Journal of International Economics2023年第3期?

——更多動態(tài)，請關(guān)注gzh：理想主義的百年孤獨

Fickle emerging market flows, stable euros, and the dollar risk factor

變幻無常的新興市場資金流動、穩(wěn)定的歐元以及美元風險因素

Martijn A. Boermans, John D. Burger

Policymakers fear the destabilizing impact of fickle global investors on emerging markets. Euro area investors are significant participants in emerging bond markets and exhibit volatile flows, but their fickleness does not result in indiscriminate periods of surge and flight. Employing granular data, we discern important investor differentiation by currency denomination and issuer-level risk factors. First, euro area investors exhibit a home currency bias leading to both strong cross-sectional preference and more stable flows to EUR-denominated bonds over time. Second, volatile flows to USD and local-currency-denominated bonds are robustly related to global risk factors including the broad dollar. Investors differentiate among USD-denominated bonds such that flows to currency mismatched (and less creditworthy) sovereigns and corporates are more sensitive to the broad dollar. In contrast, local currency bond investors appear primarily concerned with currency rather than issuer-specific credit risk.

政策制定者擔心變化無常的全球投資者會對新興市場造成不穩(wěn)定的影響。歐元區(qū)投資者是新興債券市場的重要參與者，他們的資金流動不穩(wěn)定，但他們的反復(fù)無常并沒有導(dǎo)致不加區(qū)分的上漲和下跌。利用細粒度數(shù)據(jù)，我們通過貨幣面額和發(fā)行者級別的風險因素來辨別重要的投資者差異。首先，歐元區(qū)投資者表現(xiàn)出對本國貨幣的偏好，隨著時間的推移，這導(dǎo)致了對歐元計價債券的強烈偏好和更穩(wěn)定的流動。其次，流向美元和本幣計價債券的波動與包括廣義美元在內(nèi)的全球風險因素密切相關(guān)。投資者對以美元計價的債券進行了區(qū)分，這使得資金流向貨幣不匹配(且信用較差)的主權(quán)國家和企業(yè)，對廣義美元匯率更為敏感。相比之下，以本幣計價的債券投資者似乎主要關(guān)心的是匯率，而不是發(fā)行者特有的信用風險。

The macro-financial effects of international bank lending on emerging markets

國際銀行貸款對新興市場的宏觀金融影響

I?aki Aldasoro, Paula Beltrán, Federico Grinberg, Tommaso Mancini-Griffoli

We provide novel empirical evidence on the effects of cross-border bank lending on emerging market economies' (EMEs) macro-financial conditions. We identify causal effects by leveraging the heterogeneity in the size distribution of bilateral cross-border bank lending to construct granular instrumental variables for aggregate cross-border bank lending to 22 EMEs. Cross-border bank credit causes higher domestic activity in EMEs and looser financial conditions. Financial condition indices ease, nominal and real effective exchange rates appreciate, sovereign and corporate spreads narrow, domestic interest rates fall, and housing prices increase. Similarly, real domestic credit grows, real GDP expands, and imports rise. Using a simple model, we motivate our instrument and show how commonly used instruments that correlate with global financial conditions (e.g. the global financial cycle) can yield biased estimates. We find empirical evidence of an amplification bias, which is consistent with the prominent role of global risk perceptions and international risk spillovers.

我們?yōu)榭缇炽y行貸款對新興市場經(jīng)濟體宏觀金融狀況的影響提供了新的經(jīng)驗證據(jù)。我們通過利用雙邊跨境銀行貸款規(guī)模分布的異質(zhì)性來確定因果效應(yīng)，為22個新興市場國家的跨境銀行貸款總量構(gòu)建細粒度工具變量?？缇炽y行信貸導(dǎo)致新興市場國家的國內(nèi)活動增加，金融狀況更加寬松。金融狀況指數(shù)放松，名義和實際有效匯率升值，主權(quán)和公司息差收窄，國內(nèi)利率下降，房價上漲。同樣，國內(nèi)實際信貸增長，實際GDP擴張，進口增加。通過一個簡單的模型，我們激勵了我們的工具，并展示了與全球金融狀況(例如全球金融周期)相關(guān)的常用工具如何產(chǎn)生有偏差的估計。我們發(fā)現(xiàn)了放大偏差的經(jīng)驗證據(jù)，這與全球風險認知和國際風險溢出的突出作用是一致的。

Liquidity risk, market power and the informational effects of policy

流動性風險、市場力量和政策的信息效應(yīng)

Grégory Claeys, Chara Papioti, Andreas Tryphonides

Using a structural approach, we combine bidding data from open market operations with macroeconomic information to recover the latent distribution of liquidity risk across financial institutions in Chile and how it is affected by policy. We find that unanticipated shocks to foreign reserve accumulation and interest rates have significant effects on aggregate beliefs about a liquidity shock in the near future. We demonstrate that accounting for market power is important for measuring the strength of this informational channel of macroeconomic policy.

使用結(jié)構(gòu)方法，我們將公開市場操作的競價數(shù)據(jù)與宏觀經(jīng)濟信息結(jié)合起來，以恢復(fù)智利金融機構(gòu)流動性風險的潛在分布，以及它如何受到政策的影響。我們發(fā)現(xiàn)，對外匯儲備積累和利率的意外沖擊對近期流動性沖擊的總體信念有顯著影響。我們證明，考慮市場力量對于衡量宏觀經(jīng)濟政策信息渠道的強度是重要的。

Sequentially exporting products across countries

依次向世界各地出口產(chǎn)品

Facundo Albornoz, Héctor F. Calvo Pardo, Gregory Corcos, Emanuel Ornelas

Exploiting disaggregated data on French exporters, we show that firms expand their product scope and geographical presence sequentially. This process of internationalization is uneven over time, exhibiting more volatility early than later in the life cycle of exporters. Specifically, young exporters are particularly likely to exit, and if they keep exporting, to expand at the intensive and sub-extensive margins, doing so by widening product scope within a destination before entering new destinations. We also find that firms' core products are particularly resilient despite being used to “test the waters” when entering additional countries. Existing models of firm export dynamics are not designed to explain these empirical regularities. We argue that they can be rationalized by a mechanism where new exporters are uncertain about the profitability of their products in different markets, but learn from their initial export experiences and then adjust their sales, number of products and destination countries accordingly.

利用法國出口商的分類數(shù)據(jù)，我們發(fā)現(xiàn)企業(yè)依次擴大其產(chǎn)品范圍和地理分布。隨著時間的推移，這一國際化進程是不均衡的，在出口商的生命周期中，早期比后期表現(xiàn)出更大的波動性。具體來說，年輕的出口商尤其有可能退出，如果他們繼續(xù)出口，就會在密集和次粗放型利潤率上進行擴張，在進入新的目的地之前擴大目的地的產(chǎn)品范圍。我們還發(fā)現(xiàn)，盡管企業(yè)的核心產(chǎn)品在進入其他國家時被用來“試水”，但它們的彈性特別大?，F(xiàn)有的企業(yè)出口動態(tài)模型并不能解釋這些經(jīng)驗規(guī)律。我們認為，可以通過一種機制使其合理化，即新的出口商不確定其產(chǎn)品在不同市場的盈利能力，但從最初的出口經(jīng)驗中吸取教訓(xùn)，然后相應(yīng)地調(diào)整其銷售額、產(chǎn)品數(shù)量和目的地國家。

Asset purchase bailouts and endogenous implicit guarantees

資產(chǎn)購買救助和內(nèi)生隱性擔保

Eric Mengus

This paper provides a theory of endogenous implicit guarantees on risky assets, in which a government’s bailouts take the form of asset purchases to alleviate asymmetric information on private liquidity needs. As a result of asymmetric information, direct transfers to agents are imperfect so that, when more constrained agents are also more exposed to a given asset, asset purchases by the government are optimal. When anticipated, this form of bailouts leads to an endogenous implicit guarantee premium so that otherwise risky assets can be traded as if there are risk-free. This possibility of implicit guarantee is amplified by other financial frictions such as risk-shifting. Finally, I show how this form of bailouts can shed light on the buildup of the euro area's sovereign debt crisis.

本文提出了風險資產(chǎn)的內(nèi)生隱性擔保理論，即政府救助采取資產(chǎn)購買的形式來緩解私人流動性需求的信息不對稱。由于信息不對稱，直接向代理的轉(zhuǎn)移是不完美的，因此，當更多約束的代理也更多地暴露于給定資產(chǎn)時，政府購買資產(chǎn)是最優(yōu)的。在預(yù)期的情況下，這種形式的救助會導(dǎo)致內(nèi)生的隱性擔保溢價，這樣，原本存在風險的資產(chǎn)就可以像無風險資產(chǎn)一樣進行交易。風險轉(zhuǎn)移等其他金融摩擦放大了這種隱性擔保的可能性。最后，我將說明這種形式的救助如何能夠揭示歐元區(qū)主權(quán)債務(wù)危機的累積。

Real interest rates and productivity in small open economies

小型開放經(jīng)濟體的實際利率和生產(chǎn)率

Tommaso Monacelli, Luca Sala, Daniele Siena

We construct factor utilization-adjusted measures of aggregate TFP for a sample of advanced (AEs) and emerging market small open economies (EMEs). We estimate the effects of real interest rate shocks on TFP and GDP using structural VARs. The results are starkly different in the two groups of countries. While TFP is pro-cyclical in both sets of countries, lower real interest rates - a proxy for capital inflows - lead to productivity booms in EMEs, whereas they lead to a contraction in productivity in AEs.

我們以發(fā)達經(jīng)濟體(AEs)和新興市場小型開放經(jīng)濟體(EMEs)為樣本，構(gòu)建了經(jīng)要素利用調(diào)整的總TFP指標。我們使用結(jié)構(gòu)var來估計實際利率沖擊對TFP和GDP的影響。兩組國家的結(jié)果截然不同。盡管TFP在這兩個國家都是順周期的，但較低的實際利率(資本流入的代表)會導(dǎo)致新興市場的生產(chǎn)率激增，而在新興市場會導(dǎo)致生產(chǎn)率收縮。

China's dazzling transport-infrastructure growth: Measurement and effects

中國令人眼花繚亂的交通基礎(chǔ)設(shè)施增長:衡量和影響

Peter H. Egger, Gabriel Loumeau, Nicole Loumeau

We document an unprecedented change in the size and the quality of China's transport-infrastructure network between 2000 and 2013 based on hand-collected and digitized data on roads and railways. The changes are summarized and portrayed as shortest-possible transport times of people and goods between 330 prefectures of mainland China. A quantitative model of China's prefectures and a Rest of the World, featuring both goods trade and migration, suggests that the transport-infrastructure changes induced regional convergence of lagging-behind prefectures in terms of population density and, to a lesser extent, of real per-capita income. Not only changes in highway and high-speed-railway networks but also ones in lower-level road and railway networks are quantitatively important.

基于人工收集和數(shù)字化的公路和鐵路數(shù)據(jù)，我們記錄了2000年至2013年間中國交通基礎(chǔ)設(shè)施網(wǎng)絡(luò)的規(guī)模和質(zhì)量發(fā)生的前所未有的變化。這些變化被概括和描述為中國大陸330個州之間的人員和貨物運輸時間盡可能短。一個以商品貿(mào)易和移民為特征的中國地級市和世界其他地區(qū)的定量模型表明，交通基礎(chǔ)設(shè)施的變化導(dǎo)致了落后地級市在人口密度和實際人均收入(在較小程度上)方面的區(qū)域趨同。不僅是高速公路和高鐵路網(wǎng)的變化，下級公路和鐵路網(wǎng)的變化在數(shù)量上也很重要。

Exchange rate policy and heterogeneity in small open economies

小型開放經(jīng)濟體的匯率政策與異質(zhì)性

Aleksei Oskolkov

This paper studies the role of exchange rate regimes in shaping the distributional effects of external monetary shocks. I model a small open economy where agents differ in wealth and in exposure to international trade, producing either tradable or non-tradable goods. The central bank responds to a foreign interest rate hike by a monetary tightening to stabilize the exchange rate or lets the currency depreciate, keeping the interest rate low. I find that exchange rate flexibility distributes consumption gains to the poorer agents. The monetary tightening required to stabilize the currency disproportionately affects their disposable income through interest payments on loans and falling wages. Attempts to fix the exchange rate increase consumption inequality. Flexibility also benefits the non-tradable sector because conditions in this sector are more sensitive to domestic demand and sharply deteriorate when domestic interest rates rise.

本文研究了匯率制度在形成外部貨幣沖擊的分配效應(yīng)方面的作用。我建立了一個小型開放經(jīng)濟模型，在這個模型中，各主體的財富和對國際貿(mào)易的敞口不同，生產(chǎn)可貿(mào)易或不可貿(mào)易的商品。中央銀行對外國利率上升的反應(yīng)是貨幣緊縮以穩(wěn)定匯率或讓貨幣貶值，保持低利率。我發(fā)現(xiàn)，匯率靈活性將消費收益分配給較貧窮的代理人。穩(wěn)定貨幣所需的貨幣緊縮，通過支付貸款利息和工資下降，對他們的可支配收入造成了不成比例的影響。試圖固定匯率會加劇消費不平等。靈活性也有利于非貿(mào)易部門，因為該部門的情況對國內(nèi)需求更為敏感，一旦國內(nèi)利率上升，情況就會急劇惡化。

Banking across borders with heterogeneous banks

與異質(zhì)銀行進行跨境銀行業(yè)務(wù)

Friederike Niepmann

This paper develops a model of banking across borders where banks differ in their efficiencies. Operating abroad allows the most efficient banks that have a large enough scale to overcome the associated fixed costs to increase their leverage, size and profits even more. Banking globalization increases welfare because these banks, by maximizing the return on loans and minimizing funding costs, improve the allocation of capital by channeling capital across borders. At the same time, global banking sector efficiency increases because the least efficient banks exit. Foreign exposures data for German banks deliver new model-derived stylized facts. In particular, the average efficiency of banks that operate abroad is lower for host countries that have a less efficient banking sector, are larger and feature lower impediments to foreign bank entry.

本文開發(fā)了一個銀行效率不同的跨國銀行模型。在海外經(jīng)營可以讓那些最有效率、規(guī)模足夠大的銀行克服相關(guān)的固定成本，從而進一步提高杠桿率、規(guī)模和利潤。銀行業(yè)全球化增加了福利，因為這些銀行通過最大化貸款回報和最小化融資成本，通過跨境輸送資本來改善資本配置。與此同時，由于效率最低的銀行退出，全球銀行業(yè)的效率提高了。德國銀行的外國風險敞口數(shù)據(jù)提供了新的模型衍生的程式化事實。特別是，對于銀行部門效率較低、規(guī)模較大且外資銀行進入障礙較低的東道國來說，在海外經(jīng)營的銀行的平均效率較低。

Selection effects, inequality, and aggregate gains from trade

選擇效應(yīng)、不平等和貿(mào)易的總收益

Sergey Nigai

This paper argues that the cost of trade-induced inequality in terms of aggregate gains from trade is decreasing with globalization. I use a general equilibrium model of trade and show that at low levels of trade openness, a 1% point increase in real per capita income due to higher trade is associated with percentage point increases of 0.5, 0.85, and 0.92 in the Gini, Atkinson and Theil indices, respectively. These trade-offs, however, quickly decline upon opening up to trade and converge toward zero as trade barriers disappear. I find that at high levels of openness, more firms are exporters such that the elasticity of income inequality to reductions in trade costs converges to a constant, whereas the elasticity of average real income keeps increasing. Trade liberalization has positive marginal welfare effects for a wide range of social welfare function parameters. Existing taxation and redistributive policies can reinforce this relationship.

本文認為，就貿(mào)易總收益而言，貿(mào)易導(dǎo)致的不平等的成本正在隨著全球化而降低。我使用一般均衡貿(mào)易模型，證明在貿(mào)易開放程度較低的情況下，實際人均收入每增加1%，基尼指數(shù)、阿特金森指數(shù)和泰爾指數(shù)分別增加0.5、0.85和0.92個百分點。然而，這些權(quán)衡在貿(mào)易開放后迅速下降，并隨著貿(mào)易壁壘的消失而趨近于零。我發(fā)現(xiàn)，在高度開放的情況下，更多的企業(yè)是出口商，以至于收入不平等對貿(mào)易成本降低的彈性趨近于常數(shù)，而平均實際收入的彈性則不斷增加。在廣泛的社會福利函數(shù)參數(shù)范圍內(nèi)，貿(mào)易自由化具有正向的邊際福利效應(yīng)?，F(xiàn)有的稅收和再分配政策可以加強這種關(guān)系。

Bailout dynamics in a monetary union

貨幣聯(lián)盟中的救助動態(tài)

M.L. Kobielarz

The Eurozone bailouts consisted of credit lines with favorable lending conditions, equivalent to countries receiving implicit fiscal transfers. They are often interpreted as meant to prevent a default in the Eurozone or resolve the crisis. Contrary to this narrative, Greece defaulted on its debt and went through a deep and prolonged recession, despite receiving fiscal assistance. This paper analyzes country bailouts in a monetary union within a framework where sovereign default and exit from the union are two separate decisions. The studied bailouts prevent an exit and, thus, do not exclude subsequent defaults. The model replicates the experience of Greece and captures the coexistence of bailouts, defaults, and recession. It also sheds new light on the moral hazard discussion of bailouts by showing no significant effects from exit-driven bailouts.

歐元區(qū)的救助包括貸款條件有利的信貸額度，相當于各國接受隱性財政轉(zhuǎn)移。它們通常被解釋為旨在防止歐元區(qū)違約或解決危機。與這種說法相反的是，盡管希臘獲得了財政援助，但還是出現(xiàn)了債務(wù)違約，并經(jīng)歷了嚴重而長期的衰退。本文分析了貨幣聯(lián)盟框架下的國家救助，其中主權(quán)違約和退出聯(lián)盟是兩個獨立的決定。研究過的救助措施防止了退出，因此不排除隨后的違約。該模型復(fù)制了希臘的經(jīng)歷，捕捉到了救助、違約和衰退的共存。報告還顯示，退出驅(qū)動型紓困并未產(chǎn)生顯著影響，從而為有關(guān)紓困的道德風險討論提供了新的線索。