商业银行弱经济周期性分析及启示——以美国富国银行为例

商业银行经营往往具有较强的亲经济周期性,这不仅增大了银行股东的风险,也不利于塑造稳健经营的社会形象.本文选取美国富国银行为案例,通过主成分分析方法评估富国银行多年的经营表现情况,并结合美国经济波动情况,得出结论:富国银行经营具有稳定上升趋势,受到宏观经济的影响较小,具有弱经济周期性.本文最后结合富国银行的经营理念、风险控制、多元化渠道建设以及并购战略等因素,探讨富国银行弱经济周期性背后的原因及其对我周商业银行的启示.     

Determinants and Implications of Cyclicality: Contrasting Evidence Across Developed and Developing Countries

ABSTRACT

Using data for a sample of advanced and developing countries, the paper studies variation in the effects of aggregate demand shocks on the macro-economy and distinguish between the effects of expansionary and contractionary shocks. The aim is to study the determinants and implications of cyclicality across representative countries in each group. The composite evidence points to high degree of cyclicality in many countries. The risk of cyclicality is higher in developing countries as high trend inflation limits the scope to mobilize growth and increases downward rigidity of prices. Policy priorities in developing countries should be focused on fighting inflation and improving the investment environment towards maximizing the return on investment and sustaining growth and capacity building. Policy priorities in advanced countries should be focused on mobilizing resources to ease capacity constraints and finance larger investment, with limited crowding out, to maximize the potential of real growth and combat inflationary pressures.     

The asymmetric behavior of household consumption under the business cycle

In this study, we examine whether and to what extent the pattern of household consumption is asymmetrically sensitive to economic changes. We use a threshold model with error correction to characterize household consumption under the business cycle. Using data from the 1979–2014 Survey of Family Income and Expenditure in Taiwan, we find that household consumption has pro-cyclical characteristics during the business cycle. More importantly, household consumption responds asymmetrically to economic fluctuations such that changes in consumption tend to be larger during expansions than during downturns. Furthermore, the nature of this asymmetry differs across household income quantiles.     

Does the New Keynesian Phillips curve need countercyclical markups?

This paper examines the behavior of four types of markup measures and its implications for the new Keynesian Phillips curve (NKPC). The four types of measures are a procyclical measure, a weakly procyclical measure, an acyclical measure and a countercyclical measure. Motivated by the fact that the U.S. markup has shifted up dramatically since the early 2000s, the paper also presents both empirical dynamics and a new Keynesian model featuring nonstationary markups. After inspecting empirical dynamics of key macroeconomic variables and the performance of the model, it points out that weakly procyclical or acyclical markups are more consistent with the purely forward-looking NKPC. Moreover, a major shortcoming of standard new Keynesian models is their inability to trace the actual behavior of the markup in response to a demand shock.     

Crowding out or crowding in? Correlations of spending components within and across countries

Using data for a sample of advanced and developing countries, the paper studies variation in the transmission of shocks from public and private components of spending to the macro-economy and distinguishes between the effects of expansionary and contractionary shocks. The aim is to study the extent by which capacity and propagation channels would reinforce or mitigate the cyclical responses of macroeconomic variables to expansionary and contractionary shocks to private and public components of spending. Further, the evidence will spell out the extent of co-movement in the variables’ adjustments to the specific shock across the macro economy. The bulk of the time-series evidence indicates more pervasive effects on growth in connection to private consumption across advanced countries. In contrast, the growth effects of public consumption are more pervasive across developing countries. Across the two groups, the growth impact of public consumption is more pronounced, compared to that of public investment. Further, the inflationary effects are pronounced with respect to public and private spending shocks. In general, the limited statistically significant real time-series evidence attests to conflicting channels with respect to variables’ adjustments to one shock and inadequate co-movement in the transmission mechanism of various public and private spending shocks in many countries.     

The cyclicality of the user cost of labor

The user cost of labor is the expected difference between the present discounted value of wages paid to a worker hired in the current period and that paid to a worker hired in the next period. Analogous to the price of any long-term asset, the user cost, not wage, is the relevant price for a firm that is considering adding a worker. I construct its counterpart in the data and estimate that it is substantially more procyclical than average wages or wages of newly hired workers. I demonstrate an application of the finding using the textbook search and matching model.     

Economic growth and the stability and efficiency of the financial sector

It has been claimed that the ability of emerging markets to adopt optimal stabilization policies is hampered by a number of factors. Among them, it has been recently emphasized the role of financial instability, inefficiencies, and financial market imperfections. It is claimed here that the current financial regulatory paradigm, embodied in Basel II, may improve financial stability but reinforces cyclicality. Therefore, countries should emphasize financial efficiency since it would lead to enhanced financial stability, without increasing cyclicality.     

Time-varying cyclicality of fiscal policy: The case of the Euro area

We assess the cyclicality of fiscal policy in the 19 Euro area countries, notably during recessions, for the period 1995–2020. We use a time-varying measure of fiscal cyclicality to describe fiscal policy developments. The results suggest that during recessions discretionary fiscal policy becomes more pro-cyclical, but the overall budget balance becomes more counter-cyclical. Hence, pursuing a Ricardian fiscal regime by more indebted countries leads to higher counter-cyclicality of fiscal policy. Government size reduces counter-cyclicality, as well as trade openness, and financial development has a positive impact on counter-cyclicality.