Influence of the Banks' Money Mediation Behavior on the Monetary Policy: A Study of Korean Case

Abstract

This paper analyses how financial institutions' arbitrary intermediation behaviors, including adjustments in bank lending and deposit rates, influence monetary policy transmission channels. For the analysis, we develop a New Keynesian Dynamic Stochastic General Equilibrium (NK DSGE) model with parameters estimated to fit the Korean conditions. The role of banks is subsequently examined by classifying monetary policy transmission channels (real rate channel, nominal debt channel, financial accelerating channel, and banking attenuator channel). A notable part of this analysis is the inclusion of the banking sector in the model specifically with the intent to study transmissions from the financial sector to the real economy. This paper follows this line of inquiry with recent research in mind. Empirical analysis verifies the existence of the banking attenuator effect in Korea, which means banks act to reduce the effect of monetary policies. This indicates that if financial intermediaries strengthen arbitrary adjustment behaviors of lending and deposit rates, the effect of the monetary policy intended to relieve volatility in the business cycle may not be as high as expected.     

Regulatory induced performance persistence: Evidence from hedge funds

This paper tests the idea that financial regulation can impact performance persistence in the context of the hedge fund industry in 48 countries over the years 1994–2008. The data show evidence of three types of regulation influencing performance persistence: (1) minimum capital restrictions, which restrict lower quality funds and hence increase the likelihood of performance persistence, (2) restrictions on location of key service providers, which restrict human capital choices and hence tend to mitigate performance persistence, and (3) distribution channels, which make fund performance more opaque, decrease the likelihood of performance persistence. We do not find evidence that distribution channels, that promote fund presence to institutional investors, enhance performance persistence. Finally, we show differences in the effect of regulation on persistence by fund quartile ranking.     

新形势下越南经济发展面临的挑战及战略构想

越南政府期望通过经济的高速增长实现消灭贫穷的目标,但在当前世界经济面临明显的下行风险和全球资本流动性过剩的背景下,加上国内通货膨胀的压力,给越南政府的宏观调控带来了巨大的挑战。本文通过对目前越南经济发展中的宏观环境和金融环境的剖析,从金融制度改革等方面提出治理当前经济发展所面临问题的建议措施。     

What Caused the Korean Currency Crisis in 1997?*: Weak Fundamentals or Self‐fulfilling Expectations*

The present paper investigates which factor is primarily responsible for the sharp depreciation of the Korean won against the US dollar in 1997, using a bivariate vector autoregressive model of real and nominal exchange rates. In the present study, we directly identify the relative importance of fundamental and non‐fundamental factors from the raw data series on exchange rates. This approach is different from most previous studies on the Korean currency crisis, which use proxy variables to represent the two factors. The empirical results show that the collapse of the Korean currency in 1997 appears to be mostly a result of the weakened macroeconomic fundamentals of the economy with, to a limited extent, some non‐fundamental factors.     

The link between macroeconomic adjustment and sectoral output in post-reform China

We construct a two-part model of the Chinese economy. The first part consists of a money supply equation, a real money demand equation, and a savings equation. The second part comprises a set of sectoral equations. The model estimated is then used to generate a dynamic simulation of the paths of real national income, the aggregate price level, sectoral output, and sectoral prices. The model tracks quite well within sample, thus indicating that it may be used to analyze the future effects of policy changes. We therefore carry out counterfactual policy simulations based on monetary changes.     

如何减小全球经济失衡的纠正对中国的冲击

全球经济失衡的根本原因 全球经济失衡的明显特征是经常账户的失衡和长期利率偏低导致许多国家房地产价格的"泡沫性"上涨.对于这一现象的解释分为两个阵营.以即将成为美联储主席的伯南克为首的经济学家认为亚洲国家的高储蓄率导致全球性储蓄过剩,压低了长期实际利率.他们中有不少人把矛头指向中国,认为人民币缺乏灵活性使中国经常账户顺差近年来大幅上升,在固定汇率制下中国大量购买美元资产,为美国的贸易逆差"买单".但是,也有一些经济学家包括不少中国经济学家认为,美国财政赤字的恶化和前期的低利率政策大大降低了美国政府和家庭储蓄,是导致全球经济不平衡的根本原因.但是这种观点无法解释全球利率偏低这一现象,因为美国对于资本流入需求的增长应当推高而不是降低全球利率水平.     

Tax Incidence in Vietnam*

This paper examines the incidence of taxation in Vietnam, using data from the Living Standards Survey of 1997–1998 and an input–output matrix for 1997. The tax system in 1998 was slightly progressive, taking the equivalent of 7.8percent of spending for households in the lowest, and 10.3percent from households in the highest expenditure quintile. The replacement of the turnover tax by a value‐added tax in January 1999 made the system marginally more progressive, and the falling importance of taxes on trade has had a negligible effect on the overall incidence of the tax system. The tax system is progressive overall because business income taxes fall mainly on better‐off households; and low‐income households rely heavily on home consumption, which is untaxed. Against this, agricultural taxes and fees are highly regressive. The recent phasing out of the agricultural land use tax is making the tax system more progressive; however, efforts since 2004 to limit price increases for motor fuels have effectively provided a relatively greater subsidy to rich than to poor households.