Small and Medium Enterprise Financing in Transition Economies

This paper studies the financing status of small and medium enterprises (SMEs) in transition economies. Factors causing financing obstacles are indentified and further analyzed to determine their influence over financing patterns. Bank regulatory practices relevant to SMEs’ access to bank loans and their influence over loan structures are identified. This study contributes to the existing body of knowledge by exploring the impact of specific bank regulatory practices on credit lending to SMEs in transition economies.     

Financial Globalization and Banking Crises in Emerging Markets

Bank crises in emerging economies have been a feature of the recent global crisis, and their incidence has increased in the post-Bretton Woods era. This paper investigates the impact of financial globalization on the incidence of systemic bank crises in 20 emerging markets over the years 1976–2002 using measures of de facto and de jure financial openness. An increase in foreign debt liabilities contributes to an increase in the incidence of crises, but foreign direct investment and portfolio equity liabilities have the opposite effect. A more liberal de jure capital regime lowers the incidence of banking crises, while a regime of fixed exchange rates increases their frequency. The results of the econometric analysis is consistent with the experience of East European and central Asian emerging markets, which attracted a relatively large proportion of capital flows in the form of debt in recent years and have been particularly hard hit by the global financial crisis.     

Inflation and Welfare in Latin America

This paper follows Bailey (J Polit Econ 64:93–110, 1956) and Lucas (Econometrica 68:247–274, 2000) and estimates the welfare cost of inflation for 17 Latin American economies. We use annual data, from 1955 to 2000, and recent advances in the field of applied econometrics to estimate the inflation rate elasticity of money demand and report significantly high and differential welfare cost estimates for these economies.     

“Speculative Influence Network” during financial bubbles: application to Chinese stock markets

We introduce the Speculative Influence Network (SIN) to decipher the causal relationships between sectors (and/or firms) during financial bubbles. The SIN is constructed in two steps. First, we develop a Hidden Markov Model (HMM) of regime-switching between a normal market phase represented by a geometric Brownian motion and a bubble regime represented by the stochastic super-exponential Sornette and Andersen (Int J Mod Phys C 13(2):171–188, 2002) bubble model. The calibration of the HMM provides the probability at each time for a given security to be in the bubble regime. Conditional on two assets being qualified in the bubble regime, we then use the transfer entropy to quantify the influence of the returns of one asset i onto another asset j, from which we introduce the adjacency matrix of the SIN among securities. We apply our technology to the Chinese stock market during the period 2005–2008, during which a normal phase was followed by a spectacular bubble ending in a massive correction. We introduce the Net Speculative Influence Intensity variable as the difference between the transfer entropies from i to j and from j to i, which is used in a series of rank ordered regressions to predict the maximum loss (%MaxLoss) endured during the crash. The sectors that influenced other sectors the most are found to have the largest losses. There is some predictability obtained by using the transfer entropy involving industrial sectors to explain the %MaxLoss of financial institutions but not vice versa. We also show that the bubble state variable calibrated on the Chinese market data corresponds well to the regimes when the market exhibits a strong price acceleration followed by clear change of price regimes. Our results suggest that SIN may contribute significant skill to the development of general linkage-based systemic risks measures and early warning metrics.