新兴市场国家国际资本流动“突然停止”的影响因素分析--基于金融脆弱性的视角

在金融全球化的背景下,脆弱的国内金融体系会波及国际资本市场,导致国际资本流动发生剧烈波动甚至“突然停止”。运用面板Probit模型考察1976-2012年22个新兴市场国家国际资本流动“突然停止”的影响因素,着重探讨一国金融脆弱性对国际资本流动“突然停止”的影响。实证研究结果表明：一国的金融脆弱性对国际资本流动“突然停止”具有显著的负影响;金融开放会放大一国的金融脆弱程度,进一步提高国际资本流动“突然停止”的发生概率。     

Sudden Stop and Sudden Flood of Foreign Direct Investment: Inverse Bank Run,Output, and Welfare Distribution

In this paper, I focus on a phenomenon that has not received much attention in the literature, namely that the mere expectation of foreign direct investment (FDI) incentivizes long‐maturity investment projects by domestic residents, and a Sudden Stop when expectations are frustrated. Long‐maturity investment projects enhance productivity but increase the economy's vulnerability to Sudden Stop. The discussion is framed in a context in which a Sudden Stop follows a surge of capital inflows (Sudden Flood), and FDI is concentrated on ongoing projects. A Sudden Stop episode can trigger a fire sale of long‐term assets, output collapse, and welfare redistribution, which is another ignored phenomenon.     

Sudden stops: Determinants and output effects in the first era of globalization, 1880-1913

We study the determinants and output effects of sudden stops in capital inflows during an era of intensified globalization from 1880 to 1913. Higher levels of exposure to foreign currency debt and large current account deficits associated with reliance on foreign capital greatly increased the likelihood of experiencing a sudden stop. Trade openness and strong reserve positions had the opposite effect. Sudden stops accompanied by financial crises are associated with drops in output per capita below trend equal to three to four percent. Frictions in the international capital markets of the day are a likely candidate for these output losses. Sudden stops connected with crises do not seem to bring trend growth downwards. Sudden stops not connected with crises appear to be associated with significant declines in trend growth.     

Financial integration, entrepreneurial risk and global dynamics

How does financial integration impact capital accumulation, current-account dynamics, and cross-country inequality? We investigate this question within a two-country, general-equilibrium, incomplete-markets model that focuses on the importance of idiosyncratic entrepreneurial risk—a risk that introduces, not only a precautionary motive for saving, but also a wedge between the interest rate and the marginal product of capital. Our contribution is to show that this friction provides a simple explanation for the emergence of global imbalances, a resolution to the empirical puzzle that capital often fails to flow from the rich or slow-growing countries to the poor or fast-growing ones, and a set of policy lessons regarding the intertemporal costs and benefits of capital-account liberalization.     

Option Pricing Approach to International Reserves

This paper brings forward the insurance aspect of holding reserves by using the conceptual equivalence between insurance and financial options, and explores when reserves are likely to become the primary means of precautionary arrangement, in particular in emerging markets. The sharp rise in the amount of reserves held by many emerging markets since the mid-1990s can be traced to the rise in the "globalization hazard" that confronts emerging markets. A modest probability of globalization hazard (sudden stop) can induce emerging markets to self-insure fully by hoarding international reserves, rather than relying on nonreserve alternatives of taking precautions.     

Financial Globalization,International Business Cycles and Consumption Risk Sharing*

In spite of two decades of financial globalization, consumption‐based indicators do not seem to signal more international risk sharing. We argue that the fraction of idiosyncratic consumption risk that gets shared among industrialized countries has actually increased considerably over the period 1980–2000 and, in particular, during the 1990s—from around 30 to more than 60 percent. However, standard consumption‐based measures of risk sharing—such as the volatility of consumption conditional on output or international consumption correlations—have been unable to detect this increase because consumption has also been affected by the concurrent decline in the volatility of output growth in most industrialized countries since the 1980s. First, the volatility of output at business‐cycle frequencies has declined by more than has the volatility of permanent fluctuations. Since consumption reacts mainly to permanent shocks, it appears more volatile in relation to current changes in output. This effect seems to have offset the tendency of financial globalization to lower the volatility of consumption conditional on output. Second, because the variability of permanent global shocks has also fallen, international consumption correlations have also generally not increased as financial markets have become more integrated.     

Sudden stops and the Mexican wave: Currency crises,capital flow reversals and output loss in emerging markets

Sudden stops are the simultaneous occurrence of a currency/balance of payments crisis with a reversal in capital flows. We investigate whether sudden-stop crises are a unique phenomenon and whether they entail an especially large and abrupt pattern of output collapse (a “Mexican wave”). Using a panel data set over 1975–1997 and covering 24 emerging-market economies, we distinguish between the output effects of currency crises, capital inflow reversals, and sudden-stop crises. Sudden-stop crises have a large negative, but short-lived, impact on output growth over and above that found with currency crises. A currency crisis typically reduces output by about 2–3%, while a sudden stop reduces output by an additional 6–8% in the year of the crisis. The cumulative output loss of a sudden stop is even larger, around 13–15% over a 3-year period. Our model estimates correspond closely to the output dynamics of the ‘Mexican wave’ (such as seen in Mexico in 1995, Turkey in 1994 and elsewhere), and out-of-sample predictions of the model explain well the sudden (and seemingly unexpected) collapse in output associated with the 1997–1998 Asian Crisis.     

Reserve accumulation and exchange rate policy in China: The authoritarian elite's aim of political survival

Since the Asian financial crisis of 1997–1998, China has significantly increased its foreign exchange reserves. We argue that the resulting abnormal levels of currency reserves accumulated by Chinese authorities are not intended to maximize the citizenry's economic welfare, as in a mercantilist or a precautionary account, but rather to forestall the elite's own political demise. This goal has been pursued mainly by generating large current account surpluses through manipulation of the renminbi exchange rate. The Chinese elite has sought to promote the acceptance of this policy by influencing the costs of collective action taken by winners and losers.     

Globalization, the output-inflation tradeoff and inflation

This paper provides comprehensive evidence on the relation between inflation and globalization, defined here as trade and financial openness, using a large cross-section of 91 countries over the period 1985-2004. We establish two main empirical regularities: both higher trade and financial openness (i) reduce central banks’ inflation bias, yielding lower average inflation and (ii) are associated with a larger output-inflation tradeoff. This evidence is at odds with the standard Barro-Gordon framework, which would require globalization to have a negative effect on the output-inflation tradeoff to yield lower equilibrium inflation, but it is consistent with a recent strand of new Keynesian models emphasizing the role of imperfect competition and nominal rigidities. Our findings also support the relevance of the time-inconsistency hypothesis, which underlies the theoretical models predicting a relation between globalization and inflation. For the OECD subsample, however, we do not find an effect of openness on inflation (the output-inflation tradeoff), suggesting that these countries have created an institutional framework for central banks that eliminates distortions due to the time-inconsistency problem.     

A modern reincarnation of Mundell-Fleming's trilemma

A modern incarnation of the trilemma is essential for understanding the evolving global financial architecture, and for coming up with ways to mitigate financial fragility. The scarcity of policy instruments relative to the policy goals implies complex country-specific tradeoffs between the policy goals. The financial crises of the 1990s induced Emerging markets to converge to trilemma's middle ground -- managed exchange-rate flexibility, controlled financial integration, and viable but limited monetary independence. Capital flight crises added financial stability to trilemma's policy goals. New policies were added to deal with financial fragility associated with financial integration, including precautionary management of international reserves by emerging markets, swap lines among OECD's central banks, and macroeconomic prudential regulations. These trade-offs are impacted by a country's balance sheet exposure to hard currencies, the exchange-rate regime, and the growing sensitivity to shocks emanating from the U.S. and the Eurozone in the aftermath of the Global Financial Crisis.     

Foreign exchange reserve adequacy and exogenous shocks

One of the traditional benchmarks in international macroeconomics is that a country should maintain reserves that can cover at least 12 weeks of imports. The notion of reserve adequacy, however, is not static and is intimately associated with the occurrence of financial crises as well as exogenous shocks, with many observers using the reduction in reserves below this benchmark as a sign of fragility. This article provides a benefit-cost type approach to evaluating reserve adequacy. The benefits of holding reserves are evaluated using a dynamic random effects probit model of financial crises while the cost of reserve holdings (output loss due to an over-investment in reserves) is obtained from a panel growth equation. Using the methodology outlined above, the study finds that in small states, the optimal holding of foreign exchange reserves is approximately 25 weeks of imports, approximately 13 weeks higher than the international rule-of-thumb. This estimate of optimal reserve holdings is interrelated with the economic characteristics of the country, particularly its fiscal stance. Indeed, this article finds that countries with a prudent public expenditure management framework in place are able to hold a smaller stock of reserves without necessarily impacting the expected growth for the country.     

Does financial globalization promote risk sharing?

In theory, one of the main benefits of financial globalization is that it should allow for more efficient international risk sharing. In this paper, we provide an empirical evaluation of the patterns of risk sharing among different groups of countries and examine how international financial integration has affected the evolution of these patterns. Using a variety of empirical techniques, we conclude that there is at best a modest degree of international risk sharing, and certainly nowhere near the levels predicted by theory. In addition, only industrial countries have attained better risk sharing outcomes during the recent period of globalization. Developing countries have, by and large, been shut out of this benefit. Even emerging market economies, many of which have reduced capital controls and all of which have witnessed large increases in cross-border capital flows, have seen little change in their ability to share risk. We find that the composition of flows may help explain why emerging markets have not been able to realize this presumed benefit of financial globalization. In particular, our results suggest that portfolio debt, which had dominated the external liability stocks of most emerging markets until recently, is not conducive to risk sharing.     

Income and consumption smoothing and welfare gains across Pacific Island Countries: The role of remittances and foreign aid

We examine the potential welfare gains and channels of income smoothing for Pacific Island Countries (PICs) and find that, under full risk sharing overall welfare gains across all PICs (particularly, Kiribati, Palau, and Papua New Guinea) are at desirable levels. However, for Australia, the potential welfare gain from risk sharing is almost similar to the gain it obtains if Australia attains full risk sharing with the rest of the OECD countries or with New Zealand alone. We also break down output using the framework of Sørensen and Yosha (1998) to quantify the extent and channels of risk sharing across PICs. For PICs, income-smoothing channels (net factor income and current transfers) play a significant role in buffering the output shock compared to the performance of those channels on smoothing the output shock for OECD countries. Domestic savings also smooth a fair portion of shocks to output, but the extent is much lower compared to that of OECD countries. Further, we analyze the effect of remittances and foreign aid on income smoothing for the PICs excluding Australia and New Zealand. Income smoothing via remittances is highly volatile and significant in recent years, while foreign aid seems to be a stronger and more stable channel for smoothing domestic output shocks for PICs.     

Growth and financial liberalization under capital collateral constraints: The striking case of the stochastic AK model with CARA preferences

We consider a small-open, collateral-constrained AK economy. We show that the combination of CARA preferences and uncertainty on capital inflows generates long-term growth while the deterministic counterpart does not: long-term growth is entirely driven by precautionary savings, and the asymptotic growth rate of the expected capital stock is increasing in both the risk magnitude and the Arrow–Pratt absolute risk aversion parameters.     

Financial globalization and real regionalization

Over the period 1972-1986, the US business cycle was strongly correlated with the business cycle in the rest of the industrialized world. Over the period 1986-2000, international co-movement was much weaker (real regionalization). At the same time, US international asset trade has increased significantly ( financial globalization). We first document these phenomena in detail and then argue that they are related. In particular, we present a model in which financial globalization occurs endogenously in response to less correlated real shocks. Financial globalization, by enhancing cross-border capital flows, further reduces the international correlations in GDP and factor supplies. We find that both less correlated shocks and the endogenous change in international financial markets are needed to quantitatively account for the observed changes in the international business cycle.     

International trade,foreign direct investments,and firms’ systemic risk : Evidence from the Netherlands

This paper measures the contribution of firms in the financial and non-financial sectors to systemic risk. We quantify systemic risk as possible risk spillovers from individual firms to the economy by taking into account time-varying linkages between the firm and the economy. Based on a novel dataset that combines data on international trade and foreign direct investments with daily stock data for 67 Dutch listed companies from 2006–2015, our results indicate that high systemic risk contributions are not only present in the financial sector, but also occur in other sectors of the economy. We find that firms within the financial sector are more capable than non-financial firms of reverting to their pre-financial crisis level of systemic risk contribution. Having examined the potential role globalization fulfills in determining systemic risk, we find two main opposing effects. First, firms in internationally trade-intensive sectors contribute less to systemic risk than firms in sectors with low trade intensity. Second, systemic risk rises when firms are engaged in foreign direct investment activity, suggesting that international networks and global supply chains contribute to systemic risk propagation. Our empirical results imply that macro-prudential policy aimed at monitoring systemic risk should be extended to non-financial sectors and should take into consideration globalization measures, such as foreign direct investments and global supply chains.     

一个基于金融稳定的外汇储备分析框架——兼论中国外汇储备的适度规模

本文构建一个包含外汇储备、金融不稳定、资本流动以及实体经济变量的系统分析框架,探讨影响新兴市场经济体外汇储备的相关因素,继而模拟出中国合意的外汇储备规模。研究结果表明,若国内金融稳定受到冲击或者跨境资本流动日益频繁,外汇储备在广义货币量中的占比就会增加;金融不稳定和实体经济状况对外汇储备占比的边际影响都呈现递减的态势,说明外汇储备的作用是有限度的。另外,模拟结果显示,在确保国内金融稳定的前提下,目前中国的外汇储备总量并不过度,正处于合意的区间范围之内。     

Exploring policy options in joint intertemporal-spatial trade models using an incomplete markets approach

In this paper we discuss the desirability of service trade liberlization in the presence of incompleteness of markets where there is both inter-spatial and intertemporal trade between countries. We use numerical simulation methods for insights and relate our discussion to the General Agreement on Trade in Services (GATS) in the WTO. We interpret the absence of intertemporal trade as an absence of intermediation services provided by both domestic and foreign service providers. For simplicity, we consider extreme cases where intertemporal intermediation services can only be provided by domestic providers, so that when intertemporal trade in services is not allowed, markets are not complete. To our knowledge, this type of models is not used in the trade literature as general comparative statics results are unavailable. We first consider the liberalization of trade in financial services in an inter-spatial and intertemporal model of two countries, and we show how services liberalization can be welfare worsening in the presence of a tariff on spatial trade in goods. We show that this can hold in an artificial world with no domestic financial services provider. We compare financial service trade autarky in which there is no intermediation to financial service trade liberalization which involves costless intertemporal intermediation provided by foreign service providers. We also consider a more complex (and realistic) world where costly intermediation services can be provided by both domestic and foreign providers. This paper draws in part on material of an earlier paper, “Financial Services Trade Liberalization in A Joint Spatial Intertemporal Multi-Country Model” by Huang et al. (2004). We acknowledge the financial support from The Centre for Intentional Governance Innovation (CIGI), Waterloo, Canada and from National Social Science Foundation of China (SSFC Grant 07AJL002), National Natural Science Foundation of China (NSFC Grant 70825003) and “Humanities and Social Science” Major Project, Chinese Ministry of Education (Grant Number 07JJD790145).     

Exports, unemployment, and the welfare state

Abstract .  The paper analyzes the labour market effects of globalization when foreign market entry is costly and risky. With flexible labour markets, a fall in foreign market entry cost tends to generate more income inequality, but not necessarily so, as more firms pay foreign entry cost. By contrast, when labour markets are inflexible in the short run, globalization tends to increase unemployment. In this situation, government unemployment benefits reduce the wages that exporting firms need to pay workers as risk compensation. Thus more firms within an industry and more industries enter the foreign market, which in turn tends to increase unemployment.     

International Reserves and the Composition of Foreign Equity Investment

This paper studies the effect of central banks' international reserve hoardings on the composition of foreign equity investment. Specifically, it examines whether reserves affect the share of foreign portfolio equity investment (PEI) in total foreign equity investment, which includes both PEI and foreign direct investment (FDI). Foreign investors' decisions regarding the location and the type of equity capital investment might be influenced by a country's level of international reserves. In a simple theoretical model, it is shown that higher reserves, thanks to their ability to lower exchange rate risk, reduce the risk premium of PEI. Hence, higher reserves are expected to increase the inflow of PEI relative to FDI. This hypothesis is tested for a sample of 76 developing countries during the period 1980–2010 using different estimation methods, model specifications and data samples. The results suggest that higher levels of reserves are associated with a larger share of PEI relative to FDI. This result points to a collateral benefit of reserves that has been neglected so far. Reserves may contribute to develop domestic financial markets and facilitate domestic firms' access to foreign portfolio equity financing. In addition, this paper finds a strong negative effect of the global financial crisis beginning in 2008 on the share of PEI, which confirms the hypothesis that PEI is more crisis‐dependent than FDI.