全球金融周期与跨境资本流动

本文从全球42个主要的股票市场指数提取全球股票市场因子,作为全球金融周期的代理变量,考察全球金融周期对跨境资本总流入的影响。结果发现:(1)当全球股票市场因子(全球风险规避和不确定性)上升时,跨境资本流入显著下降;(2)一国处于经济繁荣时期,经济增速和利率处于相对较高水平,全球金融周期对资本流入的影响会减弱;(3)一国资本账户开放程度或金融发展水平越高,全球金融周期对资本流入的影响会越强;(4)更具弹性的汇率制度尽管不能完全隔绝全球金融周期的影响,但相比固定汇率制度,可提高一国抵御全球金融周期冲击的能力;(5)美国货币政策冲击是全球金融周期的重要驱动因素,并通过全球金融周期影响跨境资本流动。本文的政策含义在于,一国应夯实经济基本面、采取富有弹性的汇率制度和适当的资本管制措施,以缓解全球金融周期给资本流动带来的冲击。     

亚洲新兴经济体国际资本流动驱动因素研究——基于GMM模型的实证分析

理解资本流入的驱动因素,对于设计一个有效的资本流动管理政策框架至关重要。本文研究了1998年至2018年间45个新兴经济体面临的各类资本流动的驱动因素,重点分析了资本流向亚洲地区的驱动因素与其他地区的共性和异质性。使用广义矩估计方法(GMM)对面板数据集的实证结果表明,对新兴经济体而言,制度质量和国内因素对吸引资本流入具有重要影响;对亚洲地区来说,人均收入增长和贸易开放是吸引资本流入的重要驱动因素,国内外利差水平和实际有效汇率变动对吸引组合投资和其他投资具有显著影响,VIX指数和影子利率对亚洲新兴经济体资本流动规模的影响也具有重要影响。这表明,在设计管理资本流入的政策框架时,全球经济金融合作和政策协调应被考虑在内。     

Elections and Capital Flows

This paper investigates the extent to which elections affect capital flows. I find little evidence of political capital flow cycles in advanced economies. In emerging and developing countries, however, presidential elections significantly lower preelection foreign direct investment (FDI) inflows but have no effect on other types of capital flows. Furthermore, I find evidence that these cycles are not caused by economic crises related to elections or preelection manipulation of policy variables. These results suggest that uncertainty about future government policies, which should have greater impact on more irreversible forms of capital flows like FDI, may be an important factor in generating this cycle.     

Capital Account Openness,International Trade,and Economic Growth: A Cross-Country Empirical Investigation

New empirical estimates of the effects of capital restrictions on growth support capital account liberalization, especially for developed countries. Capital restrictions reduce the benefits of foreign direct investment (FDI) on growth in developing countries. Estimation results for long-term capital flows demonstrate that countries with higher flows grow faster, challenging the belief that countries must attain a threshold level of development or human capital to benefit from capital inflows. Moreover, findings show that trade with developed countries and FDI inflows are substitutes in developing countries. Overall, the results support capital account liberalization in developed and developing countries.     

Joining the club? Procyclicality of private capital inflows in lower income developing economies

Using a newly developed dataset this paper examines the cyclicality of private capital inflows to low-income developing countries (LIDCs). The empirical analysis shows that capital inflows to LIDCs are procyclical, yet considerably less procyclical than flows to more advanced economies. The analysis also suggests that flows to LIDCs are more persistent than flows to emerging markets (EMs). There is also evidence that changes in risk aversion are a significant correlate of private capital inflows with the expected sign, but LIDCs seem to be less sensitive to changes in global risk aversion than EMs. A host of robustness checks to alternative estimation methods and control variables confirm the baseline results. In terms of policy implications, these findings suggest that private capital inflows are likely to become more procyclical as LIDCs move along the development path, which could render the conduct of countercyclical monetary and fiscal policies more challenging in these economies.     

Exchange market pressure in OECD and emerging economies: Domestic vs. external factors and capital flows in the old and new normal

We study the ways domestic and external global factors (such as risk appetite, global liquidity, U.S. monetary policy, and commodity prices) affected the exchange market pressure before and after the global financial crisis, as well as the role of these factors during the Federal Reserve's tapering episode. Utilizing a comprehensive database on capital controls, we investigate whether control measures have a significant impact on mitigating exchange market pressure associated with capital flows [net and gross]. Using quarterly data over the 2000–2014 period and a dynamic panel model estimation, we find that external factors played a significant role in driving exchange market pressure for both OECD countries and emerging market countries, with a larger impact on the latter. While the effect of net capital flows on exchange market pressure is muted, short-term gross portfolio inflows and outflows comprise important factors that account for exchange market pressure. Short-term portfolio flows and long-term foreign direct investment flows have a significant impact on exchange market pressure for emerging market economies and no significant effect for OECD countries. Capital controls seem to significantly reduce the exchange market pressure, although the economic size of this impact is highly dependent on the institutional quality.     

International portfolio flows and exchange rate volatility in emerging Asian markets

This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility using monthly bilateral data for the US vis-a-vis seven Asian developing and emerging countries (India, Indonesia, Pakistan, the Philippines, South Korea, Taiwan and Thailand) over the period 1993:01–2015:11. GARCH models and Markov switching specifications with time-varying transition probabilities are estimated in addition to a benchmark linear model. The evidence suggests that high (low) exchange rate volatility is associated with equity (bond) inflows from the Asian countries toward the US in all cases, with the exception of the Philippines. Therefore, capital controls could be an effective tool to stabilise the foreign exchange market in countries where flows affect exchange rate volatility.     

Dutch disease,real effective exchange rate misalignments and their effect on GDP growth in EU

In this article we study the impact of real effective exchange rate misalignments, based on determinants including different types of foreign capital inflows, on GDP growth in the EU. For this analysis, we use a panel of 27 EU countries for the period 1994–2012, with annual frequency.Core countries have been only slightly undervalued from the crisis onwards, while the periphery was overvalued. However, the gap for the periphery has reduced in the last two years. As regards the new member states, these were overvalued for the entire time span. The results seem to be generally driven by the inflows of bank loans. The misalignments are associated with lower long-run growth. The exchange rate volatilities are not robust in affecting GDP growth, while spillovers and global factors seem to matter in all the specifications both in the short and long run.     

The Cyclical Relationships Between South Africa's Net Capital Inflows and Fiscal and Monetary Policies

This paper investigates the cyclical relationships between South Africa's post-liberalization net capital inflows and fiscal and monetary policies. Correlation analysis shows that the bulk of South Africa's capital inflows do not have a significant cyclical relationship with fiscal policy but have a procyclical and reactive cyclical relationship with monetary policy. Furthermore, causality analysis finds that fiscal policy reacts to monetary policy and capital flows, whereas capital flows react to monetary policy. Hence, these results suggest that South Africa's policymakers are in a better position to control the country's capital inflows using monetary policy than using fiscal policy.     

Why Did FDI Inflows of Pakistan Decline? From the Perspective of Terrorism,Energy Shortage,Financial Instability,and Political Instability

Foreign direct investment (FDI) inflows are important for economic development in all countries, especially developing ones. In many developing countries, FDI inflows have increased over the past two decades. However, in Pakistan FDI inflows declined over the past decade. This study examines the reasons for declining FDI inflows to Pakistan, considering the main issues, such as terrorism, energy shortages, financial instability, and political instability, with some macroeconomic indicators as control variables. These analyses are based on pre- and post-global financial crisis events, and we check the robustness by controlling for the global financial crisis. Our analyses are conducted using an autoregressive distributed lag model (ARDL) for co-integration among variables. The results show that energy shortages, financial instability, and political instability have adverse effects, and terrorism has insignificant effects on FDI inflows to Pakistan before the financial crisis in the long term. However, the post-financial crisis period indicates that terrorism and energy shortages are the main drivers of decline in FDI inflows to Pakistan. Market size, inflation, and exchange rates affect FDI inflows positively. The global financial crisis has an adverse impact on FDI inflows to Pakistan. This study is helpful for the Pakistani government as it attempts to design useful policies for attracting FDI.     

MACROECONOMIC ADJUSTMENT TO CAPITAL INFLOWS: LESSONS FROM RECENT LATIN AMERICAN AND EAST ASIAN EXPERIENCE

Capital inflows to some developing countries have increasedsharply in recent years. Impelled by better economic prospectsin those countries, lower international interest rates, anda slowdown of economic activity in the capital-exporting countries,the inflows have furnished financing much needed to increasethe use of existing capacity and to stimulate investment. Butcapital inflows can bring with them their own problems. Typicalmacroeconomic repercussions have been appreciation of the realexchange rate, expansion of nontradables at the expense of tradables,larger trade deficits, and, in regimes with a fixed exchangerate, higher inflation and an accumulation of foreign reserves. Should government intervene to limit some of these side effects—andif so, how? The question is especially pressing in the wakeof the Mexican crisis of December 1994. This article looks foranswers in the experience of four Latin American and five EastAsian countries between 1986 and 1993, examining the effectsof the capital inflows on the economy and comparing the differentways in which these countries responded to the problem of "toomuch" capital.      

Capital controls in Brazil: Effective?

A large theoretical literature emerged in recent years analyzing the positive and normative effects of capital controls, begging for empirical studies to validate it. No emerging market experimented as actively with controls on capital inflows as Brazil did since late 2009. This paper analyzes the impact of those measures. These policies had some success in segmenting the Brazilian from global financial markets, as measured by the spread between onshore and offshore dollar interest rates, as well as ADR premia relative to the underlying local stocks. The measures adopted from late 2009 to mid-2011 did not translate into significant changes in the exchange rate, suggesting limited success in mitigating exchange rate appreciation. However, the exchange rate strongly depreciates after a tax on the notional amount of derivatives is adopted in mid-2011. The last of the three restrictions studied may have depreciated the Brazilian real in the range from 4 to 10 percent. That strong response may have been driven by complementarities with the previous measures, as well as an unexpected easing in monetary policy.     

Political Stability and the Effectiveness of Currency Based Macro Prudential Measures

The use of multiple currency based macroprudential tools by Reserve Bank of India, India’s central bank, has helped create resilience in the economy, especially during financial turmoil. However, in a democratic set-up like India, the analysis of capital based macroprudential reforms needs to incorporate the political stability, as there is increasing evidence that macroprudential policy effectiveness is closely linked to political conditions. This study incorporates the role of political stability is understanding the effectiveness of currency based macroprudential policies, by using the years of election as a proxy for political uncertainty. I develop an index of capital based macroprudential policies (CMPP) using the notifications on capital flows and risk management guidelines on foreign exchange exposures from Reserve Bank of India. Using a GARCH model, the impact of CMPP on the net capital inflows is analyzed for the period from January, 1997 to March, 2018. I find that while the presence of CMPP leads to a fall in capital flow volatility, such policies in the years of election are ineffective in curbing capital flow volatility. The paper adds to the increasing evidence coming in recent years of the link between political cycles, interest groups and macroprudential policies.

     

Capital inflows and asset prices: Evidence from emerging Asia

The withdrawal of foreign capital from emerging countries at the height of the recent financial crisis and its quick return sparked a debate about the impact of capital flow surges on asset markets. This paper addresses the response of property prices to an inflow of foreign capital. For that purpose we estimate a panel VAR on a set of Asian emerging market economies, for which the waves of inflows were particularly pronounced, and identify capital inflow shocks based on sign restrictions. Our results suggest that capital inflow shocks have a significant effect on the appreciation of house prices and equity prices. Capital inflow shocks account for – roughly – twice the portion of overall house price changes they explain in OECD countries. We also address cross-country differences in the house price responses to shocks, which are most likely due to differences in the monetary policy response to capital inflows.     

资金流动、国际金融整合与经济增长——基于新兴市场国家面板数据

本文尝试检验东欧、东亚和拉丁美洲三大主要新兴市场国家或地区的资金流动方向及其对经济增长的影响,以及近来众所关切的全球经常账户失衡问题。实证结果显示:东欧国家收入水平与金融深化程度仍然偏低,但随着发展程度提高,未来将由资金流入转为流出。东亚国家或地区的超额外汇储备、贸易顺差与资金流出,被指控为造成美国巨额经常账户赤字与全球经常账户失衡的主要原因之一,但若能够持续金融深化的努力,资金可能回流并使全球经常账户失衡现象得以缓解。至于拉丁美洲国家的宏观经济、金融和政策变量,对于资金流动方向并无决定性影响,但宏观经济政策仍是决定资金流入能否有助于经济增长的关键因素。     

Exchange rate flexibility and credit during capital inflow reversals: Purgatory … not paradise

We identify periods of capital inflows reversals—looking at both gross and net capital flows—and document the behavior of macro and credit variables in economies with different degrees of exchange rate flexibility. We find that more exchange rate flexibility moderates credit swings during capital flow cycles, mainly because it is associated with milder credit growth during the boom. Flexibility, however, cannot completely shield the economy from a credit reversal. We observe what we dub as a recovery puzzle: credit growth in economies with more flexible exchange rate regimes remains tepid well after the capital flow reversal takes place. This results stress potential complementarity of macro-prudential policies with the exchange rate regime. More flexible regimes could help smoothing the credit cycle through capital surcharges and dynamic provisioning that build buffers to counteract the credit recovery puzzle. In contrast, more rigid exchange rate regimes would benefit the most from measures to contain excessive credit growth during booms, such as reserve requirements, loan-to-income ratios, and debt-to-income and debt-service-to-income limits.     

Trade in Financial Services and Capital Movements

International financial liberalization may alter saving–investment imbalances and patterns of capital flows across countries. Using a panel of OECD countries for 1990–1996, I examine how the liberalization of capital movements and financial services trade affects net private capital flows. Capital inflows tend to fall (rise) with the liberalization of commercial presence in banking and securities (insurance) services, possibly reflecting an increase (decrease) in saving. I find that capital account liberalization stimulates capital inflows, suggesting that better access to external financing helps sustain larger current account deficits. When cross-border trade is liberalized, capital inflows change insignificantly.     

Macroeconomic policies and performance in Latin America

This paper provides new evidence on macroeconomic policies and results in Latin America and the Caribbean. Results are: (i) credibility allows adoption of counter-cyclical macroeconomic policies; (ii) accuracy in meeting inflation targets depends on central bank independence and country risk; (iii) intermediate exchange rate (ER) regimes have become less persistent; (iv) ER regimes matter for inflation and growth; (v) real ER trends are not explained by productivity growth and supply reforms do not resolve real ER misalignments; (vi) financial integration has increased significantly; (vii) foreign shocks are a major growth determinant; and (viii) composition of foreign capital inflows matters for growth.     

What lures cross-border venture capital inflows?

We investigate if economic factors drive gross and net cross-border venture capital inflows differently. Using a dataset of venture capital investments in European and North American countries from 2000 to 2008, we find that higher expected economic growth goes hand in hand with higher gross as well as net inflows, while higher market capitalization and a more favorable environment for venture capital intermediation entail higher gross inflows, but lower net inflows. The latter two findings may suggest that cross-border venture capital inflows partly compensate for potential limits in domestic venture capital supply. However, the findings may also reflect that venture capitalists’ locational decisions depend on the viability of capital markets.     

Is the Debt Crisis History? Recent Private Capital Inflows to Developing Countries

The outlook for economic development for an important groupof middle-income countries has once again been buoyed by substantialprivate capital inflows in the 1990s. As in the 1970s, thisdevelopment has been met with cautious optimism. This empiricalstudy finds that although debt reduction and policy reformsin debtor countries have been important determinants of renewedaccess to international capital markets, changes in internationalinterest rates have been the dominant factor. We calculate theeffects of changes in international interest rates for a "typical"debtor country. We conclude that increases in interest ratesassociated with a business cycle upturn in industrial countriescould depress the secondary market prices of existing debt tolevels inconsistent with continued capital inflows.