请选择 进入手机版 | 继续访问电脑版
楼主: wwqqer
5886 13

[世界经济热点] [专题系列] IMF: 浮动汇率,国际资本,与信贷增长的关系 (最新文献4篇,免费) [推广有奖]

版主

泰斗

65%

还不是VIP/贵宾

-

TA的文库  其他...

Wiley文库

Springer文库

全球著名CRC出版社文库

威望
17
论坛币
180605 个
通用积分
102417.2731
学术水平
5957 点
热心指数
6460 点
信用等级
5272 点
经验
4197 点
帖子
7508
精华
93
在线时间
9415 小时
注册时间
2007-12-10
最后登录
2024-7-19

二级伯乐勋章 一级伯乐勋章 初级学术勋章 中级学术勋章 初级热心勋章 中级热心勋章 初级信用勋章 中级信用勋章 高级学术勋章 高级热心勋章 特级学术勋章 高级信用勋章 特级信用勋章 特级热心勋章

wwqqer 在职认证  发表于 2014-5-31 21:52:17 |显示全部楼层 |坛友微信交流群
相似文件 换一批

+2 论坛币
k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群
赵安豆老师微信:zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

感谢您参与论坛问题回答

经管之家送您两个论坛币!

+2 论坛币
IMF的研究表明当国际资本流入上升时,那些汇率不浮动的经济体会经历更快的信贷增长。换言之,浮动的汇率可以帮助缓冲国际资本流入带来的影响。所以,对那些汇率不浮动的经济体来说,宏观审慎政策(macro prudential policy)显得更有必要。

Exchange-rate Flexibility and Credit during Capital Inflow Deversals: Purgatory … not Paradise
Nicolas Magud, Esteban R Vesperoni, 30 May 2014

Expansionary monetary policy in advanced economies have created capital inflow booms in emerging markets. This column analyses the effect of exchange rate flexibility on credit markets during capital inflow booms. In economies with less flexible exchange rate regimes, credit grows faster and more towards foreign currency. These countries may benefit the most from regulatory policies.

Large capital inflows usually have an important impact on macroeconomic conditions – and in particular, on fluctuations in domestic credit (Mendoza and Terrones 2012). Capital inflow booms can finance investment and economic growth, and can also bolster the deepening of what are often shallow financial sectors. Banking sector credit usually expands and stimulates consumption. The volatility associated with these cycles may pose significant macroeconomic challenges. Reversals in capital inflows could potentially result in credit busts and asset price deflation, with devastating effects on the macroeconomy.

Notably, the recent fluctuations in global risk aversion triggered by the Federal Reserve ‘tapering’ talk in 2013 are a reminder of the likelihood of reversals in large capital inflows. Consequently, these events strengthen the need for a proper debate over the policy framework and the corresponding policy mix needed to deal with large fluctuations in international capital flows. In a recent paper we tackle some of these issues (Magud and Vesperoni 2014).

We look at how economies with different degrees of exchange rate flexibility behave during capital inflows reversals for 179 countries during 1969-2012. We find that the buffering role played by exchange rate flexibility during credit cycles looks like a ticket to purgatory with no entrance to paradise. In effect, our results suggest that exchange rate flexibility helps to contain banking credit growth compared to more rigid exchange rates during capital inflow booms.

So flexibility is better, but not without credit cycles. The fall in credit growth in economies with more flexible exchange rate regimes (which is more modest than in fixed regimes) suggests that flexibility cannot fully shield the economy during the reversal. Furthermore, we observe what we dub as a recovery puzzle: credit growth in more flexible exchange rate regimes remains tepid well after the capital flow reversal takes place. Stylised facts on macroeconomic dynamics and credit are described below, followed by policy implications.

Macroeconomic Variables

01magud fig1 30 may.png


Capital inflow reversals are characterised by:

  •     A collapse in economic activity and sharp adjustments in the current account. As capital flows reverse, the current account adjusts, forcing the accommodation of domestic absorption.
  •     Investment falls strongly during reversals. Five years after a reversal, investment is still lower in terms of GDP than in the year of the reversal. Investment dynamics are apparently not much affected by the exchange rate regime in a country during capital inflow reversals.
  •     Private consumption remains fairly stable during the boom, before collapsing. As capital inflows retrench, consumption falls sharply, consistent with the reduction in external financing. This effect is particularly strong in more rigid exchange rate regimes. This appears consistent with consumption being mostly financed by bank credit, unlike investment, which is typically financed by a mix of banking and non-banking credit.

Credit

Real growth in banking credit to the private-sector collapses during capital inflow reversals. Consistent with Magud et al. (2011, 2014), banking credit accelerates during capital inflow booms. During the reversal stage of the cycle, however, real credit growth markedly slows down. Also, after capital flow reversal episodes end, real credit growth stabilises at a rate substantially lower than that of the boom phase.

The dynamics of banking sector credit show significant contrasts in economies with different exchange rate regimes. In particular:

  •     Credit growth is consistently higher in fixed regimes, but less so during reversals. Hence, even if only partially, flexible exchange rate regimes show more resilience during reversals as external financing dries up.
  •     Therefore, containing credit growth during the boom is the key policy challenge for fixed regimes.
  •     Supporting credit recovery seems to be a policy challenge for flexible regimes after reversals. The slow recovery in credit growth for several years after the reversal raises questions. Why it is so difficult for banks to resume lending in a system that was characterised by a more contained pick-up in credit during the boom years? We dub this as the (credit) recovery puzzle.
  •     Fixed regimes are exposed to sharp adjustments in non-deposit funding. The loan-to-deposit ratio (LTD) can be thought of as a proxy for banking sector external funding, as it reflects the share of total banking sector credit in excess of deposits. The sharp increase in LTDs in economies under fixed regimes suggests that capital inflows help finance the expansion of the lending portfolio through leverage. However, banks are forced to retrench this financing once these flows disappear – in fact, LTDs fall below the level attained at the initial stages of the capital inflow cycle. In contrast, in more flexible exchange rate regimes, this ratio – although higher throughout – is fairly stable over the capital flows cycle.
  •     The credit impulse is more procyclical in economies under fixed exchange rate regimes. Using the change in credit to GDP as a proxy for credit impulse – or a measure of acceleration – we observe that following a positive impulse during the boom phase, a strongly negative impulse is observed as capital flows reverse, particularly for fixed regimes.

02magud fig2 30 may.png


We have also run some regressions to verify this. Panel estimation shows that, after controlling for real GDP growth (economic activity), the real growth rate of broad money (monetary expansion), the financial account to GDP ratio (external financing), the credit to GDP ratio (credit deepness), and the real exchange rate (appreciation pressures), more flexible exchange rates depict lower rates of credit growth. Furthermore, cross-section estimation shows that exchange rate flexibility results in a smoother reversal in credit growth when external financing cycles enter into reversal mode.

Policy implications

In Magud, Reinhart, and Vesperoni (2014), we argued that flexible exchange rate regimes could be complemented by macro-prudential policies to smooth credit cycles during capital flow booms. By looking at reversals, we can add more granularity to this policy implication:

  •     On the one hand, measures aimed at containing excessive credit growth – such as debt-to-income, debt service-to-income, and loan-to-value ratios, or reserve requirements – seem to be particularly relevant in the context of less flexible exchange rate regimes, as credit tends to grow faster than in more flexible exchange rate arrangements.
  •     On the other hand, exchange rate flexibility can keep credit growth at bay to some degree during bonanzas. Hence, flexibility could be best complemented by measures like capital surcharges or countercyclical provisions during the credit expansion phase. By building buffers, these macro-prudential instruments can help deal with the recovery puzzle experienced by flexible exchange rate regimes during reversals.

The importance of understanding the dynamics of capital flow cycles and the optimal policies to deal with them could not be timelier. Expansionary monetary policies in advanced countries have likely had a significant impact on emerging economies. This has been strong this time around because advanced economies have maintained exceptionally expansionary monetary policies – including unconventional measures embedded in the multiple quantitative and credit easing initiatives – for a longer period of time than in past ‘normal’ business cycles. And given that the withdrawal of these unconventional monetary policies has started recently, discussing the appropriate policy responses in the context of external financing cycles in emerging markets becomes critical.


我发过的部分帖子:

2014年度英国《金融时报》最佳商业图书书单(附下载链接)
福布斯:史上最好的20条投资建议 The Best Investment Advice Of All Time (附链接)
资深业内人士推荐的10本交易书(附下载链接)Top Ten Trading Books I Have Read
比尔•盖茨最喜欢的商业书籍 (Bill Gates's Favorite Business Book)
金融危机畅销书作家Peter Schiff系列

[原创] 浅析动量因子(附带Matlab/SAS程序及经典文献85篇,免费)
[原创] 如何复制对冲基金的成功?(hedge fund replication,附免费文献下载)
[原创] 对于目前流行的量化投资与smart beta策略的一些看法 (附免费文献10篇)

【2008金融危机必读系列】(附下载链接,持续添加中)
【查理芒格系列】Charlie Munger 推荐的20本书!(附下载链接)
【西蒙系列】跨学科旅行家: 赫伯特 西蒙 (Herbert Simon)资料汇总帖
【大师系列】The Worldly Philosophers (7th Edition)
【大师系列】诺奖得主Joe Stiglitz新书: 打造学习型社会Creating a Learning Society
【大师系列】国际经济大牛Barry Eichengreen英语原版书:Capital Flows and Crises
【大师系列】量化投资大师詹姆斯·西蒙斯 James Simons 资料汇总帖
【大师系列】金融学大牛John Campbell:Empirical Asset Pricing 附带10篇经典文献

[专题系列]

[专题系列] Barra模型-RiskMetrics (RMA)-PMA资料(持续更新)
[专题系列] 主动投资与被动投资(active vs. passive),到底哪个更厉害?(免费!)


[专题系列] ECB 终于把名义利率降为负值了!(附重要文献11篇,免费)
[专题系列] IMF: 浮动汇率,国际资本,与信贷增长的关系 (最新文献4篇,免费)
[专题系列] Frameworks for Central Banking in the Next Century(最新文献9篇,免费)
[专题系列] Energy Derivatives Pricing (能源衍生品定价介绍,27篇文献,全部免费)
[专题系列] 福布斯杂志(Forbes)揭秘世界知名对冲基金AQR制胜交易策略!附带29篇文献
[专题系列] 美联储的新秘密武器:Labor Market Condition Index

[专题系列] 有效市场假设(Efficient Market Hypothesis) :一场伟大的分歧!

[专题系列] 金融危机后,通胀目标(Inflation Targeting)是否仍然可行?
[专题系列] 非常规货币政策退出策略(Exit Strategy) 权威报告!
[专题系列] 回测过程中的过度拟合问题 (backtest overfitting,附最新文献2篇)

[专题系列] 做计量的朋友们,你们的标准误差(standard error)算对了吗?(附程序)


二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

关键词:浮动汇率 国际资本 IMF Fluctuations Conventional exchange regulatory countries important emerging

Mendoza_Terrones.pdf

1.03 MB

Exchange-rate Flexibility and Credit during Capital Inflow Deversals.pdf

653.14 KB

Capital Inflows, Exchange Rate Flexibility, and Domestic Credit.pdf

209.43 KB

An Anatomy of Credit Booms and their Demise.pdf

987.22 KB

已有 1 人评分论坛币 收起 理由
星野 + 1500 恭喜获得优秀会员

总评分: 论坛币 + 1500   查看全部评分

本帖被以下文库推荐

这种好东西怎么没人顶呢?

使用道具

恬熙 发表于 2014-6-15 07:53:35 |显示全部楼层 |坛友微信交流群

使用道具

songzht 发表于 2014-8-18 07:45:44 |显示全部楼层 |坛友微信交流群
赞到无语超级棒

使用道具

ty7381 发表于 2014-10-19 19:06:19 |显示全部楼层 |坛友微信交流群

使用道具

lsdsx33 发表于 2014-11-12 19:03:46 |显示全部楼层 |坛友微信交流群

使用道具

跳舞名 发表于 2014-11-16 13:07:12 |显示全部楼层 |坛友微信交流群
非常棒,感谢分享,正需要

使用道具

s column analyses the effect of exchange rate flexibility on credit markets during capital inflow booms. In economies with less flexible exchange rate regimes, credit grows faster and more towards foreign currency. These countries may benefit the most from regulatory policies.

使用道具

ydb8848 发表于 2014-12-22 16:24:30 |显示全部楼层 |坛友微信交流群
收藏了。。。呵呵

使用道具

TL001 发表于 2015-4-18 13:40:37 |显示全部楼层 |坛友微信交流群
好 谢谢

使用道具

您需要登录后才可以回帖 登录 | 我要注册

本版微信群
加JingGuanBbs
拉您进交流群

京ICP备16021002-2号 京B2-20170662号 京公网安备 11010802022788号 论坛法律顾问:王进律师 知识产权保护声明   免责及隐私声明

GMT+8, 2024-7-20 03:24