关于货币危机后经济衰退的经验分析

文章以1990年以来的近200次货币危机为样本,对货币危机后的经济衰退进行了经验分析.研究发现,危机前的经常账户状况、外债余额占GDP比例、国际流动性指标等经济变量以及危机后的汇率制度都不会显著影响到危机后的经济衰退.另外,危机后的经济衰退与危机国政府在危机中是否抛售外汇储备、是否采取汇率贬值都没有明显关系.但是经济分析的结果表明,危机前的失业率和汇率制度以及危机中是否提高利率等因素对危机后的经济衰退有显著作用.     

Stability periods between financial crises: The role of macroeconomic fundamentals and crises management policies

This study aims to identify which factors explain why some countries enjoy long durations of stability, while others experience crises in shorter intervals. We analyze the duration of stability periods between currency, debt, and banking crises by employing an innovative econometric strategy, the Finite Mixture Model (FMM). Real and financial variables show high predictive power for stability spells between currency crises. Regarding debt crises, the real interest rate is observed to be the best predictor. The time between systemic financial crises appears to be prolonged through government interventions and through IMF program participation, while bank recapitalization has a negative impact.     

The central bank as shaper and observer of events: The case of the yield spread

The yield spread has commonly been employed as a successful predictor of economic growth and recessions, although its marginal predictive power has decreased since the 1990s. Notably, the yield spread's declining power to predict US economic activity coincided with its growing power to predict US interest rate changes. In my view, these phenomena are inevitably linked and share one cause. The central bank intended to enhance both its transparency and credibility through greater information disclosure; this disclosure improved interest rate predictability but might also have crowded out useful private information formerly in the yield spread that helped predict economic activity.     

Forecasting recessions using financial variables: the French case

In this article, we focus on the ability of two financial variables—the yield curve spread and the euro–US dollar exchange rate—to predict French recessions over the period 1979–2010. First, we propose a turning point chronology for the French business cycle based on a classical conception of economic cycles and a non-parametric dating algorithm applied to the real GDP series. Second, static and dynamic probit models are developed and estimated to produce the recession probabilities. In-sample results show that the dynamic specification performs better than the static one and, above all, that the exchange rate has a stronger predictive power than the yield curve. Out-of-sample results finally confirm the predominant role assigned to the exchange rate in predicting the latest recession occurred in 2008.     

A few observations on financial liberalization and financial instability

Recent studies have conjectured that there may be a link between financial liberalization (FL) and financial instability in emerging economies. Most of these studies, however, do not investigate whether emerging economies are, in fact, becoming structurally more vulnerable to currency and banking crises. In this paper, I argue that emerging economies are becoming more susceptible to both currency and banking crises after FL. Using data for 27 emerging economies—excluding transition economies—from 1973 to the present, a univariate analysis indicates that the likelihood of currency crises may increase with stronger reactions to financial variables than to real or external trade variables. Similarly, for banking crises, interest rate, exchange rate, maturity, and default may increase, while simultaneously the support structure of the government seems to decline.     

Interest rate policy and interbank market breakdown

Using a DSGE-model with interbank market frictions, calibrated to match the frequency of financial crises, I investigate central banks' ability to prevent credit-related recessions by following an interest rate rule which accounts for financial conditions —an approach called ‘leaning against the wind’. The model's key feature is that boom-bust cycles emerge as a result of a savings glut and moral hazard in the banking sector. Although financial conditions predict crises, the policy maker cannot break the boom-bust cycle and reduce the crisis-frequency. When crises become more likely, low inflation forces the central bank to decrease the interest rate despite its intention to do otherwise. Responding to crisis-predictors eventually dilutes the primary objective of stabilizing inflation and leads to higher inflation volatility. The results suggest that central banks should refrain from leaning against the wind.     

体制转换模型能预测货币危机吗?

本文以名义汇率月变化率为因变量 ,引入因变量一阶自回归过程对Abiad(2 0 0 3 )提出的变动概率体制转换模型进行了修改 ,以此为基础 ,采用改进后的模型对阿根廷等 1 2个国家或地区在 1 978年 1月至 2 0 0 2年 5月期间发生或可能发生的货币危机进行了研究。本文主要回答两个问题 :根据体制转换模型建立的货币危机预警系统是否具有更强的预警能力 ?它预测危机发生的时机是否更准确 ?研究表明 :变动概率体制转换模型能够较为准确地预测货币危机发生的可能性和发生的时点 ;但是 ,对于不同的国家或地区 ,模型的预警效果有高有低 ;总体而言 ,该模型的预警能力很强 ,预警时效性较强     

OPTIMAL DEBT AND ENDOGENOUS GROWTH IN MODELS OF INTERNATIONAL FINANCE

The International Monetary Fund, the World Bank and the bond rating agencies did not anticipate the crises in Asia 1997–98 and in Argentina 2001 . With this statement in mind, we consider some multi-stage inter-temporal stochastic optimisation models in international finance that imply theoretically founded and empirically measurable Early Warning Signals. The mathematical technique is dynamic programming/stochastic optimal control (DP/SOC).
The variables of interest are the optimal foreign debt, consumption, capital and the growth rate of GDP. They are used as benchmarks of economic performance. By comparing the actual debt to the optimal debt we derive a measure of the sustainability of the debt and vulnerability to default problems. The two sources of uncertainty – the productivity of capital and the real interest rate on the foreign debt – are modeled as stochastic processes. Specific applications of the DP/SOC techniques are given for country defaults in Asia and Latin America, and the US current account deficits.     

中央银行沟通是否更有助于预测官方利率决定——来自《中国货币政策执行报告》的证据

根据泰勒规则的有序概率模型,利用中央银行沟通指示器变量和宏观经济变量解释官方利率决定,预测2003—2009年官方利率决定。结果表明:(1)在样本期内,沟通指示器变量提高了官方利率决定的解释力;(2)经济增长的沟通指示器变量、预期的宏观经济变量以及当期的通货膨胀率对官方利率决定有显著影响;(3)在官方利率决定上升和不变时,沟通指示器变量模型的预测能力要好于宏观经济变量模型,但在官方利率下降时,却不能胜过宏观经济变量模型。     

Tax buoyancy in OECD countries: New empirical evidence

A renewed interest in the link between business cycle and tax revenues has recently emerged, especially during economic crises. In this paper, we provide an empirical analysis on 35 OECD countries over the period 1995–2016 to estimate both short-run and long-run tax buoyancies, taking into account the macroeconomic framework, changes in governments’ tax policies, budgetary and political variables possibly affecting how taxes react to GDP fluctuations. By adopting the dynamic common correlated effects estimator, we find that both short- and long-run tax responses are lower than those reported in previous cross-country studies. We suggest that this slightly lower than expected reaction of tax revenue can be interpreted as a reduced power of both automatic stabilization in the short-run and fiscal sustainability in the long-run. Results are robust to possible endogeneity issues between tax revenues and business cycles.     

What Caused the Asian Crises: An Early Warning System Approach

We estimate a simple probit model of the probability of balance-of-payments crises over a panel of developing countries through 1995. We then forecast crisis probabilities for 1997. We find that a simple model composed of four traditional macroeconomic variables and one 'second generation' variable performs well in predicting the Asia crises. The Thai and Malaysian crises had predominantly first-generation features, while the crises in Korea and Indonesia are, to some extent, predictable largely on the basis of our second-generation variable.
(J.E.L.: F31, F47).     

A Comparative Study of Two Global Crises

This article identifies the differences and common features of two global crises: the Great Depression of 1929 and the international financial crisis of 2008. The circumstances of the two crises differ in terms of the demographic structure, the technological conditions, the economic and social systems in developed countries, the extent of globalization and other global economic situations. Among the common features, both crises were preceded by unprecedented economic booms, laisse-faire regulatory policies, easy monetary and credit policies, asset bubbles and yawning income gaps. Moreover, the crises had a strong redistribution effect, which would cause shifts of power among large countries and major changes in international economic order.     

STABILITY OF THAI BAHT: TALES FROM THE TAILS

We demonstrate how the EVT‐based signalling approach for currency crises can be applied to an individual country with a small sample size. Using Thai historical data, first, we study the tail characteristics of the distributions of two Thai baht instability measures and 21 economic fundamentals. Then, we test asymptotic dependence between the currency instability measures and lagged economic fundamentals. Empirically, we find that the distributions of both currency instability measures and economic variables are heavy tailed. Assuming a normal distribution for the variables tends to underestimate the probability of extreme events. Furthermore, most of the economic variables which are usually used as signalling indicators for currency crises are asymptotically independent of the currency instability measures. Signals issued by these variables are thus not reliable. Nevertheless, the non‐parametric EVT approach facilitates the selection of economic indicators with credible signals and high crisis prediction success.     

Autoregressive modelling of consumption,income, inflation and interest rate data: A multicountry study

In this study the question whether income, inflation and interest rate help to predict (Granger-cause) consumption of nondurables was analysed for USA, UK, FRG and France. Thereby a slightly modified variant of the stepwise autoregressive modelling approach suggested by Hsiao was extended to the four variables framework and applied to quarterly time series. The data indicate that at least one of the variables considered has predictive power for consumption. Thus, the permanent income hypothesis under rational expectation as formulated by Hall is rejected for the countries considered here.     

The illusive quest: Do international capital controls contribute to currency stability?

We investigate the effectiveness of capital controls in insulating economies from currency crises, focusing in particular on both direct and indirect effects of capital controls and how these relationships may have changed over time in response to global financial liberalization and the greater mobility of international capital. We predict the likelihood of currency crises using standard macroeconomic variables and a probit equation estimation methodology with random effects. We employ a comprehensive panel data set comprised of 69 emerging market and developing economies over 1975–2004. Both standard and duration-adjusted measures of capital control intensity (allowing controls to “depreciate” over time) suggest that capital controls have not effectively insulated economies from currency crises at any time during our sample period. Maintaining real GDP growth and limiting real overvaluation are critical factors preventing currency crises, not capital controls. However, the presence of capital controls greatly increases the sensitivity of currency crises to changes in real GDP growth and real exchange rate overvaluation, making countries more vulnerable to changes in fundamentals. Our model suggests that emerging markets weathered the 2007–2008 crisis relatively well because of strong output growth and exchange rate flexibility that limited overvaluation of their currencies.     

INTEREST RATES, RATE SPREADS, AND ECONOMIC ACTIVITY

Interest rates and the spreads between interest rates are widely regarded as useful indicators of the future level of economic activity. This paper shows that when these series are divided into (i) an ordinary time series process and (ii) the effects of extraordinary disturbances, only the extraordinary disturbances predict economic activity. These disturbances are associated with periods of monetary policy intervention. Most of the predictive power is in contractionary disturbances that have persistent effects over time. The results imply that the predictive power of interest rates comes primarily from periods of contractionary monetary policy and is not due to ordinary movements in interest rates.     

Narrating Crisis,Constructing Policy: Economic Ideas and Institutional Change in Syria

During crises, ideas play a decisive role in shaping radical paradigm shifts in economic governance. However, not all crises immediately produce such ‘great transformations’. Why do some ideas result in incremental rather than abrupt change after crisis? To identify mechanisms potentially explaining this variation, I conduct an exploratory process tracing of an understudied case of incremental institutional change: post-independence Syria. Competing political actors in Syria converged on identical policy responses to crisis despite their very different interpretations of its causes. Although power oscillated between these increasingly bitter rivals in the early 1950s, their ideational consensus on economic issues nevertheless led to a decade of steady institutional change that transformed previously fragile government institutions into powerful vehicles of statism. I derive from this analysis the potential causal significance of two new variables – crisis narrative and crisis response – and hypothesise that their configuration can explain variation in post-crisis patterns of institutional change. Ideas can explain not only the new direction of economic governance after crisis, but also the speed and scale of its movement.     

Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model

The predictability of stock return dynamics is a topic discussed most frequently in empirical studies; however, no unanimous conclusion has yet been reached due to the ignorance of structural changes in stock price dynamics. This study applies various regime switching GJR-GARCH models to analyze the effects of macroeconomic variables (interest rate, dividend yield, and default premium) on stock return movements (including conditional mean, conditional variance, and transition probabilities) in the U.S. stock market, so as to clearly compare the predictive validity of stable and volatile states, as well as compare the in-sample and out-of-sample portfolio performance of regime switching models. The empirical results show that macro factors can affect the stock return dynamics through two different channels, and that the magnitude of their influences on returns and volatility is not constant. The effects of the three economic variables on returns are not time-invariant, but are closely related to stock market fluctuations, and the strength of predictability in a volatile regime is far greater than that in a stable regime. It is found that interest rate and dividend yield seem to play an important role in predicting conditional variance, and out-of-sample performance is largely eroded when the effects of these two factors on volatility are ignored. In addition, the three macro factors do not play any role in predicting transition probabilities.     

Capital account openness and early warning system for banking crises in G20 countries

This paper develops an early warning system for banking crises in the G20 countries, with the inclusion of capital account openness indicators. Results suggest that the capital account openness demonstrates a significant predictive power on systemic banking crises, and the impact is related with the level of the economic development. For low-income countries, increased capital account openness has a significantly negative impact on the banking crises likelihoods, while for high-income countries it imposes a positive impact. For middle-income countries, however, the occurrence of banking crises is more indifferent to capital account liberalization.