LIQUIDITY AND CONTAGION: THE CRISIS OF 1763

The financial crisis that swept across northern Europe in 1763 bears a strong resemblance to more recent episodes of financial distress. The combination of the specific contractual arrangements at the time, interlocking credit relationships, and the high leverage of market participants triggered distress sales of assets, leading to a severe liquidity crisis. Hence, the crisis is an early instance of contagion on the asset side of the balance sheet. We highlight the salient features of the 1763 crisis and propose a stylized model of the events. While the financial institutions have changed fundamentally in the intervening 200 or so years, the underlying problems appear to be universal. (JEL: 6621, E44, N23)     

房价波动、住房信贷与宏观审慎政策

金融危机表明住房信贷违约可能引发系统性风险，但现有理论研究并未将住房信贷违约风险纳入分析框架。本文通过构建包含异质性房价冲击和住房信贷违约的房地产动态随机一般均衡（DSGE）模型，探究房价波动的溢出效应，同时研究宏观审慎政策对住房信贷的监管效果。基于中国的实际数据，通过模拟分析得出以下结论：房地产市场对实体经济的溢出效应主要集中在消费而不是产出和通胀，对金融系统的溢出效应要大于实体经济。采用以住房信贷扩张速度为目标的动态资本充足率监管方式能有效地控制信贷风险，短期效果更加明显。房价波动冲击和利率冲击是引起我国住房信贷波动的主要原因。     

Double Trouble: Sibling Rivalry and Twin Organizations in the 2008 Credit Crisis

The purpose of this paper is to introduce and explore the novel idea of highly similar ‘twin organizations’. Drawing on psychoanalytic theory in his formulation, the author argues that the closeness of organizational identities in twin organizations may lead to increased rivalry, narcissism and a tendency for greater risk‐taking and vulnerability. Four of the biggest casualties of the 2008 credit crisis – two UK banks (HBOS and RBS) and two large US financial institutions (Fannie Mae and Freddie Mac) – are used to illustrate this conceptual development. The contribution of this paper is fivefold. First, this paper contributes the theoretical innovation of the idea of twin organizations to the organization studies literature. Second, it casts a fresh light on four of the organizations that got most deeply into trouble in the credit crisis. Third, it contributes to other areas of organizational scholarship, specifically the theory of risk and the theory of organizational identity. Fourth, this paper acts as a warning by identifying similar phenomena in the ongoing Eurozone crisis, and fifth, it contributes to the understanding of risk‐management practice and organizational consultancy.     

Crisis leadership: A review and future research agenda

The past few decades have witnessed numerous crises that have drawn increasing attention to the study of crisis leadership. However, research in this field remains fragmented and existing reviews often adopt a subjective approach to identify and synthesize the findings of relevant articles. These limitations make it difficult for scholars to appreciate the progress made in the literature, to derive comprehensive and objective insights, and to forge a path ahead. This study synthesizes theoretical insights and empirical findings in the crisis leadership literature using bibliometric techniques. We first review the intellectual structure of the crisis leadership literature by conducting co-citation and bibliographic coupling analyses. We then map the major conceptual themes in the crisis leadership literature via a co-word analysis. To supplement the findings of the bibliometric analyses, we review the key methodological approaches adopted by crisis leadership researchers. Based on the integrative insights, we propose a research agenda highlighting opportunities for theoretical and methodological advancements in crisis leadership research.     

A productive clash of cultures: Injecting economics into leadership research

Research on leadership in economics has developed in parallel to the literature in management and psychology and links between the fields have been sparse. Whereas modern leadership scholars mostly focus on transformational and related leadership styles, economists have mainly emphasized the role of contracts, control rights, and incentives. We argue that both fields could profit from enriching their approach with insights from the other field. We review and synthesize the economics literature on leadership in organizations and discuss how leadership scholars in management and psychology can benefit from the detailed understanding of transactional methods that economists have developed. We link the contributions in economics to a broad set of topics including the foundations of leadership, leader emergence, and leader effectiveness. At the same time, we also point out limitations of the economic approach and outline how the integration of leadership research and economics would broaden the scope of future studies.     

付费主体差异对信用评级结果的影响机制研究

2010年我国首家投资人付费评级机构——中债资信成立,由于我国投资人付费评级机构成立时间不长,目前国内鲜有研究投资人付费与发行人付费评级差异及产生原因的文献,并且国外相关文献主要关注评级方式对某一类债券评级结果的影响,而没有探讨两种评级方式对不同类型债券的影响之间是否存在差别。本文针对投资人付费与发行人付费评级之间的差异,基于声誉效应、竞争机制对发行人付费评级机构迎合选择进行了博弈分析,并分别以信贷资产支持证券和企业债主体的评级数据为样本,对评级差异及其产生原因进行了实证检验。研究结果表明：投资人付费评级结果显著低于发行人付费评级结果;不同付费模式下评级结果的差异受到是否为首次评级和发行人付费评级机构市场份额的影响,发行人付费评级机构对发行人的迎合是产生评级差异的主要原因;两种付费评级方式在企业债主体中的评级差异显著高于在信贷资产支持证券中的评级差异,表明付费评级方式对企业债主体的影响更大。本文较为全面地研究了我国投资人付费与发行付费评级之间的差异,使投资人、监管机构对不同付费模式下的评级结果有更加清晰的认识。     

The 2007 financial crisis: strategic actors and processes of construction of a concrete system

The recent financial and economic crisis, defined “a once in a century credit tsunami” by former President of Federal Reserve, Alan Greenspan, has produced relevant damages in all economic sectors, making many people much poorer. For this reason, many scientific contributions have addressed the causes of the crisis, focusing mostly on the ‘bad practices’ in lending and credit securitization procedures as well as in corporate governance mechanisms ruling the banking system. Our work is based on an organizational perspective and it reviews the crisis under a theoretical model that combines the political and new institutionalist studies, in order to show evidence of the intense network of relationships and interests underlying the financial system government. In doing so, we identify the key players acting as institutional entrepreneurs that, levering on their resources and power, have contributed to construct and reshape the institutional framework—normative and symbolic—ruling the so called Great Moderation period.     

会计诚信危机治理机制研究

会计诚信危机作为一种经济现象,也遵循供求规律,信息不对称的客观存在是其产生的经济根源,法律等外在制度约束和道德等内在制度约束的缺失及不健全,使经营者道德风险和逆向选择变为现实.会计人员是否遵守职业操守、讲求诚信是利益驱动下重复博弈的结果.建立会计诚信的制度规范,优化会计诚信环境,是治理诚信危机的根本措施.     

Improving Default Risk Prediction Using Bayesian Model Uncertainty Techniques

Credit risk is the potential exposure of a creditor to an obligor's failure or refusal to repay the debt in principal or interest. The potential of exposure is measured in terms of probability of default. Many models have been developed to estimate credit risk, with rating agencies dating back to the 19th century. They provide their assessment of probability of default and transition probabilities of various firms in their annual reports. Regulatory capital requirements for credit risk outlined by the Basel Committee on Banking Supervision have made it essential for banks and financial institutions to develop sophisticated models in an attempt to measure credit risk with higher accuracy. The Bayesian framework proposed in this article uses the techniques developed in physical sciences and engineering for dealing with model uncertainty and expert accuracy to obtain improved estimates of credit risk and associated uncertainties. The approach uses estimates from one or more rating agencies and incorporates their historical accuracy (past performance data) in estimating future default risk and transition probabilities. Several examples demonstrate that the proposed methodology can assess default probability with accuracy exceeding the estimations of all the individual models. Moreover, the methodology accounts for potentially significant departures from “nominal predictions” due to “upsetting events” such as the 2008 global banking crisis.     

Measuring Expectations

To predict choice behavior, the standard practice of economists has been to infer decision processes from data on observed choices. When decision makers act with partial information, economists typically assume that persons form probabilistic expectations for unknown quantities and maximize expected utility. Observed choices may be consistent with many alternative specifications of preferences and expectations, so researchers commonly assume particular sorts of expectations. It would be better to measure expectations in the form called for by modern economic theory; that is, subjective probabilities. Data on expectations can be used to relax or validate assumptions about expectations. Since the early 1990's, economists have increasingly undertaken to elicit from survey respondents probabilistic expectations of significant personal events. This article discusses the history underlying the new literature, describes some of what has been learned thus far, and looks ahead towards making further progress.     

Pricing and momentum of syndicated credit in Europe

We investigate the determinants of syndicated loan prices for European borrowers, spanning the entire period of credit expansion and crisis. We construct a large data base consisting of 2102 rated syndicated loan deals from 1990 to 2008 in twenty three countries and ten economic sectors. We investigate the effects on the spread paid over the risk free rate of three major groups of factors: loan characteristics, borrower characteristics and characteristics of country of the borrower, using both qualitative and quantitative variables in a hedonic regression. The results show that all three groups are significant joint determinants of prices of syndicated credit. Our results confirm the existing literature but also provide for first time results stemming form the risk characteristics of the borrower and the country of the borrower. It is shown that distance-to-default as well as aggregate risk associated with country of the borrower are of great concern to the lenders and hence significantly affect the pricing of syndicated loans. Furthermore, we report that financial institutions and public utilities are able to negotiate for cheaper loans, but this result is reversed when financing is for acquisition purposes. Overall, risk, liquidity, solvency and sustainable performance by both the borrower and its domicile country are key determinants of syndicated loan prices.     

CREDIT CONSTRAINTS AND THE CYCLICALITY OF R&D INVESTMENT: EVIDENCE FROM FRANCE

We use a French firm‐level data set containing 13,000 firms over the period 1994–2004 to analyze the relationship between credit constraints and firms’ R&D behavior over the business cycle. Our main results can be summarized as follows: (i) R&D investment is countercyclical without credit constraints, but it becomes procyclical as firms face tighter credit constraints; (ii) this result is only observed for firms in sectors that depend more heavily upon external finance, or that are characterized by a low degree of asset tangibility; (iii) in more credit‐constrained firms, R&D investment plummets during recessions but does not increase proportionally during upturns.     

RELATIONSHIP LENDING DURING A FINANCIAL CRISIS

This paper studies whether relationship lending mitigates the transmission of the Lehman default shock to the supply of credit in Italy. Exploiting the presence of multiple banking relationships, we control for banks' and firms' unobserved characteristics. Results show that the growth of credit itself is higher and its cost lower the shorter the distance between the bank and the firm, the longer the relationship, and the higher the share of credit held by the bank. Credit growth by relationship lenders is 4.6% higher than that by transactional lenders; the increase in the cost of credit is 50 basis points lower. The positive effect of relationship lending on credit supply increased during the crisis, compared to a pre‐crisis period. The beneficial effect of relationship lending is weaker if the relationship lender is more exposed to the financial crisis, especially when lending to weaker borrowers.     

基于时序多目标方法的主权信用违约风险研究

次贷危机所引发了冰岛、希腊等国主权债务危机使我们更加关注传统主权信用评级系统的滞后性问题.提出基于时间序列的多目标决策模型,通过对1990—2006年间,32个国家相关经济数据的分析,得到各国主权信用风险效用值的排序.通过聚类分析得到高风险国家簇,该结果与2007年美国次贷危机爆发后发生主权信用违约事件的国家一致,表明该模型具有良好的预测性能,文章最后对模型进行了敏感性分析.     

THE INEFFICIENCY OF WORKER TIME USE

Much work is carried out in short, interrupted segments. This phenomenon, which we label task juggling, has been overlooked by economists. We study the work schedules of some judges in Italy documenting that they do juggle tasks and that juggling causally lowers their productivity substantially. To measure the size of this effect, we show that although all these judges receive the same workload, those who juggle more trials at once instead of working sequentially on few of them at each unit of time, take longer to complete their portfolios of cases. Task juggling seems to have no adverse effect on the quality of the judges' decisions, as measured by the percent of decisions appealed. To identify these causal effects we estimate models with judge fixed effects and we exploit the lottery assigning cases to judges. We discuss whether task juggling can be viewed as inefficient, and provide a back‐of‐the‐envelope calculation of the social cost of longer trials due to task juggling.     

Clean technologies in German economic literature: a bibliometric analysis

Over the past two decades, clean technologies (cleantech) have emerged as an important economic factor with remarkable progress. Fueled by growing concerns about climate change and diminishing fossil fuel resources, governments have put aggressive stimulus packages in place to support emerging technologies that drive cleantech businesses. The industry operates in highly regulated market conditions which in turn raises the question of whether economists have addressed private and public information requirements. To answer this question and to explore the relationship between environmental economics and clean technologies, this paper examines German literature using co-citation analysis methods. Based on the co-citation analysis of 588 documents, our results suggest that researchers have provided a rather small and fragmented set of business knowledge for the cleantech industry. Despite its economic and environmental importance, research on the private use and economic impact of cleantech remains scarce.     

信贷扭曲下系统性风险形成和“双支柱”政策协调问题研究——基于异质性企业的视角

我国国有企业和私营企业在信贷获取和生产效率上的差异性会扭曲信贷资源配置,进而抬高宏观杠杆率,增加系统性风险。本文基于抵押约束机制构建了包含异质性企业的动态随机一般均衡模型,从理论上分析了由企业信贷扭曲引起的系统性风险形成机制,并探讨了货币政策和宏观审慎政策"双支柱"调控的协调问题。研究发现：在异质性企业环境下,宏观审慎政策通过减缓信贷市场顺周期行为,抑制信贷规模过度膨胀,起到降低宏观杠杆率、防范系统性风险的作用,并显著改善社会福利损失,为货币政策制定创造更多空间;货币政策与宏观审慎政策"双支柱"的调控框架仅减缓了抵押约束机制对经济周期的放大效应,未解决异质性企业对经济结构的扭曲问题。因此,深化供给侧结构性改革,提高国有企业市场竞争力和自负盈亏能力,充分发挥市场对资源的配置作用,是建立"去杠杆"长效机制、提高金融韧性以形成能够内生消化风险的市场环境的关键所在。     

The influence of national culture and institutional voids on family ownership of large firms: A country level empirical study

There is considerable variation across countries in both the extent to which large publicly listed firms are family-owned and the dominance of such family-owned firms in stock markets. The literature presents competing theoretical viewpoints on what influences such country-level variation. On one hand, institutional economists suggest that institutional voids can have a strong influence. On the other hand, cultural sociologists suggest that a country's culture can have a strong influence. One type of institutional void is a lack of institutional norms and regulations needed for monitoring contracts (which can discourage owners from hiring professional agents for top management positions in their firms) and another type of institutional void is a lack of financial credit availability in the country. Cultural dimensions include collectivism (i.e. cohesion within in-groups/families) and power distance (i.e. inequalities in society). This country-level empirical study suggests that both national culture and institutional voids influence family ownership patterns around the world, and that institutional voids moderate the influence of national culture. National culture has a stronger influence when a country has institutional voids; however, the influence of national culture weakens when institutional voids are overcome.     

Trust, Confidence, and the 2008 Global Financial Crisis

The 2008 global financial crisis has been compared to a "once-in-a-century credit tsunami," a disaster in which the loss of trust and confidence played key precipitating roles and the recovery from which will require the restoration of these crucial factors. Drawing on the analogy between the financial crisis and environmental and technological hazards, recent research on the role of trust and confidence in the latter is used to provide a perspective on the former. Whereas "trust" and "confidence" are used interchangeably and without explicit definition in most discussions of the financial crisis, this perspective uses the TCC model of cooperation to clearly distinguish between the two and to demonstrate how this distinction can lead to an improved understanding of the crisis. The roles of trust and confidence—both in precipitation and in possible recovery—are discussed for each of the three major sets of actors in the crisis, the regulators, the banks, and the public. The roles of trust and confidence in the larger context of risk management are also examined; trust being associated with political approaches, confidence with technical. Finally, the various stances that government can take with regard to trust—such as supportive or skeptical—are considered. Overall, it is argued that a clear understanding of trust and confidence and a close examination of the specific, concrete circumstances of a crisis—revealing when either trust or confidence is appropriate—can lead to useful insights for both recovery and prevention of future occurrences.     

NORM ENFORCEMENT: ANGER,INDIGNATION, OR RECIPROCITY?

The enforcement of social norms often requires that unaffected third parties sanction offenders. Given the renewed interest of economists in norms, the literature on third‐party punishment is surprisingly thin. In this paper, we report the results of an experiment designed to replicate the anger‐based punishment of directly affected second parties and evaluate two distinct explanations for third‐party punishment: indignation and group reciprocity. We find evidence in favor of both, with the caveat that the incidence of indignation‐driven sanctions is perhaps smaller than earlier studies have hinted. Furthermore, our results suggest that second parties use sanctions to promote conformism while third parties intervene primarily to promote efficiency.