资本账户自由化、信贷扩张与系统性银行危机风险*

本文研究在资本账户自由化下，信贷扩张与资本流入对于系统性银行危机风险的影响。利用89个国家1973—2016年的长面板数据，并控制影响银行危机风险多项因素后，研究发现资本账户自由化有助于降低银行危机风险。进一步研究发现，FDI流入能显著降低银行危机风险；适量的股权投资流入有助于增强银行业稳定性；但当股权投资大量流入时，伴随着信贷过度扩张和资产泡沫，银行危机风险急剧增加；较低的债权投资流入对银行业稳定性无显著影响，但当超过一定规模时，银行危机风险显著增加。     

资本账户自由化、信贷扩张与系统性银行危机风险*

本文研究在资本账户自由化下，信贷扩张与资本流入对于系统性银行危机风险的影响。利用89个国家1973—2016年的长面板数据，并控制影响银行危机风险多项因素后，研究发现资本账户自由化有助于降低银行危机风险。进一步研究发现，FDI流入能显著降低银行危机风险；适量的股权投资流入有助于增强银行业稳定性；但当股权投资大量流入时，伴随着信贷过度扩张和资产泡沫，银行危机风险急剧增加；较低的债权投资流入对银行业稳定性无显著影响，但当超过一定规模时，银行危机风险显著增加。       

Domestic Credit Growth and International Capital Flows*

During the pre‐crisis period, Europe experienced substantial cross‐country variation in domestic credit growth and cross‐border capital flows. We investigate the inter‐relations between domestic credit growth and international capital flows during the period 1993–2008, with a special focus on the boom period of 2003–2008. We establish that domestic credit growth in European countries is strongly related to net debt inflows but not to net equity inflows. This pattern also holds for an extended sample of 54 advanced and emerging economies.     

Sudden stops, banking crises and investment collapses in emerging markets

We evaluate whether financial openness leaves emerging market economies vulnerable to the adverse effects of capital reversals (“sudden stops”) on domestic investment. We investigate this claim in a broad sample of emerging markets during the period 1976–2002. If the banking sector does not experience a systemic crisis, sudden stop events fail to have a significant impact on investment. Bank crises, on the other hand, have a significant negative effect on investment even in the absence of a contemporaneous sudden stop crisis. We also find that openness to capital flows worsens the adverse impact of banking crises on investment. Our results provide statistical support for the policy view that a strong banking sector which can withstand the negative fallout of capital flight is essential for countries that open their economies to international financial flows.     

Financial reforms and capital flows to emerging Europe

Analysis of 18 emerging European economies finds domestic financial reforms to be positively associated with net capital inflows. Controlling for standard determinants of capital flows, we find banking sector reforms in particular to be consistent with higher net financial inflows, whereas no such correlation is found for security market reforms or for indicators of financial depth. Additional net inflows are reaped by the EU accession countries. Countries with more reformed banking sectors receive significantly higher FDI and “other” investment net inflows; this is also found for gross financial inflows, but not for gross outflows.     

Effects of capital flow on the equity and housing markets in Hong Kong

The revival of strong capital flows to emerging economies following the global financial crisis in 2008–2009 has rekindled the debate on effects of excessive capital inflows. We study the effects of official and illicit capital flows on Hong Kong, which is a small and open economy with minimal restrictions on cross‐border fund movements. It is found that the official and illicit capital flow measures display a low level of comovement and exhibit differential effects on Hong Kong's equity and residential housing markets. The results highlight the complexity of managing capital flows, and the relevance of sector‐specific capital management policies.     

SAILING THROUGH THIS STORM? CAPITAL FLOWS IN ASIA DURING THE CRISIS

The 2007–2009 crisis has led to an unprecedented collapse in international capital flows. Asian economies were, however, relatively unaffected: the contraction in their capital flows was limited to the most acute phase of the crisis in late 2008, followed by a rapid rebound. We show that this reflects both Asia's structural characteristics, such as limited reliance on international banking, and Asian specificities in the form of a limited impact of international bank exposure on capital flows. We also find evidence of a connection between the use of reserves and variations in net private capital inflows.     

Banking sector development and interest rate volatility in emerging economies

Over the last decades, macroeconomic stability is said to be one of the major concerns of emerging economies. Financial sector as a core of macroeconomic stability has been under close consideration of policy makers. The relationship between interest rate uncertainty and banking sector development as one of the most important indicators of financial sector development, especially for emerging economies, has not received enough attention in the literature. Perhaps this article is the most comprehensive study that investigates the relationship between interest rate uncertainty and banking sector development for a large group of emerging economies. To do this, the short-run and long-run models using a bounds testing approach to cointegration for 12 emerging economies over the period 1980–2011 have been developed. Estimated results from all models indicate that interest rate uncertainty has significant effect on banking sector development in both short-run and long-run phenomena in the majority of countries. The findings indicate that the link between interest rate uncertainty and banking sector development in each country depends on each country’s specific structure.     

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.     

Early Warning for Currency Crises: What Is the Role of Financial Openness?

The paper explores whether financial openness—capital account openness and gross capital inflows—makes countries vulnerable to currency crises. A quarterly dataset on 46 advanced and emerging market economies (AEs and EMEs) during 1975Q1–2011Q4 is used, with the period after Q2 2007 used for out‐of‐sample testing. The key findings are: (1) capital account openness is associated with lower probability of currency crises, but less so for EMEs; (2) surges in gross capital flows are associated with increased risk of currency crises; and (3) the model performs well out‐of‐sample, confirming that early warning models are helpful in judging relative vulnerability.     

Rapid Economic Growth: Contributing Factors and Challenges Ahead*

The sustained improvement in the underlying conditions for growth for more than two decades has resulted in lifting the Indian economy from the bottom of the growth heap to one of the fastest growing economies in the world. This paper presents the factors that have contributed to the growth acceleration in India over the past 25 years and the challenges faced by the growth process in the years ahead. The inadequate and poor quality of infrastructure, particularly electricity, the emerging scarcity of skilled labor, and a lagging agricultural sector pose serious medium‐term challenges to the sustainability of high growth, while management of the macroeconomic environment poses more immediate challenges in view of the proliferation of unsustainable and sometimes invisible subsidies, sharp increases in the world prices of food and fuel, and pressure on the exchange rate executed by strong capital inflows.     

Real effects of banking crises: Imports of capital goods by developing countries

We examine the hypothesis that banking crises have real effects on developing economies by reducing imports of capital goods. We test this hypothesis by estimating a model for the determinants of imports of capital goods by a panel of developing economies during 1961 to 2010. Our results suggest that not only do banking crises have statistically significant and economically important effects on imports of capital goods, but these effects increase the longer a banking crisis lasts. Imports of capital goods are a critical component of the capital stock and the production process in developing economies and, thus, our results highlight one important channel through which banking crises may hamper the growth prospects of these economies.     

Do Bank Capital and Liquidity Affect Real Economic Activity in the Long Run? A VECM Analysis for the US

This paper analyses the long‐term economic costs of the new regulatory standards (the so‐called Basel III reform) for the US. Using a Vector Error Correction Model that estimates long‐run relationships among a small set of macro‐variables over the period 1994–2008, it shows that tighter capital and liquidity requirements have negative (but rather limited) effects on the level of long‐run steady‐state output and more sizeable effects on banks’ return on equity. The economic costs are considerably below the estimated positive benefit that the reform should have by reducing the probability of banking crises and the associated banking losses ( BCBS, 2010b ).     

The effect of financial liberalization on banking sector stability

Several studies indicate that financial liberalization increases likelihood of a financial crisis without distinguishing between a normal period, unstable period preceding the onset of banking panics and crisis/post period. We explain in this paper the relationship between financial liberalization and banking sector vulnerability. Then, we argue that banking sector turmoil is most likely to occur after an intermediate degree of liberalization. Using a recently updated dataset for financial reforms, we find an inverted U-shaped relationship between liberalization and the likelihood of banking crisis for a sample of 49 countries between 1980 and 2010. We used a multinomial logit model in order to take into account what is called the ‘post crisis bias’. We ask whether the relationship remains when institutional characteristics of countries and dynamic effects of liberalization are considered. The empirical results indicate that the relationship between liberalization and banking sector stability depends strongly on the strength of capital regulation and supervision. With very weak regulation and supervision, the probability of banking crises is increasing with liberalization but this relationship is reversed as regulation and supervision become significant. The most important type of liberalization in relation to banking crises seems to be operational. A policy implication is that positive growth effects of liberalization can be achieved without increasing the risk of a banking fragility if appropriate institutions are developed.     

The 1997 Asian Currency Crisis,Financial Linkages,and the Monetary Policy of Japan

The evidence is examined that excessively liberal monetary policy by the Bank of Japan, before and after the financial collapse of Japan in 1992, may have led other East Asian economies into “over‐borrowing” and speculative investments, prior to the currency crisis in 1997–98. The authors test for cointegration and Granger causality between Japanese money supply M1 and the domestic investment of eight East Asian economies and Australia. US and German money supplies are also used as a benchmark. There is strong evidence that there are long‐ and short‐run causal relationships between the Japanese money supply and the domestic investment of the Asian crisis‐inflicted economies prior to 1997.     

INTERNATIONAL CAPITAL FLOWS: PRIVATE VERSUS PUBLIC FLOWS IN DEVELOPING AND DEVELOPED COUNTRIES

Empirically, net capital inflows are procyclical in developed countries and countercyclical in developing countries. Private inflows are procyclical and public inflows are countercyclical in both groups of countries. The dominance of private (public) inflows in developed (developing) countries drives the difference in net inflows. We rationalize these patterns using a two-sector model of a small open economy facing borrowing constraints. Private agents overborrow because of the pecuniary externality arising from these constraints. The government saves to reduce aggregate debt, making the economy resilient to adverse shocks. Differences in borrowing constraints and shock processes across countries explain the empirical patterns of capital inflows.     

Financial Globalization,Financial Crises,and the External Portfolio Structure of Emerging Markets*

We study the transitional dynamics of financial integration in emerging economies using a two‐sector model with a collateral constraint on external debt and trading costs incurred by foreign investors. The probability of a financial crisis displays overshooting; it rises sharply initially and then falls sharply, but remains non‐zero in the long run. While equity holdings fall permanently, bond holdings initially fall, but rise after the probability of a crisis peaks. Conversely, asset returns and asset prices first rise and then fall. These results are in line with the post‐globalization dynamics observed in emerging markets, and the higher frequency of crises that they display.     

Why don't banks lend to Egypt's private sector?

Bank credit to Egypt's private sector decreased over the last decade, despite a recapitalized banking system and high rates of economic growth. Recent macro-economic turmoil has reinforced the trend. This paper explains the decrease based on credit supply and demand considerations by 1) presenting stylized facts regarding the evolution of the banks' sources and fund use in 2005 to 2011, noting two different cycles of external capital flows, and 2) estimating private credit supply and demand equations using quarterly data from 1998 to 2011. The system of simultaneous equations is estimated both assuming continuous market clearing and allowing for transitory price rigidity entailing market disequilibrium. The main results are robust to the market clearing assumption. During the global financial crisis, a significant capital outflow stalled bank deposit growth, which in turn affected the private sector's credit supply. At the same time, the banking sector increased credit to the government. Both factors reduced the private sector's credit supply during the period under study. After the trough of the global crisis, capital flowed back into Egypt and deposit growth stopped being a drag on the supply side, but bank credit to the government continued to drive the decrease in the private sector's credit supply. Beginning in the final quarter of 2010, capital flows reversed in tandem with global capital markets, and in January 2011 the popular uprising that ousted President Hosni Mubarak added an Egypt-specific shock that accentuated the outflow. Lending capacity dragged again, accounting for 10% of the estimated fall in private credit. Credit to the government continued to drain resources, accounting for 70–80% of the estimated total decline. Reduced economic activity contributed around 15% of the total fall in credit. The relative importance of these factors contrasts with that of the preceding capital inflow period, when credit to the government accounted for 54% of the estimated fall, while demand factors accounted for a similar percentage.     

Foreign Direct Investment Determinants in OECD and Developing Countries

In this paper we examine the foreign direct investment (FDI) inflow determinants in 24 Organisation for Economic Co‐operation and Development (OECD) and 22 developing (non‐OECD) countries over 1980–2012, using the standard fixed effects as well as a dynamic panel approach. The most robust finding is that lagged FDI, market size, gross capital formation and corporate taxation significantly affect FDI inflows in OECD countries. We also examine a group of developing countries, taking into consideration the increased share of world FDI inflows that developing countries have attracted, and compare the results. In this case, lagged FDI, market size, labor cost and institutional variables provide the most robust results. The empirical results have important policy implications indicating the factors that host economies should emphasize in order to attract FDI inflows.     

Sustainable and Excessive Current Account Deficits

Both the Mexican crisis of 1994–95 and the Asian financial crisis of 1997–98 have been preceded by large current account deficits run by the affected economies. External deficits are often assumed to play an important role in the propagation of financial crises in emerging markets. Policymakers are faced with a new challenge: that of resisting or accepting the large current account deficits that may result from heavy private capital inflows. This paper aims at providing some guidance:First, the Lawson Doctrine – according to which current account deficits that result from a shift in private-sector behaviour should not be a public policy concern – has been discredited by recent currency crises in Latin America and Asia. Second, define the size of current account deficits that should be sustainable in the long run. Third, the intertemporal approach to the current account does not provide a reliable benchmark to define when deficits become excessive. Fourth, large external deficits should be resisted if unsustainable currency appreciation, excessive risk-taking in the banking system and a sharp private spending boom are seen to coincide.