资本账户开放与国际金融冲击的传导——基于DSGE模型的分析

本文在动态随机一般均衡的框架下,建立了一个包括贸易部门和非贸易部门的小型开放经济模型,系统研究和比较资本管制与资本账户开放两种情况下,国外金融冲击、出口需求冲击对中国经济的不同影响和传导机制,并检验资本账户开放情形下应对国际冲击时不同货币政策规则的有效性。结果发现：当资本账户开放时,一国受到国外冲击的波动幅度远大于资本管制的情况;资本管制和资本账户开放对国际金融冲击传导机制的关键差异在于贸易部门与非贸易部门的互动关系,具体表现为劳动力转移的差异;在资本账户开放后,面对不同形式的国际冲击,货币数量型规则和混合型规则均能有效熨平经济波动。     

An empirical study of credit shock transmission in a small open economy

In this paper, we identify and estimate the dynamic effects of foreign (US) and national (Canadian) credit shocks in a small open economy. We use standard credit spreads as proxies to the external finance premium. Our first result suggests that the US and Canadian credit spreads contain substantial forecasting power for several measures of the Canadian real economic activity, especially during the recent financial crisis and its aftermath. Secondly, an adverse US credit shock generates a significant and persistent economic slowdown in Canada: the national external finance premium rises immediately while interest rates, credit aggregates, output and employment indicators decline. Variance decomposition reveals that credit shocks have a sizeable effect on real activity measures, leading indicators and credit spreads. Yet, the unexpected shocks in domestic credit spreads are not able to generate any significant dynamic response of the real activity once we control for the US credit market conditions.     

Macroeconomic Effects of Asset‐Price Shocks in a Globalized Financial Market

In this paper, I study a model in which shocks to asset prices affect the real sector of the economy through a credit channel. As financial markets become internationally integrated, the economy becomes less vulnerable to domestic asset‐price shocks, but more vulnerable to foreign asset‐price shocks. To the extent that monetary policy stabilization is feasible and desirable, the globalization of financial markets shifts the focus of monetary policy from domestic asset prices to worldwide asset prices.     

Foreign Capital,Skill Formation,and Migration of Skilled Workers

We study the interaction between foreign capital inflow and international migration of skilled labor when a small open economy is subject to exogenous shocks. The presence of a skill formation sector is central to our analysis, such that import liberalization and increased foreign capital inflow may lead to increased skill emigration both in absolute terms and as percentage of gross skill formation. Furthermore, a positive product price shock for the sector that uses foreign capital may turn out to be immiserizing. Finally, growth in the agricultural sector can lower the rate of skill formation as well as skill emigration.     

Interaction of formal and informal financial markets in quasi-emerging market economies

The primary objective of this paper is to investigate the interaction of formal and informal financial markets and their impact on economic activity in quasi-emerging market economies. Using a four-sector dynamic stochastic general equilibrium model with asymmetric information in the formal financial sector, we come up with three fundamental findings. First, we demonstrate that formal and informal financial sector loans are complementary in the aggregate, suggesting that an increase in the use of formal financial sector credit creates additional productive capacity that requires more informal financial sector credit to maintain equilibrium. Second, it is shown that interest rates in the formal and informal financial sectors do not always change together in the same direction. We demonstrate that in some instances, interest rates in the two sectors change in diametrically opposed directions with the implication that the informal financial sector may frustrate monetary policy, the extent of which depends on the size of the informal financial sector. Thus, the larger the size of the informal financial sector the lower the likely impact of monetary policy on economic activity. Third, the model shows that the risk factor (probability of success) for both high and low risk borrowers plays an important role in determining the magnitude by which macroeconomic indicators respond to shocks.     

双重委托—代理视角下的金融中介、金融加速器与经济波动的研究

本文在BGG模型基础上,建立了包含企业、金融中介、投资者的双重委托—代理模型,将金融中介纳入信贷市场摩擦的分析框架内。分析了金融中介自身受信贷约束时,其资产净值变化对经济产生的金融加速器效应。得出在双重委托代理的信用契约下,企业外部融资溢价不但受自身资产净值的影响,还受金融中介资产净值的影响。各种外部冲击通过信贷市场中金融中介的传导对经济波动造成进一步放大的效应,经济波动的金融加速器效应在考虑金融中介资产净值的影响后得到了增强。     

对外开放和经济波动的关联性检验——中国和东亚新兴市场国家的案例

本文运用研究非对称性冲击问题的实证方法考察和比较了东亚4国(韩国、印尼、泰国和中国)在经济开放过程中内外金融资源的相对价格——实际利差的变化及由此引起的宏观经济(产出、货币和银行信贷)的波动特征。这一研究的政策意义在于通过区分外部因素的基本面(mean)变化和突发性的波动(volatility)对本国经济所产生的不同性质的溢出效应(spillover),为政府制定不同的针对性措施提供理论根据。通过引入非对称“时变波动”(asymmetrictimevaryingvolatility)特征的二元EGARCHVAR实证模型,论文得到了三个主要结论第一,虽然为维持名义汇率的稳定,各国政府都积极地干预外汇市场,由此影响了当期内外利差的收敛,但包括中国在内的4个国家金融的实际开放程度都在不断加大。第二,除上世纪90年代国际资本移动的鼎盛阶段外,各国的经济波动并不是由外部冲击直接带来的,而是国内经济的不确定因素导致的。第三,比较各国经济波动特征,可以发现汇率制度、金融市场的开放程度以及资本市场的发展状况对经济波动有很大的影响。     

Balance sheet changes and the impact of financial sector risk-taking on fiscal multipliers

We analyse implications of financial sector dynamics for fiscal expenditure multipliers in recessionary conditions. A new stock-flow consistent model is developed in which a financial sector with four financial instruments is integrated with the real sector. The transmission of policy innovations occurs through balance sheet effects. Higher government expenditure increases aggregate demand in the economy. This reduces the perceived probability of default on financial institutions’ loans, increases asset valuations, and leads financial institutions to reduce interest rate spreads. Expectations of higher future wealth and a reduction in credit constraints supports consumption growth. Stronger balance sheets across institutions and lower interest rates increase investment. The interaction between growth and balance sheet valuations creates financial accelerator effects though its impact on financial sector risk-taking. Inflows of foreign savings can increase the multiplier further than would be the case in a closed economy constrained by domestic savings. The results show that fully modelling interactions between real and financial sectors generates fiscal multipliers higher than have been found for South Africa in other types of model.     

双重委托-代理视角下的金融中介、金融加速器与经济波动的研究

本文在BGG模型基础上,建立了包含企业、金融中介、投资者的双重委托一代理模型,将金融中介纳入信贷市场摩擦的分析框架内。分析了金融中介自身受信贷约束时,其资产净值变化对经济产生的金融加速器效应。得出在双重委托代理的信用契约下,企业外部融资溢价不但受自身资产净值的影响,还受金融中介资产净值的影响。各种外部冲击通过信贷市场中金融中介的传导对经济波动造成进一步放大的效应,经济波动的金融加速器效应在考虑金融中介资产净值的影响后得到了增强。     

Structural VAR models for Malaysian monetary policy analysis during the pre- and post-1997 Asian crisis periods

This article conducts an in-depth investigation into building a Structural Vector Autoregression (SVAR) model and analysing the Malaysian monetary policy. Considerable attention is paid to: (i) the selection of foreign, policy and target variables; (ii) establish identifying restrictions and improve the estimates of impulse response functions; (iii) assess the importance of intermediate channels in transmitting monetary policy mechanism; and (iv) the way in which the 1997 Asian financial crisis affected the working of monetary policy. Malaysia is an interesting small open economy to study because, following this crisis, the government imposed capital and exchange rate control measures. The overall results suggest that the crisis and the subsequent major shift in the exchange rate regime have significantly affected the Malaysian ‘Black Box’. In the pre-crisis period, domestic variables appear to be more vulnerable to foreign monetary shocks. Further, the exchange rate played a significant role in transmitting the interest rate shocks, whereas credit and asset prices helped to propagate the money shock. In the post-crisis period however, asset prices play a more domineering role in intensifying the effects of both interest rate and money shocks on output, and the economy was insulated from foreign shocks.     

Contagion effects of sovereign credit rating revisions on the real economy: is it trade or finance?

We analyse the contagion effects of sovereign credit rating revisions on the real economy, with particular emphasis on the intensity of trade and finance channels. Our findings show that event countries that experienced rating revisions cause substantial contagion effects on the real output growth rates of nonevent countries. Nonevent countries with a high export ratio, high external debt levels, or those that are more dependent on common bank credit relative to other nonevent countries are more likely to be infected by event countries’ adverse credit shocks. The results remain after accounting for alternative real economy indicators, financial liberalization, financial crises, and economic development status.     

Globalization,Financial Liberalization and the Behavior of the Long Run Money Demand in the Bangladesh Economy

ABSTRACT

The paper estimates the long run demand for money function in the Bangladesh economy using cointegration and the Vector Error Correction Modeling (VECM) technique. The cointegration results suggest that although the process of globalization has shown no significant impact on money demand by the fact that the foreign interest rate is seen as statistically not significant, the financial liberalization has an important impact, reflected in the statistically significant role of domestic interest rate, in influencing both M1 and M2 money demand. An estimate of VECMs also reveals the fact that the short run speed of adjustment is moderately influenced by the financial reform measures to establish the long run relation between money balances, income and domestic interest rates. The phenomenon of credit constraint in the context of a developing country has shown no significant role in influencing money demand, which may imply that the stage of financial development is getting higher level in the Bangladesh economy. The existence of exchange rate depreciation in the cointegration relation with the expected sign suggests that currency substitution is now effective in the monetary sector and, therefore, its impact should be considered in the Bangladesh monetary policy matrix.     

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.     

Global banking,global crises? The role of the bank balance-sheet channel for the transmission of financial crises

We examine whether shocks to leveraged creditors with cross border holdings have an incidence on debtor countries׳ risk of suffering financial turmoil. We construct a new proxy of shocks to international banks׳ balance-sheets using credit ratings and the structure of their international assets. This allows us investigating the effect of (foreign) bank balance-sheet shocks on domestic financial turmoil in a large sample of 146 developed and emerging economies from 1984 to 2011. Our proxies of shocks towards bank balance-sheets are strong predictors of systemic banking crises in their debtor countries. Confirming these results, bilateral bank flows significantly decrease when creditor banks׳ assets are hit by negative shocks, as measured by credit rating downgrades from third-party countries. Short-term liabilities towards global banks appear to increase roll-over and funding risks, thereby amplifying the impact of shocks to foreign lenders’ balance-sheets. Domestic banking sectors vulnerabilities, such as illiquid assets and a low deposit-asset ratio, are found to increase crisis contagion risk. In contrast, a high level of global liquidity attenuates the transmission of shocks to international banks׳ assets to debtor countries.     

How do US credit supply shocks propagate internationally? A GVAR approach

We study how US credit supply shocks are transmitted to other economies. We use the recently developed GVAR approach to model financial variables jointly with macroeconomic variables in 33 countries for the period 1983–2009. We experiment with inter-country links based on bilateral trade, portfolio investment, foreign direct investment and banking exposures. Capturing both bilateral trade and financial exposures in a GVAR fits the data better than using trade weights only. We use sign restrictions on the short-run impulse responses in the US model to identify the credit supply shocks. We find that negative credit supply shocks have strong negative effects on US and foreign GDP. Credit and equity markets in several countries respond clearly to the shocks. Exchange rate responses are consistent with a “flight to quality” to the US dollar. The credit supply shocks explain about a fifth of one-year-ahead output forecast error variance in the US and about a tenth in the euro area and the UK, but considerably less elsewhere.     

A Welfare Analysis of Capital Account Liberalization*

We develop a model of a small open economy with credit market frictions to analyze the consequences of capital account liberalization. We show that financial opening facilitates the inflows of cheap foreign funds and improves production efficiency. However, capital account liberalization has important distributional consequences. Specifically, it may be impossible to use public transfers to fully compensate the loss of those who are negatively affected by capital account liberalization. This explains why financial opening often meets fierce opposition even though it leads to efficiency gains for the economy as a whole. From a practical perspective, capital controls should be lifted gradually for a smooth transition.     

Emerging economy business cycles: Interest rate shocks vs trend shocks

The recent literature studying the source of business cycles in emerging market economies (EMEs) has debated the relative importance of productivity trend shocks versus interest rate shocks coupled with financial frictions. The studies in which an important role is assigned to interest rate shocks do not force their models to match the historical paths of the world or country interest rate. We show that this leads to poorly identified interest rate shocks and inaccurate measures of contributions of shocks to EME business cycles. To address this issue, we estimate a small open economy model for Argentina and Mexico using Bayesian methods where the world and country interest rate series in the model are forced to match their data counterparts. This estimation strategy results in larger variations in interest rate shock and, therefore, shifts explanatory power away from trend shocks towards interest rate shocks, although both shocks remain important.     

The role of financial shocks in business cycles with a liability side financial friction

The paper investigates the role of investment specific technology shock within the particular type of financial friction of Gertler and Karadi (2011) and the impact of direct financial shock into this, such as a net worth shock, using US data. The paper explicitly shows how the bank balance sheet effect of counter cyclical movement of capital price attenuates such investment shocks and the extent depends on the type of financial shocks included in the model. Because of the construction of capital quality shock in such financial friction model, we need to incorporate a direct net worth shock while analysing the role of financial shock. This highlights finance sector as a fundamental source of shocks apart from amplifier of shocks originating in elsewhere of the economy.     

Optimal monetary and macroprudential policies: Gains and pitfalls in a model of financial intermediation

We estimate a quantitative general equilibrium model with nominal rigidities and financial intermediation to examine the interaction of monetary and macroprudential stabilization policies. The estimation procedure uses credit spreads to help identify the role of financial shocks amenable to stabilization via monetary or macroprudential instruments. The estimated model implies that monetary policy should not respond strongly to the credit cycle and can only partially insulate the economy from the distortionary effects of financial frictions/shocks. A counter-cyclical macroprudential instrument can enhance welfare, but faces important implementation challenges. In particular, a Ramsey planner who adjusts a leverage tax in an optimal way can largely insulate the economy from shocks to intermediation, but a simple-rule approach must be cautious not to limit credit expansions associated with efficient investment opportunities. These results demonstrate the importance of considering both optimal Ramsey policies and simpler, but more practical, approaches in an empirically grounded model.     

Performance of interest rate rules under credit market imperfections

The stabilization effects of Taylor rules are analyzed in a limited participation framework with and without credit market imperfections in capital goods production. Financial frictions substantially amplify the impact of shocks, and also reinforce the stabilizing or destabilizing effects of interest rate rules on output. However, these effects are reversed relative to new Keynesian models: under limited participation, interest rate rules are stabilizing for productivity shocks, but imply an output-inflation tradeoff for demand shocks. Moreover, because financial frictions imply excessive fluctuation, stabilization via an interest rate rule can be a welfare-improving response to productivity shocks.