The collective revelation of credit institutions as regards the imminence of specific risks materialising, which often follows long periods of underestimating probable losses, can trigger a broad-based financial delev...The collective revelation of credit institutions as regards the imminence of specific risks materialising, which often follows long periods of underestimating probable losses, can trigger a broad-based financial deleveraging via an overly high upsurge in banks＇ risk premiums vis-a-vis the dynamics of fundamentals underlying loan repayment capability. In this context, this paper seeks to investigate the banking sector＇s internal mechanisms that might bring about a negative spiral of credit risk by building a model for the interaction between the increase of the risk premium and that of net interest income and provisioning rate. Statistical results confirm that a higher risk premium is one of the major determinants of credit default in Romania and its excessive widening could affect financial stability in Romania.展开更多
This paper investigates the reasons behind the resilience of China＇s economy to the global financial tsunami. China ＇s economy is lowly leveraged in its banking, household, public and external sectors and, therefore...This paper investigates the reasons behind the resilience of China＇s economy to the global financial tsunami. China ＇s economy is lowly leveraged in its banking, household, public and external sectors and, therefore, is less plagued by the global deleveraging than most developed economies. Chinese domestic sectors have improved significantly over the past decade, giving them larger capacity to cope with external shocks than during the Asian financial crisis a decade ago. Contrary to the conventional wisdom that China＇s economic growth is highly dependent on exports, we find that the main growth engine for China is domestic demand. Destocking, rather than falling exports, was the main cause of the sharp economic slowdown in China in late 2008 and early 2009. Therefore, the global economic slowdown should have limited impact on China＇s economy. We forecast a sustained eeonomic recovery in China in 2009-2011, with real GDP growth exceeding 10 percent in 2010.展开更多
This paper considers the problem of optimal portfolio deleveraging, which is a crucial problem in finance. Taking the permanent and temporary price cross-impact into account, the authors establish a quadratic program ...This paper considers the problem of optimal portfolio deleveraging, which is a crucial problem in finance. Taking the permanent and temporary price cross-impact into account, the authors establish a quadratic program with box constraints and a singly quadratic constraint. Under some assumptions, the authors give an optimal trading priority and show that the optimal solution must be achieved when the quadratic constraint is active. Further, the authors propose an adaptive Lagrangian algorithm for the model, where a piecewise quadratic root-finding method is used to find the Lagrangian multiplier. The convergence of the algorithm is established. The authors also present some numerical results, which show the usefulness of the algorithm and validate the optimal trading priority.展开更多
Using province-level data in China for the period of 1999-2015,we examine the mechanisms through which sectoral differences in leverage ratio and productivity affect macro leverage ratios.The state-owned sector undert...Using province-level data in China for the period of 1999-2015,we examine the mechanisms through which sectoral differences in leverage ratio and productivity affect macro leverage ratios.The state-owned sector undertakes a large number of public services and plays an irreplaceable role in solving market failures and providing public goods.However,in the case of information asymmetry and incentive incompatibility,these policy burdens affect the leverage optimization and productivity improvement of the state-owned sector.From the perspective of sectoral differences,we therefore decompose the change in macro leverage ratio into leverage ratio structure effect and productivity structure effect,and then substantiate the impact mechanisms of these two effects on macro leverage ratios.Overall,our conclusions provide theoretical support and empirical evidence for structural deleveraging in China.展开更多
文摘The collective revelation of credit institutions as regards the imminence of specific risks materialising, which often follows long periods of underestimating probable losses, can trigger a broad-based financial deleveraging via an overly high upsurge in banks＇ risk premiums vis-a-vis the dynamics of fundamentals underlying loan repayment capability. In this context, this paper seeks to investigate the banking sector＇s internal mechanisms that might bring about a negative spiral of credit risk by building a model for the interaction between the increase of the risk premium and that of net interest income and provisioning rate. Statistical results confirm that a higher risk premium is one of the major determinants of credit default in Romania and its excessive widening could affect financial stability in Romania.
文摘This paper investigates the reasons behind the resilience of China＇s economy to the global financial tsunami. China ＇s economy is lowly leveraged in its banking, household, public and external sectors and, therefore, is less plagued by the global deleveraging than most developed economies. Chinese domestic sectors have improved significantly over the past decade, giving them larger capacity to cope with external shocks than during the Asian financial crisis a decade ago. Contrary to the conventional wisdom that China＇s economic growth is highly dependent on exports, we find that the main growth engine for China is domestic demand. Destocking, rather than falling exports, was the main cause of the sharp economic slowdown in China in late 2008 and early 2009. Therefore, the global economic slowdown should have limited impact on China＇s economy. We forecast a sustained eeonomic recovery in China in 2009-2011, with real GDP growth exceeding 10 percent in 2010.
基金supported by the Chinese Natural Science Foundation under Grant Nos.11571271,11331012,71331001,11631013the National Funds for Distinguished Young Scientists under Grant No.11125107the National 973 Program of China under Grant No.2015CB856000
文摘This paper considers the problem of optimal portfolio deleveraging, which is a crucial problem in finance. Taking the permanent and temporary price cross-impact into account, the authors establish a quadratic program with box constraints and a singly quadratic constraint. Under some assumptions, the authors give an optimal trading priority and show that the optimal solution must be achieved when the quadratic constraint is active. Further, the authors propose an adaptive Lagrangian algorithm for the model, where a piecewise quadratic root-finding method is used to find the Lagrangian multiplier. The convergence of the algorithm is established. The authors also present some numerical results, which show the usefulness of the algorithm and validate the optimal trading priority.
基金supported financially by the National Social Science Foundation of China(No.21FJYB005)the China Postdoctoral ScienceFoundation(No.2019M663758).
文摘Using province-level data in China for the period of 1999-2015,we examine the mechanisms through which sectoral differences in leverage ratio and productivity affect macro leverage ratios.The state-owned sector undertakes a large number of public services and plays an irreplaceable role in solving market failures and providing public goods.However,in the case of information asymmetry and incentive incompatibility,these policy burdens affect the leverage optimization and productivity improvement of the state-owned sector.From the perspective of sectoral differences,we therefore decompose the change in macro leverage ratio into leverage ratio structure effect and productivity structure effect,and then substantiate the impact mechanisms of these two effects on macro leverage ratios.Overall,our conclusions provide theoretical support and empirical evidence for structural deleveraging in China.
