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Transmission Channels of Global Liquidity in Emerging Market Economies

机译：新兴市场经济体中全球流动性的传导渠道

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摘要

I study the role of banks, exchange rates, and firms in the transmission of global liquidity in emerging market economies. This close examination comprises three chapters.;The first chapter investigates the importance of the bank leverage cycle in the propagation of exchange rate fluctuations. Emerging market economies can be sensitive to large currency depreciation because it may increase the default risk of firms that have their liabilities in foreign currency and assets in local currency. Since banks adjust their leverage based on the riskiness of borrowers, bank credit flows should inform us whether corporate balance sheets are affected by exchange rate fluctuations. Using country level differences in the foreign currency decomposition of bank claims, I construct an instrument to disentangle the effect of exchange rate fluctuations on bank loans. I find that a 1% real depreciation of the local currency causes a 1.36% reduction in foreign currency loans channeled by domestic banks. This significant response is however absent for direct loans by global banks. I explain this with a model that takes into account balance sheet differences of ultimate borrowers. Firms that borrow from domestic banks are more likely to be local firms subject to currency mismatch while firms that can borrow directly from global banks are multinational corporations with resources to hedge them against foreign currency fluctuations. The results have two major implications. First, the risk sensitive lending behavior of banks plays an important role in the propagation of exchange rate fluctuations. Second, policy makers should enforce domestic banks to monitor the foreign currency exposure of their clients more closely.;DSGE models have a shortfall in simulating the sensitive nature of emerging market economies to global financial conditions. The second chapter contributes on that aspect by providing a new theoretical mechanism that amplifies the effect of world interest rates. Moral hazard arises when corporate borrowers prefer investing in riskier projects when interest rates rise, which in turn influences the financial intermediary's willingness to lend. To the extent that world interest rates are transmitted to domestic interest rates, the lending behavior of the financial intermediary amplifies the effect of world interest rates. I empirically investigate this theoretical finding using a structural VAR. Results indicate that a global financial tightening is immediately followed by a drop in domestic bank credit while investment and output also decrease significantly, consistent with the amplification of global financial shocks induced by moral hazard.;After the Global Financial Crisis (GFC), three trends highlight international financial markets for emerging market economies, historically low term premium in the yield curve, the emerging corporate bond boom in foreign markets, and the stagnation of emerging market banks cross-border liabilities. The final and third chapter links these post GFC trends to US unconventional monetary policy in a theoretical framework. In addition, I investigate whether firm size matters in terms of sensitivity to this financial spillover. The model shows that, when the term premium of corporate bond yields rise, large firms divert their funding from foreign lenders to domestic banks, crowding small firms out of domestic bank credit markets. The evolution of small firms' share in the total bank credit for a sample of emerging market economies validate the findings of the model. Emerging market policymakers should therefore ease financing for small firms as the Fed and central banks of other advanced economies normalize the size of their balance sheet.
机译：我研究了银行，汇率和公司在新兴市场经济体中全球流动性传导中的作用。本章共分为三章。第一章探讨了银行杠杆周期在汇率波动传播中的重要性。新兴市场经济体可能会对大型货币贬值敏感，因为这可能会增加负债外币和资产以本币计值的公司的违约风险。由于银行会根据借款人的风险来调整杠杆率，因此银行信贷流量应告知我们公司资产负债表是否受到汇率波动的影响。利用银行债权的外币分解中的国家级差异，我构建了一种工具来消除汇率波动对银行贷款的影响。我发现，本币实际贬值1％会使国内银行提供的外币贷款减少1.36％。但是，全球银行的直接贷款缺乏这种重大反应。我用一个模型来解释这一点，该模型考虑了最终借款人的资产负债表差异。从国内银行借款的公司更有可能是当地公司，它们会遭受货币错配的影响，而可以直接从全球银行借款的公司则是拥有资源以对冲外汇波动的资源的跨国公司。结果有两个主要含义。首先，银行的风险敏感性贷款行为在汇率波动的传播中起着重要作用。其次，政策制定者应强制国内银行对客户的外汇敞口进行更密切的监测。DSGE模型在模拟新兴市场经济体对全球金融状况的敏感性方面存在不足。第二章通过提供一种扩大世界利率影响的新理论机制，在这方面做出了贡献。当企业借款人喜欢在利率上升时投资于风险较高的项目时，就会产生道德风险，这反过来又会影响金融中介机构的贷款意愿。在世界利率转换为国内利率的范围内，金融中介的借贷行为放大了世界利率的影响。我使用结构VAR对这一理论发现进行了实证研究。结果表明，全球金融紧缩后紧随其后的是国内银行信贷下降，而投资和产出也显着下降，这与道德风险引发的全球金融冲击加剧有关。;全球金融危机（GFC）之后，三种趋势重点介绍新兴市场经济体的国际金融市场，收益率曲线的历史低位溢价，国外市场新兴的公司债券热潮以及新兴市场银行的跨境债务停滞。最后一章和第三章在理论框架内将这些后全球金融危机趋势与美国非常规货币政策联系起来。此外，我研究了公司规模是否对这种财务溢出影响敏感。该模型显示，当公司债券收益率的期限溢价上升时，大公司会将其资金从外国贷方转移到国内银行，从而将小公司挤出国内银行信贷市场。新兴市场经济体样本中小企业在银行信贷总额中所占份额的演变证明了该模型的发现。因此，随着美联储和其他发达经济体的中央银行正常化其资产负债表规模，新兴市场政策制定者应放宽对小公司的融资。

著录项

  • 作者

    Kadirgan, Can.;

  • 作者单位

    University of California, Santa Cruz.;

  • 授予单位 University of California, Santa Cruz.;
  • 学科 Economics.;Finance.
  • 学位 Ph.D.
  • 年度 2018
  • 页码 124 p.
  • 总页数 124
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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