Journal of International Economics2022年第6期

Journal of International Economics2022年第6期

 

 

——更多动态，请持续关注gzh：理想主义的百年孤独

 

 

1.Sovereign spreads and the effects of fiscal austerity

主权债务利差和财政紧缩的影响

Diego Anzoategu

https://doi.org/10.1016/j.jinteco.2022.103658

I analyze the impact of austerity on sovereign spreads. To do so I propose a model with strategic sovereign default and nominal rigidities, where the government follows fiscal rules, which are estimated from data. I first study theoretical implications and find that austerity can increase sovereign spreads, or be self-defeating, only when the decrease in government spending is persistent and the economy is expected to be in a recession with high fiscal multipliers. I then calibrate the model and use it to predict what would have happened to spreads and economic activity if Spain had continued to follow its pre-2010 fiscal rule instead of switching to the austerity track. I find that, relative to the counter-factual, austerity decreased sovereign spreads and debt-to-GDP ratios. Overall, I find that the likelihood of self-defeating austerities depends on the magnitude of fiscal multipliers and fiscal policy, but it is generally low.

我分析了紧缩政策对主权利差的影响。为此，我提出了一个具有战略主权违约和名义刚性的模型，其中政府遵循根据数据估计的财政规则。我首先研究了理论含义，发现紧缩只会增加主权利差，或者弄巧成拙，只有当政府支出持续减少时，经济预计将陷入高财政乘数的衰退。然后，我校准了模型，并用它来预测如果西班牙继续遵循2010年之前的财政规则而不是转向紧缩轨道，利差和经济活动会发生什么。我发现，相对于反事实，紧缩降低了主权利差和债务与GDP的比率。总体而言，我发现自我挫败的紧缩的可能性取决于财政乘数和财政政策的规模，但总体上较低。

 

 

2.Macroprudential policy with leakages

存在漏洞的宏观审慎政策

Julien Bengui  Javier Bianchi

https://doi.org/10.1016/j.jinteco.2022.103659

We explore how imperfect regulation enforcement affects the design of optimal macroprudential policy. We study an open economy workhorse model of macroprudential regulation motivated by pecuniary externalities. Our analytical characterization shows that imperfect enforcement generates two opposing effects. While tighter regulation leads to higher borrowing by unregulated agents, a “leakage effect”, mitigating the increase in fragility calls for “squeezing” regulated agents further. Quantitative simulations show that, overall, a macroprudential policy that accounts for the leakages remains successful at mitigating the vulnerability to financial crises.

我们探讨了不完善的监管执行如何影响最优宏观审慎政策的设计。我们研究了以货币外部性为动机的宏观审慎监管的开放经济主力模型。我们的分析表征表明，不完美的执行会产生两种相反的效果。虽然更严格的监管导致不受监管的代理人增加借款，但“泄漏效应”，减轻脆弱性的增加要求进一步“挤压”受监管的代理人。定量模拟表明，总体而言，解释渗漏的宏观审慎政策在减轻金融危机的脆弱性方面仍然成功。

 

3.Reserve accumulation, growth and financial crises

储备积累、增长和金融危机

 

GianlucaBenigno  LucaFornaro  MartinWolf

https://doi.org/10.1016/j.jinteco.2022.103660

We present a model that reproduces two salient facts characterizing the international monetary system: Fast growing emerging countries i) run current account surpluses, ii) accumulate international reserves and receive net private inflows. We study a two-sector, tradable and non-tradable, small open economy. There is a growth externality in the tradable sector and agents have imperfect access to international financial markets. By accumulating foreign reserves, the government induces a real exchange rate depreciation and a reallocation of production towards the tradable sector that boosts growth. Financial frictions generate imperfect substitutability between private and public debt flows so that private agents do not perfectly offset the government policy. The possibility of using reserves to provide liquidity during crises amplifies the positive impact of reserve accumulation on growth. The optimal reserve management entails a fast rate of reserve accumulation, as well as higher growth and larger current account surpluses compared to the economy with no policy intervention.

我们提出了一个模型，再现了国际货币体系的两个突出事实：快速增长的新兴国家i）经常账户盈余，ii）积累国际储备并获得净私人流入。我们研究两个部门，可贸易和非贸易，小型开放经济。可贸易部门存在增长外部性，代理商进入国际金融市场的机会并不完善。通过积累外汇储备，政府诱导实际汇率贬值，并将生产重新分配给促进增长的可贸易部门。金融摩擦导致私人和公共债务流动之间的可替代性不完善，因此私人代理人无法完美地抵消政府政策。在危机期间使用储备提供流动性的可能性放大了储备积累对增长的积极影响。与没有政策干预的经济相比，最佳储备管理需要快速的储备积累，以及更高的增长和更大的经常账户盈余。

 

 

4.Are collateral-constraint models ready for macroprudential policy design?

抵押约束模型是否为宏观审慎政策设计做好了准备？

PabloOttonello  Diego J.Perez  PaoloVarrasoc

https://doi.org/10.1016/j.jinteco.2022.103650

We study the design of macroprudential policies based on quantitative collateral-constraint models. We show that the desirability of macroprudential policies critically depends on the specific form of collateral used in debt contracts: While inefficiencies arise when current prices affect collateral—a frequent benchmark used to guide policies—they do not when only future prices affect collateral. Since the microfoundations and quantitative predictions of models with future-price collateral constraints do not appear less plausible than those using current prices, we conclude that additional empirical research on whether and how contract design is variant to policy is important for the use of these models in macroprudential policy design.

我们研究了基于定量抵押约束模型的宏观审慎政策设计。我们发现，宏观审慎政策的可取性在很大程度上取决于债务合同中使用的抵押品的具体形式：虽然当当前价格影响抵押品（用于指导政策的常用基准）时会出现效率低下，但当只有未来价格影响抵押品时，效率低下就不会出现。由于具有未来价格抵押约束的模型的微观基础和定量预测似乎并不比使用当前价格的模型更合理，因此我们得出结论，关于合同设计是否以及如何与政策不同进行额外的实证研究对于在宏观审慎政策设计中使用这些模型非常重要。

 

 

 

5.Capital controls, domestic macroprudential policy and the bank lending channel of monetary policy

资本管制、国内宏观审慎政策和货币政策的银行放贷渠道

Andrea Fabiania  Martha López Piñerosb  José-Luis Peydróc  Paul E.Sotod

https://doi.org/10.1016/j.jinteco.2022.103677

We study how capital controls and domestic macroprudential policy tame credit supply booms, either directly or by enhancing the local bank-lending channel of monetary policy. We exploit credit registry data and the introduction of capital controls on foreign exchange (FX) debt inflows and increase of reserve requirements on domestic bank deposits in Colombia during a boom. We find that capital controls strengthen the bank-lending channel. Increasing the local monetary policy rate widens the interest rate differential with the U.S.; hence, relatively more FX-indebted banks carry-trade cheap FX-funds with expensive peso lending, especially towards riskier firms. Capital controls tax FX-debt and break the carry-trade. Differently, raising reserve requirements on domestic deposits directly reduces credit supply, particularly for riskier firms, rather than enhancing the bank-lending channel. Importantly, banks differentially finance credit with domestic vis-à-vis FX-financing; hence, capital controls and domestic macroprudential policy complementarily mitigate the credit boom and related bank risk-taking.

我们研究了资本管制和国内宏观审慎政策如何直接或通过加强当地银行贷款货币政策渠道来抑制信贷供应繁荣。我们利用信用登记数据，对外汇（FX）债务流入  实行资本管制，并在繁荣时期提高哥伦比亚国内银行存款准备金要求。我们发现，资本管制加强了银行贷款渠道。提高当地货币政策利率扩大了与美国的利差;因此，相对更多的外汇负债银行用昂贵的比索贷款交易廉价的外汇基金，特别是对风险较高的公司。资本管制对外汇债务征税并打破套利交易。不同的是，提高国内存款准备金率直接减少了信贷供应，特别是对风险较高的企业而言，而不是改善了银行贷款渠道。重要的是，银行通过国内融资与外汇融资对信贷进行差异化融资;因此，资本管制和国内宏观审慎政策相辅相成地缓解了信贷繁荣和相关银行的风险承担。

 

 

6.Productivity and trade dynamics in sudden stops

突然停止时的生产率和贸易动态

Felipe Benguriaa  Hidehiko Matsumotob  Felipe Saffiec

https://doi.org/10.1016/j.jinteco.2022.103631

This paper proposes a framework to jointly study productivity and trade dynamics during financial crises. The persistent output loss caused by crises is driven by lower productivity growth, which is determined by changes in product entry and exit margins in domestic and export markets. We calibrate and validate the model using unique data on firms’ product portfolios, finding they closely match the behavior of various margins during Chile's 1998 sudden stop. We decompose the sources of the welfare cost of sudden stops, finding that 30% is due to a decline in productivity growth. Lower productivity growth, in turn, is due mostly to slower firm and product entry into the domestic market, while a persistent real exchange rate depreciation induces surviving firms to tilt their product portfolios toward export markets, driving the productivity recovery in the aftermath of the crisis.

本文提出了一个框架，以共同研究金融危机期间的生产率和贸易动态。危机造成的持续产出损失是由生产率增长放缓造成的，而生产率增长放缓是由国内和出口市场产品进入和退出利润的变化决定的。我们使用公司产品组合的独特数据校准和验证模型，发现它们与1998年智利突然停止期间各种利润率的行为非常匹配。我们分解了突然停止的福利成本的来源，发现30%是由于生产率增长的下降。反过来，生产率增长放缓主要是由于企业和产品进入国内市场的速度较慢，而实际汇率持续贬值促使幸存下来的企业将其产品组合向出口市场倾斜，从而推动危机后生产率的复苏。

 

 

7.International reserves and central bank independence

国际储备和中央银行独立性

Agustin Samano

https://doi.org/10.1016/j.jinteco.2022.103674

Motivated by a positive correlation between reserve accumulation and the widespread adoption of central bank independence legislation in Latin America, this paper develops a sovereign default model with an independent central bank that can accumulate a risk-free foreign asset. I show that if the central bank is more patient than the government and as patient as households are, in equilibrium, the government issues more debt than what is socially optimal, and the central bank accumulates reserves to undo government over-borrowing. A key insight is that the government can issue more debt for any level of reserves but chooses not to because doing so would increase spreads, making it more costly to borrow. Quantitatively, I find that the lack of perfect coordination between the central bank and the government can rationalize levels of reserves and debt close to the observed levels in emerging economies.

基于准备金积累与拉美地区央行独立立法的广泛采用呈正相关关系，本文开发了一种主权违约模型，该模型具有独立的中央银行，可以积累无风险的外国资产。我表明，如果中央银行比政府更有耐心，像家庭一样有耐心，那么在均衡状态下，政府发行的债务比社会最优的债务多，中央银行积累储备以消除政府的过度借贷。一个关键的见解是，政府可以为任何水平的储备发行更多债务，但选择不这样做，因为这样做会增加利差，使借贷成本更高。从数量上讲，我发现央行和政府之间缺乏完美的协调可以使准备金和债务水平合理化，接近新兴经济体的观察水平。

 

 

8.The macroeconomic effects of macroprudential policy: Evidence from a narrative approach

宏观审慎政策的宏观经济效应——来自叙事方法的证据

Diego Rojas  Carlos Vegh  Guillermo Vuletin

https://doi.org/10.1016/j.jinteco.2022.103644

We analyze the macroeconomic effects of macroprudential policy – in the form of legal reserve requirements – in three Latin American countries (Argentina, Brazil, and Uruguay). To correctly identify innovations in changes in legal reserve requirements, we develop a narrative approach that classifies each change into endogenous or exogenous to the business cycle. We show that this distinction is critical in understanding the macroeconomic effects of reserve requirements. In particular, we show that output falls in response to exogenous increases in legal reserve requirements but is not affected when using all changes and relying on traditional time-identifying strategies. This bias reflects the practical relevance of the misidentification of endogenous countercyclical changes in reserve

我们分析了三个拉丁美洲国家（阿根廷、巴西和乌拉圭）宏观审慎政策（以法定储备要求的形式）的宏观经济影响。为了正确识别法定储备要求变化中的创新，我们开发了一种叙述方法，将每个变化分为商业周期的内生或外生。我们表明，这种区别对于理解储备金要求的宏观经济影响至关重要。特别是，我们表明，产出会随着法定储备要求的外部增加而下降，但在使用所有变化并依赖传统的时间识别策略时不会受到影响。这种偏差反映了错误识别储备中内源性反周期变化的实际相关性。

 

 

9.Did trade liberalization with China influence US elections?

与中国的贸易自由化是否影响了美国大选？

YiChe  YiLu  Justin R.Pierce  Peter K.Schott  ZhigangTao

https://doi.org/10.1016/j.jinteco.2022.103652

We examine election voting and legislators’ roll-call votes in the United States over a twenty-five year period. Voters in areas more exposed to trade liberalization with China in 2000 subsequently shift their support toward Democrats, relative to the 1990s, though this boost for Democrats wanes after the rise of the Tea Party in 2010. House members’ votes in Congress rationalize these trends, with Democratic representatives disproportionately supporting protection during the early 2000s. Together, these results imply that voters in areas subject to higher import competition shifted votes toward the party more likely to restrict trade.

我们研究了美国二十五年来的选举投票和立法者的唱票。与1990年代相比，2000年与中国贸易自由化影响较大的地区的选民随后将支持转向民主党，尽管这种对民主党的推动力在2010年茶党崛起后减弱。众议院议员在国会的投票使这些趋势合理化，民主党代表在2000年代初不成比例地支持保护。总之，这些结果表明，进口竞争加剧地区的选民将选票转向更有可能限制贸易的政党。

 

 

10.Skilled immigration, firms, and policy

技术移民、公司和政策

Mishita Mehra  Hewei Shen

https://doi.org/10.1016/j.jinteco.2022.103662

We develop a two-sector dynamic general equilibrium model with skilled immigration that focuses on the role of firms. The model is consistent with data on firm demand for foreign labor and firm size in the United States. Monopolistically competitive firms in the skill-intensive sector differ in productivity and a subset of relatively larger firms hire foreign workers subject to skilled immigration policies that are similar to the United States: Firms face hiring costs and there is an immigration cap that binds if the aggregate demand for foreign workers exceeds a quota. A binding immigration cap reduces firms’ demand for foreign skilled workers and, quantitatively, accounts for 16.82% of the hiring distortion in the decentralized equilibrium when compared to the first-best allocation. We evaluate the effects of different immigration cap changes and quantify the welfare implications for domestic households.

我们开发了一个双部门动态一般均衡模型，其中包含技术移民，重点关注公司的作用。该模型与美国企业对外国劳动力的需求和企业规模的数据一致。技能密集型行业中具有垄断竞争力的公司在生产率方面存在差异，一部分相对较大的公司雇用受与美国类似的技术移民政策约束的外国工人：公司面临招聘成本，如果对外国工人的总需求超过配额，则存在移民上限。具有约束力的移民上限降低了企业对外国技术工人的需求，从数量上讲，与第一最佳分配相比，占分散均衡中招聘扭曲的16.82%。我们评估不同移民上限变化的影响，并量化对家庭的福利影响。

 

 

11.Natural disasters, climate change, and sovereign risk

自然灾害、气候变化和主权风险

Enrico Mallucci

https://doi.org/10.1016/j.jinteco.2022.103672

I investigate how natural disasters can exacerbate fiscal vulnerabilities and trigger sovereign defaults. I extend a standard sovereign default model to include disaster risk and calibrate it to a sample of seven Caribbean countries that are frequently hit by hurricanes. I find that hurricane risk reduces governments’ ability to issue debt and depresses welfare. Climate change will further restrict governments’ access to financial markets and weigh on welfare. “Disaster clauses”, especially those allowing governments to write off debt, improve governments’ borrowing terms and mitigate the impact of climate change on governments’ access to financial markets and households’ welfare.

我研究了自然灾害如何加剧财政脆弱性并引发主权违约。我扩展了一个标准的主权违约模型，以包括灾害风险，并将其校准到经常遭受飓风袭击的七个加勒比国家的样本。我发现飓风风险降低了政府发行债务的能力，并抑制了福利。气候变化将进一步限制政府进入金融市场，并对福利造成压力。“灾难条款”，特别是那些允许政府注销债务、改善政府借款条件和减轻气候变化对政府进入金融市场和家庭福利的影响的条款。

 

 

12.Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?

评估政策和监管干预对欧洲主权信用风险网络的影响：什么效果最好？

Rebekka Buse  Melanie Schienle  Jörg Urban

https://doi.org/10.1016/j.jinteco.2022.103673

We study the impact of changes in regulations and policy interventions on systemic risk among European sovereign entities measured as volatility spillovers in credit risk markets. With our unique intraday CDS dataset, the effectiveness of closely subsequent events can be assessed, and interventions with significant changes in network cross-effects can be discerned by appropriate bootstrap confidence intervals. We show that it was mainly regulatory changes such as the ban of trading naked sovereign CDS in 2012 as well as the new ISDA regulations in 2014 which were most effective in reducing systemic risk. In comparison, the effect of policy interventions was minor and generally not sustainable. Their impact was only significant when they were implemented for the first time and targeted more than one country. For the volatility spillover channels, we generally find balanced networks with no fragmentation over time.

我们研究了法规变化和政策干预对欧洲主权实体系统性风险的影响，以信用风险市场的波动性溢出效应来衡量。利用我们独特的日内CDS数据集，可以评估密切后续事件的有效性，并且可以通过适当的自举置信区间来识别网络交叉效应发生重大变化的干预措施。我们表明，主要是监管变化，如  2012年禁止交易裸主权CDS以及2014年新的ISDA法规，在降低系统性风险方面最为有效。相比之下，政策干预的效果很小，而且一般不可持续。只有首次实施并针对不止一个国家时，其影响才具有重大意义。对于波动性溢出渠道，我们通常会发现随着时间的推移没有碎片化的平衡网络。

 

 

13.Does a currency union need a capital market union?

Joseba Martinez  Thomas Philippon  Markus Sihvonen

We compare risk sharing in response to demand and supply shocks in four types of currency unions: segmented markets; a money market union; a capital market union; and complete financial markets. We show that a money market union is efficient at sharing domestic demand shocks (deleveraging, fiscal consolidation), while a capital market union is necessary to share supply shocks (productivity and quality shocks). In a numerical exercise, we find that the welfare gain of moving from segmented markets to a money market union is of roughly similar magnitude to that of moving from a money market to a capital market union.

我们比较了四种类型的货币联盟中应对需求和供应冲击的风险分担：细分市场;货币市场联盟;资本市场联盟;和完整的金融市场。我们表明，货币市场联盟在分享内需冲击（去杠杆化、财政整顿）方面是有效的，而资本市场联盟在分享供应冲击（生产率和质量冲击）方面是必要的。在数值练习中，我们发现从细分市场转向货币市场联盟的福利收益与从货币市场转向资本市场联盟的福利收益大致相似。

 

 

14.Economic and policy uncertainty: Aggregate export dynamics and the value of agreements

经济和政策不确定性：总体出口动态和协议价值

Jeronimo Carballo  Kyle  Handley  Nuno  Limão

https://doi.org/10.1016/j.jinteco.2022.103661

We examine the interaction of economic and policy uncertainty in a dynamic, heterogeneous firms model. Uncertainty about foreign income, trade protection, and their interaction dampens export investment. Trade agreements can mitigate uncertainty and the probability of policy uncertainty shocks. We use firm data from 2003–2011 to establish new facts about U.S. export dynamics. These facts include a differentially lower export growth to non-preferential markets driven by the extensive margin at the start of the Great Trade Collapse. The structural model can explain this differential as a consequence of a shock to demand uncertainty. The shock was three times larger for non-preferential markets than preferential ones and it was later reversed, which is consistent with the timing of trade war fears in the crisis.

我们研究了动态、异质企业模型中经济和政策不确定性的相互作用。外国收入、贸易保护及其相互作用的不确定性抑制了出口投资。贸易协定可以减轻不确定性和政策不确定性冲击的可能性。我们使用2003-2011年的公司数据来建立有关美国出口动态的新事实。这些事实包括对非优惠市场的出口增长差异较低，这是由贸易大崩溃开始时的巨大利润推动的。结构模型可以将这种差异解释为需求不确定性冲击的结果。非优惠市场的冲击是优惠市场的三倍，后来又被逆转，这与危机中贸易战担忧的时间一致。

 

 

15.Total factor productivity growth at the firm-level: The effects of capital account liberalization

企业层面的全要素生产率增长：资本账户自由化的影响

Xiang Li  Dan Su

https://doi.org/10.1016/j.jinteco.2022.103676

This study provides firm-level evidence on the effect of capital account liberalization on total factor productivity (TFP) growth. We find that a one standard deviation increase in the capital account openness indicator constructed by Fernández et al. (2016) is significantly associated with a 0.18 standard deviation increase in firms’ TFP growth rates. The productivity-enhancing effects are stronger for sectors with higher external finance dependence and capital-skill complementarity, and are persistent five years after liberalization. Moreover, we show that potential transmission mechanisms include improved financing conditions, greater skilled labor utilization, and technology upgrades. Finally, we document heterogeneous effects across firm size and tradability, and threshold effects with respect to the country's institutional quality.

本研究为资本账户自由化对全要素生产率（TFP）增长的影响提供了企业层面的证据。我们发现，Fernández et al.（2016）构建的资本账户开放度指标每增加一个标准差，与企业TFP增长率增加0.18个标准差显著相关。对于对外部资金依赖程度较高和资本技能互补性的部门，提高生产率的效果更强，而且在自由化五年后持续存在。此外，我们表明，潜在的传导机制包括改善融资条件、提高熟练劳动力利用率和技术升级。最后，我们记录了企业规模和可交易性的异质效应，以及与国家制度质量有关的阈值效应。

 

 

 

16.Surges and instability: The maturity shortening channel

激增和不稳定：成熟度缩短通道

Xiang Li Dan Su

https://doi.org/10.1016/j.jinteco.2022.103679

Capital inflow surges destabilize the economy through a maturity shortening mechanism. The underlying reason is that firms have incentives to redeem their debt on demand to accommodate the potential liquidity needs of global investors, which makes international borrowing endogenously fragile. Based on a theoretical model and empirical evidence at both the firm and macro levels, our main findings are twofold. First, a significant association exists between surges and shortened corporate debt maturity, especially for firms with foreign bank relationships and higher redeployability. Second, the probability of a crisis following surges with a flattened yield curve is significantly higher than that following surges without one. Our study suggests that debt maturity is the key to understand the financial instability consequences of capital inflow bonanzas.

资本流入激增通过期限缩短机制破坏了经济稳定。根本原因是企业有动力按需赎回债务，以适应全球投资者的潜在流动性需求，这使得国际借款内生脆弱。基于企业和宏观层面的理论模型和经验证据，我们的主要发现是双重的。首先，激增与公司债务期限缩短之间存在重要关联，特别是对于与外国银行有关系和更高可重新部署性的公司而言。其次，收益率曲线平坦的浪涌后发生危机的可能性明显高于没有收益率曲线的浪高。我们的研究表明，债务到期是理解资本流入的金融不稳定后果的关键。

 

 

17.Labor share, foreign demand and superstar exporters

劳动力份额、外国需求和超级明星出口商

Ludovic Panon

https://doi.org/10.1016/j.jinteco.2022.103678

This paper proposes a new determinant of labor share changes. Using micro-data on the universe of French manufacturing exporters over 1995–2007, I show that a measure of export demand growth exogenous to firm-level outcomes drives down the manufacturing labor share through two effects. First, foreign demand shocks allow low-labor share, highly internationalized “superstar” exporters to grow disproportionately more. Second, foreign demand growth decreases the labor share of exporters and this effect is stronger for larger exporters. Both effects generate a sizable labor share decline, regardless of aggregate labor share dynamics. A simple heterogeneous-firm model with endogenous markups rationalizes my empirical results. Overall, these findings provide direct causal evidence of a “winner take most” phenomenon induced by trade globalization and emphasize the role of increased competition on international markets for labor share changes.

本文提出了一个新的劳动收入占比变化的决定因素。利用1995-2007年法国制造业出口商的微观数据，我证明了，企业层面产出的外生出口需求增长通过两个效应压低了制造业劳动收入占比。首先，国外需求的冲击使得低劳动收入占比、高度国际化的“超级明星”出口商的增长更加不成比例。其次，外国需求增长降低了出口商的劳动收入占比，这种影响对较大的出口商更强。无论总体劳动收入占比动态如何，这两种影响都会导致劳动收入占比大幅下降。一个具有内生加成的简单异质企业模型使我的实证结果合理化。总的来说，这些发现为贸易全球化引发的“赢者通吃”现象提供了直接的因果证据，并强调了国际市场竞争加剧对劳动份额变化的作用。

 

 

 

18.Cross-border interbank liquidity, crises, and monetary policy

Puriya Abbassi  Falk Bräuning  Falko Fecht  José-Luis Peydró

https://doi.org/10.1016/j.jinteco.2022.103657

We analyze how the Lehman and sovereign crises affect cross-border interbank liquidity, exploiting euro-area proprietary interbank data, crisis and monetary shocks, and loan terms to the same borrower during the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of cross-border liquidity, with stronger volume than pricing effects. On the extensive margin, results suggest that the cross-border credit crunch is independent of borrower quality, while—on the intensive margin—riskier borrower banks suffer more. Moreover, the cross-border liquidity crunch is substantially stronger for term loans, and weaker for foreign lender banks that have a subsidiary in the same country than the borrower. Finally, nonstandard monetary policy improves interbank liquidity, but without fostering strong re-integration of cross-border interbank markets.

我们分析了雷曼兄弟危机和主权危机如何影响跨境银行间流动性，利用欧元区专有银行间数据、危机和货币冲击，以及同一天内国内和外国银行对同一借款人的贷款条款。危机冲击减少了跨境流动性的供应，其数量效应大于定价效应。在扩展边际上，结果表明跨境信贷紧缩与借款人质量无关，而在集约边际上，风险较高的借款人银行遭受的损失更大。此外，对于定期贷款而言，跨境流动性紧缩要严重得多，而对于在同一国家设有子公司的外国贷款银行而言，跨境流动性紧缩要弱于借款人。最后，非标准货币政策改善了银行间流动性，但没有促进跨境银行间市场的强劲重新整合。

 

19.Cross-border interbank liquidity, crises, and monetary policy

跨境银行间流动性、危机与货币政策

Puriya Abbassi  Falk Bräuning  Falko Fecht  José-Luis  Peydród

https://doi.org/10.1016/j.jinteco.2022.103657

We analyze how the Lehman and sovereign crises affect cross-border interbank liquidity, exploiting euro-area proprietary interbank data, crisis and monetary shocks, and loan terms to the same borrower during the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of cross-border liquidity, with stronger volume than pricing effects. On the extensive margin, results suggest that the cross-border credit crunch is independent of borrower quality, while—on the intensive margin—riskier borrower banks suffer more. Moreover, the cross-border liquidity crunch is substantially stronger for term loans, and weaker for foreign lender banks that have a subsidiary in the same country than the borrower. Finally, nonstandard monetary policy improves interbank liquidity, but without fostering strong re-integration of cross-border interbank markets.

我们分析了雷曼兄弟危机和主权危机如何影响跨境银行间流动性，利用欧元区专有银行间数据、危机和货币冲击，以及同一天内国内和外国银行对同一借款人的贷款条款。危机冲击减少了跨境流动性的供应，其数量效应大于定价效应。在广泛边际上，结果表明跨境信贷紧缩与借款人质量无关，而在密集边际上，风险较高的借款人银行遭受的损失更大。此外，对于定期贷款而言，跨境流动性紧缩要严重得多，而对于在同一国家设有子公司的外国贷款银行而言，跨境流动性紧缩要弱于借款人。最后，非标准货币政策改善了银行间流动性，但没有促进跨境银行间市场的强劲重新整合。

 

 

20.Non-homothetic sudden stops

非同位性突然停止

Eugenio Rojas  Felipe Saffie

https://doi.org/10.1016/j.jinteco.2022.103680

The expenditure elasticity of the demand for nontradable goods is higher than the one for tradable goods. We extend the small open economy model of Sudden Stops of Bianchi (2011) allowing for non-homothetic preferences to generate this difference. Analytic results for an endowment economy show that, during crises, the non-homotheticity amplifies the decrease in the demand for the nontradable good, triggering a sharper deflation spiral that ultimately leads to a more severe current account reversal. The amplified pecuniary externality calls for more aggressive debt taxes. An extended version of the model with production and permanent productivity shocks shows that non-homothetic preferences can also amplify the credit booms that precede Sudden Stops. The amplification is particularly large when the consumption boom is biased toward nontradable goods. Macroprudential policy shows, not only quantitative, but also qualitative differences in its reaction to shocks under preference non homotheticity.

非贸易商品需求的支出弹性高于贸易商品需求的支出弹性。我们扩展了Bianchi(2011)的“突然停止”(Sudden Stops)的小型开放经济模型，允许非同类偏好产生这种差异。对禀赋经济体的分析结果显示，在危机期间，非同质性放大了对不可贸易商品的需求下降，引发更剧烈的通缩螺旋，最终导致更严重的经常账户逆转。放大的经济外部性要求征收更激进的债务税。该模型的扩展版本包含了生产和永久生产率冲击，结果显示，非同类偏好也会放大“突然停止”之前的信贷繁荣。当消费热潮偏向于非贸易商品时，这种放大效应尤其大。在偏好非同质性条件下，宏观审慎政策对冲击的反应不仅表现出数量上的差异，而且表现出质量上的差异。

 

21.Precaution versus mercantilism: Reserve accumulation, capital controls, and the real exchange rate

预防与重商主义:储备积累、资本管制和实际汇率

Woo Jin Choi   Alan M.Taylor

https://doi.org/10.1016/j.jinteco.2022.103649

We document a new international stylized fact on the relationship between external wealth, capital controls, and the real exchange rate. We first re-confirm that the real exchange rate appreciates when external asset holdings increase, all else equal, a central mechanism in international economics. However, we find that increases in publicly held external assets (reserves) are associated with depreciation, especially if combined with high capital controls. Reserve accumulation is also associated with a larger trade surplus, and higher GDP and TFP growth, in countries with high capital controls. The results hold using an instrumental variable for reserves based on commodity export surrender requirements. A simple rationale is presented to account for the new fact: combined reserves and capital controls can affect trade balances via undervaluation (mercantilist motive), while reserve increases without controls can insure against crises (precautionary motive) independently of real exchange rates.

我们记录了一个关于外部财富、资本管制和实际汇率之间关系的新的国际风格化事实。我们首先再次确认，在其他条件相同的情况下，当外部资产持有量增加时，实际汇率会升值，这是国际经济中的一个核心机制。然而，我们发现，公共持有的外部资产(储备)的增加与贬值有关，尤其是在与高资本管制相结合的情况下。在实行高资本管制的国家，外汇储备积累还与较大的贸易顺差、较高的GDP和TFP增长有关。以商品出口退让要求为基础，使用工具变量计算外汇储备的结果是成立的。本文提出了一个简单的理由来解释这一新事实:储备和资本管制相结合可以通过低估影响贸易平衡(重商主义动机)，而不加管制的储备增加可以在不依赖实际汇率的情况下防范危机(预防动机)。

 

22.Trade costs, home bias and the unequal gains from trade

贸易成本、本国偏好和贸易收益的不平等

Dorothee Hillrichs  GonzagueVannoorenberghe

https://doi.org/10.1016/j.jinteco.2022.103684

International trade affects consumption prices, with potentially different impacts on poor and rich consumers. We study these unequal impacts building on the Almost Ideal Demand System (AIDS) gravity model of Fajgelbaum and Khandelwal (2016). We augment the original model with a home bias in tastes and allow for trade costs to differ for domestic and foreign trade. In this setup, we show that the structural parameters governing the welfare gains are highly sensitive to the determinants of spending on domestic goods. This extension largely weakens the pro-poor bias of trade which leads us to conclude that the AIDS gravity framework does not generate robust results about the distributive effects of trade within countries.

国际贸易影响消费价格，对穷国和富国消费者的影响可能不同。我们基于Fajgelbaum和Khandelwal(2016)的几乎理想需求系统(AIDS)重力模型研究了这些不平等的影响。我们在原有模型中加入了国内偏好，并考虑到国内和国外贸易的贸易成本不同。在这种情况下，我们表明，支配福利收益的结构参数对国内商品支出的决定因素高度敏感。这一延伸在很大程度上削弱了贸易对穷人有利的偏见，这使我们得出结论，艾滋病引力框架不能产生关于国家内部贸易分配效应的有力结果。

 

 

22.Central bank information effects and transatlantic spillovers

中央银行信息效应与跨大西洋溢出效应

Marek Jarociński

https://doi.org/10.1016/j.jinteco.2022.103683

News about the economy contained in a central bank announcement can affect public expectations. This paper shows, using both event studies and vector autoregressions, that such central bank information effects are an important channel of the transatlantic spillover of monetary policy. They account for a part of the co-movement of German and US government bond yields around Fed policy announcements, and for most of this co-movement around ECB policy announcements. Consequently, ECB surprise interest rate hikes that spill over to US government bond yields reflect good news and are followed on average by easier, not tighter, US financial conditions and an economic expansion. In fact, they spill over similarly as positive European macroeconomic news surprises. By contrast, pure ECB “monetary policy shocks” do not spill over, in part because of the offsetting Fed policy stance.

央行声明中包含的有关经济的消息会影响公众的预期。本文通过事件研究和向量自回归分析表明，央行信息效应是货币政策跨大西洋溢出效应的重要渠道。它们在德国和美国国债收益率围绕美联储政策公告的联动中占了一部分，在围绕欧洲央行政策公告的联动中占了大部分。因此，欧洲央行出人意料的加息会影响到美国国债收益率，这反映出好消息，平均而言，紧随其后的是美国金融状况的放松(而非收紧)和经济扩张。事实上，欧洲宏观经济的利好消息出乎意料，也会带来同样的影响。相比之下，纯粹的欧洲央行“货币政策冲击”不会外溢，部分原因是美联储的政策立场起到了抵消作用。

 

 

23.Interest rate uncertainty and sovereign default risk

利率不确定性与主权违约风险

Alok Johri  Shahed Khan  CésarSosa-Padilla

https://doi.org/10.1016/j.jinteco.2022.103681

Empirical studies suggest that fluctuations in the level and volatility of the world interest rate affect sovereign spreads in emerging economies. We incorporate an estimated time-varying process for the world interest rate (with both level and volatility shocks) into a model of sovereign default calibrated to a panel of emerging economies. Time variation in the world interest rate interacts with default incentives in the model and leads to state contingent effects similar to the empirical literature. On average, in response to a rise in the world interest rate the model delivers a 1.4 times increase in the spread. The volatility state has a major impact on this average – the increase in spreads is much larger in high volatility states. Moreover, we show that fluctuations in the world interest rate can generate considerable co-movement in sovereign yields across nations, as seen in the data.

实证研究表明，世界利率水平的波动和波动影响到新兴经济体的主权利差。我们将一个估计的全球利率时变过程(包括水平和波动性冲击)纳入一个主权违约模型，以一组新兴经济体为基准。世界利率的时间变化与模型中的违约激励相互作用，并导致类似于经验文献的状态或有效应。平均而言，该模型对全球利率上升的反应是息差增加1.4倍。波动状态对这一平均值有重大影响——在高波动状态下，利差的增加要大得多。此外，我们还表明，正如数据所示，世界利率的波动可以在各国主权收益率上产生相当大的共同运动。

 

24.Trade fraud and non-tariff measures

贸易欺诈和非关税措施

Hiau LooiKee  Alessandro  Nicita

https://doi.org/10.1016/j.jinteco.2022.103682

Similar to tariffs, non-tariff measures (NTMs) may induce trade fraud when they are restrictive. This paper examines whether discrepancies observed in the official trade statistics of importing and exporting countries are partly due to trade fraud from evading border NTMs. To capture the restrictiveness of NTMs, this paper estimates the ad valorem equivalent (AVE) with importer-exporter-product variations. This paper presents a theoretical model and empirical evidence showing that discrepancies increase with AVEs, consistent with the trade fraud due to traders intentionally misdeclaring countries of origin or misclassify products in order to evade border NTMs. The results are driven by homogeneous products and the trade between developed and developing countries.

与关税类似，当非关税措施具有限制性时，可能会导致贸易欺诈。本文探讨了在进出口国家的官方贸易统计数据中观察到的差异是否部分归因于逃避边境ntm的贸易欺诈。为了捕捉ntm的限制性，本文估计了进口-出口-产品变化的从价当量(AVE)。本文提出了一个理论模型和经验证据，表明随着ave的增加，差异会增加，这与由于贸易商故意错报原产国或错误分类产品而导致的贸易欺诈相一致，以逃避边境ntm。这些结果是由同质产品以及发达国家和发展中国家之间的贸易推动的。

 

25.The short and long-run effects of international environmental agreements on trade

国际环境协定对贸易的短期和长期影响

Josh  Ederington  Mihai  Paraschiv  Maurizio Zanardi

https://doi.org/10.1016/j.jinteco.2022.103685

Does the ratification of an international environmental agreement (IEA) reduce a country's competitiveness on world markets? In this paper, we take a gravity regression approach to answering this question by using industry-level bilateral trade data and employing time-varying country fixed effects to control for the endogeneity of treaty participation. Based on sample of >200 countries and over 40 years, we find that ratifying an IEA results in a significant compositional shift towards exporting cleaner and importing dirtier manufacturing goods. In addition, we find significant lagged effects to ratifying the Kyoto Protocol as the compositional shift towards exporting cleaner goods becomes even stronger in the long run. However, we find little evidence that the ratification of IEAs contributed to an overall decline in manufacturing exports as we uncover only small and insignificant effects of IEAs ratification on the median-polluting manufacturing industry.

批准国际环境协议(IEA)是否会降低一个国家在世界市场上的竞争力?在本文中，我们采用重力回归方法来回答这个问题，使用行业层面的双边贸易数据，并采用时变国家固定效应来控制条约参与的内生性。基于200个国家和超过40 年的样本，我们发现批准国际能源署会导致出口更清洁的制造业产品和进口更污染的制造业产品的显著转变。此外，我们发现批准《京都议定书》的显著滞后效应，因为从长远来看，向出口清洁产品的构成转变变得更加强烈。然而，我们发现几乎没有证据表明批准国际环境保护协定会导致制造业出口的总体下降，因为我们发现批准国际环境保护协定对中等污染制造业的影响很小且微不足道。

 

26.Foreign workers, product quality, and trade: Evidence from a natural experiment

外国工人、产品质量和贸易:来自自然实验的证据

Andrea Ariu

https://doi.org/10.1016/j.jinteco.2022.103686

This paper shows that international labor mobility leads to higher-quality products, more trade, and more effective global value chains. Exploiting variation in the time and intensity at which Swiss localities (identified by their postal codes) were treated by the increasing availability of foreign workers caused by the implementation of the Swiss-EU Agreement on the Free Movement of Persons, I find that the inflow of high-skilled European workers led to an upgrade in the quality of inputs imported from their origin countries. Better intermediates show to be associated with a higher quality of output, making Swiss products more appealing for international markets and boosting exports. Therefore, the efficacy of Swiss global value chains improved both upstream—thanks to higher-quality intermediate inputs brought by the intensification of the existing buyer-seller relations—and downstream—because higher-quality products eased increasing exports to existing buyers and helped finding new customers, especially in distant destinations.

本文表明，国际劳动力流动会带来更高质量的产品、更多的贸易和更有效的全球价值链。由于瑞士-欧盟人员自由流动协定的实施，瑞士各地(以邮政编码标识)的外国工人越来越多，利用这些时间和强度的差异，我发现高技能欧洲工人的流入导致了从其原籍国进口的投入品质量的提升。更好的中间体与更高质量的产品相关联，使瑞士产品对国际市场更具吸引力，并促进出口。因此，瑞士全球价值链的效率在上游和下游都得到了提升，前者得益于现有买卖双方关系的强化所带来的更高质量的中间投入，后者则是因为更高质量的产品缓解了对现有买家的出口增长，并有助于寻找新客户，尤其是在遥远的目的地。