Financial systems are crucial to the allocation of resources in a modern economy. They channel household savings to the corporate sector and allocate investment funds among firms; they allow intertemporal smoothing of consumption by households and expenditures by firms; and they enable households and firms to share risks. These functions are common to the financial systems of most developed economies. Yet the form of these financial systems varies widely. In the United States and the United Kingdom competitive markets dominate the financial landscape, whereas in France, Germany, and Japan banks have traditionally played the most important role. Why do different countries have such different financial systems? Is one system better than all the others? Do different systems merely represent alternative ways of satisfying similar needs? Is the current trend toward market-based systems desirable? Franklin Allen and Douglas Gale argue that the view that market-based systems are best is simplistic. A more nuanced approach is necessary. For example, financial markets may be bad for risk sharing; competition in banking may be inefficient; financial crises can be good as well as bad; and separation of ownership and control can be optimal. Financial institutions are not simply veils, disguising the allocation mechanism without affecting it, but are crucial to overcoming market imperfections. An optimal financial system relies on both financial markets and financial intermediaries.

比较金融系统 = Comparing financial systems

Internal migration in developed countries

This Paper suggests that skill accumulation through past work experience, or ‘learning-by-doing’ (LBD), can provide an important propagation mechanism in a dynamic stochastic general equilibrium model, as the current labour supply affects future productivity. Our econometric analysis uses a Bayesian approach to combine micro-level panel data with aggregate time series. Formal model evaluation shows that the introduction of the LBD mechanism improves the model's ability to fit the dynamics of aggregate output and hours.

Learning by Doing as a Propagation Mechanism

A new modelling strategy is introduced which provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model. The strategy is applied in the construction of a small quarterly macroeconometric model of the UK, estimated over the period 1965-1995 in eight core variables: domestic and foreign outputs, domestic and foreign prices (both measured relative to oil prices), the nominal effective exchange rate, nominal domestic and foreign interest rates and real money balances. The aim is to develop a core model with a transparent and theoretically coherent foundation. Tests of restrictions on the long-run relations of the model are presented and the dynamic properties of the model are discussed.

A long run structural macroeconometric model of the UK (first version)

We study how financial system architecture evolves through the development of banks and financial markets. The predominant existing view is that banks and markets compete, which often contradicts actual patterns of development. We show that banks and markets exhibit three forms of interaction: they compete, they complement each other, and they co-evolve. Co-evolution is generated by two elements missing in previous analyses of financial system architecture: securitization and bank equity capital. As banks evolve via improvements in credit screening, they securitize higher-quality credits in the capital market. This encourages greater investor participation and spurs capital market evolution. And, if capital market evolution is spurred by exogenous shocks that cause more investors to participate, banks find it cheaper to raise equity capital to satisfy endogenously-arising risk-sensitive capital requirements. Banks thus serve previously-unserved high-risk borrowers, stimulating bank evolution. Numerous additional results are drawn out.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1407801_code456171.pdf?abstractid=879288&mirid=5&type=2

Financial System Architecture and the Co-Evolution of Banks and Capital Markets

For the decomposition of GDP into its trend and cyclical components, Blanchard and Quah (1989) proposed to extract the cycle by imposing a long-run restriction on the moving average polynomial of a bivariate autoregressive process for GDP and a cyclical indicator. We investigate the robustness of this decomposition with respect to the specification of the process and the choice of the cyclical indicator. We find that low order VARMA processes are sufficient for capturing the joint dynamics of the bivariate process. The decomposition seems rather stable, however, there are differences in the impulse response functions associated with permanent shocks. Moreover, the inflation rate, though used in several studies, seems not suitable for the usage as a cyclical indicator.

The dynamic effects of aggregate supply and demand disturbances: further evidence

Badinger H. and Url T. (2002) Determinants of regional unemployment: some evidence from Austria, Reg. Studies 36, 977–988. Using a spatial filtering technique we estimate an empirical model of regional unemployment for a sample of Austrian regions. The spatial filtering technique removes the spatial correlation from the data and allows us to assess the importance of purely spatial effects. We find significant relations between the regional unemployment rate and relative regional wages transaction costs as reflected by the share of public housing, job vacancies, the share of employees in the manufacturing sector and a social assistance variable. Spatial effects account for about one-fifth of the variation in the unemployment rate.

Determinants of regional unemployment: some evidence from Austria

We estimate quarterly cointegrating vector autoregressive models for the Eurozone and the USA based on long-run restrictions derived from a dynamic open economy model. Three long-run relations between the Eurozone and the USA emerge: relative purchasing power parity, international interest parity and a stationary output gap between the two economies. Generalized impulse response functions show differences in the dynamic adjustment of the two economies. Due to the I(1)-characteristic of both output series and the stability conditions imposed by the long-run equilibrium relationships, shocks to the model produce level effects only, while growth rates converge to their long-run averages.

The short and long-run interdependencies between the Eurozone and the USA

The determinants of venture capital investment have attracted a significant amount of attention from both academics and policymakers. We use a version of the Keuschnigg-Nielsen model for venture-capital- financed projects to condition our analysis on a reasonable set of exogenous variables but we focus on one determinant: financial market structure. The type of financial market structure (bank- or market-based) contributes substantially to explaining differences among countries with respect to the extent of venture capital investments in the initial business stages. We will use the cross country and time series variation from a panel of 19 industrial countries to support the hypothesis that venture capital thrives within market-based financial systems and is confined to an ancillary role in bank-based systems.

http://www.parisschoolofeconomics.eu/docs/saillard-adeline/sorb_wp.pdf

Venture capital in bank- and market-based economies

The modeling strategy of the Austrian Quarterly Model (AQM) is in the tradition of the “neoclassical synthesis”, a combination of Keynesian short-run analysis and neo-classical long-run analysis. The short run dynamics are based on empirical evidence, the long-run relationships are derived from a neoclassical optimization framework. Adjustment processes to the real equilibrium are sluggish. Imperfections on goods and labor markets typically prevent the economy to adjust instantaneously to the long-run equilibrium. In the current version of the AQM the formation of expectations is strictly backward looking. The relatively small scale of the model keeps the structure simple enough for projection and simulation purposes, while incorporating a sufficiently detailed structure to capture the main characteristics of the Austrian economy. The main behavioral equations are estimated using the two-step Engle-Granger technique. The AQM constitutes the Austrian block of the ESCB multi-country model (MCM).

https://www.eurologisch.at/dam/jcr:c7496138-9815-45e6-985c-8559d2b9d2cb/ws_5_tcm16-27702.pdf

Thomas Url

Papers

The dynamic effects of aggregate supply and demand disturbances: further evidence

Determinants of regional unemployment: some evidence from Austria

The short and long-run interdependencies between the Eurozone and the USA

Venture capital in bank- and market-based economies

A Long-run Macroeconomic Model of the Austrian Economy (A-LMM). Model Documentation and Simulations