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  1. Capital flow types, external financing needs, and industrial growth
    99 countries, 1991-2007
    Autor*in: Aizenman, Joshua; Sushko, Vladyslav
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    We examine the differential impact of portfolio debt, portfolio equity, and FDI inflows on 37 manufacturing industries, 99 countries, 1991-2007, extending Rajan-Zingales (1998). We utilize external finance dependence measures in a series of... mehr

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    We examine the differential impact of portfolio debt, portfolio equity, and FDI inflows on 37 manufacturing industries, 99 countries, 1991-2007, extending Rajan-Zingales (1998). We utilize external finance dependence measures in a series of cross-sectional regressions of manufacturing industries' growth rates covering 17 years. Net portfolio debt inflows are negatively associated with growth during the mid 1990s. The magnitudes of the negative effect of surges in portfolio debt inflows on growth are substantial in the late 1990s for a number of countries. The effect of debt inflows on growth in the 2000s is rather muted. Surges in portfolio equity inflows also exhibit a negative association with aggregate growth in the manufacturing sector. For instance, the inflow surge during the financial liberalization period, 1993-1994, is associated with a sharp decline in aggregate manufacturing sector growth, but a rise in the growth of relatively more financially constrained industries. Equity inflows exhibited economically significant positive impact on the growth of financially constrained industries, unlike their negative impact on the average manufacturing growth rate. FDI inflows exhibit a positive association with aggregate manufacturing growth during most of the sample period, both at the aggregate level and specifically for the industries in need of external financing.

     
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    hdl: 10419/64509
    Schriftenreihe: [Working papers / UC Santa Cruz Economics Department ; 686]
    Schlagworte: Unternehmensfinanzierung; Portfolio-Management; Eigenkapital; Schulden; Auslandsinvestition; Industrie; Welt
    Umfang: Online-Ressource (PDF-Datei: 28 S., 335,95 KB), graph. Darst.
  2. Capital flows
    catalyst or hindrance to economic takeoffs?
    Autor*in: Aizenman, Joshua; Sushko, Vladyslav
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    This paper applies a probit estimation to assess the relationship between economic takeoffs during 1950- 2000 and inflows of portfolio debt, portfolio equity, and FDI, controlling for country's stock of short-term external debt and commodity terms of... mehr

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    This paper applies a probit estimation to assess the relationship between economic takeoffs during 1950- 2000 and inflows of portfolio debt, portfolio equity, and FDI, controlling for country's stock of short-term external debt and commodity terms of trade. Average level of FDI inflows is associated with a 23 percent higher takeoff probability relative to a zero FDI inflow benchmark, and this effect is highest for the Latin America subsample, with a 65 rise in takeoff probability. Higher stock of short term external debt has been associated with a substantial negative effect on the probability of a takeoff, and the effect of the short terms debt overhang is largest for Latin American countries. Yet, virtually all the takeoffs were associated with a rise in portfolio debt inflows. At the sample mean, inflow of portfolio debt is associated with approximately 25 percent higher probability of a takeoff. In contrast, a one standard deviation increase in equity outflows (inflows) is associated with a 47 percent (17 percent) decline in the probability of a takeoff. A one standard deviation improvement in commodity terms of trade is associated with 28 percent higher takeoff probability.

     
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    hdl: 10419/64543
    Schriftenreihe: [Working papers / UC Santa Cruz Economics Department ; 685]
    Umfang: Online-Ressource (PDF-Datei: 34 S., 3, 75 MB), graph. Darst.
  3. Managing financial integration and capital mobility
    policy lessons from the past two decades
    Autor*in: Aizenman, Joshua; Pinto, Brian
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    The accumulated experience of emerging markets over the last two decades has laid bare the tenuous links between external financial integration and faster growth on the one hand and the proclivity of such integration to fuel costly crises on the... mehr

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    The accumulated experience of emerging markets over the last two decades has laid bare the tenuous links between external financial integration and faster growth on the one hand and the proclivity of such integration to fuel costly crises on the other. These crises have not gone without learning. During the 1990s and 2000s, emerging markets converged to the middle ground of the policy space defined by the macroeconomic trilemma, with growing financial integration, controlled exchange rate flexibility and proactive monetary policy. The OECD countries moved much faster towards financial integration, embracing financial liberalization, opting for a common currency in Europe, and for flexible exchange rates in other OECD countries. Following their crises of 1997-2001, emerging markets added financial stability as a goal, self-insured by building up international reserves and adopted a public finance approach to financial integration. The global crisis of 2008-09, which originated in the financial sector of advanced economies, meant that the OECD "overshot" the optimal degree of financial deregulation while the remarkable resilience of the emerging markets validated their public finance approach to financial integration. The story is not over: with capital flowing in droves to emerging markets once again, history could repeat itself without dynamic measures to manage capital mobility as part of a comprehensive prudential regulation effort.

     
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    hdl: 10419/64525
    Schriftenreihe: [Working papers / UC Santa Cruz Economics Department ; 687]
    Schlagworte: Internationales Finanzsystem; Internationales Währungssystem; Finanzmarktregulierung; Finanzkrise; Schwellenländer; OECD-Staaten
    Umfang: Online-Ressource (PDF-Datei: 36 S., 241,36 KB), graph. Darst.
  4. The fiscal stimulus of 2009-10
    trade openness, fiscal space and exchange rate adjustment
    Autor*in: Aizenman, Joshua; Jinjarak, Yothin
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    This paper studies the cross-country variation of the fiscal stimulus and the exchange rate adjustment propagated by the global crisis of 2008-9, identifying the role of economic structure in accounting for the heterogeneity of response. We find that... mehr

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    This paper studies the cross-country variation of the fiscal stimulus and the exchange rate adjustment propagated by the global crisis of 2008-9, identifying the role of economic structure in accounting for the heterogeneity of response. We find that greater de facto fiscal space prior to the global crisis and lower trade openness were associated with a higher fiscal stimulus/GDP during 2009-2010 (where the de facto fiscal space is the inverse of the average tax-years it would take to repay the public debt). Lowering the 2006 public debt/average tax base from the level of low-income countries (5.94) down to the average level of the Euro minus the Euro-area peripheral countries (1.97), was associated with a larger crisis stimulus in 2009-11 of 2.78 GDP percentage points. Joint estimation of fiscal stimuli and exchange rate depreciations indicates that higher trade openness was associated with a smaller fiscal stimulus and a higher depreciation rate during the crisis. Overall, the results are in line with the predictions of the neo-Keynesian open-economy model. -- Fiscal space ; fiscal stimulus ; trade openness

     
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    hdl: 10419/64530
    Schriftenreihe: [Working papers / UC Santa Cruz Economics Department ; 688]
    Schlagworte: Finanzkrise; Finanzpolitik; Globalsteuerung; Wechselkurspolitik; Handelsliberalisierung; Neoklassische Synthese; Welt
    Umfang: Online-Ressource (PDF-Datei: 24 S., 807,24 KB), graph. Darst.
  5. The impossible trinity ; from the policy trilemma to the policy quadrilemma
    Autor*in: Aizenman, Joshua
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    The policy Trilemma (the ability to accomplish only two policy objectives out of financial integration, exchange rate stability and monetary autonomy) remains a valid macroeconomic framework. The financial globalization during 1990s-2000s reduced the... mehr

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    The policy Trilemma (the ability to accomplish only two policy objectives out of financial integration, exchange rate stability and monetary autonomy) remains 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 is the growing exposure of developing countries to capital flights, and deleveraging crises. The significant costs associated with these crises added financial stability to the Trilemma policy goals, modifying the Trilemma framework into the policy Quadrilemma. Emerging markets frequently coupled their growing financial integration with sizable hoarding of reserves, as means of self-insuring their growing exposure to financial turbulences. The global financial crisis of 2008-9 illustrated both the usefulness and the limitations of hoarding reserves as a selfinsurance mechanism. The massive deleveraging initiated by OECD countries in 2008 may provide the impetus for some emerging markets to impose "soft capital controls" in the form of regulations that restrain inflows of short terms funds. While modifying the global financial architecture to deal with the challenges of the 21th Centaury remains a work in progress, the extended Trilemma framework keeps providing useful insights about the trade-offs and challenges facing policy makers, investors, and central banks.

     
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    hdl: 10419/64540
    Schriftenreihe: [Working papers / UC Santa Cruz Economics Department ; 678]
    Schlagworte: Mundell-Fleming-Modell; Wechselkurssystem; Wechselkurspolitik; Geldpolitik; Kapitalmobilität; Globalisierung; Internationaler Finanzmarkt; Theorie; Welt
    Umfang: Online-Ressource (PDF-Datei: 20 S., 375,64 KB), graph. Darst.
  6. Managing financial integration and capital mobility
    policy lessons from the past two decades
    Autor*in: Aizenman, Joshua; Pinto, Brian
    Erschienen: 2011
    Verlag:  World Bank, Poverty Reduction and Economic Management Network, Washington, DC

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    Schriftenreihe: Policy research working paper ; 5786
    Schlagworte: Internationales Finanzsystem; Internationales Währungssystem; Finanzmarktregulierung; Finanzkrise; Schwellenländer; OECD-Staaten
    Umfang: Online-Ressource (PDF-Datei: 37 S., 2,73 MB), graph. Darst.
  7. Income inequality, tax base and sovereign spreads
    Autor*in: Aizenman, Joshua; Jinjarak, Yothin
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    This note investigates the impact of greater income inequality on the tax base, on the defacto fiscal space, and the sovereign spreads. Using data from 50 countries in 2005 and in 2010, we find that higher income inequality is associated with a lower... mehr

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    This note investigates the impact of greater income inequality on the tax base, on the defacto fiscal space, and the sovereign spreads. Using data from 50 countries in 2005 and in 2010, we find that higher income inequality is associated with a lower tax base, lower de-facto fiscal space, and higher sovereign spreads. The economic magnitude of these effects is rather large: a one standard deviation increase of inequality is associated with a lower tax base of 28 % GDP, and with a higher sovereign spread of 240 basis points in 2005. -- Income inequality ; tax-base ; fiscal space ; sovereign spreads

     
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    hdl: 10419/64522
    Schriftenreihe: [Working papers / UC Santa Cruz Economics Department ; 691]
    Schlagworte: Einkommensverteilung; Soziale Ungleichheit; Besteuerungsverfahren; Öffentlicher Haushalt; Welt
    Umfang: Online-Ressource (PDF-Datei: 9 S., 40,15 KB), graph. Darst.
  8. Capital flows and economic growth in the era of financial integration and crisis
    1990 - 2010
    Autor*in: Aizenman, Joshua; Jinjarak, Yothin; Park, Donghyun
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    We investigate the relationship between economic growth and lagged international capital flows, disaggregated into FDI, portfolio investment, equity investment, and shortterm debt. We follow about 100 countries during 1990-2010 when emerging markets... mehr

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    We investigate the relationship between economic growth and lagged international capital flows, disaggregated into FDI, portfolio investment, equity investment, and shortterm debt. We follow about 100 countries during 1990-2010 when emerging markets became more integrated into the international financial system. We look at the relationship both before and after the global crisis. Our study reveals a complex and mixed picture. The relationship between growth and lagged capital flows depends on the type of flows, economic structure, and global growth patterns. We find a large and robust relationship between FDI - both inflows and outflows - and growth. The relationship between growth and equity flows is smaller and less stable. Finally, the relationship between growth and short-term debt is nil before the crisis, and negative during the crisis. -- Capital flows ; economic growth ; FDI ; portfolio investment ; equity investment ; short-term debt ; financial integration ; financial crisis

     
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    hdl: 10419/64494
    Schriftenreihe: [Working papers / UC Santa Cruz Economics Department ; 692]
    Schlagworte: Internationale Wirtschaftsbeziehungen; Kapitalmobilität; Auslandsinvestition; Portfolio-Investition; Kapitalbeteiligung; Schulden; Finanzkrise; Welt
    Umfang: Online-Ressource (PDF-Datei: 20 S., 724,96 KB), graph. Darst.
  9. The financial trilemma in China and a comparative analysis with India
    Autor*in: Aizenman, Joshua; Sengupta, Rajeswari
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    A key challenge facing most emerging market economies today is how to simultaneously maintain monetary independence, exchange rate stability and financial integration subject to the constraints imposed by the Trilemma, in the era of deepening... mehr

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    A key challenge facing most emerging market economies today is how to simultaneously maintain monetary independence, exchange rate stability and financial integration subject to the constraints imposed by the Trilemma, in the era of deepening globalization. In this paper we study the Trilemma choices of the two key drivers of global growth, China and India. We overview and contrast the policy choices of the two, and test their Trilemma choices and tradeoffs. China’s Trilemma configurations are unique relative to the one characterizing other emerging markets in the predominance of exchange rate stability, and in the failure of the Trilemma regression to capture any significant role for financial integration. One possible interpretation is that the segmentation of the domestic capital market in China, its array of capital controls and the large hoarding of international reserves imply that the “policy interest rate” does not reflect the stance of monetary policy. In contrast, the Trilemma configurations of India are in line with the regression results of other emerging countries, and are consistent with the predictions of the Trilemma tradeoffs. India like other emerging economies has overtime converged towards a middle ground between the three policy objectives, and has achieved comparable levels of exchange rate stability and financial integration buffered by sizeable international reserves. -- Financial trilemma ; International reserves ; Foreign exchange intervention ; Monetary policy ; Capital account openness

     
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    hdl: 10419/64512
    Schriftenreihe: [Working papers / UC Santa Cruz Economics Department ; 693]
    Umfang: Online-Ressource (PDF-Datei: 35 S., 575,34 KB), graph. Darst.
  10. Determinants of financial stress and recovery during the great recession
    Autor*in: Aizenman, Joshua; Pasricha, Gurnain Kaur
    Erschienen: 2011
    Verlag:  Bank of Canada, Ottawa

    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, indicating that there was no decoupling, even before Lehman Brothers' demise. 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. Internal and external distress during crisis was closely interlinked with common underlying causes of both the severity of stress during the crisis and the recovery. External vulnerabilities were important in both phases, and higher international reserves did not insulate countries from stress. -- Balance of payments and components ; Financial markets ; International topics

     
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    hdl: 10419/53953
    Schriftenreihe: Working paper / Bank of Canada ; 2011-24
    Schlagworte: Finanzmarkt; Börsenkurs; Volatilität; Kapitalmobilität; Kapitalflucht; Internationale Staatsschulden; Finanzkrise; Welt
    Umfang: Online-Ressource (PDF-Datei: III, 48 S., 399,41 KB), graph. Darst.
  11. Evaluating Asian swap arrangements
    Autor*in: Aizenman, Joshua; Jinjarak, Yothin; Park, Donghyun
    Erschienen: 2011
    Verlag:  Asian Development Bank Inst., Tokyo

    Motivated by the unprecedented rise of swap agreements between the central banks of developed economies and their developing economy counterparts, this paper evaluates Asian swap arrangements and their association with the build-up of foreign... mehr

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    Motivated by the unprecedented rise of swap agreements between the central banks of developed economies and their developing economy counterparts, this paper evaluates Asian swap arrangements and their association with the build-up of foreign reserves prior to the 2008-2009 global financial crisis. The evidence suggests that there is a limited scope for swaps to substitute for reserves. Furthermore, 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.

     
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    Schriftenreihe: ADBI working paper series ; 297
    Schlagworte: Swap; Währungsreserven; Reservewährung; US-Dollar; Finanzkrise; Wechselkurspolitik; Südkorea
    Umfang: Online-Ressource (PDF-Datei: 29 S., 338 KB), graph. Darst.
  12. What is the risk of European sovereign debt defaults?
    fiscal space, CDS spreads and market pricing of ristk
    Autor*in: Aizenman, Joshua; Hutchison, Michael M.; Jinjarak, Yothin
    Erschienen: 2011
    Verlag:  Santa Cruz Inst. for International Economics], [Santa Cruz, Calif.

    We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other economic fundamentals over 2005-10. We measure how accurately the model predicts sovereign credit default swap (CDS) spreads,... mehr

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    We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other economic fundamentals over 2005-10. We measure how accurately the model predicts sovereign credit default swap (CDS) spreads, focusing in particular on the five countries in the South-West Eurozone Periphery (Greece, Ireland, Italy, Portugal, and Spain). Dynamic panel estimates of the model suggest that fiscal space and other macroeconomic factors are statistically significant and economically important determinants of market-based sovereign risk. Although the explanatory power of fiscal space measures drop during the crisis, the TED spread, trade openness, external debt and inflation play a larger role. As expectations of market volatility jumped during the crisis, the weakly concavity of creditors' payoff probably accounts for the emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not predicted accurately by the model either in-sample or out-of-sample: unpredicted high spreads are evident during global crisis period, especially in 2010 when the sovereign debt crisis swept over the periphery area. We "match" the periphery group with five middle income countries outside Europe that were closest in terms of fiscal space during the European fiscal crisis. We find that Eurozone periphery default risk is priced much higher than the "matched" countries in 2010, even allowing for differences in fundamentals. One interpretation is that the market has mispriced risk in the Eurozone periphery. An alternative interpretation is that the market is pricing not on current fundamentals but future fundamentals, expecting the periphery fiscal space to deteriorate markedly and posing a high risk of debt restructuring. Adjustment challenges of the Eurozone periphery may be perceived as economically and politically more difficult than the matched group of middle income countries because of exchange rate and monetary constraints. -- CDS spreads ; sovereign risk ; fiscal space ; default risk ; Eurozone

     
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    hdl: 10419/64114
    Schriftenreihe: [Working papers / Santa Cruz Institute for International Economics ; 11-03]
    Schlagworte: Finanzkrise; Öffentliche Schulden; Insolvenz; Risiko; Welt
    Umfang: Online-Ressource (PDF-Datei: 28 S., [15] Bl., 455 KB), graph. Darst.
  13. Capital flow types, external financing needs, and industrial growth: 99 countries, 1991-2007
    Autor*in: Aizenman, Joshua; Sushko, Vladyslav
    Erschienen: 2011
    Verlag:  Santa Cruz Inst. for International Economics], [Santa Cruz, Calif.

    We examine the differential impact of portfolio debt, portfolio equity, and FDI inflows on 37 manufacturing industries, 99 countries, 1991-2007, extending Rajan-Zingales (1998). We utilize external finance dependence measures in a series of... mehr

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    We examine the differential impact of portfolio debt, portfolio equity, and FDI inflows on 37 manufacturing industries, 99 countries, 1991-2007, extending Rajan-Zingales (1998). We utilize external finance dependence measures in a series of cross-sectional regressions of manufacturing industries' growth rates covering 17 years. Net portfolio debt inflows are negatively associated with growth during the mid 1990s. The magnitudes of the negative effect of surges in portfolio debt inflows on growth are substantial in the late 1990s for a number of countries. The effect of debt inflows on growth in the 2000s is rather muted. Surges in portfolio equity inflows also exhibit a negative association with aggregate growth in the manufacturing sector. For instance, the inflow surge during the financial liberalization period, 1993-1994, is associated with a sharp decline in aggregate manufacturing sector growth, but a rise in the growth of relatively more financially constrained industries. Equity inflows exhibited economically significant positive impact on the growth of financially constrained industries, unlike their negative impact on the average manufacturing growth rate. FDI inflows exhibit a positive association with aggregate manufacturing growth during most of the sample period, both at the aggregate level and specifically for the industries in need of external financing. -- external finance dependence ; portfolio debt, portfolio equity, and FDI inflows ; manufacturing

     
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    hdl: 10419/64083
    Schriftenreihe: [Working papers / Santa Cruz Institute for International Economics ; 11-04]
    Schlagworte: Unternehmensfinanzierung; Portfolio-Management; Eigenkapital; Schulden; Auslandsinvestition; Industrie; Welt
    Umfang: Online-Ressource (PDF-Datei: 28 S., 335 KB), graph. Darst.
  14. Capital flows: catalyst or hindrance to economic takeoffs?
    Autor*in: Aizenman, Joshua; Sushko, Vladyslav
    Erschienen: 2011
    Verlag:  Santa Cruz Inst. for International Economics], [Santa Cruz, Calif.

    This paper applies a probit estimation to assess the relationship between economic takeoffs during 1950-2000 and inflows of portfolio debt, portfolio equity, and FDI, controlling for country's stock of short-term external debt and commodity terms of... mehr

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    This paper applies a probit estimation to assess the relationship between economic takeoffs during 1950-2000 and inflows of portfolio debt, portfolio equity, and FDI, controlling for country's stock of short-term external debt and commodity terms of trade. Average level of FDI inflows is associated with a 23 percent higher takeoff probability relative to a zero FDI inflow benchmark, and this effect is highest for the Latin America subsample, with a 65 rise in takeoff probability. Higher stock of short term external debt has been associated with a substantial negative effect on the probability of a takeoff, and the effect of the short terms debt overhang is largest for Latin American countries. Yet, virtually all the takeoffs were associated with a rise in portfolio debt inflows. At the sample mean, inflow of portfolio debt is associated with approximately 25 percent higher probability of a takeoff. In contrast, a one standard deviation increase in equity outflows (inflows) is associated with a 47 percent (17 percent) decline in the probability of a takeoff. A one standard deviation improvement in commodity terms of trade is associated with 28 percent higher takeoff probability.

     
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    hdl: 10419/64075
    Schriftenreihe: [Working papers / Santa Cruz Institute for International Economics ; 11-05]
    Schlagworte: Kapitalmobilität; Kapitalimport; Portfolio-Investition; Auslandsinvestition; Wirtschaftswachstum; Welt
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  15. Managing financial integration and capital mobility
    policy lessons from the past two decades
    Autor*in: Aizenman, Joshua; Pinto, Brian
    Erschienen: 2011
    Verlag:  Santa Cruz Inst. for International Economics], [Santa Cruz, Calif.

    The accumulated experience of emerging markets over the last two decades has laid bare the tenuous links between external financial integration and faster growth on the one hand and the proclivity of such integration to fuel costly crises on the... mehr

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    The accumulated experience of emerging markets over the last two decades has laid bare the tenuous links between external financial integration and faster growth on the one hand and the proclivity of such integration to fuel costly crises on the other. These crises have not gone without learning. During the 1990s and 2000s, emerging markets converged to the middle ground of the policy space defined by the macroeconomic trilemma, with growing financial integration, controlled exchange rate flexibility and proactive monetary policy. The OECD countries moved much faster towards financial integration, embracing financial liberalization, opting for a common currency in Europe, and for flexible exchange rates in other OECD countries. Following their crises of 1997-2001, emerging markets added financial stability as a goal, self-insured by building up international reserves and adopted a public finance approach to financial integration. The global crisis of 2008-09, which originated in the financial sector of advanced economies, meant that the OECD "overshot" the optimal degree of financial deregulation while the remarkable resilience of the emerging markets validated their public finance approach to financial integration. The story is not over: with capital flowing in droves to emerging markets once again, history could repeat itself without dynamic measures to manage capital mobility as part of a comprehensive prudential regulation effort.

     
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    hdl: 10419/64074
    Schriftenreihe: [Working papers / Santa Cruz Institute for International Economics ; 11-06]
    Schlagworte: Internationales Finanzsystem; Internationales Währungssystem; Finanzmarktregulierung; Finanzkrise; Schwellenländer; OECD-Staaten
    Umfang: Online-Ressource (PDF-Datei: 36 S., 241 KB), graph. Darst.
  16. The fiscal stimulus of 2009-10
    trade openness, fiscal space and exchange rate adjustment
    Autor*in: Aizenman, Joshua; Jinjarak, Yothin
    Erschienen: 2011
    Verlag:  Santa Cruz Inst. for International Economics], [Santa Cruz, Calif.

    This paper studies the cross-country variation of the fiscal stimulus and the exchange rate adjustment propagated by the global crisis of 2008-9, identifying the role of economic structure in accounting for the heterogeneity of response. We find that... mehr

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    This paper studies the cross-country variation of the fiscal stimulus and the exchange rate adjustment propagated by the global crisis of 2008-9, identifying the role of economic structure in accounting for the heterogeneity of response. We find that greater de facto fiscal space prior to the global crisis and lower trade openness were associated with a higher fiscal stimulus/GDP during 2009-2010 (where the de facto fiscal space is the inverse of the average tax-years it would take to repay the public debt). Lowering the 2006 public debt/average tax base from the level of low-income countries (5.94) down to the average level of the Euro minus the Euro-area peripheral countries (1.97), was associated with a larger crisis stimulus in 2009-11 of 2.78 GDP percentage points. Joint estimation of fiscal stimuli and exchange rate depreciations indicates that higher trade openness was associated with a smaller fiscal stimulus and a higher depreciation rate during the crisis. Overall, the results are in line with the predictions of the neo-Keynesian open-economy model.

     
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    Schriftenreihe: [Working papers / Santa Cruz Institute for International Economics ; 11-07]
    Schlagworte: Finanzkrise; Finanzpolitik; Globalsteuerung; Wechselkurspolitik; Handelsliberalisierung; Neoklassische Synthese; Welt
    Umfang: Online-Ressource (PDF-Datei: 24 S., [21] Bl., 807 KB), graph. Darst.
  17. Adjustment patterns to commodity terms of trade shocks
    the role of exchange rate and international reserves policies
    Autor*in: Aizenman, Joshua; Edwards, Sebastian; Riera-Crichton, Daniel
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    We analyze the way in which Latin American countries have adjusted to commodity terms of trade (CTOT) shocks in the 1970-2007 period. Specifically, we investigate the degree to which the active management of international reserves and exchange rates... mehr

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    We analyze the way in which Latin American countries have adjusted to commodity terms of trade (CTOT) shocks in the 1970-2007 period. Specifically, we investigate the degree to which the active management of international reserves and exchange rates impacted the transmission of international price shocks to real exchange rates. We find that active reserve management not only lowers the short-run impact of CTOT shocks significantly, but also affects the long-run adjustment of REER, effectively lowering its volatility. We also show that relatively small increases in the average holdings of reserves by Latin American economies (to levels still well below other emerging regions current averages) would provide a policy tool as effective as a fixed exchange rate regime in insulating the economy from CTOT shocks. Reserve management could be an effective alternative to fiscal or currency policies for relatively trade closed countries and economies with relatively poor institutions or high government debt. Finally, we analyze the effects of active use of reserve accumulation aimed at smoothing REERs. The result support the view that "leaning against the wind" is potent, but more effective when intervening to support weak currencies rather than intervening to slow down the pace of real appreciation. The active reserve management reduces substantially REER volatility. -- Terms of trade ; the real exchange rate ; international reserves ; commodity price shocks ; volatility ; exchange rate regimes

     
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    Schriftenreihe: [Working papers / UC Santa Cruz Economics Department ; 694]
    Schlagworte: Terms of Trade; Rohstoffmarkt; Rohstoffpreis; Schock; Währungsreserven; Wechselkurspolitik; Lateinamerika
    Umfang: Online-Ressource (PDF-Datei: 50 S., 388,22 KB), graph. Darst.
  18. Financial sector ups and downs and the real sector
    big hindrance, little help
    Autor*in: Aizenman, Joshua; Pinto, Brian; Sushko, Vladyslav
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    We examine how financial expansion and contraction cycles affect the broader economy through their impact on 8 real economic sectors in a panel of 28 countries over 1960-2005, paying particular attention to large, or sharp, contractions and... mehr

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    We examine how financial expansion and contraction cycles affect the broader economy through their impact on 8 real economic sectors in a panel of 28 countries over 1960-2005, paying particular attention to large, or sharp, contractions and magnifying and mitigating factors. Overall, the construction sector is the most responsive to financial sector growth, with a number of others such as government, public utilities, and transportation also exhibiting significant sensitivity to lagged financial sector growth. Sharp fluctuations in the financial sector have asymmetric effects, with the majority of real sectors adversely affected by contractions but not helped by expansions. The adverse effects of financial contractions are transmitted almost exclusively by the financial openness channel with foreign reserves mitigating these effects with a sizeable (10 to 15 times greater) impact during sharp financial contractions. Both effects are magnified during particularly large financial contractions (with coefficients on interaction terms 2 to 3 times greater than when all contractions are considered). Consequent upon a financial contraction, the most severe real sector contractions occur in countries with high financial openness, relative predominance of construction, manufacturing, and wholesale and retail sectors, and low international reserves. Finally, we find that abrupt financial contractions are more likely to follow periods of accelerated growth, indicative of "up by the stairs, down by the elevator dynamics". -- financial cycles ; financial and trade openness ; real transmission of financial shocks ; reserves

     
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    Schriftenreihe: [Working papers / UC Santa Cruz Economics Department ; 689]
    Schlagworte: Finanzpolitik; Stabilisierungspolitik; Bruttoinlandsprodukt; Geldpolitische Transmission; Welt
    Umfang: Online-Ressource (PDF-Datei: 37 S., 400,23 KB), graph. Darst.
  19. Financial sector ups and downs and the real sector
    big hindrance, little help
    Autor*in: Aizenman, Joshua; Pinto, Brian; Sushko, Vladyslav
    Erschienen: 2011
    Verlag:  World Bank, Poverty Reduction and Economic Management Network, Washington, DC

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    Schriftenreihe: Policy research working paper ; 5860
    Schlagworte: Finanzpolitik; Stabilisierungspolitik; Bruttoinlandsprodukt; Geldpolitische Transmission; Welt
    Umfang: Online-Ressource (PDF-Datei: 38 S., 2,8 MB), graph. Darst.
  20. Trilemma and financial stability configurations in Asia
    Autor*in: Aizenman, Joshua
    Erschienen: 2011
    Verlag:  Asian Development Bank Inst., Tokyo

    This paper takes stock of recent research dealing with the degree to which the trilemma choices of Asian countries facilitated a smoother adjustment during the global crisis of 2008-2009, and the way the region has been coping with the adjustment to... mehr

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    This paper takes stock of recent research dealing with the degree to which the trilemma choices of Asian countries facilitated a smoother adjustment during the global crisis of 2008-2009, and the way the region has been coping with the adjustment to the postcrisis challenges. We point out that emerging Asia has converged to a middle ground of the trilemma configuration: limited financial integration, a degree of monetary independence, and controlled exchange rate buffered by sizable international reserves. This configuration, with the proper management of balance sheet exposure and public finances, facilitated a smoother adjustment of emerging Asia to the crisis, and was instrumental in inducing the rapid resumption of growth. The swings of financial flows, from large deleveraging of foreign positions in 2008 to the renewed inflows in 2010, validate the insight of the public finance approach to financial integration: the gains from deeper financial integration should be balanced against the costs of growing exposure to turbulences. A key lesson of the crisis is the need to apply a comprehensive cost/benefit approach to prudential policies, to the regulation of external borrowing and of domestic financial intermediation, and to the accumulation and use of international reserves. We illustrate these results in the context of the challenges facing emerging Asia's adjustment during the global financial crisis, and the postcrisis policy stance dealing with the renewed inflows of capital.

     
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    Schriftenreihe: ADBI working paper series ; 317
    Schlagworte: Finanzkrise; Wirtschaftliche Anpassung; Finanzmarktregulierung; Wechselkurspolitik; Währungsreserven; Asien
    Umfang: Online-Ressource (PDF-Datei: 22 S., 320 KB), graph. Darst.
  21. Net fiscal stimulus during the great recession
    Autor*in: Aizenman, Joshua; Pasricha, Gurnain Kaur
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    This paper studies the patterns of fiscal stimuli in the OECD countries propagated by the global crisis. Overall, we find that the USA net fiscal stimulus was modest relative to peers, despite it being the epicenter of the crisis, and having access... mehr

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    This paper studies the patterns of fiscal stimuli in the OECD countries propagated by the global crisis. Overall, we find that the USA net fiscal stimulus was modest relative to peers, despite it being the epicenter of the crisis, and having access to relatively cheap funding of its twin deficits. The USA is ranked at the bottom third in terms of the rate of expansion of the consolidated government consumption and investment of the 28 countries in sample. Contrary to historical experience, emerging markets had strongly countercyclical policy during the period immediately preceding the Great Recession and the Great Recession. Many developed OECD countries had procyclical fiscal policy stance in the same periods. Federal unions, emerging markets and countries with very high GDP growth during the pre-recession period saw larger net fiscal stimulus on average than their counterparts. We also find that greater net fiscal stimulus was associated with lower flow costs of general government debt in the same or subsequent period.

     
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    hdl: 10419/64528
    Schriftenreihe: Working papers / UC Santa Cruz Economics Department ; 675
    Schlagworte: Finanzkrise; Wirtschaftskrise; Finanzpolitik; Öffentliche Ausgaben; OECD-Staaten
    Umfang: Online-Ressource (PDF-Datei: 45 S., 439,60 KB), graph. Darst.
  22. What is the risk of European sovereign debt defaults?
    fiscal space, CDS spreads and market mispricing of risk
    Autor*in: Aizenman, Joshua; Hutchison, Michael M.; Jinjarak, Yothin
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    We estimate the pricing of sovereign risk for a large number of countries within and outside of Europe, before and after the global financial crisis, based on fiscal space and other economic fundamentals. We measure how accurately the model predicts... mehr

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    We estimate the pricing of sovereign risk for a large number of countries within and outside of Europe, before and after the global financial crisis, based on fiscal space and other economic fundamentals. We measure how accurately the model predicts CDS spreads based on fundamentals, and determine whether the model explains spreads equally well in the Euro zone countries, and the PIIGS in particular, as elsewhere in the world. We validate that fiscal space has been an important determinant of market-based sovereign risk, and find evidence of mispricing in PIIGS given current fiscal space and other current fundamentals: unpredicted low CDS in tranquil period and unpredicted high during global crisis period, especially 2010 when sovereign debt crisis swept over Euro area. To gain further insight, we "match" the PIIGS with 5 middle income countries outside Europe that, before the crisis (2007), were closest in terms of fiscal space (debt/tax). We find that PIIGS default risk is priced much higher than the "matched" countries in 2010, even allowing for differentials in fundamentals. A possible interpretation of this finding is that the market is pricing not on current fundamentals but future fundamentals, expecting the PIIGS fiscal space to deteriorate markedly. The adjustment challenges of the PIIGS may be viewed as economically and politically more difficult due to exchange rate inflexibility that is not a constraint in the matched group of the middle income countries. -- CDS spreads ; sovereign risk ; fiscal space ; PIIGS and the Euro area ; fiscal space

     
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    hdl: 10419/64488
    Schriftenreihe: Working papers / UC Santa Cruz Economics Department ; 676
    Schlagworte: Finanzkrise; Öffentliche Schulden; Insolvenz; Risiko; Welt
    Umfang: Online-Ressource (PDF-Datei: 19 S., 539,76 KB), graph. Darst.
  23. The net fiscal expenditure stimulus in the U.S., 2008-9
    less than what you might think, and less than the fiscal stimuli of most OECD countries
    Autor*in: Aizenman, Joshua; Pasricha, Gurnain Kaur
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

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    Schriftenreihe: [Working papers / UC Santa Cruz Economics Department ; 682]
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  24. Surfing the waves of globalization
    Asia and financial globalization in the context of the trilemma
    Autor*in: Aizenman, Joshua; Chinn, Menzie David; Itō, Hiro
    Erschienen: 2011
    Verlag:  Univ. of California at Santa Cruz, Dep. of Economics, Santa Cruz, Calif.

    Using the "trilemma indexes" developed by Aizenman et al. (2010) that measure the extent of achievement in each of the three policy goals in the trilemma - monetary independence, exchange rate stability, and financial openness - we examine how policy... mehr

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    Using the "trilemma indexes" developed by Aizenman et al. (2010) that measure the extent of achievement in each of the three policy goals in the trilemma - monetary independence, exchange rate stability, and financial openness - we examine how policy configurations affect macroeconomic performances, with focus on the Asian economies. We find that the three policy choices matter for output volatility and the medium-term level of inflation. Greater monetary independence is associated with lower output volatility while greater exchange rate stability implies greater output volatility, which can be mitigated if a country holds international reserves (IR) at a level higher than a threshold (about 20% of GDP). Greater monetary autonomy is associated with a higher level of inflation while greater exchange rate stability and greater financial openness could lower the inflation rate. We find that trilemma policy configurations affect output volatility through the investment or trade channel depending on the openness of the economies. Our results indicate that policy makers in a more open economy would prefer pursuing greater exchange rate stability while holding a massive amount of IR. Asian emerging market economies are found to be equipped with macroeconomic policy configurations that help the economies to dampen the volatility of the real exchange rate. These economies' sizeable amount of IR holding appears to enhance the stabilizing effect of the trilemma policy choices, and this may help explain the recent phenomenal buildup of IR in the region. -- Impossible trinity ; international reserves ; financial liberalization ; exchange rate; FDI flows

     
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    hdl: 10419/64515
    Schriftenreihe: [Working papers / UC Santa Cruz Economics Department ; 683]
    Schlagworte: Globalisierung; Geldpolitik; Wechselkurs; Finanzmarktregulierung; Wirkungsanalyse; Bruttoinlandsprodukt; Volatilität; Schwellenländer; Asien
    Umfang: Online-Ressource (PDF-Datei: 48 S., 357,08 KB), graph. Darst.