Financial risks,monetary policy in the QE era,and regulation

At the beginning of the present century, the literature on financial integration focused on the benefits of increased integration. In particular, the literature emphasized that a well-integrated financial system allows economic agents to engage in risk sharing while enhancing the smooth transmission of monetary policy. However, the international financial crisis of 2007-08 and the euro area sovereign debt crisis of 2009-15, brought to the fore the flip side of increased financial integration – namely, that higher financial integration among national jurisdictions creates the potential for destabilizing cross-country spillovers of capital flows. The papers in this Special Issue address financial system vulnerabilities in the aftermath of the 2007-08 financial crisis and the 2009-15 euro area crisis. In particular, the papers assess (1) vulnerabilities arising from such factors as the liberalization of financial systems, cross-country contagion, and climate change, and (2) policy responses, including macroprudential supervision and quantitative easing, to financial instabilities.     

Euro area banking and monetary policy shocks in the QE era

This paper assesses the effects of monetary policy shocks on the macroeconomy and the euro area banking sector after the global financial crisis. First, financial risk-return indicators of the banking sector based on a compound option-based structural credit risk model are embedded in a large macro-financial quarterly database covering the period 2008Q4–2019Q4. Second, a SFAVAR identifies and estimates the shocks’ responses relating them to the endogenous build-up of banks’ vulnerabilities which are consistent with the internally coherent structure of the credit risk model. By introducing structure in the understanding of banks’ asset-liability management behavior following monetary policy shocks, the research strategy contributes to disentangling results that are often mixed in the empirical literature. The study finds that unconventional monetary policy, in particular the Asset Purchase Program of the European Central Bank, seems to have been more successful than conventional monetary policy in raising output and inflation. The desired boost to bank lending has been muted and loan cyclicality has varied across countries and loan types. The performance of the banking sector following monetary policy shocks can be characterized by a drop in expected return on equity and assets, a relaxation of lending conditions and increased correlation between banks’ assets return and the market return, a mechanism pointing to enhanced risk-taking. While banks’ probabilities of default fall following monetary policy shocks, the price of risk increases. Banks’ net worth rises via higher market capitalization and implied assets value together with lower volatility, despite often incurring more debt. Risk-taking in the banking sector may pose a risk to financial stability, especially if its effects on banks’ vulnerability spread and increase systemic risk. The unintended endogenous build-up of macro-financial vulnerabilities may need to become part of monetary policymaking.     

量化宽松政策影响中国房产泡沫传导机制研究(英文)

美联储在2010年11月4日实施了第二轮量化宽松政策,这使得中国境内货币流动性大大增加。激增的美元数量给人民币升值带来了巨大压力。本文基于对后续连锁效应的分析,探索并总结了其影响中国房价泡沫的可能传到机制。最后给出了相关政策建议。     

The Use of the Logit Model in Applied Industrial Organization

Qualitative choice models, such as the logit model, can capture important firm and product asymmetries. This paper surveys use of the logit model in industrial organization, with special focus on its application to merger analysis. The basic model and its motivation are reviewed, as is its estimation. Discussed in some detail is the use of the logit model to predict the price and welfare effects of horizontal mergers in differentiated products industries. Simulation using a qualitative choice model is argued to be far superior to traditional structural analysis. Logit merger simulations have the particular virtues of low informational and computational burdens and the use of the logit model can be motivated as reflecting a diffuse prior on the structure of demand.     

客家乡村旅游发展时空演变及其动力机制研究

[目的]以客家核心区梅州市为例,探讨客家乡村旅游时空演变及其动力机制,以其为客家乡村旅游开发提供理论支持。[方法]运用计量地理法和GIS空间分析技术,从时间与空间两个维度上对客家乡村旅游时空演变及其动力机制进行分析。[结果]结果表明:时间维度上,客家乡村旅游发展阶段性特征鲜明,经历了萌芽、兴起和蓬勃发展3个阶段。空间维度上,客家乡村旅游点空间分布类型由均匀型向凝聚型演变,并呈集中分布,且随着时间的推移,集中程度呈现逐渐增大趋势。在此基础上探讨了影响客家乡村旅游时空演变的动力机制,其主要来源于外生和内生动力两方面;外生动力包括市场驱动力、政策驱动力和交通驱动力,内生动力包括资源驱动力、品牌驱动力和村落拯救驱动力。针对研究结果对客家乡村旅游发展从市场挖掘、政府支持和保护性开发等方面提出了相应的启示性建议。[结论]客家乡村旅游发展迅速,对其时空演变特征及动力机制的深入认识有利于进一步做好客家乡村旅游开发,促进客家乡村振兴。     

物流产业对广东经济增长贡献的计量分析

本文运用菲德两部类模型,以广东为实证探讨分析物流产业对经济增长的计量关系。结果表明:由于样本数据时间跨度较大、现代物流业发展起步晚,导致物流产业对广东经济增长的贡献并不明显,这说明广东目前处于传统物流向现代物流的转型阶段,现代物流对经济的促进与带动作用正在逐步发挥。因此,有必要进一步发挥现代物流的先导作用,促进国民经济持续稳定快速发展。     

Quantitative easing and Japanese bank equity values

One of the primary motivations offered by the Bank of Japan (BOJ) for its quantitative easing program—whereby it maintained a current account balance target in excess of required reserves, effectively pegging short-term interest rates at zero—was to maintain credit extension by the troubled Japanese financial sector. We conduct an event study concerning the anticipated impact of quantitative easing on the Japanese banking sector by examining the impact of the introduction and expansion of the policy on Japanese bank equity values. We find that excess returns of Japanese banks were greater when increases in the BOJ current account balance target were accompanied by “non-standard” expansionary policies, such as raising the ceiling on BOJ purchases of long-term Japanese government bonds. We also provide cross-sectional evidence that suggests that the market perceived that the quantitative easing program would disproportionately benefit financially weaker Japanese banks. J. Japanese Int. Economies 20 (4) (2006) 699–721.     

Qualitative input-output analysis and structural information

The authors first introduce a slightly modified version of the quantitative theory of pull effects. After a short presentation of the basic ideas of qualitative input-output analysis with the aid of matrices, the qualitative goals of ‘completeness’ and ‘velocity’ are defined. The article ends with an investigation of the compatibility of these qualitative goals with the usual quantitative economic goals.     

Destination image and tourist loyalty: A meta-analysis

Extant literature is inconclusive on the linkage between destination image and tourist loyalty, due to the multi-dimensional nature of the two concepts. The present study attempts to draw some informative conclusions about the relationship through a meta-analysis. A research framework was proposed in which 14 hypotheses were developed. A total of 66 independent studies were synthesized and analyzed. The findings reveal that the impact of destination image on tourist loyalty is significant, with varying degrees. Specifically, overall image has the greatest impact on tourist loyalty, followed by affective image and cognitive image. Cognitive–affective joint image fails to demonstrate a stable impact on tourist loyalty. Of the three levels of tourist loyalty, destination image has the greatest impact on composite loyalty, and then on attitudinal loyalty and behavioral loyalty, successively. The findings are discussed in light of their theoretical and practical implications for destination marketing and management.