Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis

In this paper, we propose an empirical model based on the heterogeneous agents literature. Price changes are induced by fundamental, technical, and international factors. The model is estimated for Hong Kong and Thailand surrounding the Asian crisis. We find that the three sources are relevant and that their relative price impact fluctuates conditional on price impact in the previous period. Results imply that the crisis is triggered in Thailand due to an increased focus on the fundamental price, followed by an increase in chartism and finally aggravated by a focus on foreign developments. Furthermore, the crisis deepens in Hong Kong because of increased attention for foreign markets.     

Relative risk aversion and the transmission of financial crises

We study how investor behavior affects the transmission of financial crises. If investors exhibit decreasing relative risk aversion, then negative wealth shocks increase the risk premium required to hold risky assets. We integrate this into a second generation model of currency crises which allows for contagion through changes in fundamentals. Investor behavior can be a transmission channel of financial crises, as changes in risk premia increase the coverage ratio and makes the defense of a peg less attractive for the policy maker. The feedback effect of the risk premia on the probability of devaluation also makes multiple equilibria more likely. The possible stabilization effects of capital controls and a Tobin tax on the international transmission of financial crises are also studied.     

中美贸易摩擦对中国金融市场的溢出效应研究

本文采用事件分析法量化分析中美贸易摩擦对中国股票市场、债券市场和外汇市场风险及跨市场之间风险传染的溢出效应。实证结果发现:第一,贸易摩擦在短期会造成中国各金融市场自身风险的上升。从统计显著性、经济显著性和影响持久度来看,不同市场具有不同的反应特征,且各市场之间存在“市场轮动”现象。第二,贸易摩擦对跨市场风险传染有显著且持久的溢出效应,共同风险敞口及投资者资产配置调整是该溢出效应产生的主要原因,且溢出效应方向的差异体现了资金向安全资产转移的特点。第三,按照贸易摩擦对股、债、汇三个金融市场产生显著溢出效应的先后顺序及溢出峰值由小到大的排序,可将中国金融市场划分为三个风险区,并依此维护金融稳定。     

净额支付清算系统中银行危机的传染过程与应对策略

随着各国商业银行通过银行间支付清算系统交易额的迅速增加,银行危机通过支付清算系统进行传染越来越受到世界各国政府的重视。本文研究了少数甚至是单个银行发生危机通过净额结算支付清算系统扩散而引起系统危机的过程和条件,分析了系统所能吸收的由银行危机而导致的最大违约资金量。最后,在本文分析的基础上,提出了我国政府为及时、有效地控制银行危机的传染过程应采取的对策和措施。     

竞争加剧背景下我国商业银行的股利分配策略

我国商业银行面临的竞争逐渐加剧。在这样的背景下,商业银行上市后,其股利分配具有非常强烈的信号传递效应,而且,商业银行的股利变动对其他银行的股价行为具有关联影响。另外,新上市银行的首次股利分配的时机选择可以表明银行质量的高低。为了争取在资本市场的竞争优势,我国商业银行上市后需要注重股利分配的信息传递效果,采取平稳的股利分配策略,新上市银行则需要尽快启动股利分配。     

Modelling European sovereign bond yields with international portfolio effects

This paper proposes a portfolio choice model with two countries to evaluate the specific role of volatility and co-volatility risks in the formation of long-term European interest rates over the crisis and post-crisis periods with an active role of the European Central Bank. Long-term equilibrium rates depend crucially on the covariances between international bond yields anticipated by investors. Positively anticipated covariances amplify the phenomena of fundamental contagions related to the degradations of public finance and solvency of sovereign debt issuer, while negatively anticipated covariances amplify the phenomena of Flight-to-quality. The two-step econometric approach over the period January 2006 to September 2016 analyses 21 European market pairs in a bivariate GARCH framework. Empirical results show that the decline in German and French long-term rates from March 2011 is partially due to the decrease in both risk premium and covariances with periphery countries. These declines actually amplify the mechanisms of Flight-to-quality. Finally, a lower sensitivity of rate to volatility and co-volatility risks during the crisis period gives credit to the hypothesis of a occasional fragmentation of the European sovereign bond markets (De Santis and Stein, 2016, Ehrmann and Fratzscher, 2017).