The impact of securitization on credit rationing: Empirical evidence

We study whether banks’ involvement into different types of securitization activity – asset backed securities (ABS) and covered bonds – in Spain influences credit supply before and during the financial crisis. While both ABS and covered bonds were hit by the crisis, the former were hit more severely. Employing a disequilibrium model to identify credit rationing, we find that firms with banks that were more involved in securitization see their credit constraints more relaxed in normal periods. In contrast, only greater covered bonds issuance reduces credit rationing during crisis periods whereas ABS aggravates these firms’ credit rationing in crisis periods. Our results are in line with the theoretical predictions that a securitization instrument that retains risk (covered bond) may induce a more prudent risk behavior of banks than an instrument that provides risk transferring (ABS).     

Reputation,risk-taking,and macroprudential policy

This paper examines the role of macroprudential capital requirements in preventing inefficient credit booms in a model with reputational externalities. In our model, unprofitable banks have strong incentives to invest in risky assets when macroeconomic fundamentals are good in order to avoid the stigma of being assessed as low ability by the market. We show that across-the-system countercyclical capital requirements that deter such gambling are constrained optimal when fundamentals are neither extremely weak nor extremely strong.     

Flight to liquidity and the Great Recession

This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business cycles. It develops a dynamic stochastic general equilibrium model in which banks operate subject to agency problems and funding liquidity risk in their intermediation activity. Importantly, the amount of liquidity reserves held in the financial sector is determined endogenously: Balance sheet constraints force banks to trade off insurance against funding outflows with loan scale. A financial crisis, simulated as an abrupt decline in the collateral value of bank assets, triggers a flight to liquidity, which strongly amplifies the initial shock and induces credit crunch dynamics sharing key features with the Great Recession. The paper thus develops a new balance sheet channel of shock transmission that works through the composition of banks’ asset portfolios.     

Pitfalls and perils of financial innovation: The use of CDS by corporate bond funds

We use the financial crisis of 2007–2009 as a laboratory to examine the costs and benefits of teams versus single managers in asset management. We find that when a fund uses complex trading strategies involving the use of CDS team-managed funds outperform solo-managed funds. This may be due to the greater diversity of expertise, experience and skill of teams relative to single managers. During the financial crisis, however, the performance premium of teams becomes negative, which may be because of the slower decision times of teams, which are especially costly during times of rapidly changing market conditions.     

信用效应认识的深化与信用秩序的恢复和增强

市场经济从本质上讲是信用经济.在市场经济条件下,信用是最基本的社会经济关系,是整个社会经济得以维系和发展的基础.随着中国经济改革的逐步深入,特别是在加入WTO后,信用的作用逐步显现出来.但是,人们对信用效应的认识还有待深化,尤其是对信用关系紊乱可能带来的负面作用认识得不多,而对信用的积极作用往往习惯于借鉴美欧现成的信用模式.本文从深化对信用效应的认识入手,分析了信用秩序混乱的形成原因,并在简要评价我国信用基本状况的基础上,提出了恢复和增强我国信用秩序的建议.     

后危机时代政府干预与银行信贷—基于国有经济视角

本文利用我国2007-2016年的省级面板数据,对后危机时代政府干预与银行信贷以 及不良贷款率进行了实证研究。本文发现：地方政府干预显著带来地区信贷增长以及不良贷款 率下降;地方政府通过对国有经济进行干预,可以显著带来地区信贷增长,但对降低地区不良 贷款率不显著。进一步研究发现：东部地区政府干预有助于提高地区信贷增长并降低不良贷款 率;西部地区政府通过干预国有经济能带来地区信贷增长;无论是东部、中部还是西部,政府 通过对国有经济的干预降低地区不良贷款率均不会产生太大效果。     

债券融资支持工具实践路径研究--基于2018~2019年浙江省民营企业数据

为稳定和促进民营企业发债融资,以市场化方式帮助缓解民营企业融资难,2018年,国务院常务会议决定设立"民营企业债券融资支持工具"。基于此背景,本文选取民营企业债券融资支持工具作为研究对象,分析其实践机制,并以浙江为例探索实施民营企业债券融资支持工具的实现路径和难点所在。研究发现:浙江债券融资支持工具的实践探索持续协调发展,在创设主体、标的债务、凭证定价等三方面呈现趋优转向,但其发展仍受认知差异、计量规则、风险偏好、预期收益等复杂因素影响。     

我国房地产泡沫与银行信贷规模的相关性研究

本文首先从理论上深刻剖析了房地产泡沫与银行信贷规模相互之间的作用与传导机制,在此基础上选取2006年-2018年相关指标的年度数据,对房地产泡沫与银行信贷规模进行了图形拟合与周期性波动规律分析,分析发现二者存在极高的契合度。建立房地产泡沫的函数,构建协整方程实证发现银行信贷规模对房地产泡沫的长期弹性系数为0.51,从长期来看银行信贷规模每增加1%,房地产泡沫也相应增加0.51%,进一步建立VAR模型实证发现房地产泡沫与银行信贷规模互为格兰杰因果关系,二者相互影响、相互促进。通过方差分解实证发现银行信贷规模对房地产泡沫的变动具有重要的影响,另一方面,房地产泡沫是影响银行信贷规模变动最主要的因素。     

金融发展与中国的经济增长——从储蓄动员型向市场配置的消费型经济转变

隐形税收机制瓦解后,储蓄动员型的金融发展模式取代了财政投资的主导地位,通过金融支持政策为公有经济部门融资,支撑了经济的高速增长。然而,随着市场约束机制的变化,金融支持政策的收益逐渐下降,成本却在递增。本文认为储蓄动员型的金融支持政策在一定阶段促进了经济的发展,但是也伴随着一系列经济发展的成本,比如降低了资本配置效率,过度投资产生的宏观经济成本和经济持续增长的外部风险加大等。因此,中国金融体制应深化改革,提高金融体系的资本配置效率,促进技术进步和生产效率的改进。同时,通过发展消费信贷和商业保险,减少信贷约束和不确定性,推动消费型经济的增长。