和充分的市场竞争,难以支持资产证券化产品的多样化发展和规模的快速扩大趋势.对此,需从宏观审慎监管框架的确立、信用评级监管权力的统一和制度完善以及评级行业的市场化推进等方面完善信用评级制度.     

公允价值会计能否放大银行体系的系统性风险

宏观审慎监管框架下公允价值会计被认为是顺周期机制,放大了银行体系的系统性风险而广受诟病。本文尝试从正向冲击和逆向冲击角度研究公允价值是否存在放大作用。研究发现两类冲击下系统性风险均存在;公允价值会计作用不对称,逆向冲击下放大了系统性风险,正向冲击下作用不明显;进一步分析逆向冲击的作用渠道时发现,市场流动性不足是放大作用的显著原因,银行以公允价值计价的风险敞口和资本充足率对放大作用没有显著影响。     

Have European Stocks become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area

We examine the dynamics of idiosyncratic risk, market risk and return correlations in European equity markets using weekly observations from 3515 stocks listed in the 12 euro area stock markets over the period 1974–2004. Similarly to Campbell et al. (2001) , we find a rise in idiosyncratic volatility, implying that it now takes more stocks to diversify away idiosyncratic risk. Contrary to the US, however, market risk is trended upwards in Europe and correlations are not trended downwards. Both the volatility and correlation measures are pro‐cyclical, and they rise during times of low market returns. Market and average idiosyncratic volatility jointly predict market wide returns, and the latter impact upon both market and idiosyncratic volatility. This has asset pricing and risk management implications.     

U.S. Real Interest Rates and Default Risk in Emerging Economies

This paper empirically investigates the impact of changes in U.S. real interest rates on sovereign default risk in emerging economies using the method of identification through heteroskedasticity. Policy‐induced increases in U.S. interest rates starkly raise default risk in emerging market economies. However, the overall correlation between U.S. real interest rates and the risk of default is negative, demonstrating that the effects of other variables dominate the anterior relationship.     

Optimal Fiscal and Monetary Policy in Customer Markets

We present a model in which some goods trade in “customer markets” and advertising facilitates long‐lived relationships. We estimate the model on U.S. data and find a large congestion externality in the pricing of customer market goods. This motivates the analysis of optimal policy. Under a complete set of taxes, fiscal policy eliminates the externalities with large adjustments in tax rates on customer markets goods, while labor tax volatility remains low. Constraining the instruments to the interest rate and labor tax, the optimal labor tax displays large and procyclical fluctuations, but monetary policy is little changed compared to a model with no customer markets.     

基于金融压力指数的金融系统性风险测度及影响因素

基于CRITIC赋权法构建中国金融压力指数,以此衡量中国金融系统性风险,并对其影响因素进行分析.研究结果显示:样本期间内,中国金融压力指数呈阶段性变化特征,其中2007-2010年是中国金融压力指数最大时期.国内生产总值指数对中国金融压力指数产生负影响,抑制中国金融压力指数上升;银行信贷余额、信贷膨胀率等其它变量对中国金融压力指数产生显著正影响,促使中国金融压力指数的上升.     

Cross‐Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area

We provide evidence for the euro area of spillovers from foreign public debt auctions into domestic secondary‐market auction cycles. We also confirm existing evidence of such spillovers from domestic issues into the domestic secondary market. Consistent with a theory of primary dealers’ limited risk‐bearing capacity, we find that auction cycles from domestic issues are stronger during the recent crisis period, whereas cross‐border effects are stronger in the precrisis period, but this evidence is not strong. This finding likely reflects the opposing effects of reduced sovereign bond market integration during the crisis and higher yield covariances caused by more market volatility.