Three Essays In China S Financial Market
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Three Essays In China S Financial Market
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Author : Chang Zhang
language : en
Publisher:
Release Date : 2021
Three Essays In China S Financial Market written by Chang Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Three Essays On China S Foreign Exchange Markets
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Author : Yi David Wang
language : en
Publisher: Stanford University
Release Date : 2011
Three Essays On China S Foreign Exchange Markets written by Yi David Wang and has been published by Stanford University this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This dissertation is a compilation of three essays I wrote during my investigation of China's foreign exchange markets. I list the abstract of each in the following paragraphs. Essay 1: Anomaly in China's Dollar--RMB Forward Market Newly-established data on onshore deliverable US dollar--RMB forwards and the Shanghai Interbank Offered Rate from October 2006 to April 2009 reveal significant violations of covered interest rate parity. This paper hypothesizes that these violations are caused by an increase in US dollar-to-RMB conversion restrictions. Given that Chinese monetary authorities want to prevent market participants from taking advantage of the predictable appreciation of the RMB, China's State Administration of Foreign Exchange has to tighten up the control on US dollar-to-RMB conversions. Under the tightened conversion restrictions, similar deviations will resurface in the forward market whenever hot money inflow increases. One way to avoid covered interest rate parity violations in the forward market is to decrease hot money inflow into China by maintaining a stable and credible exchange rate policy. Essay 2: Convertibility Restriction in China's Foreign Exchange Market and its Impact on Forward Pricing Different from the well established markets such as the dollar-Euro market, recent CIP deviations observed in the onshore dollar-RMB forward market were primarily caused by conversion restrictions in the spot market rather than changes in credit risk and/or liquidity constraint. This paper proposes a theoretical framework under which the Chinese authorities impose conversion restrictions in the spot market in an attempt to achieve capital flow balance, but face the tradeoff between achieving such balance and disturbing current account transactions. Consequently, the level of conversion restriction should increase with the amount of capital account transactions and decrease with the amount of current account transactions. Such conversion restriction in turn places a binding constraint on forward traders' ability to cover their forward positions, resulting in the observed CIP deviation. More particularly, the model predicts that onshore forward rate is equal to a weighted average of CIP-implied forward rate and the market's expectation of future spot rate, with the weight determined by the level of conversion restriction. As a secondary result, the model also implies that offshore non-deliverable forwards reflect the market's expectation of future spot rate. Empirical results are consistent with these predictions. Essay 3: The Global Credit Crisis and China's Exchange Rate The case for stabilizing China's exchange rate against the dollar is strong. Before 2005 when the yuan/dollar rate was credibly fixed, it helped anchor China's domestic price level. But gradual RMB appreciation from July 2005 to July 2008 created a "one-way-bet" that disordered China's financial markets in two respects: (1) no private capital outflows to finance China's huge trade surplus leading to an undue build up of official exchange reserves and erosion of monetary control, and (2) a breakdown of the forward exchange market in 2007-08 so that exporters could no longer get trade credit—probably worsening the severe slump in Chinese exports. But after July 2008, the credit crunch induced an unexpected unwinding of the dollar carry trade leading to a sharp appreciation in the dollar's effective exchange rate. The People's Bank of China (PBC) then stopped RMB appreciation against the dollar. China's forward exchange market was restored and monetary control regained. Now the PBC can better support the fiscal stimulus by promoting a parallel expansion of bank credit. But, since March 2009, the fall in the dollar (with the RMB tied to it) again threatens to undermine the yuan/dollar rate and China's monetary stability.
Three Essays On China S Foreign Exchange Markets
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Author : Yi David Wang
language : en
Publisher:
Release Date : 2011
Three Essays On China S Foreign Exchange Markets written by Yi David Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This dissertation is a compilation of three essays I wrote during my investigation of China's foreign exchange markets. I list the abstract of each in the following paragraphs. Essay 1: Anomaly in China's Dollar--RMB Forward Market Newly-established data on onshore deliverable US dollar--RMB forwards and the Shanghai Interbank Offered Rate from October 2006 to April 2009 reveal significant violations of covered interest rate parity. This paper hypothesizes that these violations are caused by an increase in US dollar-to-RMB conversion restrictions. Given that Chinese monetary authorities want to prevent market participants from taking advantage of the predictable appreciation of the RMB, China's State Administration of Foreign Exchange has to tighten up the control on US dollar-to-RMB conversions. Under the tightened conversion restrictions, similar deviations will resurface in the forward market whenever hot money inflow increases. One way to avoid covered interest rate parity violations in the forward market is to decrease hot money inflow into China by maintaining a stable and credible exchange rate policy. Essay 2: Convertibility Restriction in China's Foreign Exchange Market and its Impact on Forward Pricing Different from the well established markets such as the dollar-Euro market, recent CIP deviations observed in the onshore dollar-RMB forward market were primarily caused by conversion restrictions in the spot market rather than changes in credit risk and/or liquidity constraint. This paper proposes a theoretical framework under which the Chinese authorities impose conversion restrictions in the spot market in an attempt to achieve capital flow balance, but face the tradeoff between achieving such balance and disturbing current account transactions. Consequently, the level of conversion restriction should increase with the amount of capital account transactions and decrease with the amount of current account transactions. Such conversion restriction in turn places a binding constraint on forward traders' ability to cover their forward positions, resulting in the observed CIP deviation. More particularly, the model predicts that onshore forward rate is equal to a weighted average of CIP-implied forward rate and the market's expectation of future spot rate, with the weight determined by the level of conversion restriction. As a secondary result, the model also implies that offshore non-deliverable forwards reflect the market's expectation of future spot rate. Empirical results are consistent with these predictions. Essay 3: The Global Credit Crisis and China's Exchange Rate The case for stabilizing China's exchange rate against the dollar is strong. Before 2005 when the yuan/dollar rate was credibly fixed, it helped anchor China's domestic price level. But gradual RMB appreciation from July 2005 to July 2008 created a "one-way-bet" that disordered China's financial markets in two respects: (1) no private capital outflows to finance China's huge trade surplus leading to an undue build up of official exchange reserves and erosion of monetary control, and (2) a breakdown of the forward exchange market in 2007-08 so that exporters could no longer get trade credit--probably worsening the severe slump in Chinese exports. But after July 2008, the credit crunch induced an unexpected unwinding of the dollar carry trade leading to a sharp appreciation in the dollar's effective exchange rate. The People's Bank of China (PBC) then stopped RMB appreciation against the dollar. China's forward exchange market was restored and monetary control regained. Now the PBC can better support the fiscal stimulus by promoting a parallel expansion of bank credit. But, since March 2009, the fall in the dollar (with the RMB tied to it) again threatens to undermine the yuan/dollar rate and China's monetary stability.
Three Essays On Monetary Policy The Financial Market And Economic Growth In The U S And China
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Author : Juan Yang
language : en
Publisher:
Release Date : 2006
Three Essays On Monetary Policy The Financial Market And Economic Growth In The U S And China written by Juan Yang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Three Essays On The Impacts Of China S Monetary Policy
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Author : Shen Chen (Ph. D.)
language : en
Publisher:
Release Date : 2018
Three Essays On The Impacts Of China S Monetary Policy written by Shen Chen (Ph. D.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Economic development categories.
China has experienced high speed of economic growth, trying to catch up with the developed countries. Monetary policy has played a more and more important role in China. This dissertation studies the impacts of China's monetary policy on China's housing market, stock market, and China's economic growth. The first essay examines macroeconomic determinants of China's housing price by constructing a VAR model. Granger Causality tests, impulse response functions and variance decompositions are used to analyze the impacts of macroeconomic factors on the housing price. By using the monthly data from 2005 to 2015, the results show that a contractionary monetary policy will cause the growth rate of housing prices to decline in China. However, output growth doesn't play an important role in housing price in China. Besides, it will take about half a year for a contractionary monetary policy to start to influence the housing prices and the effect will last for approximate two years after the policy is initially implemented. The second essay conducts empirical analysis of the influence of economy growth and monetary policy on the stock index in China. From 2008 to 2017, China's GDP growth remained above 6% and China surpassed Japan to become the world's second largest economy in 2011. However, after the financial crisis in 2007 China's stock market remained weak and stock index fluctuated up and down at the level of 2008. Some scholars believe that the downturn of stock market in China is the result of a slowdown in China's economy. And some argue that it can be caused by the government's intervention to stock market. This paper examines the determinant of China's stock index by constructing a VAR model. The results of the empirical study show that none of the real economic variables is a cause of the stock index. And monetary policy doesn't have significant effect on the stock market in China. The third essay employs a Dynamic Stochastic General Equilibrium (DSGE) model with Bayesian approach to model the China economy and to analyze the impacts of monetary policy shocks. The data are on a quarterly basis and from 1992 to 2014. Based on the results of the posterior distributions and impulse response functions, I find that the monetary policy shock does have significant effects on China's output and inflation. However, based on the results of variance decomposition I find that the monetary policy shocks didn't play significant role in China's business cycle. Hence, the monetary policy might not be the major driver for China's economic growth. The reason of the ineffectiveness of China's interest rate policy might be the imperfect financial market and interest rate control in China.
Three Essays On Mainland China S Stock Market Performance
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Author : Han Zhou
language : en
Publisher:
Release Date : 2018
Three Essays On Mainland China S Stock Market Performance written by Han Zhou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
The thesis consists of three essays that examine empirical factors important for explaining the performance of the mainland China stock market. The first chapter discusses whether other stock market performances could explain the mainland China stock market performance within the framework of greater China. This chapter provides empirical evidence of the non-existence of stable cointegrating relationships among the mainland China, Hong Kong and Taiwan stock markets. The empirical results of short-run spillover effects on both first and second moments indicate that mainland China stock markets serve as an information generator, the Taiwan stock market serves as an information receptor and the Hong Kong stock market functions as both an information generator and receptor. The second chapter empirically studies the linkages between mainland China monetary policies and stock market performance by employing event study and SVAR methods. The empirical results indicate that first, monetary policy announcements concerning benchmark interest rates and required reserve ratio adjustments have effects on stock market volatility; second, a positive monetary policy shock in mainland China could decrease stock prices in the short run, and the effect of the policy trends slightly towards 0; third, a positive stock price shock could have a positive effect on interbank rates; and fourth, this effect has an increasing trend followed by a decreasing trend. The third chapter provides empirical evidence that an increase in institutional ownership can increase stock return volatility. The chapter first confirms that an increase in institutional ownership of one listed firm increases that firm's stock return volatility. Second, the chapter provides evidence that the marginal effect of institutional ownership on the volatility of one firm-level stock return decreases with an increase in institutional ownership and that this effect becomes negative when institutional ownership exceeds a certain threshold of approximately 28%. Additionally, we observe that an increase in institutional ownership can decrease stock return synchronicity.
Three Essays On The Efficiency Of The Chinese Stock Market And The Real Economy
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Author : Hongwei Cai
language : en
Publisher:
Release Date : 2011
Three Essays On The Efficiency Of The Chinese Stock Market And The Real Economy written by Hongwei Cai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Three Essays In Chinese Accounting
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Author : Cheng Zeng
language : en
Publisher:
Release Date : 2012
Three Essays In Chinese Accounting written by Cheng Zeng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
In this thesis, I examine financial reporting issues in the Chinese context, with a particular focus on the effect of political forces. The thesis consists of three essays. In the first essay, I examine whether the earnings properties and share price anticipation of earnings of Chinese firms changed following the mandatory adoption of Chinese IFRS in 2007. Using a set of IFRS "early adopters" as a control group, I find that the earnings persistence and other measures of earnings properties, among the treatment group of firms adopting Chinese IFRS in 2007, do not change significantly. However, I do find that share price anticipation of earnings improves for the treatment group relative to the control group, consistent with the improved transparency associated with Chinese IFRS adoption making it easier for investors to forecast future earnings. Particularly, I find that the improvement in the share price anticipation of earnings is confined to firms that are not state controlled or subsidized, and so largely rely on capital markets to supply most of their financial needs. In the second essay, I examine the value relevance of government subsidies for Chinese listed companies. My exploration of the valuation consequences of state support is structured around three questions. First, are the government subsidies received by Chinese listed companies value relevant? Second, does the value relevance of government subsidies depend on the purpose for which the subsidies are used? Third, does the value relevance of government subsidies depend on the channel through which the subsidies are granted? I motivate these research questions through interviews of accountants, managers, academics and government officials. Through large sample analyses, I confirm that subsidies are positively related to firm value, but less so for distressed firms and subsidies granted through non-tax channels. My study contributes to the understanding of a Chinese-style capitalism that is driving China towards becoming the largest economy in the World. In the third and final essay, I examine whether state subsidies influence the voluntary corporate social responsibility (CSR) disclosures of Chinese listed firms. Focusing on Chinese manufacturing industries for the period 2006-2009, I find that a well established model of CSR disclosures that was designed for Western companies produces similar results in China. I then go on to exploit the additional unique institutional features of China that have material implications for disclosure choice over and above the variables that commonly figure in Western models. In particular, I focus on the influence of state subsidies on the CSR disclosure choices of Chinese firms, taking care to distinguish between state-owned enterprises (SOEs) and non-state owned enterprises (NSOEs). I find that state subsidies do (do not) significantly affect the CSR disclosure choices of NSOEs (SOEs). I also find a significant difference between the influence of tax-based subsidies and non-tax based subsidies on NSOEs. My findings are consistent with the political cost hypothesis that firms receiving state subsidies, especially those not under state control, are pressured to disclose CSR activities due to political cost concerns associated with public demand as well as government scrutiny.
Empirical Essays On China S Financial Markets
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Author : Sherena Sheng Huang
language : en
Publisher:
Release Date : 2017
Empirical Essays On China S Financial Markets written by Sherena Sheng Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Finance categories.
This thesis thoroughly examines productive efficiency, productivity change andliquidity risk transmission in China's financial sector. The thesis covers a major periodof development in China that witnesses processes of marketization, privatisation andfinancial liberalisation from 1993 to 2013~2014. Three investigative chapters areempirical in nature. Chapter 2 employs risk-adjusted stochastic cost and profitfrontiers to estimate bank productive efficiency, which is a broader concept ofefficiency that includes X-efficiency, economies of scale, and economies of scope. Thechapter analyses the variation of these constituents at Chinese banks by bank size andownership type. It addresses the question "does size matter" by estimating therelationship between productive efficiency constituents and bank stabilitycomponents. The chapter records an improvement in each constituent of productiveefficiency by Chinese banks between 2003 and 2013. Despite this good outcome, therelationships with bank stability are less clear-cut. Whilst the results show X-efficiencyis positively associated with bank returns on assets (ROA), the relationship betweenX-efficiency and bank profit variation is inverse. This implies that those banks thatlose less potential profit to inefficiencies hold higher levels of profit volatility, and thisoffsets the effect on ROA, which produces an inverse relationship between Xefficiencyand bank stability. The same pattern of relationships exists for economies ofscope and bank stability, whereas economies of scale place a positive effect on bankstability. A liberalised and deregulated market intensifies competition among banks.Sufficient bank capital and stabilised revenue are a prerequisite to bank stability atbanks in all sizes. Banks are exposed in risk if pursuing cost minimisation withinadequate capital and volatile returns. Increasing returns to scale show assistance toaccumulate capital and prevent profit fluctuations at Chinese banks. But can it last?Chapter three first time evidences the impact of foreign strategic investment on bankproductivity change using a risk-adjusted cost frontier. The analytical work provesthat the productivity of Chinese banks grew by 14% per annum from 1993 to 2013, andthis growth is mainly contributed by size effect. It also reveals that bank technicalchange is driven by pure technical change rather than output augmenting and nonneutraltechnical change. A natural experiment proves the positive effects of the welldefinedcooperation framework between foreign strategic investors and domesticbanks. A greater productivity growth rate presents at banks that received foreignstrategic investment after the deregulation on foreign shareholdings taking place in2003. Thus, the well-defined strategic cooperation framework between overseasinvestors and domestic banks should be more encouraged in China. The thirdinvestigative study (chapter four) employs three liquidity indicators to identifycommonality in liquidity between financial institutions and real estate firms in China.The three liquidity indicators cover the impact of market capacity, transaction costand informational efficiency on market liquidity. The study uncovers a bi-directionalloop in liquidity between financial institutions and real estate firms with theinteraction becoming stronger between banks and real estate firms and in turbulentperiods. The overheated real estate market places pressure on affordability of Chineseresidents and heightens potential credit risks for financial institutions. Strong andfrequent liquidity co-movement between the two sectors shows greater probabilitiesto incur systematic liquidity risks. Hence monitoring such liquidity interplay betweenfinancial institutions and real estate firms may prevent liquidity risk transmission inthe future.
Re Balancing China
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Author : Peter Nolan
language : en
Publisher: Anthem Press
Release Date : 2015-03-01
Re Balancing China written by Peter Nolan and has been published by Anthem Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-03-01 with Business & Economics categories.
‘Re-balancing China’ addresses three key sets of issues in China’s political economy. Part One provides an analysis of the profound effect of the global financial crisis upon China’s economy, as well as the positive impact of the massive rescue package that was implemented in response to the crisis. Part Two focuses on the challenge of globalization for China’s industrial policy. After more than two decades of industrial policy, China still has a negligible number of large firms that are competitive in global markets. China’s experience presents a fundamental challenge to traditional concepts of industrial policy and development. Part Three examines China’s international relations – in particular, its relationship with the US and the interactions between the two countries in the East and South China Seas.