构建中国金融压力指数探析

加强宏观审慎管理,维护金融体系稳定,要求中央银行能够及时地监测金融市场总体状况,而现有指标多数局限于分析单个金融市场。2008金融危机后,美国圣路易斯联邦储备银行等机构开发出金融市场压力指数监测整个金融市场压力情况,从而更好地来评估货币政策效率和金融市场稳定状况。本文通过分析国际金融市场3种常用的金融压力指数,采用6个指标分别描述影响我国金融市场投资者信心和流动性状况的因素,并据此编制中国金融市场压力指数。实证研究结果表明,该指数与芝加哥期货交易所波动率指数存在长期协整关系,能够较好地刻划我国金融市场压力变动情况。     

Financial Regulation,Financial Globalization,and the Synchronization of Economic Activity

We analyze the impact of financial globalization on business cycle synchronization using a proprietary database on banks’ international exposure for industrialized countries during 1978 to 2006. Theory makes ambiguous predictions and identification has been elusive due to lack of bilateral time‐varying financial linkages data. In contrast to conventional wisdom and previous empirical studies, we identify a strong negative effect of banking integration on output synchronization, conditional on global shocks and country‐pair heterogeneity. Similarly, we show divergent economic activity due to higher integration using an exogenous de‐jure measure of integration based on financial regulations that harmonized EU markets.     

Monetary policy and financial stability: What role for the futures market?

This paper examines interactions between monetary policy and financial stability. There is a general view that central banks smooth interest rate changes to enhance the stability of financial markets. But might this induce a moral hazard problem, and induce financial institutions to maintain riskier portfolios, the presence of which would further inhibit active monetary policy? Hedging activities of financial institutions, such as the use of interest rate futures and swap markets to reduce risk, should further protect markets against consequences of unforeseen interest rate changes. Thus, smoothing may be both unnecessary and undesirable. The paper shows by a theoretical argument that smoothing interest rates may lead to indeterminacy of the economy's rational expectations equilibrium. Nevertheless, our empirical analysis supports the view that the Federal Reserve smoothes interest rates and reacts to interest rate futures. We add new evidence on the importance for policy of alternative indicators of financial markets stress.     

Macroeconomic impacts on commodity prices: China vs. the United States

This study compares the macroeconomic impacts of China and the United States on international commodity markets using a factor-augmented vector auto-regression (FAVAR) model with latent factors extracted from a rich data set that includes various macroeconomic and financial indicators at monthly frequency. The main results suggest that whether or not the Chinese demand cause commodity prices to soar depends. Macroeconomic factors of China do have significant impact on commodity markets, but the impacts of the United States outperform those of China in terms of the size of coefficients and their level of significance, as well as the direction and magnitude of directional return spillovers. Moreover, the effects of these factors on individual commodity futures are not a universal phenomenon. Therefore, there is no systematic evidence of a relationship between strong growth in the emerging economy and the boom in commodity futures prices, either statistically or economically.     

A closer look at financial development and income distribution

This paper analyzes the under-investigated relationship uniting financial development and income distribution. We use a novel approach taking into account for the first time the specific channels linking banks, capital markets and income inequality, the time-varying nature of the relationship, and reciprocal causality. We construct a set of annual indicators of banking and capital market size, robustness, efficiency and international integration. We then estimate the determinants of income distribution using a panel Bayesian structural vector autoregressive (SVAR) model, for a set of 49 countries over the 1994-2002 period. We uncover a significant causality running from financial sector development to income distribution. In addition, the banking sector seems to exert a stronger impact on inequality. Finally, the relationship appears to depend on the characteristics of the financial sector, rather than on its size.     

What drives portfolio investments of German banks in emerging capital markets?

After decades of steady liberalization and financial market development, emerging capital markets experienced unparalleled capital inflows in the aftermath of the emerging markets crisis of the 1990s. This paper studies portfolio investment decisions of German banks in emerging capital markets from 2002 to 2007. The use of a dynamic time-series cross-section framework and the micro database External Position Report provided by Deutsche Bundesbank permit insights into the various determinants of portfolio investments in ECMs. For example, there is evidence that German banks take into account the various dimensions of financial market development in their portfolio investment decisions and anticipate the special risks inherent in emerging markets. Proxies for the overall development and efficiency of capital markets have the highest economic significance of all variables. The introduction of depositary receipts programs has a positive impact on stock market investment. Moreover, there is evidence that global risk aversion exerts a significant influence in times of financial turmoil.     

Do credit rating agencies add to the dynamics of emerging market crises?

This study investigates the role of credit rating agencies in international financial markets. With an index of speculative market pressure it is analyzed whether sovereign ratings changes have an impact on the financial stability in emerging market economies. The event study analysis indicates that sovereign rating changes have substantial influence on the size and volatility of emerging markets lending. The empirical results are significantly stronger in the case of government's downgrades and negative imminent rating actions than in the case of agencies’ positive rating adjustments. Sovereign rating changes anticipated by market participants have a smaller impact on financial markets in emerging economies.     

Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets

We analyze return and volatility connectedness of the rising green asset and the well-established US industry stock and commodity markets from September 2010 to July 2021. We find that the time-varying return and volatility connectedness have exhibited serious crisis jumps. Some individual assets of both the green and commodity markets are in connection to the US sectoral stock market returns, and the volatility connections are even more common than the return connections. Furthermore, some financial and economic uncertainty indicators manifest positive impacts from the volatility of some ‘big pond’ markets for e.g. commodities, whereas some others affect the connectedness negatively. Additional analysis of financial and economic uncertainty indicators manifests positive impacts from the volatility of some ‘big pond’ markets, e.g., commodities, while others negatively affect the connectedness.     

The transmission of emerging market shocks to global equity markets

The paper analyzes whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above and beyond their influence during crises episodes. Using a novel database of exogenous economic and political shocks for 14 systematically relevant EMEs, we find that EME shocks not only have a statistically but also economically significant impact on global equity markets. The economic significance of EME shocks is in particular underlined by their remarkably persistent effects over time. Importantly, EMEs are found to influence global equity markets about just as much in “good” times as in “bad” times, though they tend to be stronger during crises or periods of financial turbulence. Finally, we detect a large degree of heterogeneity in the transmission of EME shocks to individual countries' equity markets, stressing the different degrees of financial exposure, which is relatively higher for European equity markets.     

经济开放与货币需求:国际金融风险及持币成本的测度

在中国开放经济体制下的基准货币需求模型中,本文将源于国际金融市场的持币成本设为遗漏潜变量,并构建特定的国际金融综合指数(CIFI)作为该潜变量的测度。借鉴机器学习与测度理论,本文利用对数误差修正模型提出了分步降维的CIFI构造算法,构造了长期CIFI和短期CIFI。结果表明,CIFI构造中的无监督降维步骤有助于减少高维金融数据中的冗余信息。实证分析发现,国际机会成本对中国货币需求具有规律性的前导影响,而在2007至2008年国际金融危机期间,央行的应急措施对长期CIFI所代表的非均衡冲击起到明显的阻截效果,对短期CIFI的影响基本是持续不变的。通过综合指数构造与宏观货币需求模型的算法连接,可以利用CIFI的构成结构从前导时间与影响强度两方面追踪冲击货币需求的国际金融风险的具体来源,这为宏观决策者监测国际金融市场提供了颇有规律的信息。在方法论上,本研究为如何利用模型监测国际金融市场影响宏观经济开辟了一条新路。     

The growth in equity market size and trading activity: An international study

This paper presents new evidence on the role of macroeconomic and institutional factors in equity market development and on the sources of equity market growth. Using panel data on 33 countries, I find that development of financial intermediaries and trade openness are positively associated with equity market size, and that development of financial intermediaries is also positively associated with the level of activity in equity markets. Government consumption is negatively associated with equity market activity. I construct a direct estimate of the effect of institutional factors on equity market development that compares a country's actual level of development to a hypothetical “best-practice” country having the same macroeconomic fundamentals as the original country. I show that the level of equity market development of an average country is around 30% below its maximum potential. There are wide differences in institutional characteristics across countries and over time, and Canada, the United States, and Singapore possess the most shareholder-friendly institutional frameworks that foster larger and more active equity markets. It appears that institutional improvements and changes in financial technology have provided the major impetus for the phenomenal expansion of global equity markets.     

Working capital as a firm performance savior? Evidence from Scandinavian countries

This study examined the relationship between working capital management (WCM) and firm performance in Scandinavian markets from 2007 to 2020. The initial data set comprised 8821 observations; only 5331 yearly observations remained after data filtration. The data are extracted from a reliable Bloomberg database. This empirical study adopts a multiple regression analysis for unbalanced panel data on Scandinavian markets, reporting an inverse relationship between WCM and firm performance measured through return on assets, gross operating income, and market-to-book value ratio. The control variables also showed a significant relationship order. To assess the robustness of our baseline regression results, we considered various indicators, (i) including alternative measures of firm performance, (ii) excluding the 2008 global financial crisis period, and (ii) running all countries in one equation as a group analysis. This study adds to the existing literature and outlines how efficient WCM can help managers to improve firm performance.     

Dynamic connectedness and optimal hedging strategy among commodities and financial indices

This study looks at the best portfolio strategy for mitigating the risk associated with the MSCI ACWI & Frontier Markets Index, as well as the volatility spillovers between commodity markets and certain financial markets. Therefore, we empirically explore the connectedness among three financial indicators and five product groups using the framework of Diebold and Yilmaz (2012), which is based on a vector autoregressive process and variance decomposition of prediction errors, between 31 May 2002 and 30 July 2021. We also investigate the best hedging instrument(s) for the MSCI ACWI & Frontier Markets Global Index by combining the Asymmetric Dynamic Conditional Correlation (ADCC) model with the risk reduction index and the hedging ratios. Our empirical findings highlight the importance of volatility spillover effects across financial markets, which is not the case for commodity markets with low volatility externalities. Furthermore, the first markets appear to be net transmitters of volatility, whereas the second markets appear to be net receivers. Using the approach of Kroner and Sultan (1993), we show that the least risk portfolio is a portfolio that combines the MSCI ACWI & Frontier Markets Global Index with financial indices related to socially responsible and irresponsible investing.     

Time-varying neural network for stock return prediction

We consider the problem of neural network training in a time-varying context. Machine learning algorithms have excelled in problems that do not change over time. However, problems encountered in financial markets are often time varying. We propose the online early stopping algorithm and show that a neural network trained using this algorithm can track a function changing with unknown dynamics. We compare the proposed algorithm to current approaches on predicting monthly US stock returns and show its superiority. We also show that prominent factors (such as the size and momentum effects) and industry indicators exhibit time-varying predictive power on stock returns. We find that during market distress, industry indicators experience an increase in importance at the expense of firm level features. This indicates that industries play a role in explaining stock returns during periods of heightened risk.     

Macroeconomic stability or financial stability: How are capital controls used? Insights from a new database

While the traditional objectives of capital controls were to address macroeconomic stability risks, a new “externalities view” has emerged prescribing their use to contain financial stability risks. In this context, our understanding of whether capital controls are used in practice to mitigate macroeconomic or financial stability remains limited. Using a novel database on high-frequency capital account regulations for 47 advanced and emerging economies from 2008 to 2020, this paper empirically assesses this question. Our main findings are that: (a) in emerging markets there is a strong association of capital controls on inflows to mitigate risks to macro stability but not financial stability risks; (b) in advanced economies there is a robust association between capital controls on inflows to lean against the buildup of financial stability but not macro stability risks; (c) banking sector flows, but not aggregate capital flows, are strongly associated with tightening capital controls on inflows in emerging markets; and (d) pooling advanced and emerging economies attenuates regression estimates and would lead to concluding that capital controls have weak association with both financial and macro stability motives. Our results can be rationalized by the greater capital flows, more volatile business cycles and stronger interaction between business and financial cycles in emerging markets, and the deeper asset markets found in advanced economies.     

Financial reforms and time-varying microstructures in emerging equity markets

This paper seeks to investigate the impact of financial reforms on time-varying microstructures in emerging equity markets. We develop annual indicators of informational efficiency, market volatility and transaction costs, using daily data for a panel of 28 emerging markets over the 1996–2007 period. We then analyze the impact of insider trading regulations, trading system automation and accounting standardization on microstructures through a set of panel regressions controlling for financial development and simultaneous reforms. Our results suggest that emerging market microstructures are affected by economic and political context, are strongly related to one another and depend on specific institutional reforms.     

Success Factors of Financial Derivatives Markets in Asia

The objective of this study is to investigate the success factors of financial derivatives markets in Asia. The selected countries include Thailand, Malaysia, Singapore, South Korea, Japan and Hong Kong. The success factors of financial derivatives markets in Asia are examined by employing the panel regression. The empirical results show that size, volatility, and liquidity of spot market are significant factors for the success of financial derivatives markets in sample countries. Further, tick size, contract size, and option-type also enhance trading volumes while product age is not statistically significant. The results from this study provide important implications in developing the financial derivatives market which plays an important role in the capital market.     

Presidential Address: Pension Policy and the Financial System

In this paper, I examine the effect of pension policy on the structure of financial systems around the world. In particular, I explore the hypothesis that policies that promote pension savings also promote the development of capital markets. I present a model that endogenizes the extent to which savings are intermediated through banks or capital markets, and derive implications for corporate finance, household finance, banking, and the size of the financial sector. I then present a number of facts that are broadly consistent with the theory and examine a variety of alternative explanations of my findings.     

向国际财务报告准则过渡对欧洲企业财务报告的影响

本文以巴黎股市CAC 40大股和欧洲其他股市的21家公司为样本,研究了向国际财务报告准则(IFRS)过渡对欧洲上市公司财务报告的影响。研究发现这一影响是有限的和平稳的。首次采用IFRS使样本公司的合并报告净利润平均水平明显提高,权益资本略有减少。总量分析和回归分析均显示:商誉、无形资产、库藏股、汇率变动、资产重估、养老金和金融工具等项目的调整是产生披露差异的主要影响因素,规模较大的企业报告盈利指标调高较多。     

Dynamics of financial markets and transaction costs: A graph-based study

In financial markets, trading patterns influence the behaviour of arbitrage, surveillance, risk management and pricing returns. The analysis of these patterns is important for defining policies in financial regulation as well as portfolios of international assets. Using financialization as a conceptual framework to understand the current trading patterns of financial markets, this work employs a market graph model for studying the stock indexes of geographically separated financial markets. By using an edge creation condition based on a transaction cost threshold, the resulting market graph features a strong connectivity, some traces of a power law in the degree distribution and an intensive presence of cliques. Furthermore, an inverse relation between transaction costs and maximal clique size is noticed. The market graph model also indicates that infrastructure, sustainability and commodity indexes from APEC, EU and NAFTA affect the behaviour of markets. As a result, the graph approach shows a consistent set of outcomes that mostly explain the financialization dynamics of markets.