Financial market integration,exchange rate policy,and the dynamics of business and employment in Korea

We study the consequences of different degrees of international financial market integration and exchange rate policies in a calibrated, medium-scale model of the Korean economy. The model features endogenous producer entry into domestic and export markets and search-and-matching frictions in labor markets. This allows us to highlight the consequences of financial integration and the exchange rate regime for the dynamics of business creation and unemployment. We show that, under flexible exchange rates, access to international financial markets increases the volatility of both business creation and the number of exporting plants, but the effects on employment volatility are more modest. Pegging the exchange rate can have unfavorable consequences for the effects of terms of trade appreciation, but more financial integration is beneficial under a peg if the economy is subject to both productivity and terms of trade shocks. The combination of a floating exchange rate and internationally complete markets would be the best scenario for Korea among those we focus on.     

基于在岸金融市场视角的日元国际化进程与启示

最近几年,日元国际化程度不见提高,反而不断被边缘化,成为国际经济活动中的非主流货币。为此,文章从微观角度研究日本国内金融市场对日元国际化进程的支持力度。研究发现,受国内经济长期衰退影响,日本股票市场表现不及其他发达市场;其债券市场发展不平衡,国债市场独大,公司债券市场萎靡,并且资本项目开放不完全限制了债券市场发展;其衍生品市场也缺乏国际竞争力。换言之,日本在岸金融市场发展直接制约了日元国际化进程。     

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.     

全球不均衡货币、金融体系下的危机与对策

"布雷顿森林体系"崩溃后,形成的以美元为主的全球不均衡货币、金融体系,是国际流动性膨胀的根本原因,也是金融系统性风险的重要因素。基于这个背景,本文着重阐述在这个体系下,国际短期资本流动、汇率问题、资产价格波动对金融系统性风险的影响。     

后金融危机时期中国股市的国际地位——基于非线性视角的股市联动网络分析

后金融危机时期全球股市一体化程度不断提高,全面认识中国股市的国际地位对于揭示国际股市一体化联动中的传导机制,防范和应对国际金融风险冲击具有重要的理论意义和现实价值。文章应用非线性格兰杰因果检验方法和社会网络分析方法,对金砖国家和七国集团股市收益率和波动率的联动关系及其联动网络结构进行分析,揭示出中国在国际股市联动中的地位对传导关系的控制方式,定量分析出事件冲击下中国股市与国际股市之间的交互影响。研究发现：（1）国际股市收益率和波动率联动网络呈现出稳定的非线性联动关系网络结构,受其影响各国股市收益之间存在互惠性,而波动之间则存在传染性;（2）在收益率联动网络中,中国股市的作用和地位已与英国相当,远高于其他金砖国家,正逐渐由"从属地位"转向"中心地位";（3）在波动率联动网络中,中国股市是造成国际股市风险交叉影响的重要"桥梁"。综上而言,当前中国股市表现出"高风险低收益"的市场特征;（4）中国对国际股市的影响具有典型的"地缘特征",将网络中心国家股市的利好传递给地缘临近国家股市;（5）波动率联动网络中初始冲击强度较大的国家,往往是对中国股市持续大规模产生冲击的国家;（6）相比较国际股市调整波动冲击的时间而言,中国股市调整时间较短,这表明后金融危机时代中国致力于股市的一系列改革举措取得了显著成效。     

加强资本市场制度建设防范金融风险

面对国际金融危机造成的严峻经济金融形势,在科学发展观深刻内涵指引下,文章从创新发行和交易制度,坚持以人为本、加强投资者保护制度建设,按照全面协调可持续的基本要求、加快推进多层次资本市场体系建设,统筹兼顾金融创新和市场安全、完善监管体制等四个方面,提出了加强我国资本市场制度建设,构建金融安全的设想和对策。     

Home-product bias, capital mobility, and macroeconomic volatility

This paper uses a dynamic general equilibrium two-country optimizingmodel to analyse the consequences of international capital mobilityfor macroeconomic volatility. To this end, the dynamic macroeconomiceffects of a monetary policy, a fiscal policy, and a labor supplyshock are analysed. Simulations are used to analyse the implicationsof changes in the degree of capital mobility for the propagationof shocks. The simulation results obtained for a bond economyare compared with the simulation results obtained for a complete-marketeconomy. It is shown that allowing for a home-product bias inpreferences has a number of interesting implications for theway changes in international capital mobility and in the structureof international financial markets affect how shocks propagatethrough an open economy.     

The mother of all sudden stops: capital flows and reversals in Europe, 1919–32

New data documenting European bond issues in major financial centres from 1919 to 1932 show that conditions in international capital markets and not just in borrowing countries are important for explaining the surge and reversal in capital flows. In particular, the sharp increase in stock market volatility in the major financial centres at the end of the 1920s figured importantly in the decline in foreign lending. This article draws parallels with Europe after 2008.     

金砖四国国际金融实力提升对国际金融及其治理的影响

近年来,金砖四国金融开放度提高,国际金融实力有所提升,有利于为国际市场提供低成本资金,维护国际金融稳定,推动国际金融体系改革。但受制于金融发展滞后,四国在国际分工中仍处于劣势,其国际金融实力的上升与实体经济及对外贸易的发展不相称,难以在国际金融治理和国际经济不平衡的调整中发挥重大作用。未来四国应加快国内金融改革,大力发展金融市场;进一步密切四国之间以及四国与其他新兴经济体的贸易投资联系;加强政策协调,推动国际货币金融体系改革。     

Open economy and financial burden of corruption: theory and application to Asia

We discuss why corruption remains high and show that corruption contributes to the Banking distress and to the rapid transmission across international stock and currency markets. Undeveloped ‘derivative securities’ markets make the risk from stress-induced volatility difficult to manage. Vinod’s (1999) closed economy model is extended to indicate the asymmetry of ‘home bias’ and the effect of corruption on the value at risk (VaR). Our theory predicts that capital flight controls will be many, foreign direct investment (FDI) will be low and cost of capital will be high in corrupt developing countries, which is supported by Asian data. We include some policy recommendations regarding financial institutions and markets.     

国际金融危机背景下的金融交易税:从理论到实践

国际金融危机席卷全球之后,金融交易税重新受到高度关注,各国陆续提出了若干种实施方案。本文首先回顾了当前国际金融危机下的全球经济走势及各国提出金融交易税的宏观经济背景,其次阐述了金融交易税理论的内涵及效应,并结合国内外关于金融交易税的各类研究探讨交易税如何影响金融市场的有效性和稳定性。论文不仅比较了历史上各国征收金融交易税的经验及效果,而且估计了调整证券交易印花税对中国股市的实际影响。最后,分析了国际上开征金融交易税的可行性,并就中国金融交易税的方案提出政策建议。     

A Quantitative Assessment of the Role of Incomplete Asset Markets on the Dynamics of the Real Exchange Rate

I develop a two-country New Keynesian model with capital accumulation and incomplete international asset markets that provides novel insights on the effect that imperfect international risk-sharing has on international business cycles and RER dynamics. I find that business cycles appear similar whether international asset markets are complete or not when driven by a combination of non-persistent monetary shocks and persistent productivity (TFP) shocks. In turn, international asset market incompleteness has sizeable effects if (persistent) investment-specific technology (IST) shocks are a main driver of business cycles. I also show that the model with incomplete international asset markets can approximate the RER volatility and persistence observed in the data, for instance, if IST shocks are near-unit-root. Hence, I conclude that the nature of shocks, the extent of financial integration across countries and the existing limitations on asset trading are central to understand the dynamics of the real exchange rate and the endogenous international transmission over the business cycles.     

金融市场差异与全球经济失衡

本文利用两国动态一般均衡模型对比分析了在开放经济前后两国利率、资本存量、消费和对外负债的变化,研究了封闭与开放均衡时期金融市场差异在形成两国相应经济变量数量差异过程中的作用,以及金融市场对资本跨境部门间流动和经常账户变动的影响,进而探究金融市场在全球经济失衡中的作用。研究结果表明,金融市场发展水平较高国家在提供无风险资产方面具有绝对优势,它的金融部门较生产部门对国际资本的吸引力更强,而金融市场发展水平较低的国家则恰好相反。由此,金融市场差异通过对资本的配置影响消费与投资,进而使两国经常账户顺逆有别。本文还通过将39个国家2000年后的相关数据进行面板回归分析对这一结论进行了验证。     

我国多层次资本市场和金融资源配置效率分析

金融资源具有再配置其他资源的属性。资本市场作为金融市场的核心组成部分，具有金融资源的属性特点资本市场通过各种利益关系的再分配，决定了金融资源的配置。金融资源配置效率包括金融资金配置效率、金融机构配置效率和金融制度配置效率以及在三者基础上形成并反映三者效率的综合配置效率。     

国际金融危机对全球银行产业竞争格局的影响

国际金融危机对美欧银行的业绩产生了巨大冲击,但对美欧银行的资本实力和资产规模并没有形成显著的影响。研究显示,美欧银行的竞争优势仍然存在,国际金融危机没有从根本上改变美欧银行主导全球银行产业的竞争格局。     

The New International Financial Architecture: Progress and Challenges

Recent economic crises have affected different countries in the last decade. Crises shook not only countries that were directly affected but also other more developed countries. Part of the risk of crises derives from the considerable negative effects imposed on economies by the volatility and reversibility of short-term capital flow. International financial reforms should consider (1) regulation and supervision, (2) statistical standards, (3) the goods and services trade, (4) liquidity and lender of last resort, (5) unified action, (6) private-sector involvement, and (7) other contingency measures. The Venezuelan experience suggests some other domestic reforms, but reforming the international financial system, in the direction of globalization, has to be the principle goal of international organizations.     

开放条件下中国金融风险预警指标体系研究

本文从金融危机形成机理的分析入手,构建了一套由宏观经济风险指标、金融市场风险指标、银行经营风险指标以及金融开放风险指标等4个子系统组成的金融风险预警综合指标体系。本文采用动态分析的方法,考察该指标体系对我国金融风险变化的预警功效,从而为金融危机的预警提供量化判断依据。研究表明,金融开放带来的跨境短期资本流动变化及其对外短期债务规模扩大的风险,对金融体系安全的影响较大,值得密切关注。     

The Internet and Financial Market Structure

Financial markets are markets for information. As such, theyare directly influenced by advances in information dissemination,storage, and processing associated with the commercial developmentof the Internet. On the other hand, given the long-standingcentrality of information in financial markets, the consequencesof the Internet for financial markets can be understood as evolutionaryrather than revolutionary. This article provides a frameworkfor understanding how the historical interplay between informationtechnology and human capital has influenced financial marketstructure. In doing so, it sheds light on the recent reorganizationof financial markets. The daring reader might infer implicationsfor reorganization of product markets where the impact of theInternet is more abrupt.     

金融危机后的世界经济格局变化及其对美国经济的影响

受次贷危机向金融危机演变后的多渠道传染,传统世界经济大国和新兴及后起国家间的力量消长经历较大调整;以往由发达国家主导的国际贸易、国际投资和国际生产体系开始出现结构性变化;战后创立的多边贸易、多边金融和国际协调机制遭遇严重挑战,由此,世界经济格局发生了一系列变化。本文着重考察危机后世界经济格局的六大变化领域,分析论证了危机后全球经济增长动力源转移、国际经济协调酝酿新的共治机制、国际金融重回强监管环境、新兴和未来市场贸易地位上升、国际投资大三角格局分化和国际生产供应链位移等变化特征,并探讨上述变化对美国经济的振兴和再度繁荣可能产生的多重影响。     

金融危机期间美联储流动性供给及效应研究

金融危机爆发后,美联储打开了流动性注入的阀门,其流动性供给不仅规模庞大,而且采用了非传统、创新性的货币政策工具。在美联储流动性供给的救助下,金融市场和金融机构的流动性短缺得到缓解,金融市场波动趋于降低,金融市场恐慌情绪得以驱散。