The intra-day impact of communication on euro-dollar volatility and jumps

In this paper, we examine the intra-day effects of verbal statements and comments on the FX market uncertainty using two measures: continuous volatility and discontinuous jumps. Focusing on the euro-dollar exchange rate, we provide empirical evidence of how these two sources of uncertainty matter in measuring the short-term reaction of exchange rates to communication events. Talks significantly trigger large jumps or extreme events for approximately an hour after the news release. Continuous volatility starts reacting prior to the news, intensifies around the release time and stays at high levels for several hours. Our results suggest that monetary authorities generally tend to communicate with markets on days when uncertainty is relatively severe, and higher than normal. Disentangling the US and Euro area statements, we also find that abnormal levels of volatility are mostly driven by the communication of the Euro area officials rather than US authorities.     

Is more finance better? Disentangling intermediation and size effects of financial systems

Financial systems all over the world have grown dramatically over recent decades. But is more finance necessarily better? And what concept of financial system – a focus on its size, including both intermediation and other auxiliary “non-intermediation” activities, or a focus on traditional intermediation activity – is relevant for its impact on real sector outcomes? This paper assesses the relationship between the size of the financial system and intermediation, on the one hand, and GDP per capita growth and growth volatility, on the other hand. Based on a sample of 77 countries for the period 1980–2007, we find that intermediation activities increase growth and reduce volatility in the long run. An expansion of the financial sectors along other dimensions has no long-run effect on real sector outcomes. Over shorter time horizons a large financial sector stimulates growth at the cost of higher volatility in high-income countries. Intermediation activities stabilize the economy in the medium run especially in low-income countries. As this is an initial exploration of the link between financial system indicators and growth and volatility, we focus on OLS regressions, leaving issues of endogeneity and omitted variable biases for future research.     

企业专利与外部融资

除保护技术输出的传统职能外,专利在企业和利益相关者沟通中也发挥着重要的信号传递职能。其中,专利在资本市场上的信号价值近年来备受关注,已有研究指出专利作为质量信号有助于企业获得投资者认可,并且专利信号效果依赖于投资者获得企业信息的多少。在此基础上,进一步讨论了投资者获得企业信息的内容对信号价值的影响。具体地,在负面信号情境下（企业过去的财务绩效差、收益波动性大、未来不确定性高）,专利的信号价值更强,而在正面信号情境专利信号效果减弱。利用来自深沪两市1 787家上市公司2000-2011年面板数据验证了以上假设,专利数量和外部融资之间存在正向关系,并且在负面信号情境下二者正向关系更强。稳健性检验进一步表明,发明专利的信号效应比非发明专利更强,而私企的专利信号效应比国企更强。     

Equity volatility connectedness across China’s real estate firms and financial institutions

The study investigates the dynamic equity volatility connectedness across the major real estate firms, banks, and other financial institutions in China. Based on the relative level of equity volatility connectedness, the study also examines the systemic importance of real estate firms and banks. The study shows that despite widespread worries about potential real estate bubbles in China, total directional connectedness from real estate firms to banks has decreased over the sample period. In contrast, total directional connectedness from banks to the real estate firms and to the financial institutions has become stronger over the sample period, which implies stronger risk originating from the banking sector. The study also shows that size plays an important role in determining the systemic importance of a real estate firm to the banking sector. The largest real estate firm displays the highest average systemic importance ranking. However, size does not appear to be the determinant factor of the systemic importance of a bank to the financial system. The largest bank shows the lowest average systemic importance ranking and 70% probability of being the least or second least systemically important bank in the long run.     

金融波动性变化对投资率的影响——来自地级市层面的证据

文章先是通过理论分析发现金融波动通过影响企业投资项目成功概率的途径来影响投资率的高低。进而基于2001-2015年中国286个地级市数据对金融波动性和投资率之间的关系进行了实证检验。通过分析我们发现：第一,金融波动性与投资率之间负相关。第二,金融波动对投资率的影响呈非线性：随着金融波动剧烈程度的增加,金融波动对投资率的抑制效应逐渐减弱。第三,无论是在东部地区还是在非东部地区,金融波动对投资率的抑制效应都很显著。但是金融波动对投资率的非线性影响在东部地区显著,在非东部地区则不显著,这可能是由东部地区和非东部地区经济发展不平衡所致。