International capital flows Tille, Cédric; van Wincoop, Eric
Journal of international economics,
03/2010, Letnik:
80, Številka:
2
Journal Article
Recenzirano
The surge in international asset trade since the early 1990s has lead to renewed interest in models with international portfolio choice. We develop the implications of portfolio choice for both gross ...and net international capital flows in the context of a simple two-country dynamic stochastic general equilibrium (DSGE) model. We focus on the time-variation in portfolio allocation following shocks, and resulting capital flows. Endogenous time-variation in expected returns and risk, which are the key determinants of portfolio choice, affect capital flows in often subtle ways. The model is consistent with a broad range of empirical evidence. An additional contribution of the paper is to overcome the technical difficulty of solving DSGE models with portfolio choice by developing a broadly applicable solution method.
China's overseas lending Horn, Sebastian; Reinhart, Carmen M.; Trebesch, Christoph
Journal of international economics,
November 2021, 2021-11-00, Letnik:
133
Journal Article
Recenzirano
Odprti dostop
Compared with China's pre-eminent status in world trade, its role in global finance is poorly understood. This paper studies the size, terms and destination of Chinese official international lending ...on the basis of a new “consensus” database of 4900 loans and grants to 146 countries, 1949–2017. Using the loan-level lending data we estimate outstanding debt stocks owed to China for more than 100 developing and emerging economies since 2000. As of 2017, China had become the world's largest official creditor, surpassing the World Bank and the IMF. The terms of China's state-driven international loans typically resemble commercial rather than official lending. We also find that 50% of China's official lending to developing countries is not reported in the most widely used official debt statistics. These “hidden” debts have important implications for debt sustainability.
•We find a significant impact of U.S. monetary policy uncertainty on China's RMB exchange rate volatility.•China's direct and portfolio investment flows are important transmission channels.•Prior to ...the 8∙11 exchange rate reform in 2015, China's direct investment flow channels played an important role.•The role of China's portfolio liquidity channels has become even more significant after the 8∙11 exchange rate reform.
This study investigates the impact of US monetary policy uncertainty on the volatility of the Chinese RMB exchange rate using a counterfactual SVAR model. Additionally, we examine the transmission mechanism from the perspective of different types of international capital flows. The findings suggest that an increase in US monetary policy uncertainty worsens RMB exchange rate volatility, and can have a significant impact on RMB exchange rate volatility through the intermediate transmission of China's direct investment flows and portfolio investment flows. Notably, the increase in US monetary policy uncertainty worsens RMB exchange rate volatility through these two channels respectively, before and following the “8.11″ exchange rate reform in 2015.
We employ a structural global VAR model to analyze whether U.S. unconventional monetary policy shocks, identified through changes in the central bank’s balance sheet, have an impact on financial and ...economic conditions in emerging market economies (EMEs). Moreover, we study whether international capital flows are an important channel of shock transmission. We find that an expansionary policy shock significantly increases portfolio flows from the U.S. to EMEs for almost two quarters, accompanied by a persistent movement in real and financial variables in recipient countries. Moreover, EMEs on average respond to the shock with an easing of their own monetary policy stance. The findings appear to be independent of heterogeneous country characteristics like the underlying exchange rate arrangement, the quality of institutions, or the degree of financial openness.
This paper explores the impact of cross-border capital flows on bank lending volumes and risk. Employing bank-level data from the euro area, we show that capital inflows are associated with higher ...bank credit supply and lower average loan quality. By showing that the lending patterns of smaller domestic banks are also affected, we present evidence that the impact of international capital flows is not limited to large banks with international exposure. Nevertheless, the observed effects are stronger for large banks as well as for banks with low levels of capitalisation, suggesting that agency issues reinforce the link between capital flows and bank lending.
The effects of macroprudential policy on portfolio flows vary considerably across the global financial cycle. A tighter ex-ante macroprudential stance amplifies the impact of global risk shocks on ...bond and equity flows, increasing outflows significantly more during risk-off episodes and increasing inflows significantly more during risk-on episodes. These amplification effects are more prominent at the “extremes,” especially for extreme risk-off periods and for regulations that target specific risks instead of generalized cyclical buffers. This paper estimates these relationships using a policy-shocks approach that corrects for reverse causality by combining high-frequency risk measures with weekly data on portfolio investment and a new measure of macroprudential regulations that captures the intensity of policy stances. Overall, the results support a growing body of evidence that macroprudential regulation can reduce the volume and volatility of bank flows but shift risks in ways that aggravate vulnerabilities in other parts of the financial system.
This paper investigates how the different demographic characteristics of two countries will drive the flow of capital between them, as inhabitants of the longer-lived nation have a higher savings ...rate than do those with the shorter lifespan. It is motivated by the recent US experience during which its net foreign asset position declined dramatically, while simultaneously its longevity has fallen increasingly below that of other developed G7 economies. Our contribution is to address the issue by introducing empirically based survival (mortality) functions into a traditional two country macrodynamic framework. In doing so, we eliminate some of the unsatisfactory aspects associated with the traditional two country representative agent model. The sensitivity of the capital flows and the resulting net foreign assets of the two economies to key structural characteristics, and their consequences for savings are emphasized.
Ekonomik büyüme ve kalkınmada geri kalmış ve gelişmekte olan ülkelerin temel sorunlarının bilgi eksikliği, teknoloji yetersizliği ve sermaye eksikliği olduğu ve bu sorunların ülkeleri dış finansmana ...yönlendirdiği bilinmektedir. Reel sektörü hammadde, enerji ve sermaye mallarında dışa bağımlı ülkelerde faaliyet gösteren yabancı şirketler yatırım yaptıkları ülkelerde istihdam artışına ve ekonominin büyümesine katkı sağlamaktadırlar. Yabancı sermaye ülkeye Doğrudan Yabancı Yatırımlar ve Portföy Yatırımları olarak giriş yapabilmektedir. Yüksek faiz oranlarına sahip ülkeler arasında ilk sıralarda yer alan Türkiye’nin özellikle kısa vadeli portföy yatırımları tarafından tercih edilmesi risk oluşturmaktadır. Sıcak para olarak nitelenen portföy yatırımlarının ani çıkış ve girişleri krize neden olabilmektedir. COVID-19, Dünya Sağlık Örgütü tarafından 11 Mart 2020 ‘de pandemi olarak ilan edilmiş olup, insan yaşamının tüm boyutları üzerinde etkili olmaktadır. Pandeminin tüm dünya ülkelerinde kısa sürede yayılması hem sağlıkta hem ekonomide küresel ölçekte önlemler alınmasını gerektirmiştir. Bu çalışmada uluslararası sermaye giriş-çıkışlarının pandemi sürecinde Türkiye’de yarattığı olumlu ve olumsuz etkiler analiz edilerek, Türkiye ekonomisini genel olarak nasıl etkilediği araştırılmış ve COVID-19’un ortaya çıkardığı koşulların bir ani duruş krizine yol açıp açmadığı teorik olarak tartışılmıştır.
Banking across borders Niepmann, Friederike
Journal of international economics,
07/2015, Letnik:
96, Številka:
2
Journal Article
Recenzirano
The international linkages between banks play a crucial role in today's global economy. Existing models explain these links largely on the basis of portfolio theory, in which banks diversify lending. ...These models have found limited empirical support and do not speak to several relevant dimensions of the data. They do not explain heterogeneity in the degree to which banks operate through foreign affiliates, fund their activities abroad or matter for local lending in foreign countries. This paper proposes a complementary theory of banking across borders that is based on elements of international trade theory. In the model, banking across borders arises because countries differ in their relative factor endowments and in the efficiency of their banking sectors. Based on these differences, the pattern of foreign bank asset and liability holdings emerges endogenously. This parsimonious model provides a rationale for the observed heterogeneity in foreign bank activities and is consistent with key patterns in the data.
•New model of banking across borders.•Predicts banking sector foreign assets and liabilities.•Foreign bank positions depend on differences in relative factor endowments;•and on differences in relative banking sector efficiencies across countries.•The theory is consistent with key patterns in international banking data.
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