中国资本账户开放、利率市场化和汇率制度弹性化

开放经济下,资本流动、利率和汇率三者相互联动、相互协调、自动平衡。利率市场化是资本账户开放和汇率制度弹性化的前提条件;资本控制程度影响利率市场化和汇率制度弹性化;利率和汇率相互作用、相互传导。一国宏观经济调控政策的效果不仅仅取决于资本控制程度和利率或汇率水平的变动,更取决于资本控制、利率和汇率三者的联动效应。中国金融自由化改革进程中,必须正确处理好资本账户开放、利率市场化和汇率制度弹性化之间的关系,发挥三者联动协同效应,实现内外均衡。     

Economic Volatility and Capital Account Liberalization in Emerging Countries

Economic volatility has increased drastically in the age of financial liberalization. The tendency among mainstream economists has been to explain this trend by government misdeeds and various market imperfections. For instance, government overspending was the main culprit in the first generation models of currency crises. Following the Asian crisis the emphasis shifted onto capital flow reversals, and arguments based on the ‘moral hazard’ problems began to replace the emphasis on the monetized government deficits. This paper outlines an explanation of economic volatility that is not based on moral hazard problems or other market distortions. Two stylized facts associated with the aftermath of financial and capital account liberalization are singled out for emphasis and brought together in the context of a macroeconomic framework that draws from Keynes’ Treatise. These are: (i) liquidity preference becomes intertwined with currency substitution, producing a macroeconomic destabilizer that explains procyclical changes in bank credit independently of moral hazard problems; and (ii) asset prices become fairly easy to predict, stimulating destabilizing ‘trend’ speculation by foreign investors, which means that profit seeking and market rationality might lie behind erratic shifts in capital flows.     

Alternate instruments to manage the capital flow conundrum: A study of selected Asian economies

Capital inflows to and outflows from emerging market economies (EME) have increased significantly since 2000. This rapid increase, accompanied by a sharp rise in volatility, has amplified the complexity of macroeconomic management in EME. While foreign capital provides additional financing for productive investment and offers avenues for risk diversification, unbridled flows exacerbate financial and macroeconomic instability. In this paper, we focus on the experience of six emerging Asian economies (EAE) in dealing with capital flows. Using quarterly data, we identify the waves of capital flows experienced by these EAE and the efficacy of the various policy measures taken. The policy choices include negotiating the trilemma (i.e. balancing the need for monetary policy autonomy, exchange rate flexibility and capital account openness), as per the demands of the macroeconomic situation. The paper also analyses the extent to which intervention in the foreign exchange market and imposition of short‐term capital flow management measures have aided countries to negotiate the trilemma. The efficacy of these responses have been varied across countries, implying that a judicious mix of these measures, along with improvement in financial and institutional development, is required to effectively counter the vagaries of capital flows.     

中国资本账户开放进程中跨境证券投资对国内金融市场的影响*

随着中国资本项目开放进程的推进,跨境证券投资对国内金融市场的冲击日益增强。在此背景下,本文首先通过构建考虑了资本市场收益率以及有管理浮动汇率制度的IS LM BP模型对跨境证券投资与中国国内金融市场的相互影响机理进行了理论探究,并基于中国2005年7月—2016年8月的月度数据,运用马尔科夫区制转移向量自回归模型对中国资本账户开放进程中跨境证券投资与人民币汇率、股票市场收益率、短期利率的联动关系进行了实证分析。研究结果表明：第一,四者的关联性存在明显的区制特征,区制1主要包括次贷危机时期（2007—2008年）、欧债危机时期（2010—2012年）以及后金融危机时期（2015—2016年）,经济呈现“股票市场收益率较低、跨境证券投资较少、短期利率较高、金融市场波动性大”的状态;区制2主要包括次贷危机前夕（2005—2006年）、次贷危机后的量化宽松时期（2009—2010年）以及欧债危机后的调整期（2013—2014年）,经济呈现“股票市场收益率较高、跨境证券投资较多、短期利率较低、金融市场波动性小”的状态。第二,当处于资本市场化进程较快、金融市场波动性较大的区制阶段（区制1）时,跨境证券投资与国内金融市场的联动关系更加明显。本文研究结论对于我国进一步开放资本市场具有借鉴价值和政策启示。     

Financial Inflows to Poland, 1990–96

Foreign exchange flows in Poland in the 1990s, especially during 1994–96, resulted from two developments. First, there was a current account surplus, as growth revived due to efficiency improvements, while macroeconomic policy limited domestic demand. Second, Poland had rejoined international capital markets and regained favorable credit ratings, triggering investment inflows. We can classify the effects of these inflows into three groups: changes in the institutional framework; changes in the stabilization path; and changes in the real economy. The crawling band introduced in May 1995, rapid development of the money market, and improvement of the central bank's capacity to intervene on that market are in the first group. As to the second, relative currency appreciation and import competition, constraining domestic price increases, contributed to the strong disinflationary push which began in 1995. Under the third heading, foreign direct investment and portfolio inflows helped to maintain rapid growth of investment and output.     

Foreign Portfolio Equity Investments, Financial Liberalization, and Economic Development

Reform of local capital markets and relaxation of capital controls to attract foreign portfolio investments (FPIs) has become an integral part of development strategy. The proximity of market openings and large, sudden shifts in international capital flows gave credence to the notion that the liberalization was the primary culprit in precipitating the recent Asian crisis. Hence, this paper reassesses the benefits and costs of FPIs from the perspective of the recipients. Specifically, it discusses the various FPI contributions and presents empirical evidence regarding the relationship between FPIs and market development, degree of capital market integration, cost of capital, cross-market correlation and market volatility. It is clear that the evidence on benefits of FPIs is strong, whereas the policy concerns regarding resource mobilization, market comovements, contagion, and volatility are largely unwarranted. The authors make some policy suggestions regarding preconditions for capital market openings, market regulation, and liberalization sequencing.     

Capital Flight, North-South Lending, and Stages of Economic Development

We present a two-country OLG economy in which international capital mobility exists in the presence of moral hazard in financial contracts. The difference in the extent of asymmetric information is a source of capital movement and capital flows from the South to the North. Even though there exists a unique steady state under autarky, multiple locally stable steady states may emerge in a world economy with an integrated capital market. However, the integration may drive the South down to further impoverishment. The South's government therefore should take into account seriously the timing of capital market liberalization as a conduit of economic development.     

Does Capital Account Liberalization Discipline Budget Deficit?

The paper investigates whether free capital mobility leads a government to tighten its budget deficit for fear of being penalized from the international capital market. The author tests the hypothesis using three‐stage least squares (3SLS), which can control for the endogenous nature of capital account liberalization. Even the conservative measure shows that, if capital account liberalization were exogenously imposed, ceteris paribus, government budget deficit would be reduced by 2.275% of GDP. Furthermore, 3SLS results show that this disciplinary effect is stronger for countries under a fixed exchange rate regime or for countries with weak central bank independence. The disciplinary effect is also found to be stronger in more recent periods—the 1990s—during which capital market integration has been most prevalent.     

Capital Flows and Exchange Rate Volatility in India: How Crucial Are Reserves?

This paper tests if the adequacy of reserves helps reduce exchange rate volatility in an environment of financial globalization, market‐determined exchange rate and macroeconomic imbalances. It exploits the difference in the period after 2010 when India did not accumulate reserves but faced higher capital flow pressures, relative to a previous managed‐float period marked by significant absorption of surplus capital flows. Along with other determinants, the sensitivity of rupee volatility is examined. The paper finds that adequate reserve holdings significantly reduce exchange rate volatility irrespective of the exchange rate regime; the effect is more through influence upon market sentiment and confidence than actual intervention. It contributes to existing evidence on the role of reserves in mitigating exchange rate volatility amid capital flow swings and offers insights into the policy environment depicted in the trilemma.     

短期跨境资本流动、金融市场与系统性风险*

由于2008年美国金融危机而导致的全球经济危机一直在延续,系统性金融风险的防范已经成为全球各国政府和金融监管机构共同的课题。而随着人民币国际化的开展和我国跨境资本流动受关注程度的提高,短期跨境资本流动对系统性风险的潜在影响越来越成为一个不容忽视的议题。本文使用SRISK指标测度了我国的系统性风险,并通过构建传统VAR模型和VAR MGARCH DCC模型,对我国“8·11”汇改前后的短期跨境资本流动、系统性风险、股票价格收益率、人民币在离岸利差、离岸人民币与美元利差五变量及其波动性之间的联动关系进行了检验。实证研究证明,我国短期跨境资本流动与系统性风险及两者波动性之间均存在明显的关联关系。     

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.     

Volatility of capital flows and financial liberalization: Do specific flows respond differently?

This paper examines the volatility of capital flows following the liberalization of financial markets. Utilizing a panel data set of overlapping data, the paper focuses on the response of foreign direct investment, portfolio flows, and other debt flows to financial liberalization. The financial liberalization variable comes from the chronology and index developed by Kaminsky and Schmukler [Kaminsky, G.L. and Schmukler, S.L., 2003, Short-run pain, long-run gain: The effects of financial liberalization, IMF Working Paper WP/03/34.]. Different types of capital flows are found to respond differently to financial liberalization. Surprisingly, portfolio flows appear to show little response to capital liberalization while foreign direct investment flows show significant increases in volatility, particularly for the emerging markets considered.     

The Current Account, Fiscal Policy, and Medium-Run Income Determination

This article presents a new framework for analyzing the simultaneous determination of current account imbalances and the path of national income. Using standard macroeconomic behavioral relationships, it first examines how and why current account deficits matter by investigating links between domestic consumption, government spending, output, saving, investment, interest rates, and capital flows. Central to the model is the distinction between aggregate output and expenditure that enables dissection of the effects of discretionary fiscal change on the current account and national income. The framework yields results relevant to the twin deficits hypothesis that are contrary to those of standard models. (JEL E10 , F32 )     

External shocks,consumption-smoothing and capital mobility in India: evidence from an intertemporal optimization approach

We examine the solvency of India’s current account (CA) in the post-liberalization period using intertemporal optimization approach to the CA. Using quarterly data ranging from 1996Q1 to 2014Q2, we estimate a benchmark consumption-smoothing model and an extended model that incorporates external shocks. Overall, we find that the predicted optimal CA in both the models can track the actual CA movements and the extended model performs better over the benchmark model. Further, we also find that the optimal CA is more volatile than the actual CA which implies that the capital flows have been less than optimal and thus makes an interesting case for further liberalization of the capital account. Our findings suggest that policies aimed at further liberalization of capital flows will allow larger CA deficits to achieve higher economic growth since it will help agents to further smoothen their consumption without worrying about risks associated with insolvency.     

短期国际资本流动对我国经济潜在冲击的实证分析

短期国际资本的流动会扰乱一国经济或金融市场的稳定。本文基于我国1997年1月—2009年9月的月度数据,根据赤池信息准则与施瓦茨信息准则,采用泊松相关系数,对VAR试算取得变量间或有影响机制,并根据测算结果对相关宏观经济指标做OLS回归分析。结果表明,短期国际资本的流动增大了中国证券市场的波动性,而对M2,CPI和ER等指标影响并不显著。本文最后根据结论对当前短期资本流动监管提出几点建议。     

The non-linear impact of monetary policy on international reserves: macroeconomic variables nexus

This paper employs panel smooth transition regression models to investigate the nonlinear effects of two monetary policy proxies (i.e., real exchange rate return and real interest rate differential) on the international reserves—macroeconomic variables nexus. The panel data set includes the fourteen G-20 countries during the period 1991–2012. Empirical results show that the marginal effects of the macroeconomic variables (savings, terms of trade, public debt, capital account liberalization, economic growth, and trade openness) on international reserves are non-linear and vary with time, the proxies and countries, not linear and constant derived from traditional linear model. Currency devaluation policy (against the US dollar) can non-linearly enlarge the positive contribution of trade openness and public debt on international reserves, and non-linearly reduce the negative impact of terms of trade on international reserves, as the Marshall–Lerner condition holds. Expansionary monetary policy (through the decrease in domestic interest rates) can strengthen the positive effects of public debt, trade openness, and economic growth on international reserves. The precautionary and mercantilist views of reserves holdings are partially supported.     

Financial Openness in Turkey

The purpose of this paper is to analyse the effects of financial liberalization on the financial and real sectors of the Turkish economy. The process of liberalization began over 15 years ago simultaneously with a stabilization programme that had been designed according to neoclassical model. The implementation addressed first foreign trade, then the domestic financial market and finally foreign capital movements. Contrary to theoretical expectations, the opening of the capital account induced adverse effects on financial intermediation, savings, investment, growth and foreign debt.     

Expected Future Budget Deficits,the Real Exchange Rate and Current Account Dynamics in a Finite Horizon Model

This paper uses an optimizing open economy general-equilibrium model to investigate the macroeconomic effects of current and expected future budget deficits. It is shown that current and expected future budget deficits are positively correlated with the current account deficit, the capital stock and the real exchange rate, but negatively correlated with the domestic real interest rate and consumption, along the stable path approaching the steady state. The paper also demonstrates that the world real interest rate is positively correlated with consumption, foreign assets and the domestic real interest rate, but negatively correlated with the capital stock and the real exchange rate. Received April 11, 2001; revised version received October 25, 2001     

Capital Flows, Capitalization, and Openness in Emerging East Asian Economies

We examine the international capital flows of seven East Asian emerging economies over the last decade and a half. We find that domestic capital market conditions appear to be the best predictors of the changes in the total capital flows of these countries. Overall, changes in capital market openness are less helpful in explaining the behavior of the recent capital flows of these economies. Finally, we find that, while US macroeconomic conditions are strong predictors of GDP growth in the region, US conditions matter very little for the region's capital flows.     

Workers’ remittances and the Dutch disease in South Asian countries

Workers’ remittances have become an important source of foreign exchange for some emerging economies even when compared to official development assistance, foreign direct investment or other types of capital flows. While some research suggests that a high inflow of remittances lowers poverty and stimulates economic growth and financial development, other studies suggest that remittances can appreciate the real exchange rate and thereby hurt the competitiveness of the tradeable sector. In this article, we examine the Dutch disease argument for Bangladesh, India, Pakistan and Sri Lanka using a fixed effects model. We are unable to reject the null that there is a statistically significant appreciating effect of remittances on real exchange rate. Since our estimation results show that trade openness causes a depreciation of the real exchange rate, the appreciation effect of the real exchange rate originating from remittance inflows can be made weaker by trade liberalization.