我国银行业结构与经济增长的实证研究

自1994年以来,我国的经济金融体制不断深化改革,银行业整体规模迅速扩张,并逐渐形成多层次、多元化的银行业体系。为了考察我国银行业结构对我国经济增长的影响,本文根据我国的地理和经济特征,将我国划分为了六个区域,并运用六个区域在1995至2010年间的面板数据,以中小金融机构的市场份额(即除四大国有银行外的其他金融机构的贷款余额占各区域全部金融机构贷款余额的比例)为度量指标,采用固定效应模型和广义矩估计法(GMM),分析了不同规模银行在整个银行体系中的相对重要性。通过研究发现,我国中小银行的市场份额与经济增长之间具有显著的正向关系,在现阶段的中国,提高中小银行的市场份额能够有效促进实体经济的发展,并提出了相关的政策建议。     

The Underground Economy in the Late 1990s: Evading Taxes,or Evading Competition?

This paper studies the driving forces behind the considerable expansion of the underground economy during the late 1990s. I propose a novel explanation for this phenomenon: the sharp increase in market competition worldwide, which reduces prices and profits and drives firms into the shadow economy. Empirical evidence from a panel covering 45 countries from 1995 to 2000 shows that increased competition is indeed correlated with an expansion of the underground economy. The effect is strongest in low-tax, high-corruption countries that do not provide the public services which make it worthwhile for firms to remain official despite growing competitive pressure.     

Testing for profitability and contestability in banking: evidence from Austria

The paper investigates the determinants of banking profitability and banking market conditions in Austria. We conduct a panel econometric analysis which allows for testing the hypotheses which have become the most prominent in the literature on bank profitability: the structure–conduct–performance hypothesis, the efficient‐structure hypothesis and the relative market‐power hypothesis. Further, we test whether Austrian banking markets are, on average, contestable. A newly compiled dataset covering more than 700 Austrian banks ranging over the period from 1995 to 2002 is used to carry out these econometric analyses. The empirical findings support the view that the Austrian banks do exert, on average, some local market power. However, the gains in terms of excess profits are rather minor as a result of low deterrence powers of the incumbent banks.     

Competition and Concentration in the New European Banking Landscape

This paper measures the degree of concentration and competition in the enlarged European Union (EU) banking environment over the period 1998–2002. In the empirical part we opt for a methodology as proposed by Panzar and Rosse based on a non‐structural estimation of market competition. Our results suggest that European banks were operating under conditions of monopolistic competition and that bank interest revenues in the 10 new EU member states was earned under conditions of higher competition than those that existed in the old EU banking countries. The opposite result was observed for total operating revenues. Smaller banks earn interest income in a less competitive environment than larger banks, while the opposite is observed for total revenues.     

Convergence of interest rate pass-through in a wider euro zone?

This study investigates interest rate pass-through convergence for the eight Central and Eastern European countries (CEECs) that joined the European Union. Based on a unifying empirical pass-through model that allows for thresholds, asymmetric adjustment, and structural changes, we find that the pass-through in many CEECs has become faster over time and is generally more complete than in the euro zone. We find evidence for convergence across CEECs with market concentration, bank health, foreign bank participation and monetary policy regime as conditioning factors. No convergence of the CEEC pass-through is found vis-à-vis the heterogeneous euro zone.     

现代金融的核心功能是配置风险

金融经历了从融通资金到信用创造，再到转移风险的过程。现代金融的核心功能是配置风险。金融不能消灭风险，它只能是转移风险，分散风险。金融的发展趋势是提升金融体系配置风险的功能，使风险流量化。     

The patterns of cross-border bank mergers and shareholdings in OECD countries

In recent years there has been a surge in mergers and acquisitions (M&As) in all sectors of economic activity. Cross-border operations have followed this trend, creating global companies operating in all major world markets. In this paper we study the pattern of cross-border M&As in the banking industry relative to the non-financial sector of the economy and investigate which factors make it more likely that a bank will expand its activities abroad. We find that cross-border M&As are rarer in banking than in other sectors, possibly owing to the importance of information asymmetries in banking relationships and to regulatory restrictions. Using data on almost 2500 banks from 29 OECD countries, we also show that the most significant features of banks with foreign equity interests relate to efficiency: banks with cross-border shareholdings are on average larger, more profitable, and based in countries with a more highly developed banking market.     

The Subprime Panic*

Understanding the ongoing credit crisis or panic requires understanding the designs of a number of interlinked securities, special purpose vehicles, and derivatives, all related to subprime mortgages. I describe the relevant securities, derivatives, and vehicles to show: (1) how the chain of interlinked securities was sensitive to house prices; (2) how asymmetric information was created via complexity; (3) how the risk was spread in an opaque way; and (4) how trade in the ABX indices (linked to subprime bonds) allowed information to be aggregated and revealed. These details are at the heart of the origin of the Panic of 2007. The events of the panic are described.     

开放条件下我国银行业的效率改进及风险管理——兼论国有商业银行改革

在我国开放格局业已确定,而国有商业银行改革尚未完成之际,银行业面临的新挑战集中体现在效率与风险两个方面.效率改进的关键在于内部治理,而这却依赖于银行内部制衡机制的建立,制衡的另一方应是民营资本和机构投资者,而不是外资银行.风险防范应从微观和宏观着手.微观上,银行应加强内部风险意识和国际竞争意识;宏观上,监管层应借鉴国际经验,加强对外资银行的监管和对本国银行零售业的保护.     

The Effect of Bank Debt Downgrades on Stock Prices of Other Banks

We find that debt downgrades of money center banks elicit negative stock price responses in nondowngraded money center banks. Stock prices of larger regional banks also react to these downgrades. Although downgrades of regional banks evoke negative stock price responses for regional banks in the same geographic region, the importance of geographic region as a factor determining the extent of intra‐industry reactions has diminished since 1989. Our results indicate that the merger and expansion activities triggered by interstate banking have blurred differences between regional and money center banks as interstate banking activity has moved towards nationwide banking