Deposit interest rates, asset risk and bank failure in Croatia

Financial deregulation, while beneficial in the long-term, seems to be linked to instability. Intense competition for deposits appears to be an ingredient in instability. We examine the aftermath of deregulation in Croatia, which included rapid growth of both deposits and deposit interest rates, followed by numerous bank failures.

Using panel regression techniques, we find evidence of “market-stealing” via high deposit interest rates. We connect high deposit interest rates to bank failure using logit models. High deposit interest rates were a reliable signal of risk-taking. When supervisory capabilities and powers are weak, deposit interest rate regulation may be worth considering.     

公众预期、通胀成因与经济波动牵扯

针对金融危机冲击下各国宏观经济政策所导致的新的世界经济波动,结合中国当前通货膨胀两难局面,运用古典模型中的二分法解构中国通货膨胀,得出名义变量引致了通胀的结论,并将古典增长模型与利率平滑规则有机结合,推断出现阶段通胀背景下仍应坚持适度从紧的货币政策规则,引导公众心理形成稳定的期望收入预期,才能真正意义上在稳定通胀的同时,形成社会理性消费预期,从而使扩大内需成为可能,这才是解决现阶段增长困境所在。     

Regime-switching and interest rates in the European monetary system

This paper examines the impact that a currency target zone has on short-term interest rates. For a number of countries in the European Monetary System, we characterize the short rate using a regime-switching model that allows for a differently parameterized mean-reverting square-root process in each regime. We find that the volatility, the level, and the speed-of-adjustment are all higher in the regime that is operative during speculative attacks and currency crises. Moreover, we allow the conditional probability of being in each regime to be state-dependent so the model can be used to examine questions relating to the likelihood of realignments and the stability of the target zone system.     

我国货币政策传导机制有效性研究:条件与结论

对几种货币政策传导机制的利用是否有效,取决于市场失衡的程度与开放的程度以及经济发展不同时期的机遇。目前我国新兴市场资金流动与各市场间的联系主要受资产价格传导机制作用的引导,而不是利率传导。人民币升值带来的机遇并非仅发生在商品市场,更发生在资本市场,汇率传导机制的作用虽然影响了出口,但是目前却更有利于资本输出下的海外收购与兼并,从而降低了通货膨胀传递下商品市场的投资成本。     

The origin and diffusion of shocks to regional interest rates in the United States, 1880-2002

This paper is about the behavior of regional interest rates in the United States from 1880 to 2002. The main concern is with the shocks to regional rates. Where did they originate? How did they diffuse? How did the pattern change over time? We show that in the late nineteenth century the main source of shocks to rates on the periphery were shocks originating on the periphery itself. This pattern continued through World War I and the Great Depression. After World War II, however, the importance of disturbances on the periphery diminished and shocks to rates in the Eastern financial centers became the main source of fluctuations in all regions.     

未确认融资费用的实际利率摊销法研究——资金时间价值轴上的全新思路

本文从财务管理时间价值角度阐述未确认融资费用如何合理分摊的问题,提出了与一般会计实务教材标准解法完全相反的思路,得到了相同的效果,并对两种解题思路作了详细的比较分析,并在此基础上提出有关会计计量的若干假说。     

地方政府利益、地方政府行为与经济增长

目前,对中国地方政府的经济行为的研究强调了在经济转型过程中地方政府在多样化的地方经济发展模式中的主导作用,注意到了地方政府目标的多重性,本地区社会福利最大化,政府利益最大化以及中央政府的满意程度等。对地方政府在公共产品的提供、就业、收入分配、实现社会公平等方面行为不到位方面的研究是从定性方法来论证。本文试图在定性分析基础上建立一些基本的数学模型为将来的计量研究提供一个模型框架。     

内部收益保证下养老基金的最优资产配置

研究内部收益保证下DC型养老基金的最优资产配置问题。利用鞅方法，在HJM利率期限结构下求得了最优资产配置的显性解。结论表明最优投资策略分为四部分：投机策略、利率套期保值策略、基准组合的复制策略及一揽予债券卖空策略。最后对最优策略的动态行为进行了数值分析。     

On the determinants of yield spreads between mortgage pass-through and Treasury securities

Yield spreads between mortgage pass-through and U.S. Treasury securities may reflect differences in taxation, phenomena affecting relative supply and demand, and compensation for default, call, and marketability risks on mortgage instruments. Our research empirically models differences in yields between pass-throughs and comparable-maturity Treasuries. We find that interest-rate volatility and the term structure of rates, factors often cited in the mortgage pricing literature as affecting the mortgage call premium, are the primary determinants of movements in these spreads. Moreover, these effects have grown in importance in recent years as exercise of the prepayment option has increased. We also find evidence that liquidity and credit concerns affect the pricing of pass-through securities.     

Usury and Just Compensation: Religious and Financial Ethics in Historical Perspective

Usury is a concept often associated more with religiously based financial ethics, whether Christian or Islamic, than with the secular world of contemporary finance. The problem is compounded by a tendency to interpret riba, prohibited within Islam, as both usury and interest, without adequately distinguishing these concepts. This paper argues that in Christian tradition usury has always evoked the notion of money demanded in excess of what is owed on a loan, disrupting a relationship of equality between people, whereas interest was seen as referring to just compensation to the lender. Although it is often claimed that hostility towards ‘usury’ has been in retreat in the West since the protestant Reformation, we would argue that the crucial break came not with Calvin, but with Jeremy Bentham, whose critique of the arguments of Adam Smith, upholding the reasonableness of the laws against usury, led to the abolition of the usury laws in England in 1854. There has to be a role for law, whether Islamic or secular, in regulating financial relationships. We argue that by retrieving the necessary distinction between demanding usury as illegitimate predatory lending and interest as legitimate compensation, we can discover common ground behind the driving principles of financial ethics within both Islamic and Christian tradition that may still be of relevance today. By re-examining past ethical discussions of the distinction between usury and just compensation, we argue that the world’s religious traditions can make significant contributions to contemporary debate. Constant Mews is Director of the Centre for Studies in Religion and Theology at Monash University. He holds PhD and Masters degrees in medieval history, and pursues research in medieval religion, thought and ethics. Ibrahim Abraham is a PhD student in the School of Political and Social Inquiry, Monash University, with degrees in religion studies as well as law. His research interests include religion and culture, fair trade, and human rights.