Daily pricing of emerging market sovereign CDS before and during the global financial crisis

In this paper, we study the determinants of daily spreads for emerging market sovereign credit default swaps (CDSs) over the period April 2002–December 2011. Using GARCH models, we find, first, that daily CDS spreads for emerging market sovereigns are more related to global and regional risk premia than to country-specific risk factors. This result is particularly evident during the second subsample (August 2007–December 2011), where neither macroeconomic variables nor country ratings significantly explain CDS spread changes. Second, measures of US bond, equity, and CDX High Yield returns, as well as emerging market credit returns, are the most dominant drivers of CDS spread changes. Finally, our analysis suggests that CDS spreads are more strongly influenced by international spillover effects during periods of market stress than during normal times.     

Foreign reserve management during the global financial crisis

This paper examines how countries managed their foreign currency reserves during the global financial crisis. Evidence based on changes in reserve stocks suggests that many governments, even those with high levels of pre-crisis reserves, were reluctant to use them during the crisis. As a consequence, a number of recent studies of cross-country experiences during the crisis find little evidence of a positive role for reserves in macroeconomic crisis-management. This paper examines whether this assessment of the non-role of reserves during the crisis is justified. While the reserve stock data indicates stable reserve levels for many countries during the crisis, distinguishing between reserve changes that occurred due to interest income and valuation changes on existing assets and asset purchases and sales, indicates that many emerging economies actively depleted reserves. Further, the data indicate that countries whose pre-crisis reserve levels were in excess of what can be explained by standard models of reserve accumulation were the most likely to sell reserve assets during the crisis.     

Soft commodities and the global financial crisis: Implications for the economy,resources and institutions

Over the past decade, soft commodities have been subjected to increasing speculative price fluctuations. Following the 2008 financial crisis, most studies have highlighted causal relationships between price volatility, derivative and future markets for underlying financial assets as well as agricultural and mineral commodities. This article investigates the multifaceted effects of unrestrained financialization of the resources and goods markets and its implications for agricultural markets and soft commodities for purposes other than direct human consumption. We place a particular emphasis on the process of commodification of food and non-food crops and their use as green source of liquid fuels (i.e. soy, sugar cane, palm oil, jatropha, and canola). It is argued that speculation in financial markets has led to spillover effects across commodity and resource markets. More importantly, speculation and price volatility in the commodity markets has had a direct bearing on the resource markets and organization and appropriation of common-pool resources. The article sheds further light on the causal relationship between derivative markets, hedging techniques, financial yields and price volatility and spillover effects in the market for food and soft commodities.     

An evaluation of bank measures for market risk before,during and after the financial crisis

We study the performance and behavior of Value at Risk measures used by a number of large U.S. banks before, during and after the financial crisis. Alternative benchmark VaR measures, including GARCH-based measures, are estimated directly from the banks’ trading revenues to explain the bank VaR performance results. While overly conservative in both the pre-crisis and post-crisis periods, bank VaR exceedances were excessive and clustered in the crisis period. This contrasted with mostly unbiased benchmark HS and GARCH VaRs in the pre-crisis and post-crisis periods, and vastly superior GARCH-based VaR performance in the crisis period with lower exceedance rates and no exceedance clustering. Our results document the bank VaRs very slow adjustment to changing market conditions and their systematic bias in all studied periods. Our results indicate that bank VaRs could be improved by the use of models with time-varying volatility, and built on banks’ knowledge of their current positions.     

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.     

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.     

Monetary policy under financial uncertainty

Monetary policy may play a substantial role in mitigating the effects of financial crises. In this paper, I suppose that the economy occasionally but infrequently experiences crises, where financial variables affect the broader economy. I analyze optimal monetary policy under such financial uncertainty, where policymakers recognize the possibility of crises. Optimal monetary policy is affected during the crisis and in normal times, as policymakers guard against the possibility of crises. In the estimated model this effect is quite small. Optimal policy does change substantially during a crisis, but uncertainty about crises has relatively little effect.     

Monetary policy games,financial instability and incomplete information

In the aftermath of the recent global financial crisis, monetary authorities, while pursuing traditional objectives, such as the control of inflation, are also eager to promote financial stability. In this paper, we model the strategic interaction of the central bank and the financial sector and explore a simple monetary policy game with perceived substantial risks to financial stability, where the central bank can be of two types, one pursuing strict inflation-targeting and the other concerned with affecting the expectations formed by the financial sector participants; however, the financial sector is unsure which, due to incomplete information. The conclusion is that for small shocks to inflation there is a pooling equilibrium, whereas for larger shocks there is separation. In the latter case, the central bank that has an explicit financial stability concern is willing to exercise more muted control to inflation in order to reinforce the safety of the financial sector.     

全球金融机构重新排名

始于去年爆发的次贷危机已经给全球金融机构带来了重大的影响,此危机尚还未结束,仍然像幽灵一样纠缠着全球的金融机构     

Exchange rate volatility response to macroeconomic news during the global financial crisis

We investigate the volatility reaction to macroeconomic news in major currency markets during the recent global financial crisis. We first present an alternative method for determining the changes in economic states by endogenously estimating crisis thresholds. Second, we assess which macroeconomic indicator gave the earliest warning signal for the upcoming contraction. Third, we investigate whether there is a systematic change in the volatility reaction of exchange rates to news during the crisis period. We find that the estimated logistic transition function based on the housing starts data exhibits the earliest warning signal compared to other indicators. Our results suggest that although volatility response to most news indicators is larger in expansion, currency market reaction to new home sales and Fed funds rate news is larger in the crisis period. We attribute this finding to the context-specific relevance of the housing and credit sectors in the evolution of the global financial crisis.     

金融危机下企业的融资环境

在天津举办的第三届中国企业国际融资洽谈会期间,新华社主办了金融危机与中国经济分析专题报告会,新华社经济分析师周文龙发表了有关企业融资环境的演讲     

International financial institutions and the new global managerial order

This article is a contribution to the continuing debate within critical accounting and broader critical theory circles about the nature of capitalism in a globalized economic order. It argues that the contemporary economic environment cannot be adequately explained by traditional critical theories of imperialism. Through an analysis of the emergence of Mittal Steel Corporation as the world's largest steel producer, I document how international financial institutions encouraged the success of this new type of transnational corporation that is culturally grounded but not geographically bound to a hegemonic nation-state. The Mittal example suggests that globalization is fundamentally altering the relationship between international capital and the nation-state, and heralding the rise of international financial institutions (IFIs) as key actors in structuring a global, elite-driven order. The IFIs operate outside democratic control and scrutiny, and are able to impose their preferred economic solutions across the world.     

The information content of Eonia swap rates before and during the financial crisis

Before August 2007, implied forward rates in the overnight interest swap rates closely reflected market expectations about the future path of the Eonia, and therefore, about the future course of the ECB’s monetary policy stance. Nevertheless, this link was weakened considerably during the most acute episode of the financial crisis. Using the expectations hypothesis of the term structure as a benchmark model for the determination of the overnight interest swap rates, we find that after May 2010 the monetary transmission mechanism was partially restored when the ECB implemented various ‘unconventional measures’ in response to the financial crisis. On the contrary, liquidity and credit risks are still present in unsecured deposit markets, distorting the pricing and transmission of the ECB monetary policy stance along the Euribor rates. These results should be of interest for regulators, financial institutions, and researchers in European money markets.     

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.     

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。     

危机十年后的日本银行业

日本银行业能够从10年前的危机状况恢复到如今具有健全的金融机能,是宏观经济向好、公共当局的支持和银行自身努力的结果。目前日本银行业正采取多种经营措施,强化收益能力和竞争力水平。     

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。