2016年-世界发展银行全球_Managing_Sudden_Stops_37页_845kb

Managing Sudden Stops: Summary

Core Content

This paper by Barry Eichengreen and Poonam Gupta analyzes the phenomenon of sudden stops in capital flows to emerging markets since 1991, with a focus on changes in their frequency, duration, and underlying causes over time. The authors aim to understand how emerging markets have been affected by sudden stops and how policy responses have evolved.

Main Points

• Definition of Sudden Stops: Sudden stops are defined as periods when capital inflows by nonresidents fall significantly below their average level, typically by at least one standard deviation, and persist for more than one quarter. The authors focus on portfolio flows and other flows (primarily loans and trade credits), as these are more volatile than FDI.

• Frequency and Duration: The frequency and duration of sudden stops have remained largely unchanged since 2002, with an average of 4 quarters per episode and an 8% annual frequency. The first subperiod (1991–2002) saw more regional clustering of sudden stops, while the second subperiod (2003–2014) showed more global synchronicity.

• Capital Flow Volatility: The magnitude of capital outflows during sudden stops has increased, with a swing of 3% of GDP per quarter. However, the "taper tantrum" of 2013 did not qualify as a sudden stop due to its short duration and smaller scale.

• Global vs. Domestic Factors: Global factors, such as global risk aversion (measured by the VIX), have become more significant in determining the occurrence of sudden stops. The probability of a sudden stop increases with a rise in the VIX, with a 1.2% increase in probability for a one standard deviation rise.

• Policy Responses:

  • Monetary Policy: In the second subperiod, more countries eased monetary policy rather than tightened it. This is attributed to reduced foreign currency mismatches and greater financial flexibility.
  • Fiscal Policy: In the first subperiod, countries more often tightened fiscal policy. This was due to larger budget deficits and the need to signal confidence to financial markets.
  • Capital Controls: Only a small number of countries altered capital controls, with no clear consensus on whether tightening or easing controls was more effective.
  • Exchange Rate Regimes: More countries in the first subperiod moved toward more flexible exchange rates, while this trend was less pronounced in the second subperiod.
  • IMF Programs: IMF programs were more commonly used in the first subperiod, often linked to structural reforms. In the second subperiod, self-advertised reforms were more common without IMF involvement.

• Economic Impact:

  • Financial Effects: Exchange rates depreciate, reserves decline, and equity prices fall during sudden stops.
  • Real Effects: GDP growth decelerates by about 4 percentage points in the first four quarters. The impact is similar across subperiods, though equity prices and real effective exchange rates show greater sensitivity in the second subperiod.

Key Findings

• The frequency and duration of sudden stops have not declined over time, despite improved domestic financial frameworks.
• Global factors have increasingly influenced sudden stops, particularly global risk aversion and external shocks.
• Policy responses have become more diverse and flexible, but they have not significantly mitigated the negative effects of sudden stops.
• IMF involvement has declined in the second subperiod, suggesting greater autonomy of emerging markets in managing capital flow reversals.
• Contagion effects have evolved from regional in the 1990s to global in the 2000s, reflecting the increased integration of global financial markets.

Conclusion

Despite progress in macroeconomic stability and financial flexibility, emerging markets remain vulnerable to sudden stops, which are increasingly driven by global factors. Policy responses have become more varied, but the output impact of sudden stops has not decreased, indicating that the challenge of managing capital flow volatility is still significant. The paper emphasizes the need for continued research and policy innovation to better address the risks and consequences of sudden stops in a globally interconnected financial system.