如何有效削减政府债务：保增长、调结构与稳金融

本文基于41个国家2001-2011年的动态面板数据,采用系统GMM估计研究了经济增长、产业结构升级和金融稳定对政府债务的影响。实证结果表明：经济增长和产业结构升级均有助于政府债务削减,且产业结构升级的作用要大于经济增长;与此同时,金融波动不仅对政府债务削减不利,还会通过边际效应削弱经济增长和产业结构升级在政府债务削减中的积极作用。上述结论意味着,在实践中,为有效削减政府债务,必须在确保金融稳定的前提下,坚持“保增长”和“调结构”双措并举,特别是充分发挥产业结构调整的积极作用,实现金融稳定和结构优化的经济增长。     

How does financial development influence the impact of remittances on growth volatility?

This paper empirically examines how financial development influences the impact of remittances on GDP growth volatility. This empirical study is conducted using the panel smooth transition regression (PSTR) approach. The results show that the impact of remittances on GDP growth volatility is nonlinear and changes over time and across countries in function of financial development. More precisely, a high level of financial development helps remittances to have a high stabilizing impact. Therefore, public authorities in remittance recipient countries might implement policies that promote the financial sector in order to allow a high stabilizing impact of remittances.     

Political institutions and economic volatility

We examine the effect of political ‘institutions’ on economic growth volatility, using data from more than 100 countries over the period 1960 to 2005, taking into account various control variables as suggested in previous studies. Our indicator of volatility is the relative standard deviation of the growth rate of GDP per capita. The results of a dynamic panel model indicate that democracy reduces economic volatility. We also find that some dimensions of political instability and policy uncertainty increase economic volatility.     

Spillovers to low-income countries: importance of systemic emerging markets

This article documents the expanding economic linkages between low-income countries (LICs) and a narrow group of ‘Emerging Market (EM) leaders’ that have become major players in international trade and financial flows. VAR models show that these linkages have increased the share of growth volatility that can be attributed to foreign shocks in LICs. Dynamic panel models further analyse the impact of LIC trade orientation and production structure on the sensitivity to foreign shocks. The empirical results demonstrate that the elasticity of growth to trading partners’ growth is high for LICs in three out of the five regions: Asia, Latin America and the Caribbean, and Europe and Central Asia. However, for commodity-exporting LICs in Sub-Saharan Africa and the Middle East, terms of trade shocks and demand from the EM leaders are the main channels of transmission of foreign shocks     

Financial structure and economic growth

Recent empirical work on financial structure and economic growth analyzes multi-country dataset in panel and/or cross-section frameworks and concludes that financial structure is irrelevant. We highlight their shortcomings and re-examine this issue utilizing a time series and a Dynamic Heterogeneous Panel methods. Our sample consists of fourteen countries. Tests reveal that cross-country data cannot be pooled. Financial structure significantly explains output levels in most countries. The results are rigorously scrutinized through bootstrap exercises and they are robust to extensive sensitivity tests. We also test for several hypotheses about the prospective role of financial structure and financial development on economic growth.     

The link between output growth and volatility: Evidence from a GARCH model with panel data

Estimation results from a dynamic panel GARCH model for G7 countries over the 1965–2007 period support that higher output growth is associated with higher volatility of the innovations to growth, but higher growth does not lead to more economic uncertainty.     

Terms of trade volatility,government spending cyclicality,and economic growth

This paper presents estimates of the effects that terms of trade volatility has on real gross domestic product (GDP) per capita growth. Based on 5‐year nonoverlapping panel data comprising 175 countries during 1980 to 2010, the paper finds that terms of trade volatility has significant negative effects on economic growth in countries with procyclical government spending. In countries where government spending is countercyclical, terms of trade volatility has no significant effect on growth. Conditional on the mediating role of government spending cyclicality, the GDP share of domestic credit to the private sector has no significant effect on the relationship between growth and terms of trade volatility.     

The link between economic growth and growth volatility

This paper investigates the relationship between economic growth and growth volatility through simultaneous equations system. By employing the identification through heteroskedasticity method of Rigobon (Rev Econ Stat 85:777–792, 2003) and using a panel of 158 countries over the period 1960–2010, we find that output volatility is detrimental to economic growth, suggesting that stabilization policies to mitigate short-run economic fluctuations contribute to long-run economic growth. And economic growth accelerates output variability, supporting the feedback effects from growth to the volatility. The evidence is robust to a number of sensitivity tests.     

危机损失、经济复苏与金融结构比较——什么样的金融体系更能摆脱危机

本文从比较分析视角出发,研究在应对金融危机的过程中,不同的金融结构对经济增长的作用。我们利用57个国家从1960到2009年的面板数据检验了金融结构、金融发展水平与经济增长之间的相互联系。研究结果表明,只有当金融发展水平较高的经济体选择市场导向的金融结构时,才能降低金融危机的损失,提高经济复苏速度,而金融发展水平较低的经济体的最佳选择则是银行导向的金融结构。最后,本文结合中国的现实情况提出了相关的政策建议。     

Financial development and economic growth nexus in the MENA countries: Bootstrap panel granger causality analysis

This paper investigates the direction of causality between financial development and economic growth in the Middle East and North African (MENA) countries. The panel causality testing approach, developed by Kónya (2006) [Kónya, L. (2006), exports and growth: Granger causality analysis on OECD countries with a panel data approach, Economic Modelling, 23, 978–992], based on the Seemingly Unrelated Regressions and Wald tests with the country specific bootstrap critical values, is applied to the panel of fifteen MENA countries for the period 1980–2007. In order to capture the different aspects of financial development, six different indicators are used. Empirical results show that there is no clear consensus on the direction of causality between financial development and economic growth for all measurements of financial development and it is also observed that the findings are country specific.     

Does domestic financial development enhance the linkages between foreign direct investment and economic growth?

The study examines the relationship between foreign direct investment (FDI), financial development, and economic growth in a panel of 95 developed and developing countries from 1983 to 2006. The study moves away from the traditional cross-sectional analysis, and focuses on more direct evidence of the channels via which FDI might help or retard economic growth. Using generalized method of moment (GMM) panel data analysis, we find strong evidence of a positive relationship between FDI inflows into a country and its economic performance. We also find evidence that domestic financial system is a significant prerequisite for FDI to have a positive effect on economic growth. Policy implications are clear. Effort should be made to reform and improve the development of domestic financial system in order to benefit more from the presence of FDI.     

Economic growth and financial development in Asian countries: A bootstrap panel Granger causality analysis

This study using Kónya (2006) [Kónya, L. (2006). Exports and growth: Granger causality analysis on OECD countries with a panel data approach. Economic Modelling 23, 978–992.] method of bootstrap panel Granger causality analysis, which considers the issues of cross-sectional dependency and slope heterogeneity among countries investigated simultaneously, analyzes the causality between financial development and economic growth among ten Asian countries surveyed during period 1980 to 2007. We find that the direction of causality between financial development and economic growth is sensitive to the financial development variables used in the ten Asian countries examined in this work. Moreover, our findings support the supply-leading hypothesis, as many financial development variables lead economic growth in some of the ten Asian countries surveyed, especially in China.     

Oil shocks and stock volatility: new evidence via a Bayesian,graph-based VAR approach

ABSTRACT

This article examines the temporal dependence between three oil shocks and realized volatility in the stock markets of G20 countries between 1994 and 2019. By applying a novel, graphical, Bayesian VAR (BGVAR) model, we calculate unidirectional linkages of oil and stock volatility with a full and segmented sample. The results suggest an overall causality from stock volatility to oil shocks. For certain short, specific periods, the causal direction reverses. Depending on the country and the source of an oil shock, the magnitude and type of the effect can vary considerably. Specific oil-market shocks occur most often in our full sample. In a time-varying structure, oil supply shocks’ impact on stock volatility is more prominent, and net oil-importing countries’ responses to these shocks are greater than for oil-exporting countries. In addition, we find that relationship dynamics can capture market information, such as global economic growth during the 2008–2009 financial crisis.     

Exchange rate volatility and capital inflows: role of financial development

There is vast literature examining the impact of exchange rate volatility on various macroeconomic aggregates such as economic growth, trade flows, domestic investment, and more recently capital flows. However, these studies have ignored the role of financial development while examining the impact of exchange rate volatility on capital flows. This study aims to analyze the impact of exchange rate volatility on capital inflows towards developing countries by incorporating the role of financial development over the time period 1980–2013. In this regard, the behavior of two types of capital flows is examined: physical capital inflows measured as foreign direct investment, and financial inflows quantified through remittance inflows. The empirical investigation comprises the direct as well as indirect effect of exchange rate volatility on capital inflows. The study employs dynamic system GMM estimation technique to empirically estimate the effect of exchange rate volatility on capital inflows. The empirical results of the study identify that exchange rate volatility dampens both physical and financial inflows towards developing countries. The indirect impact of exchange rate volatility through financial development, however, turns out positive and statistically significant. This finding reflects that financial development helps in reducing the harmful impact of exchange rate volatility on capital inflows. Hence, the study concludes that a developed financial system is an important channel through which developing countries may improve capital inflows in the long run.     

Effects of financial liberalization on financial market development and economic performance of the SSA region: An empirical assessment

This study investigates the role of financial liberalization in promoting financial deepening and economic growth in Sub-Saharan African countries (SSA). We apply the more efficient system GMM estimator in dynamic panel data that combines first difference and original level specification to deal with the problems of weak instruments. Our dataset covers 21 countries in Sub-Saharan Africa over the period of 1981–2009.Additionally, the paper sought to examine both the direct and indirect impacts of financial liberalization policies on economic growth and financial deepening using a much more comprehensive and recent financial liberalization dataset. The econometric results suggest that, on average, financial liberalization is negatively associated with income growth in SSA region. Our findings provide support for the skeptical empirical view of financial liberalization in emerging markets, which show that liberalization, by itself, might be associated with lower economic growth through leading to destabilization, stimulating domestic capital flight and increasing the risk of financial fragility. However, the research finds that financial liberalization does indeed impact positively on financial deepening and resource mobilization in SSA region, after controlling for key macroeconomic factors such as institutional quality, fiscal imbalances and inflation. In fact the study reports a stronger reforms effect for countries that have stronger legal institutions, protection of property rights and higher human capital. Policy-wise, the study finds that institutional and human capital factors are important in explaining growth and financial development; therefore, it is necessary for SSA governments to promote a stronger and more transparent institutional development as we move forward.     

Purchasing power parity and country characteristics: Evidence from panel data tests

We examine long-run purchasing power parity (PPP) using panel data methods to test for unit roots in US dollar real exchange rates of 84 countries. We find stronger evidence of PPP in countries more open to trade, closer to the United States, with lower inflation and moderate nominal exchange rate volatility, and with similar economic growth rates as the United States. We also show that PPP holds for panels of European and Latin American countries, but not for African and Asian countries. Our findings demonstrate that country characteristics can help explain both adherence to and deviations from long-run PPP.     

Finance–Growth Nexus and the P‐bias: Evidence from OECD Countries

Recent studies provide new empirical evidence confirming that financial development is linked to economic growth in OECD countries. Using new dynamic panel regression techniques, these appraisals indicate that within the group of high‐income countries stock market size as a measure of financial advancement contributes significantly to overall economic activity. Applying the same advanced techniques, this paper questions this conclusion by showing that the findings of these studies seem to be not only not robust with respect to adding new observations but also likely to be plagued by a severe price bias which belittles the information content of the used financial indicator (stock market capitalization). We provide evidence that anticipative price effects (i.e. expectations of future growth, reflected in current stock prices) may be driving the statistical relationship between stock market activities and economic growth in high‐income countries to a much larger extent than recent analyses of the finance– growth link in OECD countries suggest .     

The impact of the Interaction between institutional quality and aid volatility on growth: theory and evidence

We analyze both theoretically and empirically, the effect of aid volatility and its interaction effect with institutional quality on per capita economic growth. Our theoretical model, in which an aid-recipient government, operating in an institutional environment of some given quality (making choices over the distribution of aid), predicts that a negative effect of aid volatility on growth is mitigated by stronger institutional quality. We use panel data covering the period 1984–2004 for 78 countries to test this theoretical prediction. Using Generalised Methods of Moments (GMM) we find the relationship between growth and aid volatility is significantly negative and depends on institutional quality. Our baseline results are robust to various computations of aid volatility and foreign aid, time periods, sub-samples and additional covariates.     

Financial depth,internet penetration rates and economic growth: country-panel evidence

The article investigates causal relationships between internet penetration rates, financial depth and per capita economic growth in the Next-11 countries. Using panel vector autoregressive (VAR) approaches, our empirical results show that these variables are cointegrated. Moreover, we find bidirectional causality between internet penetration rates and economic growth, and between financial depth and economic growth in the short run.     

Trade liberalization,financial modernization and economic development: An empirical study of selected Asia–Pacific countries

This study investigates the relationship between trade liberalization, financial modernization and economic development for 14 countries in the Asia and Pacific region over the period spanning from 1961 to 2011. The study uses panel data as they have many advantages over cross-sectional or time series data. In addition to analyzing the full panel, we also divide the 14 countries under study into two sub-samples: high-income countries and middle-income countries, based on World Bank's income classification as of 1st July 2013. The panel cointegration tests show a long run relationship between the above variables. The study uses Feasible Generalized Least Squares (FGLS) method to estimate the models and then conducts Granger causality tests to identify patterns of causation among the variables of interest. In general, the results indicate unidirectional causality (1) from financial modernization to economic development for the entire panel and the panel of middle-income countries; (2) from trade liberalization to economic development for the whole panel as well as two subpanels of high-income and middle-income countries; and (3) from trade liberalization to financial modernization for the whole panel as well as two subpanels. The findings of this study support that the actual effect of financial depth on economic development (and vice versa) seems to depend on the level of financial development.