漫谈金融全球化课件

漫谈金融全球化魏尚进纯属个人观点,言责自负漫谈金融全球化魏尚进1漫谈金融全球化课件2文献小结:金融全球化,理论上好处一条接一条;费尽吃奶尽,实证的效果不妙也不巧.综述文章:Prasad,Rogoff,Wei,andKose,IMF,2003Kose,Prasad,Rogoff,andWei,2005(JEL?)文献小结:3TurkeyIndiaU.S.A.ChinaTurkeyIndiaU.S.A.China4BenefitsofFinancialIntegration:TheoryDirectChannelsEfficientinternationalallocationofcapitalForcapital-pooreconomies—lowercostofcapital,higherinvestmentSpilloversoftechnologicalandmanagerialexpertiseBenefitsofFinancialIntegrat5BenefitsofFinancialIntegration:TheoryIndirectChannelsDomesticfinancialsectordevelopmentSpecializationDiscipliningdeviceformacropoliciesBenefitsofFinancialIntegrat6BenefitsofFinancialIntegration:TheoryEffectsonVolatilityNostrongimplicationforoutputvolatilityConsumptionsmoothingviainternationalrisksharing=>LowerconsumptionvolatilityBenefitsofFinancialIntegrat7漫谈金融全球化课件8漫谈金融全球化课件9GrowthBenefitsofFinancialIntegration:EvidenceAbout20studiesofgrowtheffects Noeffect: 4 Mixed: 12 Positive: 4GrowthBenefitsofFinancialI10閾值效应(ThresholdEffect):政府缺良治,金融开放则危机增发百姓更吃苦;政府有良治,金融开放则投资增加生活有出路.例子:新加坡,香港阿根廷,刚果文献:Wei,2000;Alfaro,Kalemli-OzcanandVolosovych,2003;Klein,2005;ChinnandIto,2005.閾值效应(ThresholdEffect):11组合效应(CompositionEffect):国际银行贷款两刃刀,危机增加效率也难保;国际直接投资效果好,资本增加风险又减少.例子:中国vs.阿根廷文献:FrankelandRose;Kose,Prasad,Rogoff,andWei;FrankelandWei.组合效应(CompositionEffect):12ThecompositionhypothesisNotallcapitalflowsareequalFDIandmaybeportfolioinflowaremorebeneficialtogrowththandebtDesotoandReisen2001;Bekaert,Harvey,andLundblad,2005,JFEFDIisalsolessvolatilethaninternationalbankloans->MorerelianceonbankloansincreasesvulnerabilitytocurrencycrashesFrankelandRose,1996;FrankelandWei,2005ThecompositionhypothesisNot13Volatilityof(FDI/GDP)and(Loan/GDP)

(1980-2003,MeasuredbyStandardDeviation)

FDI/GDPLoan/GDPVolatilityof(FDI/GDP)and(L14Volatilityof(FDI/GDP)and(Loan/GDP)

(1980-2003,MeasuredbyCoefficientofVariation)FDI/GDPLoan/GDPVolatilityof(FDI/GDP)and(L15閾值效应

与组合效应:文献中提出为两个独立的解释两者是否可能是同一硬币的两面?魏尚进(2000,2001);魏尚进与武屹(2002)

CorruptionislinkedtoacompositionofcapitalinflowsawayfromFDIandtowardsbankloans.FeiraandMauro(2005): Higherinstitutionalquality->highershareof“equity-like”capitalflowsintotalforeignliabilities.閾值效应与组合效应:16反对意见:Albuqurque(2004JIE):worsecreditratingrelatedtomore(notless)FDI/totalinflows.即使成立,怎么知道是因果关系?反对意见:17迎击挑战:金融体制与其他政府良治指标对外来资本组合的影响可能不一.寻找工具变量来确认因果关系.迎击挑战:18金融体制与其他政府良治指标对外来资本组合的影响可能不一.鞠建东与魏尚进(2005),Caballero,Farhi,andGourinchas(2005):Lowfinancialdevelopment+LowK/Lratio->inwardFDI+capitaloutflow金融体制与其他政府良治指标对外来资本组合的影响可能不一.19寻找工具变量来确认因果关系.需要IVforcorruptionIVforfinancialinstitution寻找工具变量来确认因果关系.20腐败的工具变量:殖民成本

initialmortalityofEuropeancolonizers殖民过程代价高,政权掠夺又残暴;殖民容易象过桥,民众财产有担保.谁先想出?Acemoglu,Johnson&Robinson例子:非洲与澳洲墨西哥与加拿大腐败的工具变量:21金融体制的工具变量:法律体系的渊源(legalorigin)英美式的法律体系更多保护股权人债权人利益英美commonlaw,制约百姓也限当权;法西civillaw,表面公平实偏特权.谁先想出?

LaPorta,De-silanes,Shleifer&Vishny例子:美国与法国墨西哥与加拿大金融体制的工具变量:22注意:Settlermortalityandlegaloriginarenothighlycorrelated.注意:23实证结果:腐败越高,FDI的比重就越低(外国银行贷款的比重就越高).我2000的假说的确反映的是因果关系.金融体制优劣与外国银行贷款的比重无关系;但金融体制质量越低,FDI的比重可能更高.实证结果:24今后的研究工作刚才讨论了政府的良治程度怎么通过影响金融全球化的閾值效应来影响金融全球化的组合效应.也需知道金融全球化怎么影响政府的行为,包括向良治转变的改革.今后的研究工作刚才讨论了政府的良治程度怎么通过影响金融全球化25欲知结果,且听下回分解漫谈金融全球化课件26漫谈金融全球化魏尚进纯属个人观点,言责自负漫谈金融全球化魏尚进27漫谈金融全球化课件28文献小结:金融全球化,理论上好处一条接一条;费尽吃奶尽,实证的效果不妙也不巧.综述文章:Prasad,Rogoff,Wei,andKose,IMF,2003Kose,Prasad,Rogoff,andWei,2005(JEL?)文献小结:29TurkeyIndiaU.S.A.ChinaTurkeyIndiaU.S.A.China30BenefitsofFinancialIntegration:TheoryDirectChannelsEfficientinternationalallocationofcapitalForcapital-pooreconomies—lowercostofcapital,higherinvestmentSpilloversoftechnologicalandmanagerialexpertiseBenefitsofFinancialIntegrat31BenefitsofFinancialIntegration:TheoryIndirectChannelsDomesticfinancialsectordevelopmentSpecializationDiscipliningdeviceformacropoliciesBenefitsofFinancialIntegrat32BenefitsofFinancialIntegration:TheoryEffectsonVolatilityNostrongimplicationforoutputvolatilityConsumptionsmoothingviainternationalrisksharing=>LowerconsumptionvolatilityBenefitsofFinancialIntegrat33漫谈金融全球化课件34漫谈金融全球化课件35GrowthBenefitsofFinancialIntegration:EvidenceAbout20studiesofgrowtheffects Noeffect: 4 Mixed: 12 Positive: 4GrowthBenefitsofFinancialI36閾值效应(ThresholdEffect):政府缺良治,金融开放则危机增发百姓更吃苦;政府有良治,金融开放则投资增加生活有出路.例子:新加坡,香港阿根廷,刚果文献:Wei,2000;Alfaro,Kalemli-OzcanandVolosovych,2003;Klein,2005;ChinnandIto,2005.閾值效应(ThresholdEffect):37组合效应(CompositionEffect):国际银行贷款两刃刀,危机增加效率也难保;国际直接投资效果好,资本增加风险又减少.例子:中国vs.阿根廷文献:FrankelandRose;Kose,Prasad,Rogoff,andWei;FrankelandWei.组合效应(CompositionEffect):38ThecompositionhypothesisNotallcapitalflowsareequalFDIandmaybeportfolioinflowaremorebeneficialtogrowththandebtDesotoandReisen2001;Bekaert,Harvey,andLundblad,2005,JFEFDIisalsolessvolatilethaninternationalbankloans->MorerelianceonbankloansincreasesvulnerabilitytocurrencycrashesFrankelandRose,1996;FrankelandWei,2005ThecompositionhypothesisNot39Volatilityof(FDI/GDP)and(Loan/GDP)

(1980-2003,MeasuredbyStandardDeviation)

FDI/GDPLoan/GDPVolatilityof(FDI/GDP)and(L40Volatilityof(FDI/GDP)and(Loan/GDP)

(1980-2003,MeasuredbyCoefficientofVariation)FDI/GDPLoan/GDPVolatilityof(FDI/GDP)and(L41閾值效应

与组合效应:文献中提出为两个独立的解释两者是否可能是同一硬币的两面?魏尚进(2000,2001);魏尚进与武屹(2002)

CorruptionislinkedtoacompositionofcapitalinflowsawayfromFDIandtowardsbankloans.FeiraandMauro(2005): Higherinstitutionalquality->highershareof“equity-like”capitalflowsintotalforeignliabilities.閾值效应与组合效应:42反对意见:Albuqurque(2004JIE):worsecreditratingrelatedtomore(notless)FDI/totalinflows.即使成立,怎么知道是因果关系?反对意见:43迎击挑战:金融体制与其他政府良治指标对外来资本组合的影响可能不一.寻找工具变量来确认因果关系.迎击挑战:44金融体制与其他政府良治指标对外来资本组合的影响可能不一.鞠建东与魏尚进(2005),Caballero,Farhi,andGourinchas(2005):Lowfinancialdevelopment+LowK/Lratio->inwardFDI+capitaloutflow金融体制与其他政府良治指标对外来资本组合的影响可能不一.45寻找工具变量来确认因果关系.需要IVforcorruptionIVforfinancialinstitu