2014年-IMF国际货币组织全球_Exchange_Rate_Flexibility_and_Credit_during_Capital_Inflow_Reversals_Purgatorynot_Paradise_30页_653kb

Summary of "Exchange Rate Flexibility and Credit during Capital Inflow Reversals: Purgatory…not Paradise"

Core Content

This working paper investigates the behavior of macroeconomic and credit variables during capital inflow reversals in economies with varying degrees of exchange rate flexibility. The authors argue that while exchange rate flexibility can help moderate credit growth during capital inflow booms, it does not fully protect the economy from credit downturns during reversals. They also identify a "recovery puzzle," where credit growth remains weak for a prolonged period in flexible exchange rate regimes following a reversal.

The paper uses a large dataset of 179 countries over the period 1969–2012 to analyze the dynamics of capital inflows and their impact on the economy. It then narrows the focus to emerging economies since the 1990s, identifying approximately 130 capital inflow reversal events. The findings are used to inform policy implications regarding the use of macro-prudential tools in conjunction with exchange rate regimes.

Main Findings

• Exchange Rate Flexibility and Credit Growth:

  • During capital inflow booms, credit growth is more moderate in flexible exchange rate regimes compared to rigid ones.
  • However, during capital inflow reversals, credit growth declines more sharply in rigid regimes than in flexible ones, though the decline is still significant.
  • Flexible exchange rate regimes are associated with a "recovery puzzle," where credit growth remains tepid for several years after the reversal.

• Macro-prudential Policies:

  • Flexible exchange rate regimes may benefit from macro-prudential policies such as capital surcharges and dynamic provisioning to help manage the recovery puzzle.
  • In contrast, rigid exchange rate regimes may benefit more from measures that contain excessive credit growth during booms, such as reserve requirements, loan-to-income ratios, and debt-to-income limits.

• Methodology:

  • Capital inflow booms and reversals are identified using two main approaches: distribution criteria and cyclical deviations.
  • The distribution approach identifies booms as the top 20th percentile of the external financial account balance to GDP ratio.
  • The cyclical deviation approach uses a Hodrick-Prescott filter to isolate the cyclical component of the financial account balance.

• Empirical Results:

  • The number of capital inflow reversal events identified varies by methodology.
  • The cyclical deviation method with higher multipliers (e.g., $ m = 2.0 $) identifies fewer events.
  • About 65% of the reversal events are associated with fixed exchange rate regimes, especially after 1990.

• Regional Distribution:

  • Capital inflow reversals are most common in Latin America (48% of the sample).
  • Emerging Europe and Central and East Asia account for similar shares (13% and 15–20%, respectively).
  • Capital inflow reversals are less frequent in Asia.

Key Information

• Data Sources: IMF's World Economic Outlook (WEO) and International Financial Statistics (IFS).
• Time Period: 1969–2012 for the full sample; 1990–2014 for the subset of emerging economies.
• Variables Analyzed:
  • Macroeconomic: real GDP, real effective exchange rate, private consumption, investment, government expenditure, net exports, and domestic saving.
  • Financial: banking credit, broad money, loan-to-deposit ratio (LTD), and credit impulse.
• Exchange Rate Regime Classification:
  • Based on Reinhart and Rogoff (2004) and Ilzetzki et al. (2012), with a "coarse" classification distinguishing between fixed and flexible regimes.
  • "Fixed" regimes include classifications 1 and 2, while "flexible" regimes include classifications 3 and 4.
• Policy Implications:
  • Flexible exchange rate regimes should complement macro-prudential policies to manage credit cycles.
  • Rigid regimes should focus on containing excessive credit growth during booms.
  • The recovery puzzle suggests that even with exchange rate flexibility, credit recovery is slow and needs additional measures.

Policy Recommendations

• Flexible Exchange Rate Regimes:

  • Benefit from macro-prudential tools like capital surcharges and countercyclical provisions.
  • Help in smoothing credit cycles but may still experience a recovery puzzle.

• Rigid Exchange Rate Regimes:

  • More vulnerable to sharp credit contractions during booms.
  • Require policies such as reserve requirements, loan-to-income, debt-to-income, and debt-service-to-income limits to prevent excessive credit growth.

Conclusion

Exchange rate flexibility does not shield economies from credit reversals but can help mitigate the intensity of the decline. The paper highlights the need for complementary macro-prudential policies to address the recovery puzzle and stabilize credit cycles. The findings are particularly relevant in the context of the recent shift in monetary policy in advanced economies, which has led to potential capital inflow reversals in emerging markets.