The characteristics and development of the Swiss franc repurchase agreement market

With the reinterpretation of repurchase agreements (repos) by the tax authority and the revision of the national bank law in 1997, allowing the Swiss national bank (SNB) to use repos as monetary policy instrument, the prerequisites for the development of a Swiss franc repo market were given. The development of the repo market in Switzerland only came up in 1999 with the provision of an integrated trading and settlement system provided by SegaInterSettle AG (SIS), Eurex and Swiss Interbank Clearing (SIC) in collaboration with the SNB. The following paper provides an overview of the basic characteristics and structure of the Swiss franc repo market as well as of the development it has undergone since 1999. It also discusses what motives and reasons the banks possess to actively participate in the Swiss franc repo market. The content of the publication is the sole responsibility of the author and does not necessarily reflect the views of Credit Suisse.     

Capital and resolution policies: The US interbank market

We develop an empirically based simulation study to test two types of policies designed to control systemic risk: preventive policies targeting capital requirements and mitigation policies targeting default resolution. We find that capital buffers reduce both the number of defaults and the resulting losses. The loss reduction benefit increases as the magnitude of adverse shocks becomes higher. We find that a simple branch-breakup resolution strategy reduces the loss borne by the Federal Deposit Insurance Corporation (FDIC). The mitigation effect becomes higher as the fraction of assets resolved through auctions and auction competitiveness increase.     

Foreign Banks and the Dual Effect of Financial Liberalization

In emerging countries, credit market liberalization is often motivated with the financial deepening generated by the entry of foreign financial institutions. However, there is a risk that liberalization may benefit internationally active, export‐oriented businesses at the expense of domestically oriented ones. This paper models a two‐sector economy in which foreign lenders are more efficient than local lenders at extracting value from internationally tradable collateral assets. Under some conditions the entry of foreign lenders eases entrepreneurs’ access to the credit market and raises asset prices and output, but in other circumstances it reduces the depth of the credit market and depresses the price of nontradables and output. Liberalization can have a contractionary impact by inducing a reallocation of credit from the nontradables to the tradables sector.     

施工总承包特级企业市场交易资质匹配研究

施工总承包特级企业是我国建筑业企业的龙头,其市场行为是否与其自身的资质和能力相匹配,影响建筑市场秩序和建筑行业的健康发展.文章在界定建筑业企业市场交易资质匹配概念的基础上,选取"中标次数"、"中标率"、"中标总金额"、"平均单位标段强度"、"中标次数修正指标"、"中标次数百分比修正指标",以及"中标金额百分比修正指标"和"平均单位标段强度修正指标",建立了相应的施工总承包特级企业市场交易资质匹配度测算模型,并利用2009年南京市建设工程交易数据进行了实证分析.测算结果与企业实际市场表现基本一致,表明模型建立科学,模型测算分值(QMI)能够反映企业在某一特定市场交易中的资质匹配状况.     

投资者有限理性行为的认知、心理基础

行为金融目前已经成为金融研究和实践的前沿领域。本文通过对国内外投资者有限理性行为的相关研究进行梳理,对投资者认知偏差和心理偏差进行分析,得到一个结论：只有准确把握有限理性投资者的各种认知、心理偏差,才能更深入理解市场异象和行为金融模型、优化投资决策。     

Monetary Policy Transmission with Interbank Market Fragmentation

This paper shows how interbank market fragmentation disrupts the transmission of monetary policy. Fragmentation is the fact that banks, depending on their country of location, have different probabilities of default on their interbank borrowings. Once fragmentation is introduced into standard theoretical models of monetary policy implementation, excess liquidity arises endogenously. This leads short-term interest rates to depart from the central bank policy rates. Using data on monetary policy operations, I show that this mechanism has been at work in the euro area since 2008. The model is used to analyze conventional and unconventional monetary policy measures.     

Market Delineation under the Merger Guidelines: Monopoly Cases and Alternative Approaches

Despite the well-known Cellophane fallacy, the Merger Guidelines' market-delineation paradigm, which examines the effects of price increases above the prevailing level, has substantial utility in many monopoly cases. For monopoly cases in which the Guidelines' approach is not appropriate due to the Cellophane fallacy, no modification of that approach appears to solve the problem is a useful way. More direct methods for assessing monopoly power are likely to be preferable to structural analysis in many monopoly and merger cases.     

2013年4月银行间市场运行报告

2013年4月,银行间市场的主要运行特点是：货币市场利率大幅冲高回落;债券代持风波冲击债市．国债短期收益率小幅上行;互换利率总体下行,短端跌幅明显;在人民币对美元中间价强势升值的带动下,人民币对美元交易汇率持续升值,并创下历史新高;汇率衍生品市场交易保持活跃,衍生品汇率隐含的人民币贬值预期有所缩小。     

A State‐Price Volatility Index for China's Stock Market

This study derives a volatility index for China's stock market with similar properties to the Chicago Board Options Exchange Volatility Index (the ‘VIX’). A long‐term benchmark of historic volatility expectations is here presented for China from 1996 to 2011, called the ‘China‐ State‐Price Volatility (SPV)’. Construction of this index involves the use of SPV methodology, using implied volatility calculated from options on the Hang Seng China Enterprise Index (HSCEI). Historic open–high–low–close volatility on the Shanghai Composite Index (SHCI) is also used to extend the benchmark prior to the availability of HSCEI options data. The China‐SPV successfully forecasts realised volatility for the Shanghai Stock Exchange. It also serves as a ‘fear gauge’ in that it monitors daily movements of the SHCI in the same way that the VIX monitors the S&P 500 index (Whaley, 2009). The China‐SPV evidences an increasing relation with the US market in terms of the dynamic correlation of levels and changes with the VIX since 2004.