基于动态因子Copula模型的我国银行系统性风险度量

本文基于2007年至2019年我国14家上市银行的股票收益率,构建偏态t-分布动态因子Copula模型,利用时变荷载因子刻画单家银行与整个系统的相关性,计算联合风险概率作为系统性风险整体水平的度量,基于关联性视角提出了新的单家机构系统脆弱性和系统重要性度量指标——系统脆弱性程度和系统重要性程度。该方法充分考虑了银行个体差异性和系统的内在关联性以及收益率的厚尾性和非对称性,从而能够捕捉到更多的信息且兼具时效性。研究表明:银行机构在风险聚集时期相关程度更大,联合风险概率能够准确识别出系统性风险事件且在我国推行宏观审慎评估体系以后有明显降低;整体而言,大型商业银行系统重要性水平最高,同时风险抗压能力也最强;本文使用的度量方法降低了数据获取成本且更具时效性,有助于为宏观审慎差异化监管工作提供借鉴和参考。     

The Improbability of Fraud in Accounting for Derivatives: A Case Study on the Boundaries of Financial Reporting Compliance

ABSTRACT

This study responds to recent calls in the literature to examine fraud using detailed case studies, extending knowledge beyond individual incentives and capital market reactions towards a more contextualized understanding of the concept. We use an institutional logics perspective to challenge existing assumptions about a universally valid meaning of compliance, fraud, and faithful representation. Presenting the case of the Swedish bank HQ, we show how the interpretation of the accounting standard for option measurement varies across different enforcement bodies because the meaning of compliance is socially negotiated across the institutional logics of markets, financial regulation, and law. The independent decision-making of the different enforcement bodies leads to a systematic variation in the interpretation of principles-based accounting standards without ultimate coordination. To define consistent boundaries of compliance across institutional logics, and thus, to distinguish between fraud and allowable managerial discretion becomes problematic. Faithful representation, in turn, cannot be understood as financial statements reflecting a correct value or as financial statements being prepared in accordance with acceptable practice, as suggested in the earlier literature. Instead, faithful representation itself becomes a contextually bound concept, which can only be defined within an institutional logic.     

Determinants of customers’ intentions towards environmentally sustainable banking: Testing the structural model

The increasing urbanization and changing consumption patterns are putting great strain on environmental sustainability. The consumption patterns need to be reformed due to the great contribution to rising carbon emissions. The customers are also becoming aware of the various environmental issues. The current research developed and tested a conceptual framework to scrutinize the antecedents of customers' intentions to adopt environmentally sustainable banking services and activities. Following the theory of planned behaviour (TPB), this paper incorporated the constructs namely trust, environmental consciousness, and perceived behavioural outcomes in addition to its basic variables. The data were gathered from a cross-sectional sample of 440 Indian bank customers using a survey method. PLS-based structural equation modelling technique was employed to test the research model. The results indicated that TPB constructs exert significant influence on customers’ behavioural intention. The environmental consciousness was marked as a highly significant predictor of perceived behavioural outcomes which in turn was found to be a significant determinant of trust as well as behavioural intention. Moreover, the attitude was found to be a significant outcome of trust and environmental consciousness. This research puts forth the theoretical as well as managerial implications and provides directions for further research in the concerned thrust area.     

Endogenous network efficiency,macroeconomy, and competition: Evidence from the Portuguese banking industry

Although performance analysis has become a vital part of the banking industry, research on the efficiency of Portuguese banking remains scarce and focused on discussing rankings to the detriment of unveiling its productive structure relative to its competition. This issue is of utmost importance considering the relevant transformations in the Portuguese economy over the last ten years. In this study, we developed a network productive structure comprising two paradigms (the production and intermediation approaches, respectively) to assess how market competition and other macro-economic variables impact bank efficiency and their feedback effects in Portugal. Unlike previous research, an integrated multi-layer perceptron (MLP)/hidden Markov model (HMM) was used for the first time to unveil endogeneity among banking competition, macro-economic variables, and the efficiency levels of the production and intermediation approaches in banking. The findings illustrate the pattern of interaction among these variables and verify that the production efficiency is the cornerstone of endogeneity in Portuguese banks. Policy makers will find the results helpful.     

Bank Income Diversification,Asset Correlation and Systemic Risk

This paper explores whether the asset correlations among the non-interest activities of banks are the key causes for enhancing the bank diversification-systemic risk nexus. Our empirical evidence indicates that banks' income diversification significantly raises systemic risk. After removing those banks with high asset correlations, the effect of individual banks' diversification on banking systemic risk turns insignificant or even inverse. The results show that high asset correlations among banks could introduce bank failures, thereby leading to higher systemic risk in the financial sector.     

Is the Euro-zone on the Mend? Latin American examples to analyze the Euro question

Several European countries face challenges reminiscent of those faced by the emerging economies of Latin America. The economic booms in some peripheral Euro-zone countries financed by large capital inflows; the credit and asset price booms and then the busts including Sudden Stops in capital flows; the strong interaction between sovereign debt and domestic banking systems; the role of foreign banks and contagion; and all in the context of a fixed exchange rate, are familiar plotlines for Latin American audiences. For those Euro-zone countries that built up large Euro-denominated external liabilities, Latin America’s experience is particularly relevant and worrisome. Still, Europe may be in a better position to navigate a path out of the crisis given cooperative mechanisms that were absent in Latin America, particularly the availability of massive liquidity support. Nonetheless, while such support buys time, it does not guarantee success. This paper argues that reflecting on Latin America’s experience provides useful lessons for Europe to improve the chances for a successful resolution.     

中国影子银行发展趋势与展望

在多角度界定影子银行的基础上,总结中国影子银行的主要特征,即处于初期发展阶段、杠杆率相对较低、主体独立性低、金融创新活跃地带。从欧美国家影子银行发展实践来看,中国影子银行是金融体制过渡性的产物,代表了未来金融创新的方向,其发展趋势主要包括：业务发展：由银行表外业务向资产证券化业务转变;运作模式：由＂一对一＂对接向＂多对多＂对接转变;融资结构：由非标债权融资向标准化债权融资转变;体系构成：由商业银行为主向非银行金融机构为主转变;监管动向：由机构监管向机构监管与功能监管相结合转变。     

Bank lending opportunities and credit standards

This article empirically tests the hypothesis that credit-screening standards can be first increasing and then decreasing in the quality of the bank's pool of potential borrowers, which in turn may vary through the business cycle or across different segments of the lending markets. A key implication is that banks with lending opportunities toward the middle of the quality spectrum can have loan portfolios that perform better than do the portfolios of banks with loan-origination opportunities that are either too weak or too strong. Using banks’ volume of secondary-market loan sales as a proxy for the richness of lending opportunities, I find an inverse U-shaped relation between the performance of banks’ loan portfolios and their activity in the loan sales market. The pattern deserves scrutiny for its policy implications, as many regulators hold the view that countercyclical variation in credit standards may have a destabilizing effect on business cycles.     

中国银行业的外国直接投资:意义及挑战

上世纪90年代,全世界新兴市场国家的银行业出现了外国直接投资迅速增加的现象,这些外国直接投资相应给这些国家的银行体系带来了深远的影响。作为世界银行业全球化发展的组成部分,从2003年开始,中国银行业证明了一个史无前例的新现象—大量的FDI涌入中国银行业,购买股份抢占中国银行业市场。本文试图描述银行FDI在中国的现状,并探索背后的主要原因,包括监管规则的改变、经济的稳健增长、银行业的发展和持续的非金融FDI。银行在公司治理、风险管理、内部控制和人力资源管理等方面出现初步但富有帮助的变化。整个银行体系也发生了变化,包括行业形象得到改善、信用文化得到培养、透明度得到加强、创新得到发展、效率得到提高。然而,对于整个银行体系和经济的有意义的影响目前还没有出现。尽管通过吸引国外有经验的合格战略投资者引进了国际先进的管理惯例,对于中国的银行来说,仍然需要很长时间来全面改革自己的信贷文化和不清晰透明的行为。而且,随着中国的全面开放,前面将会有很多艰巨的挑战,因此,作为一个新兴经济体,一定要有远大视野,全面理解银行业中FDI的长期重要角色,创造外国战略合作伙伴发挥其积极作用的必要条件,督促其提供服务的步骤,以及中国银行系统在全球银行价值链中的正确地位。     

中国金融业与经济增长的稳定性分析

本文通过对金融业增加值增长率和贡献率、M2和金融业机构存贷款余额增长速度、价格波动、金融相关比率变化和股票市值占GDP比重变化等多角度的分析发现,中国金融业与经济增长的稳定性总体存在较大的不确定性。但近十年两者的稳定性和协调性有所提高。