2014年-IMF国际货币组织全球_Global_Financial_Shocks_and_Foreign_Asset_Repatriation_Do_Local_Investors_Play_a_Stabilizing_Role__31页_863kb

Summary of "Global Financial Shocks and Foreign Asset Repatriation: Do Local Investors Play a Stabilizing Role?"

Core Content

This paper investigates the dynamic response of net and gross capital flows to global financial shocks in emerging market economies (EMEs). It specifically examines the potential stabilizing role of local investors in offsetting the impact of these shocks on capital flows.

Main Viewpoints

• Global financial shocks have significant implications for capital flows to EMEs, particularly in terms of net capital flows and gross capital flows.
• The stabilizing role of local investors varies depending on the type of shock:
  • Global uncertainty shocks (measured by the VIX) lead to sizeable asset repatriation by local investors, which offsets the reduction in gross inflows, thus playing a meaningful stabilizing role.
  • Short-term U.S. interest rate shocks (e.g., changes in the Federal Funds rate) result in similar responses from both residents and non-residents, with moderate economic significance.
  • Long-term U.S. interest rate shocks (e.g., changes in the 10-year Treasury bond rate) also lead to capital outflows, but the offsetting effect of local investors is limited, resulting in non-trivial net capital outflows.
• The Fed's QE tapering is likely to have upward pressure on U.S. long-term interest rates, which could lead to significant capital outflows from EMEs, but local investors may partially offset this effect.

Key Information

Empirical Methodology

• The study employs a panel vector autoregressive (PVAR) model to analyze the dynamic responses of capital flows to global shocks.
• The model includes 38 EMEs over the period 1990Q1–2012Q4.
• The PVAR model is used to estimate impulse response functions, which help assess how capital flows react to different types of shocks.
• Variables include:
  • Global uncertainty (VIX)
  • U.S. short-term and long-term interest rates
  • U.S. GDP growth
  • Commodity prices
  • Net capital flows (NKF)
  • Gross capital inflows (GKI) and outflows (GKO)

Data and Analysis

• Data sources include the IMF’s Balance of Payments Statistics, World Economic Outlook, Haver Analytics, and the Federal Reserve Bank of Cleveland.
• The paper uses forward-looking inflation expectations to calculate real interest rates.
• Control variables such as U.S. GDP growth and commodity prices are included to isolate the effects of financial shocks.
• The Choleski decomposition is used to identify structural shocks, with a specific ordering of variables that reflects the exogeneity of global financial conditions relative to other variables.

Results

• Global uncertainty shocks lead to net capital outflows, but the magnitude is limited.
  • Gross inflows decrease significantly.
  • Local investors repatriate foreign assets, which offsets the decline in gross inflows.
• Short-term U.S. interest rate shocks lead to capital outflows from EMEs, but the stabilizing role of local investors is minimal.
• Long-term U.S. interest rate shocks (e.g., 10-year Treasury rate) result in larger net capital outflows.
  • Gross inflows decline significantly.
  • Local investors repatriate foreign assets, but this is not enough to fully offset the decline in gross inflows.

Extensions

• The stabilizing role of local investors is more pronounced in financially integrated economies.
  • Gross capital flows are more sensitive to shocks in these economies.
  • Asset repatriation by local investors is larger in more integrated economies, fully offsetting the drop in gross inflows.
• The impact of U.S. economic activity (e.g., GDP growth) is also examined, with positive effects on both net and gross capital flows, suggesting that real linkages may outweigh financial channel effects.

Conclusion

• The dynamic response of capital flows to global financial shocks is not uniform across EMEs.
• Local investors can partially offset the effects of global uncertainty and long-term interest rate shocks, but not short-term interest rate shocks.
• The stabilizing role of local investors is more significant in financially integrated economies.
• The results are robust across different model specifications and highlight the importance of understanding the behavior of local investors in the context of global financial shocks, especially as the Fed's QE tapering is expected to have wider implications for EMEs.

Key Takeaways

• Global uncertainty shocks are associated with significant repatriation of foreign assets by local investors.
• Short-term interest rate shocks lead to similar responses from both domestic and foreign investors, with limited stabilizing effect from local investors.
• Long-term interest rate shocks result in larger net capital outflows, with moderate repatriation by local investors.
• Financial integration enhances the stabilizing role of local investors, especially in response to global uncertainty and long-term interest rate shocks.
• The Fed's QE tapering is likely to have notable effects on EMEs, with local investors playing a limited but meaningful role in offsetting the impact.