Foreign currency borrowing surrounding the global financial crisis: Evidence from Korea

We present a complete profile of firms’ foreign currency borrowing surrounding the 2007 global financial crisis. Employing extensive data from Korean firms during 2002–2012, we find that foreign currency borrowing is significantly related to firm attributes of export revenues, firm size, tangible assets and asset growth, as well as to macro-level factors. These results offer two important implications. First, macroeconomic factors alone cannot fully explain firms’ foreign currency borrowing. Second and more importantly, these firm attributes are indicative of a lower default probability and larger collateral value, which would not only facilitate borrowers’ access to foreign currency debt markets but also offer lenders a better protective cushion from possible loan defaults in the face of exchange rate changes and information asymmetry on borrowers’ credits. Period wise, asset-related firm attributes have more pronounced effects in the post- than pre-crisis period. We further show that banking regulations following the crisis effectively limit the access to foreign currency borrowing by Korean firms, most significantly by those belonging to large business groups.     

Secondary currency: An empirical analysis

Many cases exist of multiple currency usage throughout history. As two leading examples, secondary currencies were widespread during both the Great Depression in the United States and the 2002 recession in Argentina. What are the determinants of multiple currency usage and what is the effect on economic activity? Both issues are empirically addressed using individual-level surveys collected by the authors in Argentina during 2002 and 2003. The evidence supports the theoretically predicted determinants of secondary currency acceptability put forth in monetary theory. In particular, findings show that the acceptability of the secondary currency increases when the supply of national currency is low, the relative transaction cost of the secondary currency is low, and the individual trading technologies are less effective. Moreover the acceptability of the secondary currency has real effects on economic activity. Among those who use the secondary currency the monthly income gain is more than 15% of the average Argentine's monthly income. Excluding trades of used goods, this amounts to a 0.6% increase in GDP.     

Foreign currency borrowing,exports and firm performance: evidence from a currency crisis

This paper develops a simple signaling model of foreign currency borrowing that yields predictions about firm survival and performance during a currency crisis. Using a large panel of firm level data for South Korea we offer empirical support for many of the predictions of our model, while others support predictions that cannot be tested using our data. Our paper demonstrates that although firms that borrow in foreign currency are more likely to exit after the currency collapses, those that continue to produce perform better. Among them, the best performers are exporters whose foreign sales are more competitively priced under a devalued currency.     

Examining dynamic currency linkages amongst South Asian economies: An empirical study

In this paper, we examine the currency market linkages of South Asian member countries using daily data from 6 January 2004 to 31st March 2016. Time invariant and varying Copula GARCH models show that South Asian countries, except for India and Nepal/Bhutan, have low levels of currency market linkages which can be ascribed to poor levels of intra-regional trade intensity and portfolio flows. We reconfirm the copula results through Diebold and Yilmaz methodology and document that currency market connectedness is very limited in the South Asian region. The trends of the fundamental determinants of currency co-movements for the South Asian member countries were compared with its neighbouring regional economic bloc in Asia which has a much longer history and a wider membership base i.e ASEAN + 6. From a comparative analysis, it was found that South Asia member states have to work on their governance parameters, improve on their trade linkages and trade tariffs and work towards greater degree of capital account convertibility with adequate safeguards to achieve higher levels of currency market linkages.     

Intra-safe haven currency behavior during the global financial crisis

We investigate intra-safe haven currency behavior during the recent global financial crisis. We first assess which safe haven currency is the “safest”. We then use non-temporal threshold analysis to investigate whether intra-safe haven currency behavior changes as market uncertainty increases. We find that the JPY is the “safest” of safe haven currencies and that only the JPY appreciates as market uncertainty increases regardless of the prevailing level of uncertainty. Our results may have important implications for central banks optimizing their relative composition of international currency reserve holdings with respect to returns in USD terms and for foreign currency market investors in general.     

Convertibility risk: the precautionary demand for foreign currency in a crisis

This paper presents theoretical work linking money demand to the perceptions of households about the risk that domestic currency may become inconvertible or that it may be devalued. An empirical investigation of the size of this effect is carried out using monthly data for Korea to estimate an augmented demand-for-money equation. It is found that the fear of inconvertibility arising from the 1997 Korean currency crisis may have caused broad money demand to fall by 4–5% points,equivalent to the loss of reserves of $6–7.5 billion (or about 30% of reserves as measured at end-November 1997). This is a revised version of IMF Working paper WP/2001/210; it was written while Professor Black was Senior Policy Advisor at the IMF Institute and Christofides and Mourmouras were staff members in the IMF’s Policy Development and Review Department. The views expressed are those of the authors and should not be attributed to the IMF, its Executive Board, or its management. For useful comments and suggestions we thank an anonymous referee, Tim Lane, Ydahlia Metzgen, Roberto Perelli, Tony Richards, Christian Mulder, Steve Russell, as well as seminar participants at the IMF Institute, the IMF’s Asia and Pacific Department, Federal Reserve Board, and Bank of Indonesia. We would also like to note similar (unpublished) empirical results using our approach by Dr. Rino Effendi for Indonesia and Angana Banerji for Russia     

An analysis of asymmetry in foreign currency exposure of the Australian equities market

Using both daily and monthly data, the authors: (a) analyse the extra-market component of foreign exchange exposure of the Australian equities market using the Australian/US exchange rate factor return in an augmented market model; and (b) use a dummy variable specification to model the potential asymmetric effect induced by non-linear hedging strategies, such as using currency options, for the period 1988–1996. Overall, the results are mixed. The following are found: (i) stronger evidence of foreign exchange exposure in the analysis employing daily data; (ii) when using daily data, a stronger lagged response than a contemporaneous response is observed; (iii) some evidence of asymmetry; and (iv) evidence of significant exchange rate exposures of the predicted sign in several industries. Further, the findings using monthly data are less significant than those using daily data.     

韩国老人长期看护保险法评介

为了应对人口高龄化带来的老人看护问题,韩国制定了《老人长期看护保险法》,通过该法创设了老人看护保险制度。该法的实施预示着韩国逐渐由家庭养老方式向社会化养老方式进行转变。尽管老人看护保险制度还面临一些新的问题,但韩国已经在解决高龄者看护问题的道路上迈出了坚实的一步。     

中国货币替代与铸币税经济关系的实证分析

本文对中国2002-2007年上半年间货币替代率与铸币税之间的经济关系进行了深入分析。样本考察期内数据的统计分析表明,中国的货币替代率近几年一直呈下降趋势,而与其相对应的铸币税则呈波动性的上涨趋势,且铸币税的波动幅度远大于货币替代率的波动幅度;协整关系研究表明,中国的货币替代率与铸币税之间有着稳定的均衡关系,即长期内随着货币替代率的增加或减少,政府的铸币税收入也将相应呈减少或增加趋势;动态关系研究表明,货币替代率的短期冲击明显大于误差修正机制的长期调整力度。此外,研究还表明,货币替代率与铸币税之间互为Granger因果关系。     

国际金融危机与美元国际储备货币地位的变化

文章认为,国际金融危机使美元面临重大挑战。文章分析了危机中美元仍维持主要储备货币地位的原因,主要包括大量黄金储备的支撑作用、美国金融市场对全球资金的吸引、主要竞争对手未成熟完善、回复（改良的）金本位并不可行等。最后,文章展望了美国货币政策走向和美元汇率行情,以及相关货币与美元的关系。     

Currency bid-ask spread dynamics and the Asian crisis: Evidence across currency regimes

Using a sample of 21 emerging and developed country currencies, we evaluate the impact of the Asian crisis on bid-ask spreads. While the crisis had widespread and uniform volatility effects, the spread effects were not uniform across emerging and developed country currencies. For Asian emerging markets, spreads widened and spread volatility increased significantly during the crisis, while developed markets spreads narrowed and spread volatility decreased significantly. We investigate the impact of more flexible and less flexible exchange rate regimes on bid-ask spreads using panel data. In general, countries with tightly-managed regimes have significantly lower spreads than countries with more freely-floating regimes, while controlling for the influence of other factors such as volatility. Asian developing market spreads are higher than spreads of the other countries, again, after controlling for the influence of other factors.     

从货币地位角度看美国次贷危机与亚洲金融危机的差异

相比亚洲金融危机等历次金融危机,美国次贷危机有着类似的宏观经济和制度背景,但次贷危机在形式、影响和危机国应对政策方面均体现出与传统金融危机不同的特征。该文比较了美国次贷危机与亚洲金融危机的差异,认为危机发源国货币地位的不同是这些差异产生的重要因素。     

Fiscal policy in Korea: Before and after the financial crisis

This paper examines the role of fiscal policy in the Korean financial crisis and the subsequent recovery from it. We specifically address three questions: Was Korea’s fiscal policy prior to the crisis conservative, or were there large hidden contingent liabilities not captured in the official budget balance? What were the main characteristics of fiscal policy in stimulating and restructuring the economy under the IMF stabilization program in Korea? How effective were the financial guarantee and public investment programs as part of the counter-cyclical fiscal policy in the recovery process from the crisis? To address these questions, we re-estimate the consolidated budget deficits in Korea by incorporating the quasi-fiscal activities of public funds and public enterprises using their micro balance-sheet data from 1972 to 2003.     

An event study of institutions and currency crises

We use event study methodology to examine the behavior of seven institutional variables eighteen months prior to and after a currency crisis. Our data on institutions include bureaucratic quality, corruption, ethnic tensions, external conflict, internal conflict, government stability, and law and order over the period 1984-2002. Our country coverage includes forty industrial, emerging market, and developing economies for various regions of the world. The graphical event study shows that there are many instances where institutions are weaker in periods before and after a currency crisis than during tranquil periods. The evidence is most compelling for government stability, law and order, bureaucratic quality, and corruption. We also test for differences in the mean values of institutional variables in turbulent periods around a crisis event and tranquil, non-crisis periods. Results from our tests generally complement evidence from the event study.     

韩国金融税制及其启示

健全、完善的金融税制是促进金融业稳健发展的重要条件。本文从韩国金融税制的现状出发,按金融间接税、金融所得税和金融衍生品交易税的分类,介绍了韩国现行金融税制的设计和开征情况,分析比较了中、韩两国在金融税制上的异同,并结合实际情况对我国金融税制改革中的一些问题,如课税对象的选择、整体税负的设计等提出了建议。     

An exploration of the forward premium puzzle in currency markets

A standard empirical finding is that expected changes in exchangerates and interest rate differentials across countries are negativelyrelated, implying that uncovered interest rate parity is violatedin the data. This article provides new empirical evidence thatsuggests that violations of uncovered interest rate parity,and its economic implications, depend on the sign of the interestrate differential. A framework related to term structure modelsis developed to account for the puzzling relationship betweenexpected changes in exchange rates and interest rate differentials.Estimation results suggest that a particular term structuremodel can account for the puzzling empirical evidence.     

An empirical investigation of investor expectations in the currency market

Using a new theoretical model of investor expectations in the foreign exchange market, this research finds investor forecasts to be rational. For instance, expectations are not characterized by fat-tailed distributions that might reflect optimistic bubbles and panic. They are also found to rationally predict a correlation between exchange rates and political factors such as modeled “pain” indexes and currency bands. Most importantly, the model detects an ex-ante investor prediction of a small probability of a large currency change that empirically explains ex-post forecasting biases.     

韩国会发生第二次金融危机吗?

李明博曾以拯救韩国经济作为总统竞选纲领的主轴,豪情万丈地提出振兴韩国经济的"747"目标(将每年的经济增长推高至7%,在10年内把人均收入倍增至4万美元,把韩国在全球经济体排名的位置由第12提升至第7),并获压倒性胜利,成功登上总统宝座.