Financial dollarization in Russia: causes and consequences

We review some aspects of financial dollarization in Russia, applying the main relevant theories to analyse the dynamics of several dollarization indicators. An econometric model of the short-run dynamics of deposit and loan dollarization is estimated for the last decade. We find that ruble appreciation was the main driver of the de-dollarization that occurred then and of the later episode of renewed dollarization. We estimate the overall (and sectoral) currency mismatches of the Russian economy. Evidence is presented for the significant currency risk vulnerability of the non-banking private sector.     

Dollarization of bank deposits: Causes and consequences

This paper assesses the benefits and risks associated with dollarization of bank deposits. We provide novel empirical evidence on the determinants of deposit dollarization, its role in promoting financial development, and on whether dollarization is associated with financial instability. We find that: (a) the credibility of macroeconomic policy and the quality of institutions are both key determinants of cross-country variations in dollarization; (b) dollarization is likely to promote financial deepening only in a high inflation environment; and (c) financial instability is likely higher in dollarized economies. The implications of these findings for financial sector and monetary policies are briefly discussed.     

The Impact of Deposit Dollarization on Financial Deepening

Banks in highly dollarized economies face risks that significantly affect their ability to perform their financial intermediation role. In these economies, dollarization plays a dual role: on the one hand, it provides a hedging instrument protecting the value of savings; on the other hand, it generates a currency mismatch on banks' balance sheets and increases default risk. Through these effects deposit dollarization can affect credit extension. This paper investigates the role of deposit dollarization on the financial depth of forty-four emerging market economies. Findings suggest that deposit dollarization has a consistent and negative impact on financial deepening, except in high-inflation economies.     

Does Inflation Targeting Help Reduce Financial Dollarization?

We examine whether adopting an inflation‐targeting regime helps reduce financial dollarization as predicted by Ize and Levy Yeyati's ( 2003 ) portfolio model. To address the self‐selection problem of policy adoption, we apply a variety of propensity score matching methods to a large sample of 106 developing countries for the years 1985–2004. We find strong evidence that inflation targeting has large and significant treatment effects on lowering both actual financial dollarization and the model implied minimum variance portfolio dollarization. Our results are robust to alternative samples and model specifications and also to control for additional factors in postmatching regressions.     

What drives credit dollarization in transition economies?

This paper provides an in-depth analysis of the use of foreign currencies in the lending activities of banks in transition economies. The impact of bank and firm variables on credit dollarization is studied in an optimal portfolio allocation model and estimated using new aggregate data for 21 transition economies for the period 1990–2003. Empirical results provide evidence that credit dollarization is the combined outcome of domestic deposit dollarization and banks’ desire for currency-matched portfolios beyond regulatory requirements. The effects of international financial factors and natural hedges are less robust across alternative specifications. The paper further discusses the role of regulations in affecting the impact of these factors on credit dollarization and calls for more developed domestic forward foreign exchange markets.     

Financial dollarization: The role of foreign-owned banks and interest rates

Why in many economies households and firms borrow and make deposits in foreign currency? Expanding on the existing literature, our framework addresses this question allowing for interest rate differentials and access to foreign funds to play a role in explaining this process of asset substitution or financial dollarization. Using a newly compiled data set on transition economies and employing a standard panel as well as a panel-VAR methodology we find that increasing access to foreign funds leads to higher credit dollarization, while it decreases deposit dollarization. Interest rate differentials matter for the dollarization of both loans and deposits.     

Dollarization persistence and individual heterogeneity

A salient feature of financial dollarization, arguably the one that causes most concern to policymakers, is its persistence: even after successful macroeconomic stabilizations, dollarization ratios often remain high. In this paper we argue that this persistence is connected to the fact that the participants in the dollar deposit market are fairly heterogenous, and so is the way they form their optimal currency portfolio. We develop a simple model when agents differ in their ability to process information, which turns out to be enough to generate persistence upon aggregation. We provide empirical evidence that is consistent with this claim.     

存贷款季末“冲时点”：成因、途径与对策

在存款增速趋缓、贷款需求不足的背景下,“季末冲高”现象呈现出新特点。存贷款季末“冲时点”主要由经济波动、考核机制、贷款规模管理、银行报表修饰以及市场竞争压力等因素推动;它主要通过高息获取存款、存贷挂钩、运作理财产品、增加保证金存款以及季末突击放贷等途径实现;“冲时点”对银行经营管理、企业财务成本、货币政策研判、金融监管要求等有较大影响,需采取措施减少或避免“冲时点”现象,以促进银行业务合规稳健发展。     

Can Loan Valuation Adjustment (LVA) approach immunize collateralized debt from defaults?

This study focuses on structuring tangible asset backed loans to inhibit their endemic option to default. We adapt the pragmatic approach of a margin loan in the configuring of collateralized debt to yield a quasi‐default‐free facility. We link our practical method to the current Basel III (2017) regulatory framework. Our new concept of the Loan Valuation Adjustment (LVA) and novel method to minimize the LVA converts the risky loan into a quasi risk‐free loan and achieves value maximization for the lending financial institution. As a result, entrepreneurial activities are promoted and economic growth invigorated. Information asymmetry, costly bailouts and resulting financial fragility are reduced while depositors are endowed with a safety net equivalent to deposit insurance but without the associated moral hazard between risk‐averse lenders and borrowers.     

存贷相联与银行的本质——基于KRS模型的扩展

作为集吸收公众存款和发放贷款于一身的金融中介,银行在整个金融体系中始终处于关键地位.既有文献对银行特质性问题进行了深入探讨,本文在KRS模型的基础上,进一步从理论上研究了活期存款、贷款承诺和定期贷款这三者之间的协同效应,认为金融功能的一体化是银行的本质所在,并结合20世纪90年代以来美国银行业转型的事实进行了初步实证考察,由此提出银行制度边界的命题.     

Bank-specific shocks and the real economy

Governments often justify interventions into the financial system in the form of bail outs or liquidity assistance with the systemic importance of large banks for the real economy. In this paper, we analyze whether idiosyncratic shocks to loan growth at large banks have effects on real GDP growth. We employ a measure of idiosyncratic shocks which follows Gabaix (forthcoming). He shows that idiosyncratic shocks to large firms have an impact on US GDP growth. In an application to the banking sector, we find evidence that changes in lending by large banks have a significant short-run impact on GDP growth. Episodes of negative loan growth rates and the Eastern European countries in our sample drive these results.     

Explicit deposit insurance design: International effects on bank lending during the global financial crisis✰

Studies find that during the 2007–2009 global financial crisis, loan spreads rose and corporate lending tightened, especially for foreign borrowers (a flight-home effect). We find that banks in countries with explicit deposit insurance (DI) made smaller reductions in total lending and foreign lending, experienced smaller increases in loan spreads, and had quicker post-crisis recoveries. These effects are more pronounced for banks heavily relying on deposit funding. Evidence also reveals that more generous or credible DI design is associated with a stronger stabilization effect on bank lending during the crisis, confirmed by the difference-in-differences analysis based on expansion of DI coverage during the crisis. The stabilization effect is robust to the use of country-specific crisis measures and control of temporary government guarantees.     

The arbitrage-free valuation and hedging of demand deposits and credit card loans

Using a market segmentation argument, this paper uses the interest rate derivative's arbitrage-free methodology to value both demand deposit liabilities and credit card loan balances in markets where deposits/loan rates may be determined under imperfect competition. In this context, these financial instruments are shown to be equivalent to a particular interest rate swap, where the principal depends on the past history of market rates. Solutions are obtained which are independent of any particular model for the evolution of the term structure of interest rates.     

Dollarization does promote trade

This study re-evaluates the treatment effect of dollarization on trade while explicitly controlling for self-selection of policy adoption. Employing a variety of propensity score matching methods, we show that dollarization not only increases bilateral US trade with dollarized countries, but promotes a dollarizer’s bilateral trade with other dollar-zone countries as well.     

Financial dollarization and systemic risks: New empirical evidence

This paper explores the persistence of financial dollarization in a group of 79 economies with different levels of development. Our main hypothesis is that a high level of domestic debt combined with default risk explains this persistence, even after a decline in inflation rates. Using the generalized method of moments (GMM) in a panel data analysis, our results show that inflation risks caused by increasing probability of default account for financial dollarization more than inflation rate itself. After the decrease in inflation rates, the foreign currency-denominated deposits remain large because of the high debt-to-GDP ratios, particularly in speculative-grade economies. High public indebtedness leads to expectations of default. Dollarization is a rational response to the future inflation associated with investors' expectations of default observed in highly indebted economies.     

Dollars, Debt, and International Financial Institutions: Dedollarizing Multilateral Lending

Financial dollarization is increasingly seen as a concern becauseof its tendency to contribute to financial crises and outputvolatility. As a result the debate on financial dollarizationhas shifted in favor of a more proactive stance on dedollarization.While often neglected, lending from international financialinstitutions is an important source of financial dollarizationin emerging economies and must be considered in any dedollarizationstrategy. This article revisits old and new arguments in favorof international financial institution lending in the localcurrency and argues that any such initiative should rely, atleast initially, on demand from residents seeking stable returnsin units of the local consumption basket but who are reluctantto take on sovereign risk. Superior enforcement capacity enablesinternational financial institutions to intermediate these savings,currently invested in dollarized foreign assets, back into thelocal economy. The international financial institutions canoffer investment-grade local currency bonds and use the proceedsto dedollarize their own lending to noninvestment-grade countries,thereby reducing financial dollarization and fostering the developmentof local currency markets.     

中国固定资产投资的金融驱动力实证研究

通过使用面板数据的建模分析技术,研究了中国区域固定资产投资与金融机构存贷款量之间的关系。研究发现,金融机构是推动本地区固定资产投资增长的重要因素,但是受到政府的区域发展战略规划、地方行政性因素、非公有制经济信贷约束等诸多因素,从而金融机构对于投资的正向推动力度出现了由东向西依次递增的特殊现象。     

我国农村金融发展与农业保险的相关性分析

本文采集1985-2008年我国农村GDP、农村贷款、农村存款、农业保险保费收入的数据,检验了我国农村金融发展与农业保险之间的关系。结果表明农村金融发展与农业保险的发展存在长期协整关系,我国农业保险发展是农村金融发展的动力之一,但农村金融发展对农业保险的促进作用不明显。为此,提出加快农村金融发展、优化现行财政支持模式、增加财政支持项目等发展农业保险的政策建议。     

2012年国内金融形势评述

2012年国内金融运行的主要特点是：广义货币供应量增速稳步上升;社会融资规模创历史最高水平,融资结构进一步优化;信贷投放同比多增较多,非金融企业部门需求明显回升;企业存款和储蓄存款增速低位明显回升;银行间市场交易活跃,市场利率波动中总体呈回落态势;与上年末比,年末人民币汇率升值0．25％,海外市场对人民币汇率贬值预期有所下降。     

Natural hazards and deposit behavior at financial institutions: A note

There have been few studies of the effect of natural disasters upon either individual economic units or financial institutions. The present paper is concerned with the question of the evidence as to the deposit experience of financial institutions following a sizeable natural disaster. The deposit data we use consist of observations from seven individual savings and loan associations and eight commercial banks in four sizeable 1970s U.S. natural disasters. Basically, there is no evidence of a run. In most cases, there is a significant increase in deposits.