Sovereign and bank dependence in the eurozone: A multi-scale approach using wavelet-network analysis

This study establishes time–frequency networks of sovereign and bank contagion in the eurozone over the period 2009–2021. By applying discrete wavelet transformation, daily CDS premia of sovereigns and systemically important banks are decomposed into multi-horizon components to specify directed and dependence-weighted networks. Dynamic analysis shows that the network connectivity and the strength of the dependencies are significantly lower after the introduction of the European Banking Union in 2014. While the strength effect is pronounced across all time horizons, the network connectivity only reduces in the short and medium run. This provides evidence that the new regulatory framework promotes financial stability but is more effective in the short and medium horizons. The consideration of the COVID-19 pandemic as a real-life stress test confirms these findings as the strength of the dependencies keeps at significantly lower levels.     

Network based evidence of the financial impact of Covid-19 pandemic

How much the largest worldwide companies, belonging to different sectors of the economy, are suffering from the pandemic? Are economic relations among them changing? In this paper, we address such issues by analyzing the top 50 S&P companies by means of market and textual data. Our work proposes a network analysis model that combines such two types of information to highlight the connections among companies with the purpose of investigating the relationships before and during the pandemic crisis. In doing so, we leverage a large amount of textual data through the employment of a sentiment score which is coupled with standard market data. Our results show that the COVID-19 pandemic has largely affected the US productive system, however differently sector by sector and with more impact during the second wave compared to the first.     

CEO power and annual report reading difficulty

We examine the impact of CEO power on reading difficulty of corporate annual reports. We find that CEO power is positively related to reading difficulty, implying that annual reports of corporations with powerful CEOs are difficult to read and understand. More importantly, we find that the relation between CEO power and reading difficulty is moderated by earnings performance or corporate governance. Additional findings suggest that this relation becomes stronger for firms with lower financial reporting quality or for CEOs with shorter tenure. Our study not only joins the debate on the consequences of powerful CEOs but also uncovers several factors that moderate the relation between CEO power and annual report reading difficulty.     

气候变化对经济金融系统性冲击的物理风险研究

中国作为全球最大的发展中国家,其综合实力伴随着经济、科技的快速发展而不断增强。但我国的极端气候事件趋多趋强,气候风险水平呈上升趋势,影响我国经济社会的发展。金融作为经济运行的核心,在宏观经济中有着举足轻重的作用。为了研究气候变化与经济金融稳定之间的关系,本文对极端气候事件损失体系和区域经济金融稳定性综合体系进行指数合成并构建面板模型探讨气候变化中气温和降水量因素的变动和极端气候事件对区域金融稳定的影响,得出气候变化的物理风险通过极端气候事件对经济发展和金融稳定有负面影响,并根据实证结果提出完善绿色金融市场和优化信息披露制度的政策建议。     

Institutions and economic growth in Portugal: a quantitative exploration

This paper presents a broad diagnostic of the level of institutional development in Portugal in the legal, corporate governance and financial systems. A comparative assessment suggests that Portuguese institutions are less developed than their European Union and East Asian counterparts, more developed than Greek institutions and on a level similar to that of Spanish institutions. We use data for a wide cross-section of countries since 1960 and correlate indicators of institutional development with the long-term average growth rate, identifying issues where reform is likely to significantly affect economic growth. We construct three new indices that measure the potential of institutional reform - the impact of reform on growth, the required reform effort and the efficiency of reform index - by taking into consideration the institutional distance between Portugal and the European Union. These indices measure, respectively, which reforms have the most payoff in terms of growth, which are less costly to undertake and which deliver the most growth per required effort. Our results strongly suggest that in a large number of issues, institutional reform may translate into substantially higher rates of economic growth. Of the ten most promising reforms, six are in the legal area, irrespective of which of the indices is considered. Whereas legal reform is promising at the aggregate and the microeconomic levels, in the financial sector aggregate indicators offer the wider scope for productive reform, while in the corporate governance area it is indices at the micro level that hold the most promise. These results support the view that a comprehensive reform effort is likely to deliver higher rates of growth in Portugal, allowing faster real convergence with the rest of the European Union.Received: January 2003, Accepted: February 2004, JEL Classification: O0, O5, K00, K4, G2, G3This paper is based on Firms, Financial Markets and the Law: Institutions and Economic Growth in Portugal, prepared for the conference Desenvolvimento Económico Português no Espaço Europeu: Determinantes e Políticas, organized by the Banco de Portugal. Financial support by the Banco de Portugal, NOVA FORUM and FUNDAÇÃO Para a Ciência e tecnologia and Polti through feder are gratefully acknowledged. Comments from Marcelo Rebelo de Sousa, two anonymous referees and the editor are sincerely appreciated. The usual disclaimer applies.     

Law and finance: why does legal origin matter?

This paper assesses empirically two theories of why legal origin influences financial development. The political channel stresses that legal traditions differ in the priority they give to the rights of individual investors vis-à-vis the state and this has repercussions for financial development. The adaptability channel holds that legal traditions differ in their ability to adjust to changing commercial circumstances and legal systems that adapt quickly will foster financial development more effectively. We use historical comparisons and cross-country regressions to assess the validity of these two channels. We find that legal origin matters for financial development because legal traditions differ in their ability to adapt efficiently to evolving economic conditions. Journal of Comparative Economics 31 (4) (2003) 653–675.     

论我国金融生态圈优化与金融创新的功效

金融生态圈与金融生态环境不应被混淆,前者能更深刻地揭示和刻画金融体系中各构成部分之间彼此依存、互为前提的关系.发达国家的金融生态圈因其良好的系统循环关系值得我们思考和借鉴.如果人为地限制某些金融品种的发展,就会使金融"食物链"发生脱节.我国目前的金融生态圈存在系统性缺陷,金融种类不符合现代金融良性循环的要求.应通过金融创新补足缺失的金融种类,并通过制度创新构建良好的创新响应机制.     

从京东方负债扩张看我国的杠杆收购

20上世纪80年代风靡美国的杠杆收购方式以其巨大的溢价空间和较高的财务、经营风险引起理论学者的研究和实践人士的青睐。我国现阶段,实行杠杆收购有着非常深远的影响和广阔的空间,但仍存在许多制约因素,如法律不完善、资本市场弱式化、投资银行不发达、管理人员素质不高等。     

现金流对上市公司投资行为的影响分析

本文采用实证方法，检验我国上市公司融资约束、现金流与投资决策之间的关系。以沪深300指数样本上市公司为基础，结合面板数据和时间数据，利用线性回归方法检验公司投资行为与现金流量、营业收入、负债率、托宾Q等财务指标的关系，并进一步分析上市公司的投资与现金流量等指标的敏感性。     

国有企业、金融市场改革与养老保险制度改革的互动效应--中国如何解决老年保障问题?

中国政府非常清楚社会保障所面临的危机，决定寻求解决办法。拟议中的社会保障改革的核心是积累制和整合条块分割的体系，计划为每个工人建立个人退休账户，对养老基金进行有效投资。然而，这种改革受阻于三个关键因素。(1)在向积累制的转化过程中必须支付特制成本；(2)现有的社会保障体系条块分割、分散化管理3(3)已经积累的基金尚未取得高收益，也未分配到最有效率的用途上。