欧洲主权债务危机对我国的影响与启示

美国次贷危机的全球影响还未完全消去,以希腊债务危机为导火索的欧洲主权债务危机却愈演愈烈,给全球金融市场带来巨大震荡。本文分析了欧债危机的起因,并与美国次贷危机做了对比;重点阐述了目前欧洲主权债务危机对我国经济的影响以及我国可以从中得到的启示。     

浅谈主权财富基金

本文从次贷危机和欧洲债务危机引入对主权财富基金的分析与讨论,从主权性,收益性,规模性,外币敞口和不透明性五个特性对主权财富基金进行了说明,并根据国家主权财富基金的资金来源不同,即从资源型收入和商品型收入两个方面来论述了不同国家设立主权财富基金的必要性。     

危机传染效应的识别与度量——基于改进MIS-DCC的分析

论文对MS-DCC和IS-DCC提出改进,构建了Markov独立转换的动态条件相关(MISDCC)分析框架,使其兼具算法估计和传染分析的优越性,进而考察美国次贷危机、欧洲主权债务危机在主要证券市场间的传染效应． 改进模型内生地刻画出了传染的不同区间,避免了将考察期武断地分割为危机前、后的误区． 阐明了次贷危机、欧洲主权债务危机在当前开放市场间的传染是系统性的,应对危机需要各国的协调配合． 证据显示美国及其他有关国家贻误了应对次贷危机的时机． 危机期市场中的信息更加复杂,以至于市场在各机制间较为频繁地转换; 市场的条件和无条件相关可以借助机制变量进行更直观的描述．     

次贷危机及其对我国房地产市场的影响

爆发于美国的次贷信用危机使各国投资者损失惨重,银行间信用濒临瓦解,金融市场出现剧烈震荡。本文分析了次贷危机爆发的背景、扩散以及内在机理,研究了危机通过利率、外商房地产投资、购房者心理预期、产业政策等因素对我国房地产市场产生的不同影响,并运用事件分析法分析了危机的整体影响。在此基础上,提出了相应的政策建议供有关决策部门参考。     

试析次贷危机中的主权财富基金

本文首先介绍了主权财富基金的特点和发展概况;继之分析了主权财富基金在次贷危机中为全球金融业的注资状况和由此引发的争议,以及中国主权财富基金——中国投资公司在次贷危机中投资的得失及其原因。结论认为,各国的主权财富基金在次贷危机中扮演的更多是积极的角色,他们对欧美各国金融机构的注资避免了全球金融市场更大的波动,降低了金融危机的爆发强度和广度,在一定程度上起到了调控市场流动性、稳定投资者信心的作用;同时认为,中国投资公司和其他主权财富基金在管理水平上有一定差距,有待进一步优化和改进。     

警惕"财改危机"

从2007年开始,美国次贷危机引起的金融危机,导致了全球性的经济危机.伴随着金融危机,欧洲出现"主权债务危机".     

金融危机期间汇率风险传染研究北大核心CSCDCSSCI

选取2000年—2016年欧元区国家、欧盟非欧元区国家、部分发达国家以及金砖五国等47个国家的货币汇率数据为样本,使用相关系数的费雪Z转换来检验次贷危机和欧洲主权债务危机的汇率风险传染效应,并将其进一步细分为净传染和转移传染两种类型.研究表明,两次金融危机爆发后,样本国家的外汇市场均出现大幅度震荡,但主要表现为汇率市场间的相互依赖关系,仅有少数国家货币汇率与传染源之间存在传染效应,其中,次贷危机期间转移传染效应明显,欧债危机期间净传染效应显著,可见实体经济间的联系和投资者心理预期对外汇市场的影响均较大.     

金融危机期间汇率风险传染研究

选取2000年—2016年欧元区国家、欧盟非欧元区国家、部分发达国家以及金砖五国等47个国家的货币汇率数据为样本,使用相关系数的费雪Z转换来检验次贷危机和欧洲主权债务危机的汇率风险传染效应,并将其进一步细分为净传染和转移传染两种类型.研究表明,两次金融危机爆发后,样本国家的外汇市场均出现大幅度震荡,但主要表现为汇率市场间的相互依赖关系,仅有少数国家货币汇率与传染源之间存在传染效应,其中,次贷危机期间转移传染效应明显,欧债危机期间净传染效应显著,可见实体经济间的联系和投资者心理预期对外汇市场的影响均较大.     

货币的革命

次贷危机引发了人们对于美国国际货币地位的重新思考,央行行长周小川适时提出"超主权货币"的构想,以降低货币体系的风险。本文介绍了超主权货币提出的背景,分析了超主权货币的可行性,以及人民币的国际化之路。     

超主权货币与人民币国际化

次贷危机引发了人们对美元在当前世界货币体系中的地位的思考,人民银行行长周小川也提出了超主权货币的想法,以降低货币体系下的风险。本文分析了超主权货币的可行性,以及作为中国,还可以通过推行人民币国际化来抵御货币体系所固有的风险。     

隐Markov链驱动关联性和波动性的传染分析

本文将隐Markov链对波动性和相关性的驱动分析引入DCC多元GARCH,对波动和相关分析建立起了直接的联系,进而考察次贷危机、欧洲债务危机在主要证券市场间的传染性。研究发现,高波动高相关机制为联动性提供了一种直接的表述方式,且这一机制在危机期间处于支配地位;次贷危机、欧洲债务危机具有传染性,传染期以区间的形式出现,且危机初期的市场在各机制间有较为频繁的转换,不可根据危机事件对样本进行武断地分割;同时,危机的传染在所考察的市场之间具有系统性,应对危机需要各国政策间的协调配合;另外,有证据显示美国次贷市场在2006年年中已显现出问题,有关国家贻误了深入分析和应对危机的时机。     

基于欧洲主权债务危机背景下的金融传染分析

运用向量自回归方法(VAR)和时变多元GARCH模型(DCC-MGARCH),检验欧洲主权债务危机期间的金融传染效应。研究市场包括希腊、西班牙、爱尔兰、英国、法国、德国、美国、日本以及中国的股票市场。实证结果表明,欧洲债务危机期间各国金融市场间相关性显著上升,市场间影响程度更大、影响时间更长,存在金融传染效应;希腊是此次危机的传染源,欧洲其他国家之间的传染效应不明显;蔓延期中国股票市场也与欧洲市场存在联动性,但影响较为滞后。此外,研究发现直至2009年4月,美国次债危机的影响才基本消退。分析表明历年巨额的财政支出和较差的经济自愈能力是欧洲主权债务危机发生的主要原因。     

Rating the Raters: Conflicts of Interest in the Credit Rating Firms

The major credit rating agencies contributed substantially to the sub‐prime mortgage crisis by giving their highest rating (AAA) to most of the collateralized debt obligations (CDO) securities that were backed by these sub‐prime mortgages. Because the rating agencies are compensated by the issuers whose CDO bonds they rate, this relationship creates a prima facie conflict of interest, one that is compounded when the rating agency also consults for the issuers on designing the CDOs. While Congress and the Securities Exchange Commission investigate possible wrongdoing, various reforms have been proposed. This article analyzes these conflicts of interest and the cognate corporate governance issues. It then categorizes and critiques several of the reform proposals—which range in severity from requiring more disclosure to the suspension of the rating agency's license.     

SOVEREIGN DEBT RELIEF AND ITS AFTERMATH

This paper studies sovereign debt relief in a long‐term perspective. We quantify the relief achieved through default and restructuring in two distinct samples: 1920–1939, focusing on the defaults on official (government to government) debt in advanced economies after World War I; and 1978–2010, focusing on emerging market debt crises with private external creditors. Debt relief was substantial in both eras, averaging 21% of GDP in the 1930s and 16% of GDP in recent decades. We then analyze the aftermath of debt relief and conduct a difference‐in‐differences analysis around the synchronous war debt defaults of 1934 and the Baker and Brady initiatives of the 1980s/1990s. The economic landscape of debtor countries improves significantly after debt relief operations, but only if these involve debt write‐offs. Softer forms of debt relief, such as maturity extensions and interest rate reductions, are not generally followed by higher economic growth or improved credit ratings. (JEL: E6, F3, N0, H6)     

SOVEREIGNS,UPSTREAM CAPITAL FLOWS,AND GLOBAL IMBALANCES

We construct measures of net private and public capital flows for a large cross‐section of developing countries considering both creditor and debtor side of the international debt transactions. Using these measures, we demonstrate that sovereign‐to‐sovereign transactions account for upstream capital flows and global imbalances. Specifically, we find that (i) international net private capital flows (inflows minus outflows of private capital) are positively correlated with countries' productivity growth, (ii) net sovereign debt flows (government borrowing minus reserves) are negatively correlated with growth only if net public debt is financed by another sovereign, (iii) net public debt financed by private creditors is positively correlated with growth, (iv) public savings are strongly positively correlated with growth, whereas correlation between private savings and growth is flat and statistically insignificant. These empirical facts contradict the conventional wisdom and constitute a challenge for the existing theories on upstream capital flows and global imbalances.     

DISTRIBUTIONAL INCENTIVES IN AN EQUILIBRIUM MODEL OF DOMESTIC SOVEREIGN DEFAULT

Europe's debt crisis resembles historical episodes of outright default on domestic public debt about which little research exists. This paper proposes a theory of domestic sovereign default based on distributional incentives affecting the welfare of risk‐averse debt and nondebtholders. A utilitarian government cannot sustain debt if default is costless. If default is costly, debt with default risk is sustainable, and debt falls as the concentration of debt ownership rises. A government favoring bond holders can also sustain debt, with debt rising as ownership becomes more concentrated. These results are robust to adding foreign investors, redistributive taxes, or a second asset.     

CAPITAL INFLOWS,FINANCIAL STRUCTURE AND HOUSING BOOMS

We use a panel VAR to study the effect of shocks to capital inflows, which are identified using sign restrictions, on the housing market in OECD countries. To explore how effects of these shocks change with the structure of the mortgage market and the degree of mortgage securitization, we allow the VAR coefficients to vary with mortgage‐market characteristics. Our results indicate that capital‐inflow shocks have a significant and positive effect on real house prices, real credit available to the private sector, and real residential investment. The responses of these variables are stronger in countries with more developed mortgage markets and in countries where securitization is allowed.     

Corporation taxes and the debt policy of multinational firms

This paper analyzes the impact of corporate taxes on the capital structure of foreign subsidiaries of multinational firms. The empirical investigation employs a large micro-level panel dataset of German multinationals covering 31 countries over a 10-year period. A special feature of this dataset is that it allows us to distinguish between internal and external debt financing. Our results confirm a positive effect of local tax rates on both types of debt. Moreover, while adverse local credit market conditions are found to reduce external borrowing, internal debt is increasing, supporting the view that the two channels of debt finance are substitutes. Our findings suggest that internal credit markets give rise to significant advantages and enhance multinationals?? opportunities to use debt as a tax shield.     

REPATRIATION OF DEBT IN THE EURO CRISIS

With the beginning of the Euro Crisis, the long‐standing trend of European financial integration reversed. Investors unwound cross‐border positions of debt obligations and increased holdings of locally issued debt. In other words, debt obligations were repatriated. We use data on bank portfolios to document three new empirical regularities of the financial disintegration: (i) repatriation affected mainly debt of crisis countries; (ii) repatriation affected mainly public debt; (iii) the public debt of crisis countries that was not repatriated was reallocated to large and politically influential countries within the Euro area. We read these results in light of standard theories of cross‐border portfolio allocation and argue that the sum of these patterns constitutes evidence for the secondary market theory of public debt.     

基于幂风险谱和蒙特卡洛模拟的贷款优化配置模型

极端风险对于银行资产配置至关重要,尤其是次贷危机之后尾部风险以惨重的代价引起了金融机构的重视,传统条件风险价值CVaR、风险价值VaR不能有效度量尾部极端风险,因此本文基于幂风险谱和蒙特卡洛模拟构建了贷款组合优化配置模型,同时控制尾部极端风险和信用风险。本文一是通过损失-X_i越大、其风险权重φ_i也就越大的思路,构建幂风险谱PSR （Power Spectral Risk）最小的目标函数对极端风险进行控制,即弥补了CVaR同等看待尾部风险、忽略风险较大的损失应予以更大权重的不足,也同时弥补了VaR仅提供某一置信水平下资产损失的最大值、无法反映一旦超过这一数值的可能损失的弊端。二是通过蒙特卡洛模拟信用等级迁移引起贷款收益的变化情景,并以信用等级迁移后贷款组合损失越大、则风险厌恶权重越大的思路构建幂风险谱PSR最小为目标函数,以贷款组合的收益大于目标收益为约束,构建贷款优化配置模型,改变了现有研究贷款配置时没有同时控制信用风险和尾部风险的不足。对比分析结果表明：本文模型能够实现更高的收益风险比,即在单位幂风险谱PSR下能够实现较高的收益。