资金管理与金融风险管理-英文版.pptx

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1、International Finance:Managing Capital Flows and Financial RisksJoint CCER-World Bank Institute course July 16-20,Beijing,China1Capital Flow Volatility and Financial Risks:OverviewDr.Yan Wang,Senior EconomistManaging Capital Flows and Financial Risks,a CCER-WBI joint course July 16-20,Beijing,China2

2、Capital Flow Volatility&Financial RisksI.Rise and Fall of Capital FlowsCapital flow volatilityImplicit government guaranteesmarket failuresVolatility hurts growth and hurts the poor mostII.New issues in managing risksFiscal risks and govt contingent liabilitiesDerivatives and risks“Value at Risk”Ear

3、ly warning indicators Short term flows and crisesIII.Policy options to manage financial risks A spectrum of capital flow interventions Chile:reserve requirements for short term inflows:pros and cons Sound banking system and regulations:currency risk exposure and etc.Competition and corporate governa

4、nce crucial for market disciplineSummary3Global Integration and Capital Flow VolatilityGlobal Integration and Capital Flow Volatility4The rise and fall of international capital flows:The rise and fall of international capital flows:capital market flows are volatilecapital market flows are volatileSo

5、urce:GDF 2000.5Capital Flow Volatility:FDI is More StableCapital Flow Volatility:FDI is More StableSource:GDF,19996Large reversals in net private capital flowsLarge reversals in net private capital flows7Capital Flow Volatility is linked with Volatile GrowthCapital Flow Volatility is linked with Vol

6、atile GrowthRelationship between economic growth variability and volatility in private foreign capital flowsSource:Thomas et al“The Quality of Growth,”2000.81970-791980-841985-891990-9601020304050Number of episodesSystemic crisesSmaller crisesCapital Flow Volatility is linked with Frequency in Syste

7、mic Banking CrisesFrequent Banking Crisis9Banking Crises and aftermath are extremely costly Banking Crises and aftermath are extremely costly for the real economy:unfair burden for the poorfor the real economy:unfair burden for the poorHigh Cost of Banking Crises10Growth Volatility hurts the poor mo

8、stGrowth Volatility hurts the poor mostSource:Thomas et al“The Quality of Growth”,2000.11Financial Deepening in the Domestic Economy can Financial Deepening in the Domestic Economy can facilitate Economic Growth,however.facilitate Economic Growth,however.Source:Thomas et al“The Quality of Growth,120

9、00.12Capital Account Openness is negatively related with Capital Account Openness is negatively related with GDP GrowthGDP GrowthSource:Thomas et al“The Quality of Growth,”2000.13II.New Issues in managing risks:an overview of new topics in this courseFinancial and fiscal risks are linkedCapital flow

10、 volatility may lead to a rising government contingent liabilities Derivatives may lead to heightened systemic risks(see Steinherrs book)“Value at risk”method is importantEarly warning indicators of financial crisesShort term debt should be controlled,regulated,and monitored,carefully.14Fiscal cost

11、of banking crises,%of GDP15Derivatives may lead to heightened systemic risk:Derivatives may lead to heightened systemic risk:Markets have been growing rapidly,1991-1997Markets have been growing rapidly,1991-199716Value at Risk(VAR)is an important tool to measure risk“The Daily Earning at Risk for ou

12、r combined trading activities averaged approximately$15million”J.P.Morgan 1994 annual reportVAR summarizes the expected maximum loss(or worst loss)over a target horizon(day/month)within a given confidence interval.It allows us to estimate company-wide risks in one number and compare across different

13、 companies/marketsIt is now widely used in firms and banks.17Value at Risk(VAR):for general distribution and an exampleDefine W0 as initial investment,R rate of return,then at the end of the day/month,W=W0(1+R).Denote the expected return as and volatility of R as;and the lowest portfolio value at th

14、e given confidence level c as W*=W0(1+R*).VAR is defined as the dollar loss relative to the mean,Value at Risk(mean)=E(W)-W*=-W0(R*-)(1)J.P.Morgans distribution of daily revenue in 1994:Mean revenue is$5.1m,n=254.Select c=95%,254x5%=12.7.In the chart,we find the 5%of occurrences(15 obs)below-$9m.Aft

15、er interpolating,we find W*=-$9.6mThe VAR of daily revenues,relative to the mean isVAR=E(W)W*=$5.1m-(-$9.6m)=$14.7m(2)Absolute VAR=$9.6m18Short Term Capital Flows are Linked to Financial Fragility:Short Term Capital Flows are Linked to Financial Fragility:Short term debt/reserve ratios peaked before

16、 crisesShort term debt/reserve ratios peaked before crisesSource:GDF,199919Short Term Debt/Reserve Ratios are good Short Term Debt/Reserve Ratios are good warning indicators of financial fragility:It warning indicators of financial fragility:It peaked before the Peso crisispeaked before the Peso cri

17、sisSource:GDF,199920Short-term Debt as percent of international Short-term Debt as percent of international reserves:a liquidity indexreserves:a liquidity index21Short-term Debt as percent of international Short-term Debt as percent of international reserves:a good warning indicatorreserves:a good w

18、arning indicator22GDP growth and growth of short-term debt:GDP growth and growth of short-term debt:Pro-cyclical to growth and exacerbate boom/bustPro-cyclical to growth and exacerbate boom/bust23GDP growth and growth of short-term debt:GDP growth and growth of short-term debt:Pro-cyclical to growth

19、 and exacerbate crisesPro-cyclical to growth and exacerbate crises24III.Policy options to manage fiscal and financial risksA spectrum of capital flow interventionsChile:reserve requirements for short term inflows:pros and consPrudential fiscal policy and disciplinesDo not provide implicit guarantees

20、Sound banking system and regulations:regulate foreign currency exposureCompetition and corporate governance crucial for market disciplineSummary25Policy Options:Policy Options:A Spectrum of Capital Flow InterventionsA Spectrum of Capital Flow Interventions1.Financial Autarky2.Quantity Controls(All C

21、apital Inflows)3.Tax/Non-Remunerated Reserve Requirement(All Capital Inflows)4.Quantity Control on“Risky”Inflows5.Tax on“Risky”Inflow6.Remunerated Liquidity Requirements 7.Purchase Insurance(e.g:-Contingent Liquidity Facility)8.Other Risk Management Techniques(Asset/Liability Management)9.No Interve

22、ntion Reduce Capital InflowsChange Inflow CompositionSelf-InsuranceRisk Management1st.BestWorldNth.BestWorldIncreasingly Severe Intervention:Reduction in Benefits of Foreign Capital&Reduction in RisksSource:Powell,On Liquidity Requirements,Capital Controls and Risk Management:Some Theoretical Consid

23、erations and Practice from the Argentine Banking Sector,199926Policy Options:Market Based Capital Control for Policy Options:Market Based Capital Control for Short Term Inflows in ChileShort Term Inflows in ChileSource:Schmidt-Hebbel&Hernandez,Capital Controls in Chile:Effective?Efficient?Endurable?

24、,199927Chile and Malaysia:Two cases of Temporary Capital Chile and Malaysia:Two cases of Temporary Capital Controls for Short Term InflowsControls for Short Term InflowsSource:GDF 199928Chile:Short term capital inflows have been Chile:Short term capital inflows have been declining:URR is effectivede

25、clining:URR is effectiveSource:GDF 199929Malaysia:Short Term Capital Inflow declined Malaysia:Short Term Capital Inflow declined temporarilytemporarilySource:GDF 199930Pros and cons of Chiles URRPros and cons of Chiles URRProsProvide more room for the use of independent monetary policyled to a fall

26、in short term inflows,reducing Chiles indebtednesschanged the composition of capital inflows toward longer maturities,making Chile more resilient to shocksConsdid not affect the real exchange rateled to an inefficient allocation of resourcesled to higher short term interest rates,reducing investment and LT growthprovided incentive for tax evasion.31