A provincial view of consumption risk sharing in Korea:Asset classes as shock absorbers

Using a unique data set on provincial net factor income flows disaggregated across the three asset classes of debt, equity and Foreign Direct Investment reinvested earnings in Korea, we investigated how these asset channels impacted consumption risk sharing during the Global Financial Crisis and the European sovereign debt crisis. Adopting spatial panel methods, this study found in the main that net factor flows of debt, equity and Foreign Direct Investment retained earnings have all contributed favourably to consumption risk sharing during these episodes, with Foreign Direct Investment retained earnings robust in its positive contribution in buffering shocks to consumption. These results suggest that one of the alleged benefits of financial integration in terms of providing the insurance needed to cushion the economy against adverse shocks is tangible and real at least in the context of Korea. We also obtain evidence that apart from asset channels, the combination of the government's social transfer payments and a certain measure of labour mobility help to contribute in mitigating shocks to consumption.     

日本灾后财政和债务前景展望

日本是发达经济体中财政赤字和政府债务负担最严重的国家。接二连三的欧洲主权债务危机和美国主权债务问题使市场不得不对日本是否将是下一个债务危机发生国产生隐忧。在2008年全球金融危机爆发前,日本的债务结构和低利率环境还可以使其维系高额的财政赤字和债务负担。然而2008年之后,在全球经济疲软和日本经济萎靡不振的背景下,日本处在了主权债务风险一直上升的阶段。更令日本祸不单行的是"3.11"大地震、海啸和核泄露事件,这一连串灾难更令日本在财政赤字和举债问题上如履薄冰。如果日本政府还不尽快实施有效的债务管理政策和可信的财政整顿计划,短期日本经济会难于运转,中长期日本将爆发主权债务危机。     

External balance sheets as countercyclical crisis buffers

The external balance sheets of many emerging market countries are distinguished by their holdings of assets primarily in the form of foreign debt and foreign exchange reserves, while their liabilities are predominantly equity, either foreign direct investment or portfolio equity. We investigate the claim that this composition served as a buffer for the emerging markets during the global financial crisis of 2008–09. We use data from a sample of 67 emerging market and advanced economies, and several indicators of the crisis are utilized: GDP growth rates in 2008–09, the occurrence of bank crises and the use of IMF credit. Our results show that those countries that issued FDI liabilities had higher growth rates, fewer bank crises and were less likely to borrow from the IMF. Countries with debt liabilities, on the other hand, had more bank crises and were more likely to use IMF credit. We conclude that the “long debt, short equity” (hold debt assets, issue equity liabilities) strategy of emerging markets did mitigate the effects of the global financial crisis.     

External Imbalances and Fiscal Fragility in the Euro Area

This paper presents two views of the European sovereign debt crisis. The first is that countries in the South of the Eurozone were fiscally irresponsible and failed to implement pro-competitive supply side policies. The second view holds that the crisis reflects a deep divide between the external surpluses of the North and external deficits of the South. Basic stylized facts cast doubt on the explanation based on the first thesis alone. A relatively simple model shows how poor fundamentals can create a debt problem independently of fiscal responsibility. The empirical analysis of the determinants of government bond yield spreads relative to Germany suggests that both views in fact provide useful insights into the roots of the current sovereign crisis. However, differences in growth and competitiveness and capital flows between North and South have assumed a much more dominant role since the onset of the global crisis.     

从欧债危机看“中国式主权债务危机”

近年来,我国地方政府投融资平台数目众多,地方政府债务迅速膨胀。通过比较分析欧洲主权债务与中国式主权债务,本文发现尽管两者有诸多相似之处,但却存在本质上的区别。虽然我国并不具备爆发欧洲式主权债务危机的相关条件,但仍存在爆发中国式主权债务危机的隐患。     

Fiscal limits and sovereign default risk in Japan

It is widely known that Japan has the highest debt-to-GDP ratio among OECD countries. If Japan’s national debt continues to balloon, fiscal crisis may occur in the future. This paper develops a closed economy model with defaultable government debt and conducts a simulation to investigate future sovereign debt risk.First, we estimate the fiscal limit which is defined as the sum of the discounted maximum fiscal surplus in all future periods. It is assumed that a partial default occurs when the amount of government debt exceeds the fiscal limit. We calculate the revenue-maximizing tax rate at the peak of the Laffer curve to derive the fiscal limit. As a result, the estimated average fiscal limit in Japan is much higher than that in Greece. In the Japanese economy, households are more patient and desire greater savings from greater discount factor derived from a lower real interest rate. Household saving habits support government bonds. This is the main reason why the Japanese government could have had a massive debt in addition to some room to raise the tax rate. Second, we simulate the model, using the estimated fiscal limit and non-linear computational methods. If the government debt-to-GDP ratio continues to increase for the next 20 years, the default probability will be over 10% and the sovereign risk premium will be approximately 2%. Furthermore, the default probability will reach approximately 80% and the sovereign risk premium will be 10% 30 years later.     

欧债危机的蔓延对我国外贸企业的影响分析及对策

我国外贸企业尚未完全从2007年的美国次贷危机的阴影里走出之际,2009年的欧洲主权债务危机的爆发使得我国外贸企业的发展面临着巨大压力。在欧债危机持续蔓延和全球经济存在"二次探底"的背景下,我国外贸企业必须积极地采取一系列措施加以应对,加快产业升级和技术创新,力图摆脱欧债危机给企业带来的负面影响。     

从欧洲主权债务危机析我国地方政府债务的安全

本文研究了欧洲主权债务危机的现状与成因,并从比较与借鉴的角度分析了中国地方政府债务的现状与成因,指出中国地方政府由于负债过高因而存在较大的隐性债务风险。研究结果表明,中国地方政府债务与欧洲主权债务有着本质的不同,中国地方政府债务隐性风险尚在可控制范围,中国不会爆发地方政府债务危机。     

A reexamination of capital controls’ effectiveness: Recent experience of Thailand

This paper investigates the impact of the Unremunerated Reserve Requirement (URR) measure recently imposed in Thailand by applying three quantitative techniques of Edison and Reinhart (2001). We find that the URR measure was not completely effective in stabilizing the exchange rate, which was its original purpose. Although the THB onshore rate became more stable and less interdependent after the implementation of the URR, it was not completely isolated from other Asian currencies. Meanwhile, the URR measure was successful in reducing the total of net capital inflow and altering its composition toward preferable long-term investment, but it was unsuccessful in reducing short-term private external debt. In addition, since foreign equity investment was exempted from the measure, short-term capital inflows were forced to go mainly through the stock market; consequently, the URR had a limited impact on the equity market. Lastly, we find some side-effects of the measure, namely a wider spread between onshore and offshore rates, a bearish market sentiment, an obstacle to the debt market development, and a negative effect on the credibility of the Monetary Authority.     

Sovereign Spreads and Contagion Risks in Asia

In the aftermath of the recent global financial turmoil, sovereign spreads have exhibited a significant degree of volatility. This paper explores how much of these movements in the spreads of Asian economies reflected shifts in global risk aversion or country‐specific risks, directly from worsening fundamentals, or indirectly from spillovers originating in other sovereigns, or risks and uncertainty surrounding their exchange rates. This analysis finds that earlier in the crisis, the increase in market‐implied contagion led to an increase of sovereign bond yields relative to the swaps. Higher‐rated sovereign bonds in Asia benefited from the flight to quality that accompanied the increase in global risk aversion during this period. Once the systemic risks in the financial sectors worldwide were contained, the risk of sovereign spillovers eased, which, together with a fall in perceived currency‐related risks, led to a fall in sovereign bond yields relative to swaps yields across the board. Comparing the situation to that of Europe, the present paper concludes that the debt crisis in the euro area has not affected the perception of sovereign risks of Asian economies. In fact, a fall in exchange rate and spillover risks, combined with stronger fundamentals, have led to a continued normalization of Asian sovereign spreads since the height of the financial crisis.     

货币错配与经济金融稳定:来自亚太地区的经验

中国的汇率制度改革使得在钉住汇率制度下积聚的巨大货币错配风险逐渐暴露出来。货币错配是否会影响经济金融稳定,通过对亚洲金融危机、日本经济衰退以及本世纪以来亚洲新兴市场国家累积的新风险进行梳理、比较与分析,认为净外币负债型货币错配与净外币资产型货币错配在一定条件下都会影响经济金融稳定。     

投资于亚洲国家的主权债务更安全吗?

本文利用全球21个主要经济体的样本数据,通过跨期主权债务模型和实证模型的分析,探讨这些国家的主权债务风险情况,并给出各国所处的不同风险层级。研究结果表明世界上主要经济体的主权债务状况呈现较为明显的分化状态,且在区域内表现出明显的不对称性。亚洲和欧洲等地区都有国家分处在不同的安全级别,任何一个洲在整体上都不在主权债务安全水平上有特别的优势。本文的实证结果还同时甄别出现阶段主权债务风险较低的国家,为我国巨额外汇储备的投资组合提供了选择依据。     

Preestablished harmony: The Japanese government's demand for Japanese government bonds

The Japanese government is heavily indebted but the yield on the Japanese government bond (JBG) remains low to date. We hypothesize that the presence of the Japanese government as a large stable investor of JGBs exerted a stabilizing influence on private JGB traders and thus rendered the risk premium for sovereign default negligible. To identify the influence of a large stable JGB holder, we utilize a surprise change in the policy stance toward public debt holding as a quasi-experiment. We estimated a VARMA model using daily data and found that an announced government withdrawal led to a 50-basis-point increase in the yields of 10-year JGBs. Our study suggests that large public debt holding reduces the risk premium and is one factor behind the low yield.     

债务危机背景下欧盟财政一体化的进展与挑战

关于主权债务危机的成因,经济学家较集中的论断是欧元区成员国在货币一体化的同时缺乏财政一体化。然而,在被认为是欧盟推进财政一体化重要举措的财政契约签订后,主权债务危机的阴影继续蔓延至西班牙和塞浦路斯。如何评价财政契约对财政一体化的影响,财政一体化对缓解债务危机有什么作用,本文从财政职能、经济增长和危机根源等角度进行了深入的分析,并指出财政契约和今后的财政一体化进程都将在众多挑战中艰难推进。     

欧洲主权债务危机的内生性与外生性研究

南欧成员国社会福利过度造成的财政支出扩张与经济停滞导致的财政收入收缩是欧洲主权债务危机的内生性成因。美国因素是欧洲主权债务危机的重要外生性解释变量。美国试图通过债务危机打压欧元是为了巩固美元的全球霸权。即使欧洲主权债务危机在短期内对于欧元产生了一定的冲击,但在长期仍有可能造就一个更强大的欧元。     

Debt Sustainability and the Ongoing Financial Crisis: The Case of IDA‐only African Countries*

Abstract: The ongoing financial crisis has raised concerns in many circles about a potential future wave of sovereign defaults spreading among developing countries and, therefore, the need for additional rounds of debt relief in poor indebted countries. This paper addresses this issue for a group of 31 International Development Association (IDA)‐only African countries, which are in a fragile debt situation. Using the most recent debt sustainability analyses (DSAs) undertaken for these countries by the World Bank and the IMF, this paper studies the potential adverse effect of the ongoing financial crisis on the countries’ debt burden indicators, as a function of the depth and length of the crisis. The latter is measured by the fall and the duration of such fall in exports revenues, and by the terms at which each country can obtain financing to muddle through the crisis period. The analysis underscores the importance of concessional financing for these countries, especially if the crisis proves to be a protracted one. This, because the likelihood of countries being able to muddle through the crisis without defaulting on their external debt decreases with the hardening of the financial conditions faced by them — alternatively, the size of the downsizing in domestic (fiscal) expenditures needed to ensure the service of their foreign debts increases with the tightening of financial conditions.     

Assessing Local Government Debt Risks in China: A Case Study of Local Government Financial Vehicles

Strong credit expansion in China after the recent global financial crisis has brought local government financial vehicles (LGFV) into the spotlight. Rapid growth of LGFV has triggered concern about local government indebtedness, banks' asset quality and, more broadly, China's medium‐term financial stability and sovereign risk. This paper constructs a unique firm‐level dataset to evaluate the country's local government debt. We find an uneven distribution of LGFV, which are concentrated in the coastal areas, and a deterioration of their debt repaying ability from 2010 to 2012. We use principal component analysis (PCA) along with multivariate discriminate analysis (MDA) to identify the credit risk of LGFV based on conventional financial variables as well as local governments' fiscal status. We also estimate the safe boundaries of debt bearing at the provincial government level. The estimations reveal more severe local government debt risks in the middle‐western provinces and higher risks associated with LGFV at the municipal and county levels. Although it is very unlikely that there will be a national debt crisis in China, the high risk of LGFV should be noted and effectively controlled by improving the fiscal transparency of local governments and reforming the fiscal system.     

超越紧缩——探索欧洲主权债务危机的终结之道

2009年希腊债务危机拉开了欧洲主权债务危机的帷幕,并将全球金融市场置于危险的境地,至今仍无见底迹象且呈现扩散的趋势。欧洲主权债务危机爆发的根源在于欧元区成员国之间的竞争力失衡,欧元区政策框架存在制度性缺陷使得问题进一步加剧。欧元区领导人推出一整套危机永久解决机制,然而此方案并未触及欧元区深层次的问题,距离债务危机的永久解决还有很长的路要走。危机的最终解决已经超越了纯粹的经济学范畴,它将取决于各国的政治决心和魄力以及欧洲精神的复兴,反思欧洲现有的经济与社会发展模式,寻求经济增长的新路径。     

欧洲主权债务危机的由来、影响及其启示

全球各国为了尽快摆脱次贷危机导致的金融危机的困扰,纷纷采取＂赤字财政＂的扩张政策。当前尽管次贷危机的影响逐渐远去,但由此带来的副作用即＂主权债务危机＂却开始显现。近期,希腊、葡萄牙和西班牙等欧洲国家的主权债务问题一度引发全球资本市场的动荡并牵动投资者敏感的神经。文章通过分析欧洲主权债务危机的由来、对全球金融经济的影响以及对我国的启示来详细论述这次欧洲主权债务危机。