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  1. Unstable Prosperity
    How Globalization Made the World Economy More Volatile
    Autor*in: Mendoza, Enrique G.; Quadrini, Vincenzo
    Erschienen: January 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    The sharp, secular decline in the world real interest rate of the past thirty years suggests that the surge in global demand for financial assets outpaced the growth in their supply. We argue that this phenomenon was driven by: (i) faster growth in... mehr

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    The sharp, secular decline in the world real interest rate of the past thirty years suggests that the surge in global demand for financial assets outpaced the growth in their supply. We argue that this phenomenon was driven by: (i) faster growth in emerging markets, (ii) changes in the financial structure of both emerging and advanced economies, and (iii) changes in demand and supply of public debt issued by advanced economies. We then show that the low-interest-rate environment made the world economy more vulnerable to financial crises. These findings are the quantitative predictions of a two-region model in which privately-issued financial assets (i.e., inside money) provide productive services but can be defaulted on

     
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    Schriftenreihe: NBER working paper series ; no. w30832
    Schlagworte: Internationaler Finanzmarkt; Realzins; Finanzsystem; Öffentliche Schulden; Internationale Staatsschulden; Wirkungsanalyse; Welt; International Lending and Debt Problems; Financial Aspects of Economic Integration; Macroeconomic Impacts; Finance
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  2. A Theory of Fear of Floating
    Autor*in: Bianchi, Javier; Coulibaly, Louphou
    Erschienen: January 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Many central banks whose exchange rate regimes are classified as flexible are reluctant to let the exchange rate fluctuate. This phenomenon is known as "fear of floating". We present a simple theory in which fear of floating emerges as an optimal... mehr

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    Many central banks whose exchange rate regimes are classified as flexible are reluctant to let the exchange rate fluctuate. This phenomenon is known as "fear of floating". We present a simple theory in which fear of floating emerges as an optimal policy outcome. The key feature of the model is an occasionally binding borrowing constraint linked to the exchange rate that introduces a feedback loop between aggregate demand and credit conditions. Contrary to the Mundellian paradigm, we show that a depreciation can be contractionary, and letting the exchange rate float can expose the economy to self-fulfilling crises

     
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    Schriftenreihe: NBER working paper series ; no. w30897
    Schlagworte: Flexibler Wechselkurs; Wechselkurspolitik; Wechselkurssystem; Financial Markets and the Macroeconomy; Monetary Policy; International Monetary Arrangements and Institutions; International Lending and Debt Problems; Financial Aspects of Economic Integration; Open Economy Macroeconomics; Macroeconomic Issues of Monetary Unions; Financial Crises
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  3. Sentiment, Productivity, and Economic Growth
    Autor*in: Kōnstantinidēs, Giōrgos; Montone, Maurizio; Potì, Valerio; Spilioti, Stella
    Erschienen: March 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Previous research finds correlation between sentiment and future economic growth, but disagrees on the channel that explains this result. In this paper, we shed new light on this issue by exploiting cross-country variation in sentiment and market... mehr

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    Previous research finds correlation between sentiment and future economic growth, but disagrees on the channel that explains this result. In this paper, we shed new light on this issue by exploiting cross-country variation in sentiment and market efficiency. We find that sentiment shocks in G7 countries increase economic activity, but only temporarily and without affecting productivity. By contrast, sentiment shocks in non-G7 countries predict prolonged economic growth and a corresponding increase in productivity. The results suggest that sentiment can indeed create economic booms, but only in less advanced economies where noisy asset prices make sentiment and fundamentals harder to disentangle

     
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    Schriftenreihe: NBER working paper series ; no. w31031
    Schlagworte: General; General; Financial Aspects of Economic Integration; Economic Growth of Open Economies
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  4. Global Risk, Non-Bank Financial Intermediation, and Emerging Market Vulnerabilities
    Autor*in: Chari, Anusha
    Erschienen: April 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Over the last two decades, the unprecedented increase in non-bank financial intermediation, particularly open-end mutual funds and ETFs, accounts for nearly half of the external financing flows to emerging markets exceeding cross-border lending by... mehr

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    Over the last two decades, the unprecedented increase in non-bank financial intermediation, particularly open-end mutual funds and ETFs, accounts for nearly half of the external financing flows to emerging markets exceeding cross-border lending by global banks. Evidence suggests that investment fund flows enhance risk-sharing across borders and provide emerging markets access to more diverse forms of financing. However, a growing body of evidence also indicates that investment funds are inherently more vulnerable to liquidity and redemption risks during periods of global financial market stress, increasing the volatility of capital flows to emerging markets. Benchmark-driven investments, namely passive funds, appear particularly sensitive to global risk shocks such as tightening US dollar funding conditions relative to their active fund counterparts. The procyclicality of investment fund flows to emerging markets during times of global stress poses financial stability concerns with implications for the role of macroprudential policy

     
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    Schriftenreihe: NBER working paper series ; no. w31143
    Schlagworte: Finanzintermediation; Investmentfonds; Internationaler Finanzmarkt; Investitionsentscheidung; Kapitalmobilität; Finanzkrise; Schwellenländer; International Investment; Long-Term Capital Movements; Current Account Adjustment; Short-Term Capital Movements; Financial Aspects of Economic Integration; Finance; Portfolio Choice; Investment Decisions; International Financial Markets; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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  5. Bound by Ancestors
    Immigration, Credit Frictions, and Global Supply Chain Formation
    Autor*in: Choi, Jaerim; Hyun, Jay; Park, Ziho
    Erschienen: April 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    This paper shows that the ancestry composition shaped by century-long immigration to the US can explain the current structure of global supply chain networks. Using an instrumental variable strategy, combined with a novel dataset that links... mehr

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    This paper shows that the ancestry composition shaped by century-long immigration to the US can explain the current structure of global supply chain networks. Using an instrumental variable strategy, combined with a novel dataset that links firm-to-firm global supply chain information with a US establishment database and historical migration data, we find that the co-ethnic networks formed by immigration have a positive causal impact on global supply chain relationships between foreign countries and US counties. Such a positive impact not only exists in conventional supplier-customer relationships but also extends to strategic partnerships and trade in services. Examining the causal mechanisms, we find that the positive impact is stronger for counties in which more credit-constrained firms are located and that such a stronger effect becomes even more pronounced for foreign firms located in countries with weak contract enforcement. Collectively, the results suggest that co-ethnic networks serve as social collateral to overcome credit constraints and facilitate global supply chain formation

     
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    Schriftenreihe: NBER working paper series ; no. w31157
    Schlagworte: Globale Wertschöpfungskette; Lieferkette; Internationale Migration; Migranten; Soziales Netzwerk; Kredit; USA; Empirical Studies of Trade; International Migration; Financial Aspects of Economic Integration; General; General; Geographic Labor Mobility; Immigrant Workers; Transactional Relationships; Contracts and Reputation; Networks
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  6. Stress Relief?
    Funding Structures and Resilience to the Covid Shock
    Autor*in: Forbes, Kristin; Friedrich, Christian; Reinhardt, Dennis
    Erschienen: May 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    This paper explores the relationship between different funding structures--including the source, instrument, currency, and counterparty location of funding--and the extent of financial stress experienced in different countries and sectors during the... mehr

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    This paper explores the relationship between different funding structures--including the source, instrument, currency, and counterparty location of funding--and the extent of financial stress experienced in different countries and sectors during the sharp risk-off shock in early 2020 when Covid-19 spread globally. We measure financial stress using a new dataset on changes in credit default swap spreads for sovereigns, banks, and corporates. Then we use country-sector and country-sector-time panels to assess how different funding structures are related to financial stress. A higher share of funding from non-bank financial institutions (NBFIs) or in US dollars was correlated with significantly greater stress, while a higher share of funding in debt instruments (instead of loans) or cross-border (instead of domestically) was not significantly related to financial stress. The results suggest that macroprudential regulations should broaden their current focus to take into account exposures to NBFI and dollar funding, with less priority for regulations focused on residency (i.e., capital controls). After the sharp increase in financial stress in early 2020, policy responses targeting these structural vulnerabilities (i.e., US$ swap lines and focused on NBFIs) were more effective at mitigating stress related to these funding structures than policies supporting banks, even after controlling for macroeconomic policy responses

     
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  7. Safe asset demand, global capital flows and wealth concentration
    Autor*in: Kim, Taehoon
    Erschienen: October 2021
    Verlag:  International Monetary Fund, [Washington, D.C.]

    The US economy is often referred to as the "banker to the world," due to its unique role in supplying global reserve assets and funding foreign risky investment. This paper develops a general equilibrium model to analyze and quantify the contribution... mehr

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    The US economy is often referred to as the "banker to the world," due to its unique role in supplying global reserve assets and funding foreign risky investment. This paper develops a general equilibrium model to analyze and quantify the contribution of this role to rising wealth concentration among American households. I highlight the following points: 1) financial globalization raises wealth inequality in a financially-developed economy initially due to foreign capital pressing up domestic asset prices; 2) much of this increase is transitory and can be reversed as future expected returns on domestic assets fall; and 3) despite the low-interest-rate environment, newly accessed foreign capital provides incentives for affluent households to reallocate wealth toward risky assets while impoverished households increase their debt. Wealth concentration ensues only if this rebalancing effect is large enough to counteract diminished return on domestic assets. Quantitative analysis suggests that global financial integration alone can account for a third to a half of the observed increase in the current top one percent wealth share in the US, but indicates a possible reversal in the future

     
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    ISBN: 9781589066939
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    Schriftenreihe: IMF working paper ; WP/21, 254
    Schlagworte: Global capital flows; Financial integration; Safe asset; Wealth inequality; Financial Aspects of Economic Integration; Financial Markets and The Macroeconomy; Macroeconomics; Open Economy Macroeconomics; Saving; Wealth
    Umfang: 1 Online-Ressource (circa 84 Seiten), Illustrationen
  8. Preemptive policies and risk-off shocks in emerging markets
    Autor*in: Das, Mitali; Gopinath, Gita; Kalemli-Ozcan, Sebnem
    Erschienen: 2022 JAN
    Verlag:  International Monetary Fund, [Washington, D.C.]

    We show that "preemptive" capital flow management measures (CFM) can reduce emerging markets and developing countries' (EMDE) external finance premia during risk-off shocks, especially for vulnerable countries. Using a panel dataset of 56 EMDEs... mehr

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    We show that "preemptive" capital flow management measures (CFM) can reduce emerging markets and developing countries' (EMDE) external finance premia during risk-off shocks, especially for vulnerable countries. Using a panel dataset of 56 EMDEs during 1996-2020 at monthly frequency, we document that countries with preemptive policies in place during the five year window before risk-off shocks experienced relatively lower external finance premia and exchange rate volatility during the shock compared to countries which did not have such preemptive policies in place. We use the episodes of Taper Tantrum and COVID-19 as risk-off shocks. Our identification relies on a difference-in-differences methodology with country fixed effects where preemptive policies are ex-ante by construction and cannot be put in place as a response to the shock ex-post. We control the effects of other policies, such as monetary policy, foreign exchange interventions (FXI), easing of inflow CFMs and tightening of outflow CFMs that are used in response to the risk-off shocks. By reducing the impact of risk-off shocks on countries' funding costs and exchange rate volatility, preemptive policies enable countries' continued access to international capital markets during troubled times

     
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    ISBN: 9781616358341
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    Schriftenreihe: Working paper / International Monetary Fund ; WP/22, 3
    Schlagworte: Preemptive policies; UIP; external finance premia; risk-off shocks; FX debt; Financial Aspects of Economic Integration; Foreign Exchange; International Economics; International Lending and Debt Problems; Macroeconomics and Monetary Economics
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  9. Global Liquidity
    Drivers, Volatility and Toolkits
    Autor*in: Goldberg, Linda S.
    Erschienen: June 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Global liquidity refers to the volumes of financial flows - largely intermediated through global banks and non-bank financial institutions - that can move at relatively high frequencies across borders. The amplitude of responses to global conditions... mehr

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    Global liquidity refers to the volumes of financial flows - largely intermediated through global banks and non-bank financial institutions - that can move at relatively high frequencies across borders. The amplitude of responses to global conditions like risk sentiment, discussed in the context of the global financial cycle, depends on the characteristics and vulnerabilities of the institutions providing funding flows. Evidence from across empirical approaches and using granular data provides policy-relevant lessons. International spillovers of monetary policy and risk sentiment through global liquidity evolve in response to regulation, the characteristics of financial institutions, and actions of official institutions around liquidity provision. Strong prudential policies in the home countries of global banks and official facilities reduce funding strains during stress events. Country-specific policy challenges, summarized by the monetary and financial trilemmas, are partially alleviated. However, risk migration across types of financial intermediaries underscores the importance of advancing regulatory agendas related to non-bank financial institutions

     
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  10. Risk-On Risk-Off
    A Multifaceted Approach to Measuring Global Investor Risk Aversion
    Autor*in: Chari, Anusha; Stedman, Karlye Dilts; Lundblad, Christian
    Erschienen: November 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global investor risk aversion. Our high-frequency RORO index captures time-varying investor risk appetite across multiple dimensions: advanced... mehr

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    This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global investor risk aversion. Our high-frequency RORO index captures time-varying investor risk appetite across multiple dimensions: advanced economy credit risk, equity market volatility, funding conditions, and currency dynamics. The index exhibits risk-off skewness and pronounced fat tails, suggesting its amplifying potential for extreme, destabilizing events. Compared with the conventional VIX measure, the RORO index reflects the multifaceted nature of risk, underscoring the diverse provenance of investor risk sentiment. Practical applications of the RORO index highlight its significance for international portfolio reallocation and return predictability

     
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    Sprache: Englisch
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    Schriftenreihe: NBER working paper series ; no. w31907
    Schlagworte: Kapitalmobilität; Auslandsinvestition; Anlageverhalten; Risikoaversion; Kreditrisiko; Währungsrisiko; Internationales Finanzsystem; Indexberechnung; International Investment; Long-Term Capital Movements; Foreign Exchange; Financial Aspects of Economic Integration; Portfolio Choice; Investment Decisions; International Financial Markets; Financial Forecasting and Simulation
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  11. Natural and Neutral Real Interest Rates
    Past and Future
    Autor*in: Obstfeld, Maurice
    Erschienen: December 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    This paper surveys the decline in real interest rates in advanced and emerging economies over the past several decades, linking that process to a range of global factors that have operated with different force in different periods. The paper argues... mehr

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    This paper surveys the decline in real interest rates in advanced and emerging economies over the past several decades, linking that process to a range of global factors that have operated with different force in different periods. The paper argues that estimates of long-run equilibrium real rates (r̄) may not always furnish an accurate guide to the rate appropriate for short-term monetary policy (r*). It argues further that effective monetary should consider not only equilibrium in the market for domestic goods, but also the current account balance, financial conditions (including capital flows), and imperfect policy credibility. Equilibrium long-term real interest rates have risen recently according to market indicators. However, the main underlying factors that have pushed real interest rates down since the 1980s and 1990s - notably demographic shifts, lower productivity growth, corporate market power, and safe asset demand relative to supply - do not appear poised to reverse strongly enough to drive a big and durable rise in global real interest rates over the coming years. Low equilibrium interest rates may well continue periodically to bedevil monetary policy and financial stability

     
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    Schriftenreihe: NBER working paper series ; no. w31949
    Schlagworte: Realzins; Schätzung; Geldpolitik; Theorie; Welt; Interest Rates: Determination, Term Structure, and Effects; Financial Markets and the Macroeconomy; Monetary Policy; Financial Aspects of Economic Integration; General, International, or Comparative
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  12. Preemptive policies and risk-off shocks in emerging markets
    Autor*in: Das, Mitali; Gopinath, Gita; Kalemli-Ozcan, Sebnem
    Erschienen: 2022 JAN
    Verlag:  International Monetary Fund, [Washington, D.C.]

    We show that "preemptive" capital flow management measures (CFM) can reduce emerging markets and developing countries' (EMDE) external finance premia during risk-off shocks, especially for vulnerable countries. Using a panel dataset of 56 EMDEs... mehr

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    We show that "preemptive" capital flow management measures (CFM) can reduce emerging markets and developing countries' (EMDE) external finance premia during risk-off shocks, especially for vulnerable countries. Using a panel dataset of 56 EMDEs during 1996-2020 at monthly frequency, we document that countries with preemptive policies in place during the five year window before risk-off shocks experienced relatively lower external finance premia and exchange rate volatility during the shock compared to countries which did not have such preemptive policies in place. We use the episodes of Taper Tantrum and COVID-19 as risk-off shocks. Our identification relies on a difference-in-differences methodology with country fixed effects where preemptive policies are ex-ante by construction and cannot be put in place as a response to the shock ex-post. We control the effects of other policies, such as monetary policy, foreign exchange interventions (FXI), easing of inflow CFMs and tightening of outflow CFMs that are used in response to the risk-off shocks. By reducing the impact of risk-off shocks on countries' funding costs and exchange rate volatility, preemptive policies enable countries' continued access to international capital markets during troubled times

     
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    ISBN: 9781616358341
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    Schriftenreihe: Working paper / International Monetary Fund ; WP/22, 3
    Schlagworte: Preemptive policies; UIP; external finance premia; risk-off shocks; FX debt; Financial Aspects of Economic Integration; Foreign Exchange; International Economics; International Lending and Debt Problems; Macroeconomics and Monetary Economics
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  13. Safe asset demand, global capital flows and wealth concentration
    Autor*in: Kim, Taehoon
    Erschienen: October 2021
    Verlag:  International Monetary Fund, [Washington, D.C.]

    The US economy is often referred to as the "banker to the world," due to its unique role in supplying global reserve assets and funding foreign risky investment. This paper develops a general equilibrium model to analyze and quantify the contribution... mehr

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    The US economy is often referred to as the "banker to the world," due to its unique role in supplying global reserve assets and funding foreign risky investment. This paper develops a general equilibrium model to analyze and quantify the contribution of this role to rising wealth concentration among American households. I highlight the following points: 1) financial globalization raises wealth inequality in a financially-developed economy initially due to foreign capital pressing up domestic asset prices; 2) much of this increase is transitory and can be reversed as future expected returns on domestic assets fall; and 3) despite the low-interest-rate environment, newly accessed foreign capital provides incentives for affluent households to reallocate wealth toward risky assets while impoverished households increase their debt. Wealth concentration ensues only if this rebalancing effect is large enough to counteract diminished return on domestic assets. Quantitative analysis suggests that global financial integration alone can account for a third to a half of the observed increase in the current top one percent wealth share in the US, but indicates a possible reversal in the future

     
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    ISBN: 9781589066939
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    Schriftenreihe: IMF working paper ; WP/21, 254
    Schlagworte: Global capital flows; Financial integration; Safe asset; Wealth inequality; Financial Aspects of Economic Integration; Financial Markets and The Macroeconomy; Macroeconomics; Open Economy Macroeconomics; Saving; Wealth
    Umfang: 1 Online-Ressource (circa 84 Seiten), Illustrationen