Book reviews

This paper analyzes how fiscal policies and credit constraints can affect the impact of macroeconomic volatility on long-run growth. The model by Aghion et al. (2005) is extended by allowing for governmental fiscal policy over the business cycle. The analysis shows that in an economy facing credit constraints, an increase in volatility will result in lower mean growth, and all the more the less financially developed and the more procyclical the fiscal policy is. The main implication is that in countries with lower degrees of financial development, countercyclical fiscal policies are particularly important in reducing the negative consequences of adverse aggregate shocks on firms' long-run investments. An empirical analysis is finally conducted using different groups of countries that confirm the theoretical predictions.     

异质性信贷约束对农民创业绩效的影响

创业绩效是每个创业者关注的核心问题。本文基于信贷均衡理论,采用我国传统劳务输出大省江西省创业农民的调查数据,甄别了样本的信贷约束及类型,实证研究了信贷约束及其类型异质性对农民创业绩效的影响。内生处理效应模型的估计结果表明,相比无信贷约束样本,受到信贷约束的农民创业财务绩效低94%,充分缓解其信贷约束能够提升财务绩效约45%。采用控制方程方法、OLS模型的回归结果表明,相比无信贷约束样本,受到完全数量型信贷约束、风险型信贷约束和部分数量型信贷约束的农民创业财务绩效分别低34%、26%和16%。信贷约束及其类型异质性对农民创业成长绩效的稳健性检验结果也印证了两者的负向关系。因此,应实施差异化的信贷政策,努力缓解创业农民的信贷约束,提升其创业绩效。     

The Winner’s Curse of Human Capital

We extend a model developed by Evans and Jovanovic (1989) to explain when start-ups are credit constrained. We show that the magnitude of the credit constraint is conditioned by the relative productivity of human capital in both wage work and self-employment. The effect of predicted household income on start-up capital is used to indicate the existence of financial constraint. Empirical analysis reveals that entrepreneurs with high human capital have both greater financial wealth and greater levels of start-up capital pointing to the endogenous nature of credit constraints. High human capital relaxes financial constraints, apparently due to greater productivity of human capital in wage work than in self-employment. Those who are the least likely to be credit constrained in self-employment are those that are least likely to switch into self-employment,and vice versa.     

Financial constraints and firm dynamics

This study analyzes the effect of financial constraints (FCs) on firm dynamics. We measure FCs with an official credit rating, which captures availability and cost of external resources. We find that FCs undermine average firm growth, induce anti-correlation in growth patterns and reduce the dependence of growth volatility on size. FCs are also associated with higher volatility and asymmetries in growth shock distributions, preventing young fast-growing firms especially from seizing attractive growth opportunities and further deteriorating the growth prospects of already slow-growing firms, particularly if old. The sub-diffusive nature of the growth process of constrained firms is compatible with the distinctive properties of their size distribution.     

Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk

In recent years, it has become common to use a Markov chain model to describe the dynamics of a firm's credit rating as an indicator of the likelihood of default. Such a model can be used not only for describing the dynamics but also for valuing risky discount bonds. The aim of this paper is to explain how the Markov chain model leads to the known empirical findings such that prior rating changes carry predictive power for the direction of future rating changes and a firm with low (high, respectively) credit rating is more likely to be upgraded (downgraded) conditional on survival as the time horizon lengthens. The model will also explain practically plausible statements such as that bond prices as well as credit risk spreads would be ordered according to their credit qualities. Stochastic monotonicities of absorbing Markov chains play a prominent role in these issues.     

Impact of wage rigidity on sovereign credit rating

Sovereign credit rating is a condensed assessment of a country's ability to repay its public debt in a timely fashion. Downward wage rigidity has been considered as a critical determinant of various macroeconomic and financial phenomena. This study examines the effect of a country's wage rigidity on its sovereign credit rating after measuring downward wage rigidities based on a regime-switching model. The results indicate that greater wage rigidity induces lower sovereign credit rating. We find that wage rigidity amplifies cash flow fluctuations and magnified cash flow volatility negatively affects sovereign credit rating.     

上市公司财务风险分析与信用评级

本文认为,财务风险是与企业整个财务因素、财务活动有关的风险,是企业经营总风险在财务活动中的集中体现,是企业财务活动未能实现预期收益从而给企业乃至投资者带来损失的风险。文章提出,17个比较重要的财务变量可分为流动性指标、盈利性指标、偿债能力指标、杠杆比率指标、活动性指标等5大类,以营运比率、总资产收益率、权益比率、总资产周转率4个指标作为输入变量建立财务困境判别分析模型,可对公司财务风险进行评级。通过模型分析,企业财务状况可划分为非困境和困境(即A、B)两类10个级别,其中非困境A类和困境B类各包括5个级别。     

国际信用评级机构在危机中的行为分析及启示

以穆迪、标准普尔、惠誉为代表的信用评级机构在现代金融系统中扮演着重要角色。但在近年来的几次金融危机中,信用评级机构却因发放的信用评级不断丧失客观公正而广受质疑本文通过对评级机构的起源、经营、监管和所处市场环境的讨论,对其受质疑行为所产生的根源进行了分析,并由此引发出对我国信用评级业发展的一些启示。     

Market power in banking,countercyclical margins and the international transmission of business cycles

By introducing an imperfectly competitive banking sector into a standard two-country, two-good RBC model with complete asset markets, we study the international transmission of aggregate TFP shocks in an environment with noncompetitive financial intermediation. In this model, price-cost margins in a global loan market are endogenous and countercyclical. As a result, a positive TFP shock in one country spills over to another through a reduction in the global cost of both credit and externally financed investment. The quantitative analysis shows that countercyclical margins on loans play a key role in bringing the predictions of the theory closer to the observed cross-country cyclical co-movements of consumption, employment, investment and output. Recessions are deeper when the cost of credit rises during these economic downturns. Thus, a financial accelerator arises in our framework, unveiling the increased importance of stabilization policies in economies where margins in credit markets are countercyclical.     

R&;D investment and financing constraints of small and medium-sized firms

This study tests for financial constraints on R&D investment and how they differ from capital investment. To identify constraints in the access to external capital, we employ a credit rating index. Our models show that internal constraints, measured by mark-ups, are more decisive for R&D than for capital investment. For external constraints, we find a monotonic relationship between the level of constriction and firm size for both types of investment. Thus, external constraints turn out to be more binding with decreasing firm size. On the contrary, we do not find such monotonic relationships for internal constraints. Differentiation by firms’ age does not support lower constraints for older firms.     

Understanding the sovereign credit ratings of emerging markets

This paper identifies the macroeconomic factors behind the sovereign credit ratings of global emerging markets assigned by Standard and Poor's (S&P). The financial integration and globalization of capital markets have facilitated the capital inflows/outflows among countries. Sovereign credit ratings have served as a signal for countries' economic, financial and political situations. Ratings are very important in the sense that they attract capital inflow and investments. This is especially vital for emerging markets. Although the rating agencies do not explicitly reveal their methodologies, it is possible to guess the effects of several variables on ratings by using various econometric models. Concerning the heavy criticisms on rating agencies' performances, we wish to examine the sovereign credit ratings within a specific country-category. In this essay, we study the effects of macroeconomic factors on the sovereign ratings of emerging markets. Using several approaches, we find that the most relevant factors are Budget Balance/GDP, GDP per capita, Governance Indicators and Reserves/GDP. Moreover, our model predicts up to 93% of all credit rating levels. Interestingly, we obtain that S&P's evaluation of the sovereign credit rating for Turkey performs poorly, especially in the highest rating levels.     

The Fiscal Framework in a Currency Union: Lessons from a Comparison between the Euro Area and the Eastern Caribbean Currency Union

This paper draws out lessons from the euro area (EA) that are transferable to the Eastern Caribbean Currency Union (ECCU) and other Caribbean economies with fixed exchange rates. Based on observations from both the EA and the ECCU, we present a new policy framework which is capable of imposing fiscal discipline, with the aim of avoiding the risk of unsustainable fiscal policies reappearing and of preventing monetary policy from being undermined by undisciplined national governments. In the ECCU case, we find that fiscal deficits are more a result of financial and trade imbalances than fiscal indiscipline per se. Consequently, constraints on overall debt, public and private, rather than direct limits on endogenous public deficits, appear to be the appropriate response.     

The Role of Information Sharing in Modulating the Effect of Financial Access on Inequality

ABSTRACT

This study examines the role of information sharing in modulating the effect of financial access on income inequality in 48 African countries for the period 2004–2014. Information sharing is proxied with private credit bureaus and public credit registries. All dynamics of financial development are taken into account, namely: depth (money supply and liquid liabilities), efficiency (at banking and financial system levels), activity (from banking and financial system perspective) and size. The empirical exercise is based on interactive Generalised Method of Moments. It can be established from the findings that: first, a threshold of 18.072 percentage coverage of public credit registries is needed to counteract the unconditional positive effect of banking system efficiency. Secondly, on the role of private credit bureaus in financial depth, both the unconditional and the conditional effects are negative, implying a negative synergy. Overall, the findings show that, contingent on the type of financial development dynamic, credit registries broadly play their theoretical role of decreasing financing constraints in order to ultimately reduce inequality.     

政府融资平台的经济效应与风险防范

近些年来我国地方政府融资平台发展迅速,平台数量和贷款规模均呈现较快增长态势,其在应对国际金融危机冲击、促进地方经济发展的过程中发挥了重要的积极作用。但是,由于外部体制不顺、内部运营不规范等综合原因,地方政府融资平台面临着法律风险、财政风险和金融风险等诸多挑战。在改革和完善融资平台建设的过程中需要各项政策多管齐下,积极探索和发展地方政府融资的替代渠道,加快现有平台企业的清理整顿和规范发展,尽快建立系统科学的风险预警机制和信用评级制度。     

The role of sovereign credit ratings in fiscal discipline

This paper investigates several aspects of the relationship between sovereign credit ratings and fiscal discipline. The analysis of over one thousand country–year observations for 93 countries during the 1999–2010 period reveals that a country's debt level is likely to increase with higher ratings, confirming the existence of pro-cyclicality and path dependence of ratings. In addition, the study finds no evidence to support the theory of Political Business Cycle, which implies that political ambitions may lead to fiscal worsening following a rating upgrade. The study findings further demonstrate that institutional quality is an important factor in the ratings–fiscal discipline nexus.     

Sovereign credit ratings,capital flows and financial sector development in emerging markets

How does the sovereign credit ratings history provided by independent ratings agencies affect domestic financial sector development and international capital inflows to emerging countries? We address this question utilizing a comprehensive dataset of sovereign credit ratings from Standard and Poor's from 1995–2003 for a cross-section of 51 emerging markets. Within a panel data estimation framework, we examine financial sector development and the influence of sovereign credit ratings provision, controlling for various economic and corporate governance factors identified in the financial development literature. We find strong evidence that our sovereign credit rating measures do affect financial intermediary sector developments and capital flows. We find that i) long-term foreign currency sovereign credit ratings are important for encouraging financial intermediary development and for attracting capital flows. ii) Long-term local currency ratings stimulate domestic market growth but discourage international capital flows. iii) Short-term ratings (both foreign and local currency denominated) retard all forms of financial developments and capital flows. There are important implications in this research for policy makers to encourage the provision of longer-term credit ratings to promote financial development in emerging economies.     

Banking globalization and international business cycles: Cross-border chained credit contracts and financial accelerators

This paper constructs a two-country DSGE model to study the nature of the recent financial crisis and its effects that spread immediately throughout the world owing to the globalization of banking. In the model, financial intermediaries (FIs) enter into chained credit contracts at home and abroad, engaging in cross-border lending to entrepreneurs by undertaking cross-border borrowing from investors. The FIs as well as the entrepreneurs in two countries are credit constrained, so all of their net worths matter. Our model reveals that under FIs' globalization, adverse shocks that hit one country affect the other, yielding business cycle synchronization on both the real and financial sides. It also suggests that the FIs' globalization, net worth shock, and credit constraints are key to understanding the recent financial crisis.     

Fiscal risk and financial fragility

We propose a new methodology to evaluate the importance of fiscal risk to financial stability. We first develop a method to estimate the probability of non-compliance of public entities, which takes into account the strict legal framework that is mandatory for governments. While in our model the evolution of public entities' revenues is stochastic and heavily depends on expectations about macroeconomic risk factors, the evolution of their personnel expenses and debt is rather deterministic due to the stickiness of the regulation. We then estimate the resilience of the financial sector to the public sector by simulating bank credit defaults in a multilayer network with interacting agents comprising banks, firms, and the public entities. Using Brazilian data at the state level, we establish a statistical link between states' probability of non-compliance and probability of default, enabling us to estimate the expected impact of the public sector in terms of financial losses on the economy. We find that, while most Brazilian states are struggling to comply with budget legal constraints on personnel expenses, the richest states are more likely to not comply with limits on their consolidated debts. We show that financial contagion is small mostly because banks that are more exposed to the public sector are highly capitalized.     

齐齐哈尔地区实现金融富农的金融服务创新路径分析

随着齐齐哈尔新农村建设的快速推进,金融富农的新理念和新形势对积极的财税政策、农村金融产品和服务方式创新提出了迫切的要求.但齐齐哈尔在支农金融服务中还存在着农村信用社涉农资金归口工作没有得到根本解决以及经营环境的信用状况和维权状况需改善,农业银行支农贷款发放和管理难度较大,支农贷款担保方式单一等问题.推进农村金融服务创新的路径是:加大财政税收对金融富农的支持力度;提高金融服务水平;创新"三农"贷款营销和管理模式;广开风险转移渠道;加强银政沟通,开发新型金融机构,形成支持"三农"工作的合力.     

中小微企业融资风险的合理对策

目前,中小微企业面临严峻的融资困难,其表象原因是:直接融资渠道变窄、不公平的融资歧视、缺乏贷款信用、缺少融资担保抵押物等;深层次原因是融资过程中存在着政府经济政策引起的、企业经营不稳定导致的、管理水平低造成的和信用危机形成的诸多风险带给商业银行的担扰。应对中小微企业融资风险,既需要金融机构大力提升识别和判断力,也需要企业加强财务管理,完善信贷管理机制,提高自身实力和信用评级,增强融资防范能力,更需要政府为中小微企业融资创造公平的环境和条件,内外合力减少融资风险,激发中小微企业持继续健康发展的活力。