东亚金融一体化的动态及其收益

近年来，东亚一系列区域金融合作引起了学术界对地区金融一体化现状和收益的极大兴趣。文章基于价格和数量的测度考察了东亚地区金融一体化的程度：抛补利差和股权溢价的β收敛结果表明，危机之前东亚金融市场的全球和区域一体化并行，但在近几年，区域一体化趋势更强劲，超过了全球一体化；金融引力模型的结果表明，东亚主要的跨境金融投资者的区域内金融资产持有量比金融引力模型预测的水平更大。此外，面板回归确定了较高的金融一体化作为更广泛的金融发展的关键组成部分，会显著降低东亚国家对发达国家的经常账户失衡，因此，区域层面的金融一体化可以作为加强东亚国家的增长来源和提高经济弹性的重要政策路径。     

Financial crisis and saving–investment dynamics in the presence of cross-sectional dependence: The case of East Asia

Using the common correlated effects mean group (CCEMG) technique to a set of balanced panel error correction model, we examine the effects of the Asian financial crisis of 1997, and the global financial crisis of 2008 on the behavior of saving and investment in East Asian countries. Our results show that saving and investment rates are highly dependent across countries of East Asia. This finding underlines the importance of taking into account cross-sectional dependence when analyzing saving–investment relationship. The results also indicate that the adverse financial shock of 1997 has negatively affected the short run correlation between saving and investment, but has not influenced their long run relationship. Our finding, hence, verifies the prediction of new open economy macroeconomic theories regarding the divergence of short run saving–investment from its long run trend for East Asia. Moreover, we find that the global financial crisis of 2008 has not affected the saving–investment dynamics in this region. It means that the consequences of the Asian and global financial crises for saving–investment dynamics are not the same in East Asia. One might attribute these differences to the origins of these two shocks, i.e., internal versus external to the region. These findings may have some policy implications for those countries that rely heavily on foreign investment and are subject to various internal and external financial shocks.     

Crisis Vulnerability

Earlier attempts to explain the East Asian crisis of 1997 have overemphasised the importance of contagion, missing the central role of vulnerability. According to conventional accounts, Thailand experienced a financial panic due to such factors as corrupt government and corporate practices, inadequately supervised banks and venal currency speculators. Confidence in the Thai currency and banking system collapsed, provoking capital flight, a float of the Thai currency and a drastic decline in its value. This undermined confidence in the prospects of other East Asian countries, also provoking crises there. This article clarifies the concept of vulnerability and demonstrates its relevance by showing the long-term development of vulnerability in each of the three 'IMF bail-out' countries: Thailand, Indonesia and Korea. By 1996 all three were vulnerable to a currency crisis. Contagion provided the short-term trigger for the crisis but was not its underlying cause. The policy lesson is to avoid vulnerability, not to attempt to avoid contagion.     

后危机时期东亚货币合作的路线图

后危机时期,东亚经济体面临包括全球经济复苏具有极强的不稳定性、全球新流动性形成迫使东亚新兴经济体不得不应对资本流入的风险,以及国际金融体系面临全面改革等一系列外部风险。与此同时,东亚经济体较低的投资本土倾向,外汇储备管理难题等自身的金融脆弱性,强化了外部金融风险的影响力度。本文在评估东亚货币合作必要性的基础之上分析东亚现有区域合作机制的缺欠,提出东亚货币合作的未来路径。论文认为现阶段可行的步骤是,以储备库增资和机制多边化为契机,进一步强化区域流动性机制,并在中期建立区域货币基金;大力鼓励在区内贸易、投资和金融救助中使用本币,增加新的本币计价的区域债券发行;区域汇率政策协调可以设定为一个开放性的目标,在可行的范围内考虑联合行动的必要性。     

The East Asian crisis and financing corporate investment: is there a cause for concern?

In view of limited empirical evidence concerning the microeconomic aspects of corporate financial problems in the East Asian countries in the 1990s, this paper analyses the financing pattern of corporate investment in Indonesia, Korea, Malaysia, and Thailand. The analysis is based on an unbalanced panel of listed firms during the period 1989–1997. By using firm size, retention practices, and leverage as three different indicators of financial constraint on firm investment, we have examined the role of various internal and external financing variables on corporate investment in the sample countries. Results indicate that a large number of sample firms depend on free cash flow, especially in Indonesia; there was also a steady increase in debt-equity ratio in all countries. There were signs of agency costs in the use of cash flow in Korea and Malaysia and also in the use of debt financing in Malaysia and Thailand. There was also sign of over-investment among the Thai firms during 1994–1997 though it appears very little if at all was done to redress it in time.     

Saving,investment and international capital mobility in East Asia

This paper estimates the degree of international capital mobility in East Asia using the saving–investment correlation originated in Feldstein and Horioka [Feldstein, M., Horioka, C., 1980. Domestic saving and international capital flows. Economic Journal 90, 314–329]. We apply the empirical method used in Kim [Kim, S.H., 2001. The saving–investment correlation puzzle is still a puzzle. Journal of International Money and Finance 20, 1017–1034] to control for cyclical effects in estimating a time-series saving–investment correlation of 10 Asian countries from 1980 to 2002. Our conclusion is that the saving–investment correlation in East Asia steadily decreases over time but is still higher than that of the OECD countries over all studied periods. These results are consistent with the fact that capital mobility in East Asia is lower than that in the OECD countries. In addition, regional saving and investment data demonstrate that investment in East Asia is largely financed by regional savings.     

Financing investment in East Asia: Regional or global savings?

This paper investigates the extent to which domestic investment in East Asian countries is financed by domestic, (East Asian) regional and global savings in order to infer the relative importance of regional vs. global capital markets in East Asia. Panel regression results show that regional saving in East Asia plays a much more important role than global saving in financing investment in the region. The results suggest that global capital flows, despite its huge volume in East Asia, does not contribute to proper investment financing. The results also show that Japanese saving has significant effects on regional investment but Chinese saving does not.     

Empirical study on intra-regional bond investment: an application to East Asia

Since the 1997 Asian financial crisis, bond market development has been one of the central pillars of financial cooperation in East Asia, with concerted efforts made by the East Asian economies to integrate regional bond markets. As a result, aggregate intra-regional bond investment expanded from US$49.56 billion in 2003 to US$352.18 billion in 2017. This paper examines the pattern and determinants of intra-regional bond investment in East Asia. We analyse regional foreign holdings of long-term and short-term bonds in eight East Asian economies. Bond market size turns out to be the main concern of regional foreign investors participating in East Asian long-term bond markets. This analysis also highlights the importance of bond issuance and bond yield volatility in attracting regional foreign short-term bond investment. Therefore, initiatives to improve regional bond market development may be crucial to stimulating intra-regional bond investment and in turn enhance East Asian financial stability.     

东亚金融一体化:基于资本流动的实证分析

自1997年亚洲金融危机爆生后,为了避免对外国资金的过分依赖,防止危机的再次发生,东亚各国(地区)陆续开放本国资本账户,加快区域间的资本流动以推进东亚金融一体化。本文从资本流动的角度对东亚的金融一体化程度做出分析,研究发现东亚金融一体化程度并不高,但在金融危机之后有所加强,而其中东盟是东亚各子区域中金融一体化程度最高的区域。     

国际金融整合下资金流动与经济增长关系研究——基于新兴经济体面板数据的分析

在引入特定的宏观经济、金融和政策变量等控制变量后,本文尝试检验东欧、东亚和拉丁美洲三大主要新兴经济体的资金流动方向及其对经济增长的影响。实证结果显示:东欧地区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。但该地区若能够持续进行金融深化,资金可能回流并使全球经常账户失衡现象得以缓解。至于拉丁美洲地区的宏观经济、金融和政策变量,对资金流动方向并无决定性影响,财政与货币政策仍是决定资金流入能否有助于经济增长的关键因素。最后,本文对解决我国国际收支不平衡问题提出了政策建议。     

Causes of the financial crisis and the need of monetary cooperation in East Asia

The Main causes of the East Asian financial crisis in 1997–98 can be divided into domestic and foreign ones. The domestic cause stems from structural and liquidity problems, with growing share of non‐performing loans in the financial sector, posing as the most visible manifestation of such problems. On the other side, there is the foreign cause, the sudden fall of the yen against the dollar under the region's unstable foreign exchange system and also its over‐dependency on the dollar. Unfortunately, these causes have not yet disappeared. In order to prevent another financial economic crisis from recurring and to secure the regional currency stability in the long run, an external safety device is indispensable. The purpose of the East Asian monetary cooperation device is not only to absorb the external shocks caused by abrupt changes in the dollar/yen rate and sudden flow of capital, but also to settle international liquidity problems among the regional countries. If a device for the East Asian monetary cooperation is established, transparency in both financial and physical markets will be augmented and in the process, so will be the stability of financial and physical transactions.     

全球金融危机下对深化东亚金融合作的新思考

从东亚金融合作的历程看,东亚金融合作是在东亚金融危机中诞生,又在应对全球金融危机中不断发展的。尽管东亚金融合作已经在一些领域取得了不少实质性的进展,但此次金融危机对金融全球化下东亚各国如何进一步推进区域金融合作提出了迫切要求。本文在分析东亚金融合作现状的基础上,着重对如何推动亚洲债券市场发展提出了具体建议。     

International monetary transmission in East Asia: Floaters,non-floaters,and capital controls

This paper analyzes the impacts of the United States (US) monetary shocks on East Asian countries using structural vector-autoregression (VAR) model. We find that the impacts of the US monetary shocks on East Asian domestic interest rates and exchange rates contradict conventional wisdom. The conventional exchange rate channel is unlikely to play much role in the transmission of the US monetary policy shocks to floaters in East Asian countries, excluding Japan. In these countries, the domestic interest rates respond strongly to the US interest rate changes, by giving up monetary autonomy, probably because of fear of floating. However, the domestic interest rate does not respond much in countries with fixed exchange rate regimes and capital account restrictions, such as China and Malaysia. This may suggest that the countries with fixed exchange rate regimes enjoy a higher degree of monetary autonomy, most likely with the help of capital account restrictions.     

Determinants of bond market development in Asia

One of the major reasons behind the Asian financial crisis in 1997 was the excessive dependence of the Asian economies on commercial banks for domestic financing. The region failed to diversify its sources of corporate financing as it relied mainly on banks since its other types of financing, namely bond markets, were still underdeveloped and their sizes were quite small. On the other hand, the 2008 global financial crisis and the ongoing European debt crisis have led to constraints in acquiring local currency and foreign currency liquidity in the corporate sector in Asia as foreign banks withdrew investments from Asia. Furthermore, Asia needs large long term capital (US$ 750 billion per year for 2010–2020) for developing infrastructure connectivity within and across its economies. Local and regional capital can be channeled for long-term infrastructure projects and other productive investment through bond markets. Having a well-developed local currency bond markets can enhance the resilience of domestic financial sector to external shocks and it can facilitate better intermediation of savings into productive investments in Asia. To enhance corporate bond financing, it is important to examine factors that affect the effective development of bond markets in Asia. The study attempts to identify the determinants of bond market development in Asian economies through examining the relationship of bond issuance with selected key financial and economic factors. It also intends to provide policy recommendations for the further development of the Asian bond market. Major determinants for bond market development in Asia include the size of an economy, the stage of economic development, the openness of an economy, the exchange rate variability, the size of the banking system, and interest rate variability.     

Welfare implications of international financial integration

Focusing on technology spillover from foreign direct investment (FDI) inflows, this paper investigates the welfare implications of financial integration. Calibrations of a neoclassical growth model with international technology diffusion show that when technology catch-up due to FDI inflows is considered, the welfare gains from financial integration substantially increase, which contrasts with the small gains from additional, capital-accumulation effects of financial integration. The estimates suggest that by further enhancing financial integration, emerging Asian economies, such as the People's Republic of China (PRC) and the largest four Association of Southeast Asian Nations (ASEAN) countries, will experience substantial welfare gains.     

超越东亚模式:金融危机中的东亚与中国

东亚发展模式在这次由美国次贷危机引发的全球金融危机中暴露出严重的局限性,其依靠投入与出口拉动的经济增长模式形成了对美国市场、美元及美国金融的高度依赖,使得本次危机透过金融渠道、货币渠道以及商品渠道对东亚经济体造成前所未有的冲击。东亚国家与地区应以这次危机为契机,调整其传统的经济发展模式,即通过体制机制创新来建立以技术进步和效率提升为动力,内需主导与外需相结合的全面促进经济发展的新模式。同时,加强区域合作,形成亚洲区域内经济循环机制,以期有效缓解外部冲击。     

中亚五国的贸易分布、对外投资与贸易政策

丝绸之路经济带建设充分说明了我国与中亚五国合作的重要意义。本文通过对中亚五国的贸易分布、对外投资与贸易政策的分析发现,中亚五国的主要贸易伙伴是中国和俄罗斯;其外国直接投资表现为净流入;其贸易政策的本质是以贸易优惠吸引外资流入。为此,我国今后在与中亚五国经贸合作中器重视其贸易政策的本质。     

实际汇率与居民消费风险分担的动态关系——基于预期的视角

通过考虑居民预期行为的作用，实际汇率与居民消费风险分担的动态关系是一个附带预期的渐进调整过程。在利用东亚9个主要经济体的数据对该关系进行研究后发现：（1）东亚各国居民之间的消费风险分担程度较低，但是从2000年之后，居民消费风险分担程度在逐渐提高；（2）实际汇率变动基本上没有平滑东亚各国（地区）居民的消费变动；（3）持有静态预期行为的居民朝向长期消费风险分担均衡的调整程度较小，并且该调整速度较慢，同时持有理性预期行为的居民、持有适应性预期行为的居民背离长期消费风险分担均衡的调整程度较大，并且该调整速度较快，这是造成非完全消费风险分担均衡的重要原因。     

Foreign Investment,Divestment and Relocation by Japanese Electronics Firms in East Asia*

Although foreign divestment and international relocation by multinational firms carry important economic implications for the industrialization of East Asian countries, there has been little empirical research on these issues. In this paper we analyze the magnitude and pattern of foreign divestment and relocation by Japanese electronics firms in nine East Asian countries during 1995–2003. The average annual divestment rate of electronics manufacturing affiliates is 3 percent, but divestment patterns diverge strongly across countries. Divestments are much more frequent in higher labor cost countries and in approximately one‐third of cases are accompanied by relocations to lower wage countries, particularly to China. Evidence is found for rivalry between China and ASEAN countries in attracting foreign direct investment, but the growing attractiveness of China has not been accompanied by a reduction in employment in Japanese affiliates in ASEAN countries (with the exception of Singapore). Divestments and relocations are related to Japanese firms’ strategy to reconfigure their Asian production networks in response to changing competitiveness, regional integration, and changes in local investment environments.     

Review Essay: Is a Chilean-Style Tax on Short-Term Capital Inflows Stabilizing?

Open Economies Review - In the wake of the 1997–1998 East Asian financial crisis, some economists recommended that affected countries adopt a Chilean-style tax on short-term capital inflows...