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首页> 外文期刊>Working Paper Series >MACROPRUDENTIAL FX REGULATIONS: SHIFTING THE SNOWBANKS OF FX VULNERABILITY?
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MACROPRUDENTIAL FX REGULATIONS: SHIFTING THE SNOWBANKS OF FX VULNERABILITY?

机译：宏观外汇监管：消除外汇脆弱性？

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摘要

Can macroprudential foreign exchange (FX) regulations on banks reduce the financial and macroeconomic vulnerabilities created by borrowing in foreign currency? To evaluate the effectiveness and unintended consequences of macroprudential FX regulations, we develop a parsimonious model of bank and market lending in domestic and foreign currency and derive four predictions. We confirm these predictions using a rich dataset of macroprudential FX regulations. These empirical tests show that FX regulationsi(l) are effective in terms of reducing borrowing in foreign currency by banks; (2) have the unintended consequence of simultaneously causing firms to increase FX debt issuance; (3) reduce the sensitivity of banks to exchange rate movements, but (4) are less effective at reducing the sensitivity of corporates and the broader financial market to exchange rate movements. As a result, FX regulations on banks appear to be successful in mitigating the vulnerability of banks to exchange rate movements and the global financial cycle, but partially shift the snowbank of FX vulnerability to other sectors.
机译：银行的宏观审慎外汇（FX）法规是否可以减少外币借贷造成的金融和宏观经济脆弱性？为了评估宏观审慎外汇法规的有效性和意想不到的后果，我们建立了本钱和外币银行和市场借贷的简化模型，并得出了四个预测。我们使用丰富的宏观审慎外汇监管数据集来确认这些预测。这些经验检验表明，外汇法规i（l）在减少银行外币借款方面是有效的； （2）具有同时导致企业增加外汇债务发行的意外后果； （3）降低银行对汇率变动的敏感性，但（4）在降低公司和整个金融市场对汇率变动的敏感性方面效果不佳。结果，有关银行的外汇法规似乎在减轻银行对汇率变动和全球金融周期的脆弱性方面取得了成功，但是将外汇脆弱性的雪堆部分转移到了其他部门。

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  • 来源
    《Working Paper Series》 |2018年第25083期|03CY01-03CY021-59|共61页
  • 作者

    Toni Ahnert; Kristin Forbes; Christian Friedrich; Dennis Reinhardt;

  • 作者单位

    Financial Studies Division Bank of Canada 234 Wellington St Ottawa, Ontario, K1A 0G9 CANADA;

    MIT Sloan School of Management 100 Main Street, E62-416 Cambridge, MA 02142 and CEPR and also NBER;

    Bank of Canada 234 Laurier Avenue West Ottawa, Ontario, K1AOG9 Canada;

    Bank of England, Threadneedle Street London EC2R 8AH;

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