Spillovers of U.S. unconventional monetary policy to emerging markets: The role of capital flows

We employ a structural global VAR model to analyze whether U.S. unconventional monetary policy shocks, identified through changes in the central bank’s balance sheet, have an impact on financial and economic conditions in emerging market economies (EMEs). Moreover, we study whether international capital flows are an important channel of shock transmission. We find that an expansionary policy shock significantly increases portfolio flows from the U.S. to EMEs for almost two quarters, accompanied by a persistent movement in real and financial variables in recipient countries. Moreover, EMEs on average respond to the shock with an easing of their own monetary policy stance. The findings appear to be independent of heterogeneous country characteristics like the underlying exchange rate arrangement, the quality of institutions, or the degree of financial openness.     

Empirical investigation of changes in policy uncertainty on stock returns—Evidence from China’s market

This study finds evidence that a rise in economic policy uncertainty (EPU) leads to a decline in stock returns in Chinese market; however, a positive coefficient was observed in the lagged EPU as stock prices rebound. This phenomenon also holds true for a rise in uncertainty innovations in fiscal policy, monetary policy, trade policy and global policy. The evidence leads to conclude that policy uncertainty premiums should be priced into China’s stock prices. An escalation of U.S. policy uncertainty has a significantly harmful effect on Chinese stocks regardless of whether firms are stated own or listed on U.S. market.     

加征关税如何影响美国贸易逆差及全球福利——基于美元本位下两国动态一般均衡框架的分析

本文构建了一个包含美元本位特征的两国模型,在此基础上分析了美国加征关税及引发的贸易摩擦对美国贸易逆差和全球福利的影响,并详细探讨了相关传导机制。在基准模型设定下,美国单方面加征20%关税会使得美国贸易逆差占GDP比重小幅缩小约0.40个百分点,美国长期稳态GDP下降约2.50%,其他国家GDP下降约1.10%,美国居民福利上升约0.60%,其他国家居民福利下降约1.20%。美国单方面加征关税在抑制全球贸易和生产的同时,会通过更加不公平的国际贸易恶化全球福利分配。当其他国家采取报复性措施时,其他国家自身福利并不会进一步恶化,但美国福利会大幅下滑,同时美国贸易逆差相对规模变化不大。贸易摩擦博弈的“囚徒困境”特征在一定程度上能够解释贸易战的发生。削弱美元本位地位能促进国际贸易公平性的提升,进而能减弱贸易摩擦带来的负面影响、提升全球福利水平,并能有效缩窄美国贸易逆差。     

加征关税如何影响美国贸易逆差及全球福利——基于美元本位下两国动态一般均衡框架的分析

本文构建了一个包含美元本位特征的两国模型,在此基础上分析了美国加征关税及引发的贸易摩擦对美国贸易逆差和全球福利的影响,并详细探讨了相关传导机制。在基准模型设定下,美国单方面加征20%关税会使得美国贸易逆差占GDP比重小幅缩小约0.40个百分点,美国长期稳态GDP下降约2.50%,其他国家GDP下降约1.10%,美国居民福利上升约0.60%,其他国家居民福利下降约1.20%。美国单方面加征关税在抑制全球贸易和生产的同时,会通过更加不公平的国际贸易恶化全球福利分配。当其他国家采取报复性措施时,其他国家自身福利并不会进一步恶化,但美国福利会大幅下滑,同时美国贸易逆差相对规模变化不大。贸易摩擦博弈的“囚徒困境”特征在一定程度上能够解释贸易战的发生。削弱美元本位地位能促进国际贸易公平性的提升,进而能减弱贸易摩擦带来的负面影响、提升全球福利水平,并能有效缩窄美国贸易逆差。     

On cross-border bank credit and the U.S. financial crisis transmission to equity markets

This paper examines the role played by cross-border equity, bond and bank credit flows versus international trade in the transmission of the U.S. financial crisis to equity markets worldwide. We estimate vector autoregressive models with exogenous global factors using monthly data on 36 emerging and developed countries. The results from an eclectic methodology that includes causality tests, generalized impulse responses and forecast error variance decompositions indicate that the crisis is mostly transmitted through bank credit rather than portfolio flows and international trade. The results are robust to altering the exogenous versus endogenous vectors of variables, to measuring equity prices in U.S. dollars or local currency, to averaging the data across countries versus averaging the parameters from individual country estimation, and to redefining the start date of the crisis. The findings endorse the use of banking regulation and capital controls as part of the policy toolkit to limit financial vulnerability.     

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.     

A Historical Analysis of the Taylor Curve

Taylor (1979) shows that there is a permanent trade‐off between the volatilities of the output gap and inflation. Although a number of papers argue that the so‐called Taylor curve is a policy menu, we use it as an efficiency locus to gauge the appropriateness of monetary policy. We examine the efficiency of U.S. monetary policy from 1875 onward by measuring the orthogonal distance between the observed volatilities of the output gap and inflation from the Taylor curve. We also identify time periods in which the variability of the U.S. economy changed by observing shifts in this efficiency frontier.     

Capital flows to emerging market economies: A brave new world?

We examine the determinants of net private capital inflows to emerging market economies (EMEs) since 2002. Our main findings are: First, growth and interest rate differentials between EMEs and advanced economies and global risk appetite are statistically and economically important determinants of net private capital inflows. Second, there have been significant changes in the behavior of net inflows from the period before the recent global financial crisis to the post-crisis period, especially for portfolio inflows, partly explained by the greater sensitivity of such flows to interest rate differentials since the crisis. Third, capital controls introduced in recent years do appear to have discouraged both total and portfolio net inflows. Finally, we find positive effects of unconventional U.S. monetary policy on EME inflows, especially portfolio inflows. Even so, U.S. unconventional policy is one among several important factors influencing flows.     

Current Accounts and Global Adjustment: The Long and Short of It

Global rebalancing is underway, but still quite a distance from being done. Current account imbalances have been a persistent feature of the global economy for over 100 years, especially during the two eras of globalization—the period 1870 to 1914 and the present. Such imbalances have reflected underlying imbalances between savings and investment as well as the prevailing international monetary regime. One important lesson from the past 150 years is that capital flows play an important role in funding global investment opportunities—a role that would be harmed if policy makers responded to the perceived threat of global imbalances by imposing any sort of cap. During those periods when capital flows have been relatively unhindered, investment opportunities around the world have been financed by capital flows. Such flows have financed the growth of many erstwhile “emerging market” economies, including the U.S. in the early part of this century. And global capital flows are doing much the same for many emerging markets today, even though purchases of reserves by some countries have been offsetting inbound private capital flows in the aggregate. The other main lesson of history is that imbalances do not last forever, and tend to lead to adjustments and reversals. Experience shows that such adjustments are much easier for surplus countries than for deficit countries.     

The Dynamics of Capital Flow Episodes

We first propose a novel methodology for identifying episodes of strong equity and bond flows using estimates from a regime-switching model that keeps context- and sample-specific assumptions to a minimum. We then assess the impacts of U.S. stock market volatility (VIX) and U.S. monetary policy shocks on equity and bond flow episodes. Our results indicate that the impacts of both shocks differ across in- and outflow episodes and, based on an assessment of equity flows, vary considerably over time. While VIX shocks are mostly associated with asymmetric impacts across episodes, U.S. monetary policy shocks generate such asymmetries primarily over time.     

美联储政策变化、国际资本流动与宏观经济波动

本文构建包含国际投资者、外资企业和银行流动性冲击的DSGE模型来探究美联储货币政策变动和政策不确定性对我国宏观经济的影响和作用机制。研究发现:(1) 美联储加息会导致我国产出、投资和通货膨胀的下降、汇率贬值、国际资本外流和银行系统流动性紧张。随着金融摩擦程度的增加和银行杠杆率的上升,美联储加息对我国产出、投资和资产价格的负面影响会进一步增强。(2) 美联储货币政策不确定性的增加会直接导致外资企业的投资、劳动需求和产出的下降,并对我国总产出、总投资和资产价格产生明显的负向外溢效应,进一步加剧我国宏观经济的波动。(3)为应对美联储的利率变动,适当限制国际资本流动能有效稳定我国经济波动和改善社会福利,而实施固定汇率和央行盯住美国利率的政策会加大宏观经济的波动,并导致社会福利下降。     

Tracking U.S. inflation expectations with domestic and global indicators

Are foreign variables important for tracking U.S. inflation expectations? This paper estimates a reduced-form model that takes both domestic and global indicators of economic slack and inflationary pressures into account. Our main findings point towards the instability of the estimated parameters over the last four decades. In particular, global indicators appear to have played a statistically significant role in shaping forecasters’ expectations until the mid-1980s. By contrast, the U.S. monetary policy stance turns out to be relevant in the 1980s and 1990s. We relate this finding to the more aggressive monetary policy conduct implemented by the Fed since the end of the Volcker experiment.     

An investigation of the effect of monetary factors on agriculture

This paper uses an econometric model to assess some of the effects of macro monetary factors on U.S. agricultural markets. Attention is focused on impacts of decreasing (increasing) the level of domestic credit on agricultural trade, prices, inventory accumulation, and domestic disappearance. Results show that tight monetary policy lowers prices and increase demand for domestic agriculture; however, the upward pressure on the exchange rate seriously deteriorates the position of U.S. exports in international markets.     

Determinants of global spillovers from US monetary policy

This paper assesses the global spillovers from identified US monetary policy shocks in a global VAR model. US monetary policy generates sizable output spillovers to the rest of the world, which are larger than the domestic effects in the US for many economies. The magnitude of spillovers depends on the receiving country's trade and financial integration, de jure financial openness, exchange rate regime, financial market development, labour market rigidities, industry structure, and participation in global value chains. The role of these country characteristics for the spillovers often differs across advanced and non-advanced economies and also involves non-linearities. Furthermore, economies that experience larger spillovers from conventional US monetary policy also displayed larger downward revisions of their growth forecasts in spring 2013 when the Federal Reserve upset markets by discussing tapering off quantitative easing. The results of this paper suggest that policymakers could mitigate their economies' vulnerability to US monetary policy by fostering trade integration as well as domestic financial market development, increasing the flexibility of exchange rates, and reducing frictions in labour markets. Other policies – such as inhibiting financial integration, industrialisation and participation in global value chains – might mitigate spillovers from US monetary policy, but are likely to reduce long-run growth.     

量化宽松货币政策的退出策略

去年此时,正值全球金融海啸爆发之时.随着各国纷纷实施所谓量化宽松货币政策,向金融体系甚至经济体系注入大量的流动性.     

贷款准备金政策框架下的区域货币政策独立性

美国次贷危机引发这轮全球性金融危机凸显了以美国为核心的金融资本主义模式和以美元为核心国际货币金融体系的制度性缺陷,改革现行以美元为核心的国际货币金融体系势在必行,建立货币区是较为现实的选择。但在现行货币政策框架下,货币区建设不可避免会陷入三元悖论困境。本文提出在贷款准备金政策框架下,货币区能在保证其内在要求的资本自由流动和汇率稳定基本前提下,区内各个成员仍能保持货币政策独立性。     

次贷危机后美国货币政策对我国溢出效应研究

次贷危机爆发后美国经济遭受重创,国内经济萎靡。为此美联储采取了一系列宽松的货币政策。随着全球经济一体化的发展,一国货币政策的实施必然会对其他国家的经济产生溢出效应。本文通过建立向量自回归模型研究次贷危机后美国货币政策对我国的溢出效应。研究结果表明：消费者价格指数、工业增加值、联邦基金利率和广义货币供应量之间存在一个长期的协整关系。美国扩张性货币政策引起我国输入性通货膨胀,且对我国产出有一个负向的影响。     

International Transmission of U.S. Monetary Policy Shocks: Evidence from Stock Prices

This paper analyzes intraday changes in firm‐level equity prices around interest rate announcements to assess the transmission of U.S. monetary policy to the global economy. We document that foreign firms on average are roughly as sensitive to U.S. monetary policy as U.S. firms, although we also find considerable cross‐sectional variation across firms. In particular, foreign stocks in cyclically sensitive industries show stronger responses to interest rate surprises, consistent with a demand channel of policy transmission. In addition, transmission of U.S. policy appears to be stronger to economies with fixed exchange rates. Evidence for a credit channel is weaker.     

Macroeconomic consequences of the real-financial nexus: Imbalances and spillovers between China and the U.S.

Relying on quarterly data since 1998 we estimate, for China and the U.S., small scale econometric models that economize on the number of variables employed and yet are rich enough to provide useful insights about spillover effects between the two countries under different maintained assumptions about the exogeneity of the macroeconomic relationship between them. We conclude that inflation in China responds to credit shocks. Indeed, the monetary transmission mechanism in China resembles that of the U.S. even if the channels through which monetary policy affects their respective economies differ. We also find that the monetary policy stance of the PBOC was helpful in mitigating the impact of the 2008–9 global financial crisis on China's financial conditions. Finally, spillovers from the U.S. to China are significant and originate from both the real and financial sectors of the U.S. economy.     

开放经济下的货币政策独立性:一个理论框架——兼论货币区的“三元悖论”之解

美国次贷危机引发本轮全球性金融危机凸显了以美国为核心的金融资本主义模式和以美元为核心国际货币金融体系的制度性缺陷,改革现行以美元为核心的国际货币金融体系势在必行,建立货币区是较为现实的选择。但在现行货币政策框架下,货币区不可避免处于三元悖论困境。本文提出的贷款准备金政策框架模型能够解决货币区在保证其内在要求的资本自由流动和汇率稳定基本前提下,区内各个成员保持货币政策独立性问题。