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  1. Macro prudential supervision in the open economy, and the role of central banks in emerging markets
    Autor*in: Aizenman, Joshua
    Erschienen: 2010
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    In this paper we explore lessons from the global liquidity crisis pertaining to the prudential supervision role of central bank in an open economy. The narrow view of the role of central banks has been seriously challenged by the global liquidity... mehr

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    In this paper we explore lessons from the global liquidity crisis pertaining to the prudential supervision role of central bank in an open economy. The narrow view of the role of central banks has been seriously challenged by the global liquidity crisis of 2008-9. The crisis validates central banks' responsibility for prudential regulations and policies aimed at reducing susceptibility of economies to crises, and the need for external debt management policy in emerging markets. Hoarding international reserves (IR) is a potent self-insurance mechanism. However, it is associated with relatively high costs and is also less efficient in absence of assertive external debt management policies. In the presence of congestion externalities associated with deleveraging, optimal external borrowing-tax-cum-IR-hoarding-subsidy reduces the cost as well as the scale of hoarding IR. -- Prudential supervision ; deleveraging ; congestion externalities ; external debt management

     
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    hdl: 10419/64523
    Schriftenreihe: Working papers / UC Santa Cruz Economics Department ; 662
    Schlagworte: Kapitalmobilität; Internationale Staatsschulden; Außenwirtschaftliches Gleichgewicht; Finanzkrise; Geldpolitik; Schwellenländer
    Umfang: Online-Ressource (29 S.), graph. Darst.
  2. On the ease of overstating the fiscal stimulus in the US, 2008-9
    Autor*in: Aizenman, Joshua; Pasricha, Gurnain Kaur
    Erschienen: 2010
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    This note shows that the aggregate fiscal expenditure stimulus in the United States, properly adjusted for the declining fiscal expenditure of the fifty states, was close to zero in 2009. While the Federal government stimulus prevented a net decline... mehr

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    This note shows that the aggregate fiscal expenditure stimulus in the United States, properly adjusted for the declining fiscal expenditure of the fifty states, was close to zero in 2009. While the Federal government stimulus prevented a net decline in aggregate fiscal expenditure, it did not stimulate the aggregate expenditure above its predicted mean. We discuss the implications of limitations on states' ability to run deficits for the design of fiscal stimulus at the federal level. We devote particular attention to intertemporal moral hazard concerns in a federal fiscal system, and ways to address these concerns. -- Fiscal union ; federal fiscal expenditure ; fiscal policy ; moral hazard

     
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    hdl: 10419/64517
    Schriftenreihe: Working papers / UC Santa Cruz Economics Department ; 664
    Umfang: Online-Ressource (14 S.), graph. Darst.
  3. International reserves and swap lines
    substitutes or complements?
    Autor*in: Aizenman, Joshua; Jinjarak, Yothin
    Erschienen: 2010
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    Developing Asia experienced a sharp surge in foreign currency reserves prior to the 2008-9 crisis. The global crisis has been associated with an unprecedented rise of swap agreements between central banks of larger economies and their counterparts in... mehr

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    Developing Asia experienced a sharp surge in foreign currency reserves prior to the 2008-9 crisis. The global crisis has been associated with an unprecedented rise of swap agreements between central banks of larger economies and their counterparts in smaller economies. We explore whether such swap lines can reduce the need for reserve accumulation. The evidence suggests that there is only a limited scope for swaps to substitute for reserves. The selectivity of the swap lines indicates that only countries with significant trade and financial linkages can expect access to such ad hoc arrangements, on a case by case basis. Moral hazard concerns suggest that the applicability of these arrangements will remain limited. However, deepening swap agreements and regional reserve pooling arrangements may weaken the precautionary motive for reserve accumulation. -- Reserves ; swaps ; dollar standard ; Asia ; trade and financial linkages

     
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    hdl: 10419/64504
    Schriftenreihe: Working papers / UC Santa Cruz Economics Department ; 665
    Schlagworte: Finanzkrise; Währungsreserven; Internationales Abkommen; Swap; Asien
    Umfang: Online-Ressource (30 S.), graph. Darst.
  4. The impossible trinity (aka the policy Trilemma)
    the encyclopedia of financial globalization
    Autor*in: Aizenman, Joshua
    Erschienen: 2010
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    The policy Trilemma (the ability to accomplish only two out of three policy objectives -financial integration, exchange rate stability and monetary autonomy) continues to be a valid macroeconomic framework. The financial globalization during... mehr

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    The policy Trilemma (the ability to accomplish only two out of three policy objectives -financial integration, exchange rate stability and monetary autonomy) continues to be a valid macroeconomic framework. The financial globalization during 1990s-2000s reduced the weighted average of exchange rate stability and monetary autonomy. An unintended consequence of financial globalization has been the growing exposure of developing countries to costly capital flights and deleveraging crises. Emerging Markets responded by adding financialstability to the three Trilemma policy goals, coupling their growing financial integration with large hoarding of international reserves, as means of self-insuring their growing exposure to financial-turbulences.

     
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    hdl: 10419/64487
    Schriftenreihe: Working papers / UC Santa Cruz Economics Department ; 666
    Schlagworte: Mundell-Fleming-Modell; Wechselkurssystem; Wechselkurspolitik; Geldpolitik; Kapitalmobilität; Globalisierung; Internationaler Finanzmarkt; Theorie; Welt
    Umfang: Online-Ressource (21 S.), graph. Darst.
  5. The financial crisis, rethinking of the global financial architecture, and the trilemma
    Autor*in: Aizenman, Joshua; Chinn, Menzie David; Itō, Hiro
    Erschienen: 2010

    This paper extends our previous paper (Aizenman, Chinn, and Ito 2008) and explores some of the unexplored questions. First, we examine the channels through which the trilemma policy configurations affect output volatility. Secondly, we investigate... mehr

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    This paper extends our previous paper (Aizenman, Chinn, and Ito 2008) and explores some of the unexplored questions. First, we examine the channels through which the trilemma policy configurations affect output volatility. Secondly, we investigate how trilemma policy configurations affect the output performance of the economies under severe crisis situations. Thirdly, we look into how trilemma configurations have evolved in the aftermath of economic crises in the past. We find that trilemma policy configurations and external finances affect output volatility mainly through the investment channel. While a higher degree of exchange rate stability could stabilize the real exchange rate movement, it could also make investment volatile, though the volatility-enhancing effect of exchange rate stability on investment can be cancelled by holding higher levels of international reserves (IR). Greater financial openness helps reduce real exchange rate volatility. These results indicate that policymakers in a more open economy would prefer pursuing greater exchange rate stability and greater financial openness while holding a massive amount of IR. We also find that the "crisis economies" could end up with smaller output losses if they entered the crisis situation with more stable exchange rates or if they continue to hold a high level of IR and maintain greater exchange rate stability during the crisis period. Lastly, we find that developing countries are often found to have decreased the level of monetary independence and financial openness, but increased the level of exchange rate stability in the aftermath of a crisis, especially for the last two decades. This finding indicates how vulnerable developing countries, especially emerging market ones, are to volatile capital flows as a result of global financial liberalization.

     
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    hdl: 10419/53686
    Schriftenreihe: ADBI working paper series ; 213
    Schlagworte: Internationales Finanzsystem; Finanzkrise; Weltwirtschaftsordnung; Internationaler Finanzmarkt; Wirtschaftliche Anpassung; Finanzmarktregulierung; Wirkungsanalyse; Welt
    Umfang: Online-Ressource (39 S., 553.1 Kb), graph. Darst.
  6. Exchange market pressure and absorption by international reserves
    emerging markets and fear of reserve loss during the 2008-09 crisis
    Autor*in: Aizenman, Joshua; Hutchison, Michael M.
    Erschienen: 2010
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    This paper evaluates how the global financial crisis emanating from the U.S. was transmitted to emerging markets. Our focus is on the extent that the crisis caused external market pressures (EMP), and whether the absorption of the shock was mainly... mehr

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    This paper evaluates how the global financial crisis emanating from the U.S. was transmitted to emerging markets. Our focus is on the extent that the crisis caused external market pressures (EMP), and whether the absorption of the shock was mainly through exchange rate depreciation or the loss of international reserves. Controlling for variety of factors associated with EMP, we find clear evidence that emerging markets with higher total foreign liabilities, including short- and long-term debt, equities, FDI and derivative products - had greater exposure and were much more vulnerable to the financial crisis. Countries with large balance sheet exposure - high external portfolio liabilities exceeding international reserves - absorbed the global shock by allowing greater exchange rate depreciation and comparatively less reserve loss. Despite the remarkable buildup of international reserves by emerging markets during the period prior to the financial crisis, countries relied primarily on exchange rate depreciation rather than reserve loss to absorb most of the exchange market pressure shock. This could reflect a deliberate choice ("fear of reserve loss" or competitive depreciations) or market actions that caused very rapid exchange rate adjustment, especially in emerging markets with open capital markets, overwhelming policy actions. -- Exchange market pressure ; international reserves ; balance sheet exposure ; crisis

     
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    hdl: 10419/64485
    Schriftenreihe: Working papers / UC Santa Cruz Economics Department ; 668
    Schlagworte: Finanzkrise; Internationale Wirtschaftsbeziehungen; Wechselkurspolitik; Währungsreserven; Schwellenländer
    Umfang: Online-Ressource (PDF-Datei: [22] S., 162,10 KB)
  7. Determinants of financial stress and recovery during the great recession
    Autor*in: Aizenman, Joshua; Pasricha, Gurnain Kaur
    Erschienen: 2010
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size... mehr

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    In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price indices was comparable to that in high income countries. The main difference was the greater dispersion of the decline in low and middle countries, with standard deviation that was twice that of the high income countries. Deleveraging of OECD positions seemed to dominate the patterns of capital flows during the crisis. While high income countries on average saw net capital inflows and net portfolio inflows during the crisis quarters, compared to net outflows for developing economies, the indicators of banking sector stress were higher for high income economies on average than for developing economies. De-facto openness was associated with greater capital outflows and greater portfolio outflows. Larger total external debt minus reserves, external portfolio assets/GDP and external portfolio liabilities/GDP were also associated with greater internal financial stress. Countries with better banking supervision and higher bank capital to assets ratio saw smaller declines in banking sector stock prices. Countries with more concentrated banking sectors also had more stable banking sectors in this crisis. Intriguingly, the same was true for more competitive but better supervised banking sectors. Central banks also seem to have responded more in countries with greater de-facto openness. -- great recession ; determinants of financial crisis ; capital flows ; decoupling

     
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    hdl: 10419/64520
    Schriftenreihe: Working papers / UC Santa Cruz Economics Department ; 669
    Schlagworte: Finanzmarkt; Börsenkurs; Volatilität; Kapitalmobilität; Kapitalflucht; Internationale Staatsschulden; Finanzkrise; Welt
    Umfang: Online-Ressource (PDF-Datei: [46] S., 333,97 KB)
  8. Fiscal fragility
    what the past says about the future
    Autor*in: Aizenman, Joshua; Pasricha, Gurnain Kaur
    Erschienen: 2010
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    The end of the great moderation has profound implications on the assessment of fiscal sustainability. The pertinent issue goes beyond the obvious increase in the stock of public debt/GDP induced by the global recession, to include the neglected... mehr

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    The end of the great moderation has profound implications on the assessment of fiscal sustainability. The pertinent issue goes beyond the obvious increase in the stock of public debt/GDP induced by the global recession, to include the neglected perspective that the vulnerabilities associated with a given public debt/GDP increase with the future volatility of key economic variables. We evaluate for a given future projected public debt/GDP, the possible distribution of the fiscal burden or the flow cost of funding debt for each OECD country, assuming that this in future decades resembles that in the past decades. Fiscal projections may be alarmist if one jumps from the priors of great moderation to the prior of permanent high future burden. Prudent adjustment for countries exposed to heightened vulnerability may entail both short term stabilization and forward looking fiscal reforms. -- flow burden of public debt ; fiscal vulnerability

     
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    hdl: 10419/64535
    Schriftenreihe: Working papers / UC Santa Cruz Economics Department ; 670
    Schlagworte: Finanzpolitik; Öffentliche Schulden; Zins; Wirtschaftswachstum; Volatilität; Finanzreform; OECD-Staaten
    Umfang: Online-Ressource (PDF-Datei: 17 S., 353,90 KB)
  9. Asset class diversification and delegation of responsibilities between central banks and sovereign wealth funds
    Autor*in: Aizenman, Joshua; Glick, Reuven
    Erschienen: 2010
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    This paper presents a model comparing the optimal degree of asset class diversification abroad by a central bank and a sovereign wealth fund. We show that if the central bank manages its foreign asset holdings in order to meet balance of payments... mehr

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    This paper presents a model comparing the optimal degree of asset class diversification abroad by a central bank and a sovereign wealth fund. We show that if the central bank manages its foreign asset holdings in order to meet balance of payments needs, particularly in reducing the probability of sudden stops in foreign capital inflows, it will place a high weight on holding safer foreign assets. In contrast, if the sovereign wealth fund, acting on behalf of the Treasury, maximizes the expected utility of a representative domestic agent, it will opt for relatively greater holding of more risky foreign assets. We also show how the diversification differences between the strategies of the bank and SWF is affected by the government's delegation of responsibilities and by various parameters of the economy, such as the volatility of equity returns and the total amount of public foreign assets available for management. -- Sovereign wealth funds ; capital flows ; foreign exchange reserves ; financial markets ; governance

     
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    hdl: 10419/64542
    Schriftenreihe: Working papers / UC Santa Cruz Economics Department ; 671
    Schlagworte: Investmentfonds; Portfolio-Management; Zentralbank; Währungsreserven; Kapitalmobilität; Außenwirtschaftliches Gleichgewicht; Theorie
    Umfang: Online-Ressource (PDF-Datei: 22 S., 153,29 KB)
  10. Global imbalances
    is Germany the new China? ; a skeptical view
    Autor*in: Aizenman, Joshua; Sengupta, Rajeswari
    Erschienen: 2010
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    In this paper we evaluate the current account patterns of China and Germany. We point out that China's current account surplus as a share of global GDP in recent years resembles that of Germany's. Yet, an important difference is that the Euro block's... mehr

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    In this paper we evaluate the current account patterns of China and Germany. We point out that China's current account surplus as a share of global GDP in recent years resembles that of Germany's. Yet, an important difference is that the Euro block's current account inclusive of Germany, has overall been balanced, whereas emerging Asia's current account inclusive of China, has mostly been characterized by sizable surpluses. We further find that both China and Germany's current account surpluses seem to be accounted for by common factors. However we have reasons to doubt the long run viability of these current account trends in future decades. Demographic transitions in China and Germany are projected to reduce their surpluses, and this effect is stronger for Germany. We also discuss plausible reasons to doubt the extent to which the Euro block will move towards significant surplus in the coming years. -- current accounts ; demographic transitions ; global imbalances

     
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    hdl: 10419/64536
    Schriftenreihe: Working papers / UC Santa Cruz Economics Department ; 672
    Schlagworte: Außenwirtschaftliches Gleichgewicht; Leistungsbilanz; Vergleich; Deutschland; China
    Umfang: Online-Ressource (PDF-Datei: 16 S., 332,54 KB), graph. Darst.
  11. From the great moderation to the global crisis
    exchange market pressure in the 2000s
    Autor*in: Aizenman, Joshua; Yi, Chae-u; Sushko, Vladyslav
    Erschienen: 2010
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    This paper investigates the factors explaining exchange market pressures (EMP) and the hoarding and use of international reserves (IR) by emerging markets during the 2000s, as the Great Moderation turned to the 2008-9 global crisis and great... mehr

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    This paper investigates the factors explaining exchange market pressures (EMP) and the hoarding and use of international reserves (IR) by emerging markets during the 2000s, as the Great Moderation turned to the 2008-9 global crisis and great recession. According to our results, both financial and trade factors played important roles, yet the relative magnitude of financial considerations dominated, both during the Great Moderation and during the crisis. The coefficient of gross short-term external debt quintuples during the onset of the crisis, and then gradually declines as we let the crisis window roll forward. Capital outflow (induced by global deleveraging) was the force behind the emerging markets EMP rise during the global financial crisis, with the emerging markets' stock markets themselves only playing a secondary role. In addition, emerging markets were greatly affected by the fall in commodity prices during the initial phase of the crisis, although the relative impact of trade factors remained virtually the same in magnitude during the financial crisis and the Great Moderation period that preceded it. We also study the association between several country-level indicators, as of 2007, and the EMP measure during the height of the crisis in 2008:Q4 in a cross sectional regression. We found that that richer EMs experienced greater EMP during the crisis. Greater FDI inflows prior to the crisis were associated with a lower crisis EMP, while greater portfolio debt inflows with a higher crisis EMP, and this effect is much larger than the mitigation effect associated with greater FDI inflows. We conclude with an analysis of the factors that account for the trade and financial exposure of emerging markets during the crisis, finding that pre-crisis financial and trade openness are significant predictors of the financial and trade shock during the crisis. The severity of the financial shock was further exacerbated by financial ties to the U.S., while the trade shock was more severe in EMs with a larger commodity export share. -- exchange market pressure ; financial and trade factors ; international reserves ; global crisis

     
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    hdl: 10419/64491
    Schriftenreihe: Working papers / UC Santa Cruz Economics Department ; 673
    Schlagworte: Wechselkurspolitik; Kapitalmobilität; Währungsreserven; Internationale Staatsschulden; Auslandsinvestition; Finanzkrise; Schwellenländer; Welt
    Umfang: Online-Ressource (PDF-Datei: 37 S., 753,69 KB), graph. Darst.
  12. Asset class diversification and delegation of responsibilities between central banks and sovereign wealth funds
    Autor*in: Aizenman, Joshua; Glick, Reuven
    Erschienen: 2010
    Verlag:  Federal Reserve Bank of San Francisco, San Francisco, Calif.

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    Schriftenreihe: Working papers series / Federal Reserve Bank of San Francisco ; 2010,20
    Schlagworte: Investmentfonds; Portfolio-Management; Zentralbank; Währungsreserven; Kapitalmobilität; Außenwirtschaftliches Gleichgewicht; Theorie
    Umfang: Online-Ressource (22 S.), graph. Darst.
  13. Asset class diversification and delegation of responsibilities between central banks and sovereign wealth funds
    Autor*in: Aizenman, Joshua; Glick, Reuven
    Erschienen: 2010
    Verlag:  Santa Cruz Inst. for International Economics], [Santa Cruz, Calif.

    This paper presents a model comparing the optimal degree of asset class diversification abroad by a central bank and a sovereign wealth fund. We show that if the central bank manages its foreign asset holdings in order to meet balance of payments... mehr

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    This paper presents a model comparing the optimal degree of asset class diversification abroad by a central bank and a sovereign wealth fund. We show that if the central bank manages its foreign asset holdings in order to meet balance of payments needs, particularly in reducing the probability of sudden stops in foreign capital inflows, it will place a high weight on holding safer foreign assets. In contrast, if the sovereign wealth fund, acting on behalf of the Treasury, maximizes the expected utility of a representative domestic agent, it will opt for relatively greater holding of more risky foreign assets. We also show how the diversification differences between the strategies of the bank and SWF is affected by the government’s delegation of responsibilities and by various parameters of the economy, such as the volatility of equity returns and the total amount of public foreign assets available for management. -- Sovereign wealth funds ; capital flows ; foreign exchange reserves ; financial markets ; governance.

     
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    hdl: 10419/64107
    Schriftenreihe: [Working papers / Santa Cruz Institute for International Economics ; 10,14]
    Schlagworte: Investmentfonds; Portfolio-Management; Zentralbank; Währungsreserven; Kapitalmobilität; Außenwirtschaftliches Gleichgewicht; Theorie
    Umfang: Online-Ressource (PDF-Datei: 22 S., 153 KB), graph. Darst.
  14. Determinants of financial stress and recovery during the great recession
    Autor*in: Aizenman, Joshua; Pasricha, Gurnain Kaur
    Erschienen: 2010
    Verlag:  Santa Cruz Inst. for International Economics], [Santa Cruz, Calif.

    In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size... mehr

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    In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price indices was comparable to that in high income countries. The main difference was the greater dispersion of the decline in low and middle countries, with standard deviation that was twice that of the high income countries. Deleveraging of OECD positions seemed to dominate the patterns of capital flows during the crisis. While high income countries on average saw net capital inflows and net portfolio inflows during the crisis quarters, compared to net outflows for developing economies, the indicators of banking sector stress were higher for high income economies on average than for developing economies. De-facto openness was associated with greater capital outflows and greater portfolio outflows. Larger total external debt minus reserves, external portfolio assets/GDP and external portfolio liabilities/GDP were also associated with greater internal financial stress. Countries with better banking supervision and higher bank capital to assets ratio saw smaller declines in banking sector stock prices. Countries with more concentrated banking sectors also had more stable banking sectors in this crisis. Intriguingly, the same was true for more competitive but better supervised banking sectors. Central banks also seem to have responded more in countries with greater de-facto openness. -- Great recession ; determinants of financial crisis ; capital flows ; decoupling

     
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    hdl: 10419/64081
    Schriftenreihe: [Working papers / Santa Cruz Institute for International Economics ; 10,11]
    Schlagworte: Finanzmarkt; Börsenkurs; Volatilität; Kapitalmobilität; Kapitalflucht; Internationale Staatsschulden; Finanzkrise; Welt
    Umfang: Online-Ressource (PDF-Datei: [46] Bl., 331 KB), graph. Darst.
  15. Exchange market pressure and absorption by international reserves
    emerging markets and fear of reserve loss during the 2008-09 crises
    Autor*in: Aizenman, Joshua; Hutchison, Michael M.
    Erschienen: 2010
    Verlag:  Santa Cruz Inst. for International Economics], [Santa Cruz, Calif.

    This paper evaluates how the global financial crisis emanating from the U.S. was transmitted to emerging markets. Our focus is on the extent that the crisis caused external market pressures (EMP), and whether the absorption of the shock was mainly... mehr

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    This paper evaluates how the global financial crisis emanating from the U.S. was transmitted to emerging markets. Our focus is on the extent that the crisis caused external market pressures (EMP), and whether the absorption of the shock was mainly through exchange rate depreciation or the loss of international reserves. Controlling for variety of factors associated with EMP, we find clear evidence that emerging markets with higher total foreign liabilities, including short- and long-term debt, equities, FDI and derivative products - had greater exposure and were much more vulnerable to the financial crisis. Countries with large balance sheet exposure - high external portfolio liabilities exceeding international reserves - absorbed the global shock by allowing greater exchange rate depreciation and comparatively less reserve loss. Despite the remarkable buildup of international reserves by emerging markets during the period prior to the financial crisis, countries relied primarily on exchange rate depreciation rather than reserve loss to absorb most of the exchange market pressure shock. This could reflect a deliberate choice (“fear of reserve loss” or competitive depreciations) or market actions that caused very rapid exchange rate adjustment, especially in emerging markets with open capital markets, overwhelming policy actions. -- Exchange market pressure ; international reserves ; balance sheet exposure ; crisis

     
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    hdl: 10419/64116
    Schriftenreihe: [Working papers / Santa Cruz Institute for International Economics ; 10,12]
    Schlagworte: Finanzkrise; Internationale Wirtschaftsbeziehungen; Wechselkurspolitik; Währungsreserven; Schwellenländer
    Umfang: Online-Ressource (PDF-Datei: [22] Bl., 163 KB), graph. Darst.
  16. Global imbalances: is Germany the new China?
    a skeptical view
    Autor*in: Aizenman, Joshua; Sengupta, Rajeswari
    Erschienen: 2010
    Verlag:  Santa Cruz Inst. for International Economics], [Santa Cruz, Calif.

    In this paper we evaluate the current account patterns of China and Germany. We point out that China's current account surplus as a share of global GDP in recent years resembles that of Germany’s. Yet, an important difference is that the Euro block’s... mehr

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    In this paper we evaluate the current account patterns of China and Germany. We point out that China's current account surplus as a share of global GDP in recent years resembles that of Germany’s. Yet, an important difference is that the Euro block’s current account inclusive of Germany, has overall been balanced, whereas emerging Asia's current account inclusive of China, has mostly been characterized by sizable surpluses. We further find that both China and Germany's current account surpluses seem to be accounted for by common factors. However we have reasons to doubt the long run viability of these current account trends in future decades. Demographic transitions in China and Germany are projected to reduce their surpluses, and this effect is stronger for Germany. We also discuss plausible reasons to doubt the extent to which the Euro block will move towards significant surplus in the coming years. -- Current accounts ; demographic transitions ; global imbalances

     
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    hdl: 10419/64040
    Schriftenreihe: [Working papers / Santa Cruz Institute for International Economics ; 10,13]
    Schlagworte: Außenwirtschaftliches Gleichgewicht; Leistungsbilanz; Vergleich; Deutschland; China
    Umfang: Online-Ressource (PDF-Datei: 16 S., 332 KB), graph. Darst.
  17. De facto fiscal space and fiscal stimulus
    definition and assessment
    Autor*in: Aizenman, Joshua; Jinjarak, Yothin
    Erschienen: 2010
    Verlag:  Santa Cruz Inst. for International Economics], [Santa Cruz, Calif.

    We define the notion of 'de facto fiscal space' of a country as the outstanding public debt relative to the de facto tax base, where the latter measures the realized tax collection, averaged across several years to smooth for business cycle... mehr

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    We define the notion of 'de facto fiscal space' of a country as the outstanding public debt relative to the de facto tax base, where the latter measures the realized tax collection, averaged across several years to smooth for business cycle fluctuations. We apply this concept to account for the cross-country variation in the fiscal stimulus associated with the global crisis of 2009- 2010. We find that greater de facto fiscal space prior to the global crisis, higher GDP/capita, higher financial exposure to the US, and higher inflation were associated with a higher fiscal stimulus/GDP during 2009-2010. Intriguingly, higher trade openness has been associated with lower fiscal stimulus. -- Fiscal space ; fiscal stimulus ; trade openness

     
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    hdl: 10419/64071
    Schriftenreihe: [Working papers / Santa Cruz Institute for International Economics ; 10,20
    Schlagworte: Öffentliche Schulden; Steuereinnahmen; Stabilisierungspolitik; Finanzpolitik; Konjunktur; Multiplikator; Finanzkrise; Welt
    Umfang: Online-Ressource (PDF-Datei: 12 S., 659 KB), graph. Darst.
  18. From the great moderation to the global crisis
    exchange market pressure in the 2000s
    Autor*in: Aizenman, Joshua; Yi, Chae-u; Sushko, Vladyslav
    Erschienen: 2010
    Verlag:  Santa Cruz Inst. for International Economics], [Santa Cruz, Calif.

    This paper investigates the factors explaining exchange market pressures (EMP) and the hoarding and use of international reserves (IR) by emerging markets during the 2000s, as the Great Moderation turned to the 2008-9 global crisis and great... mehr

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    This paper investigates the factors explaining exchange market pressures (EMP) and the hoarding and use of international reserves (IR) by emerging markets during the 2000s, as the Great Moderation turned to the 2008-9 global crisis and great recession. According to our results, both financial and trade factors played important roles, yet the relative magnitude of financial considerations dominated, both during the Great Moderation and during the crisis. The coefficient of gross short-term external debt quintuples during the onset of the crisis, and then gradually declines as we let the crisis window roll forward. Capital outflow (induced by global deleveraging) was the force behind the emerging markets EMP rise during the global financial crisis, with the emerging markets’ stock markets themselves only playing a secondary role. In addition, emerging markets were greatly affected by the fall in commodity prices during the initial phase of the crisis, although the relative impact of trade factors remained virtually the same in magnitude during the financial crisis and the Great Moderation period that preceded it. We also study the association between several country-level indicators, as of 2007, and the EMP measure during the height of the crisis in 2008:Q4 in a cross sectional regression. We found that that richer EMs experienced greater EMP during the crisis. Greater FDI inflows prior to the crisis were associated with a lower crisis EMP, while greater portfolio debt inflows with a higher crisis EMP, and this effect is much larger than the mitigation effect associated with greater FDI inflows. We conclude with an analysis of the factors that account for the trade and financial exposure of emerging markets during the crisis, finding that pre-crisis financial and trade openness are significant predictors of the financial and trade shock during the crisis. The severity of the financial shock was further exacerbated by financial ties to the U.S., while the trade shock was more severe in EMs with a larger commodity export share. -- Exchange market pressure ; financial and trade factors ; international reserves; global crisis

     
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    hdl: 10419/64046
    Schriftenreihe: [Working papers / Santa Cruz Institute for International Economics ; 10,18]
    Schlagworte: Wechselkurspolitik; Kapitalmobilität; Währungsreserven; Internationale Staatsschulden; Auslandsinvestition; Finanzkrise; Schwellenländer; Welt
    Umfang: Online-Ressource (PDF-Datei: 37 S., 745 KB), graph. Darst.
  19. De facto fiscal space and fiscal stimulus
    definition and assessment
    Autor*in: Aizenman, Joshua; Jinjarak, Yothin
    Erschienen: 2010
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    We define the notion of 'de facto fiscal space' of a country as the inverse of the outstanding public debt relative to the de facto tax base, where the latter measures the realized tax collection, averaged across several years to smooth for business... mehr

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    We define the notion of 'de facto fiscal space' of a country as the inverse of the outstanding public debt relative to the de facto tax base, where the latter measures the realized tax collection, averaged across several years to smooth for business cycle fluctuations. We apply this concept to account for the cross-country variation in the fiscal stimulus associated with the global crisis of 2009-2010. We find that greater de facto fiscal space prior to the global crisis, higher GDP/capita, and higher financial exposure to the US, were associated with a higher fiscal stimulus/GDP during 2009-2010. Intriguingly, higher trade openness has been associated with lower fiscal stimulus. -- fiscal space ; fiscal stimulus ; trade openness

     
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    hdl: 10419/64511
    Schriftenreihe: Working papers / UC Santa Cruz Economics Department ; 674
    Schlagworte: Öffentliche Schulden; Steuereinnahmen; Stabilisierungspolitik; Finanzpolitik; Konjunktur; Multiplikator; Finanzkrise; Welt
    Umfang: Online-Ressource (PDF-Datei: 12 S., 853,38 KB), graph. Darst.
  20. Fiscal fragility: what the past may say about the future/ Joshua Aizenman and Gurnain Kaur Pasricha
    Autor*in: Aizenman, Joshua; Pasricha, Gurnain Kaur
    Erschienen: 2010
    Verlag:  Santa Cruz Inst. for International Economics], [Santa Cruz, Calif.

    The end of the great moderation has profound implications on the assessment of fiscal sustainability. The pertinent issue goes beyond the increase in stock of public debt/GDP induced by the global recession, to include the perspective that the... mehr

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    The end of the great moderation has profound implications on the assessment of fiscal sustainability. The pertinent issue goes beyond the increase in stock of public debt/GDP induced by the global recession, to include the perspective that the sustainability of a given public debt/GDP depends on the future volatility of the difference between real interest rates and GDP growth rate. For a given future projected public debt/GDP, we evaluate the possible distribution of the fiscal burden of debt for each OECD country, based on the historical realizations of the real interest rate and GDP growth differential. Fiscal projections may be alarmist if one jumps from the prior of low fiscal burdens that prevailed during great moderation to the prior of permanent high future burden. Yet, the importance of both real interest rate and the GDP growth rate in determining the actual debt burdens as well as the range of scenarios faced by OECD countries in the past suggests that countries exposed to heightened vulnerability may consider both short term stabilization (i.e., fiscal stimulus to support the recovery) and forward looking fiscal reforms (i.e. fiscal tightening to stabilize the debt dynamics). -- Flow burden of public debt ; fiscal vulnerability

     
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    hdl: 10419/64053
    Schriftenreihe: [Working papers / Santa Cruz Institute for International Economics ; 10,21]
    Schlagworte: Finanzpolitik; Öffentliche Schulden; Zins; Wirtschaftswachstum; Volatilität; Finanzreform; OECD-Staaten
    Umfang: Online-Ressource (PDF-Datei: 17 S., 283 KB), graph. Darst.
  21. Hoarding international reserves versus a Pigovian tax-cum-subsidy scheme
    reflections on the deleveraging crisis of 2008-9, and a cost benefit analysis
    Autor*in: Aizenman, Joshua
    Erschienen: 2010
    Verlag:  Santa Cruz Inst. for International Economics], [Santa Cruz, Calif.

    In this paper we outline a Pigovian tax-cum-subsidy scheme that deals with concerns about the costs and efficacy of hoarding international reserves (IR) as a means of self-insurance against a deleveraging crisis. We overview the degree to which IR... mehr

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    In this paper we outline a Pigovian tax-cum-subsidy scheme that deals with concerns about the costs and efficacy of hoarding international reserves (IR) as a means of self-insurance against a deleveraging crisis. We overview the degree to which IR provided self-insurance to Emerging Markets (EMs) during the 2008-9 crisis, pointing out that the fear of losing IR constrained the use of a pre-crisis IR war-chest. The crisis validates the need for external debt management policy. EMs found that their initial large stocks of IR were not enough to prevent runs on their IR and large currency depreciations, runs that were abated in some countries only with the proliferation of deep swap-lines. The experience of EMs during the crisis raises concerns regarding the efficacy of hoarding IR as means of self-insurance. We outline the case for supporting self-insurance by imposing a tax on external borrowing. We focus on a model of an emerging market, where entrepreneurs finance tangible investments via bank intermediation of foreign borrowing. Bank intermediation exposes the economy to the risk of deleveraging, inducing a costly premature liquidation of tangible investments; a risk that increases with the ratio of aggregate external borrowing to IR. In these circumstances, price taking economic agents ignore their marginal impact on the expected cost of a deleveraging crisis, and external borrowing is associated with negative fire-sale congestion externalities. We show that an optimal borrowing tax reduces the distorted activity (external borrowing), and induces borrowers to finance the precautionary hoarding of international reserves. -- Fire-sale congestion externality ; deleveraging ; tax-cum-subsidy ; international reserves.

     
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    hdl: 10419/64064
    Schriftenreihe: [Working papers / Santa Cruz Institute for International Economics ; 10,22]
    Schlagworte: Finanzkrise; Währungsreserven; Steuerpolitik; Subvention; Kosten-Nutzen-Analyse; Schwellenländer
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  22. Macro prudential supervision in the open economy, and the role of central banks in emerging markets
    Autor*in: Aizenman, Joshua
    Erschienen: 2010

    In this paper we explore lessons from the global liquidity crisis pertaining to the prudential supervision role of central bank in an open economy. The narrow view of the role of central banks has been seriously challenged by the global liquidity... mehr

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    In this paper we explore lessons from the global liquidity crisis pertaining to the prudential supervision role of central bank in an open economy. The narrow view of the role of central banks has been seriously challenged by the global liquidity crisis of 2008-9. The crisis validates central banks' responsibility for prudential regulations and policies aimed at reducing susceptibility of economies to crises, and the need for external debt management policy in emerging markets. Hoarding international reserves (IR) is a potent self-insurance mechanism. However, it is associated with relatively high costs and is also less efficient in absence of assertive external debt management policies. In the presence of congestion externalities associated with deleveraging, optimal external borrowing-tax-cum-IR-hoarding-subsidy reduces the cost as well as the scale of hoarding IR. -- Prudential supervision ; deleveraging ; congestion externalities ; external debt management

     
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    hdl: 10419/64031
    Schriftenreihe: Working papers / Santa Cruz Center for International Economics ; 10,01
    Schlagworte: Kapitalmobilität; Internationale Staatsschulden; Außenwirtschaftliches Gleichgewicht; Finanzkrise; Geldpolitik; Schwellenländer
    Umfang: Online-Ressource (29 S.), graph. Darst.
  23. International reserves and swap lines
    substitutes or complements?
    Autor*in: Aizenman, Joshua; Jinjarak, Yothin; Park, Donghyun
    Erschienen: 2010

    Developing Asia experienced a sharp surge in foreign currency reserves prior to the 2008-9 crisis. The global crisis has been associated with an unprecedented rise of swap agreements between central banks of larger economies and their counterparts in... mehr

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    Developing Asia experienced a sharp surge in foreign currency reserves prior to the 2008-9 crisis. The global crisis has been associated with an unprecedented rise of swap agreements between central banks of larger economies and their counterparts in smaller economies. We explore whether such swap lines can reduce the need for reserve accumulation. The evidence suggests that there is only a limited scope for swaps to substitute for reserves. The selectivity of the swap lines indicates that only countries with significant trade and financial linkages can expect access to such ad hoc arrangements, on a case by case basis. Moral hazard concerns suggest that the applicability of these arrangements will remain limited. However, deepening swap agreements and regional reserve pooling arrangements may weaken the precautionary motive for reserve accumulation. -- Reserves ; swaps ; dollar standard ; Asia ; trade and financial linkages

     
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    hdl: 10419/64088
    Schriftenreihe: Working papers / Santa Cruz Center for International Economics ; 10,03
    Schlagworte: Finanzkrise; Währungsreserven; Internationales Abkommen; Swap; Asien
    Umfang: Online-Ressource (30 S.), graph. Darst.
  24. On the ease of overstating the fiscal stimulus in the US, 2008-9
    Autor*in: Aizenman, Joshua; Pasricha, Gurnain Kaur
    Erschienen: 2010

    This note shows that the aggregate fiscal expenditure stimulus in the United States, properly adjusted for the declining fiscal expenditure of the fifty states, was close to zero in 2009. While the Federal government stimulus prevented a net decline... mehr

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    This note shows that the aggregate fiscal expenditure stimulus in the United States, properly adjusted for the declining fiscal expenditure of the fifty states, was close to zero in 2009. While the Federal government stimulus prevented a net decline in aggregate fiscal expenditure, it did not stimulate the aggregate expenditure above its predicted mean. We discuss the implications of limitations on states' ability to run deficits for the design of fiscal stimulus at the federal level. We devote particular attention to intertemporal moral hazard concerns in a federal fiscal system, and ways to address these concerns. -- Fiscal union ; federal fiscal expenditure ; fiscal policy ; moral hazard

     
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    hdl: 10419/64051
    Schriftenreihe: Working papers / Santa Cruz Center for International Economics ; 10,04
    Umfang: Online-Ressource (14 S.), graph. Darst.
  25. International reserves and swap lines in times of financial distress
    overview and interpretations
    Autor*in: Aizenman, Joshua
    Erschienen: 2010
    Verlag:  ADB Inst., Tokyo

    In this paper I review the use of precautionary measures aimed at mitigating emerging markets' exposure to fragility associated with financial integration. The discussion draws possible lessons from the ongoing global liquidity crisis. The fear of... mehr

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    In this paper I review the use of precautionary measures aimed at mitigating emerging markets' exposure to fragility associated with financial integration. The discussion draws possible lessons from the ongoing global liquidity crisis. The fear of losing international reserves (IR) constrained most emerging markets more than the fear of floating. The fear of using IR during a crisis suggests that emerging markets (EMs) opt to revisit the gains from financial globalization. High levels of IR may be required for the self insurance offered by those reserves to be effective. Under such circumstances, countries may benefit by supplementing the hoarding of IR with Pigovian tax-cum-subsidy policies. These policies would reduce external borrowing, and would fund the marginal hoarding of IR. The fear of losing IR also suggests a greater demand for regional pooling arrangements and swap lines as well as possible new roles for international financial institutions (IFI).

     
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    hdl: 10419/53691
    Schriftenreihe: ADBI working papers series ; 192
    Schlagworte: Finanzkrise; Währungsreserven; Internationales Abkommen; Swap; Asien
    Umfang: Online-Ressource (19 S., 359.4 KB), graph. Darst.