经济学权威期刊Journal of International Economics2023年第3期

Journal of International Economics2023年第3期 

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Fickle emerging market flows, stable euros, and the dollar risk factor

变幻无常的新兴市场资金流动、稳定的欧元以及美元风险因素

Martijn A. Boermans, John D. Burger

Policymakers fear the destabilizing impact of fickle global investors on emerging markets. Euro area investors are significant participants in emerging bond markets and exhibit volatile flows, but their fickleness does not result in indiscriminate periods of surge and flight. Employing granular data, we discern important investor differentiation by currency denomination and issuer-level risk factors. First, euro area investors exhibit a home currency bias leading to both strong cross-sectional preference and more stable flows to EUR-denominated bonds over time. Second, volatile flows to USD and local-currency-denominated bonds are robustly related to global risk factors including the broad dollar. Investors differentiate among USD-denominated bonds such that flows to currency mismatched (and less creditworthy) sovereigns and corporates are more sensitive to the broad dollar. In contrast, local currency bond investors appear primarily concerned with currency rather than issuer-specific credit risk.

政策制定者担心变化无常的全球投资者会对新兴市场造成不稳定的影响。欧元区投资者是新兴债券市场的重要参与者，他们的资金流动不稳定，但他们的反复无常并没有导致不加区分的上涨和下跌。利用细粒度数据，我们通过货币面额和发行者级别的风险因素来辨别重要的投资者差异。首先，欧元区投资者表现出对本国货币的偏好，随着时间的推移，这导致了对欧元计价债券的强烈偏好和更稳定的流动。其次，流向美元和本币计价债券的波动与包括广义美元在内的全球风险因素密切相关。投资者对以美元计价的债券进行了区分，这使得资金流向货币不匹配(且信用较差)的主权国家和企业，对广义美元汇率更为敏感。相比之下，以本币计价的债券投资者似乎主要关心的是汇率，而不是发行者特有的信用风险。

The macro-financial effects of international bank lending on emerging markets

国际银行贷款对新兴市场的宏观金融影响

Iñaki Aldasoro, Paula Beltrán, Federico Grinberg, Tommaso Mancini-Griffoli

We provide novel empirical evidence on the effects of cross-border bank lending on emerging market economies' (EMEs) macro-financial conditions. We identify causal effects by leveraging the heterogeneity in the size distribution of bilateral cross-border bank lending to construct granular instrumental variables for aggregate cross-border bank lending to 22 EMEs. Cross-border bank credit causes higher domestic activity in EMEs and looser financial conditions. Financial condition indices ease, nominal and real effective exchange rates appreciate, sovereign and corporate spreads narrow, domestic interest rates fall, and housing prices increase. Similarly, real domestic credit grows, real GDP expands, and imports rise. Using a simple model, we motivate our instrument and show how commonly used instruments that correlate with global financial conditions (e.g. the global financial cycle) can yield biased estimates. We find empirical evidence of an amplification bias, which is consistent with the prominent role of global risk perceptions and international risk spillovers.

我们为跨境银行贷款对新兴市场经济体宏观金融状况的影响提供了新的经验证据。我们通过利用双边跨境银行贷款规模分布的异质性来确定因果效应，为22个新兴市场国家的跨境银行贷款总量构建细粒度工具变量。跨境银行信贷导致新兴市场国家的国内活动增加，金融状况更加宽松。金融状况指数放松，名义和实际有效汇率升值，主权和公司息差收窄，国内利率下降，房价上涨。同样，国内实际信贷增长，实际GDP扩张，进口增加。通过一个简单的模型，我们激励了我们的工具，并展示了与全球金融状况(例如全球金融周期)相关的常用工具如何产生有偏差的估计。我们发现了放大偏差的经验证据，这与全球风险认知和国际风险溢出的突出作用是一致的。

Liquidity risk, market power and the informational effects of policy

流动性风险、市场力量和政策的信息效应

Grégory Claeys, Chara Papioti, Andreas Tryphonides

Using a structural approach, we combine bidding data from open market operations with macroeconomic information to recover the latent distribution of liquidity risk across financial institutions in Chile and how it is affected by policy. We find that unanticipated shocks to foreign reserve accumulation and interest rates have significant effects on aggregate beliefs about a liquidity shock in the near future. We demonstrate that accounting for market power is important for measuring the strength of this informational channel of macroeconomic policy.

使用结构方法，我们将公开市场操作的竞价数据与宏观经济信息结合起来，以恢复智利金融机构流动性风险的潜在分布，以及它如何受到政策的影响。我们发现，对外汇储备积累和利率的意外冲击对近期流动性冲击的总体信念有显著影响。我们证明，考虑市场力量对于衡量宏观经济政策信息渠道的强度是重要的。

Sequentially exporting products across countries

依次向世界各地出口产品

Facundo Albornoz, Héctor F. Calvo Pardo, Gregory Corcos, Emanuel Ornelas

Exploiting disaggregated data on French exporters, we show that firms expand their product scope and geographical presence sequentially. This process of internationalization is uneven over time, exhibiting more volatility early than later in the life cycle of exporters. Specifically, young exporters are particularly likely to exit, and if they keep exporting, to expand at the intensive and sub-extensive margins, doing so by widening product scope within a destination before entering new destinations. We also find that firms' core products are particularly resilient despite being used to “test the waters” when entering additional countries. Existing models of firm export dynamics are not designed to explain these empirical regularities. We argue that they can be rationalized by a mechanism where new exporters are uncertain about the profitability of their products in different markets, but learn from their initial export experiences and then adjust their sales, number of products and destination countries accordingly.

利用法国出口商的分类数据，我们发现企业依次扩大其产品范围和地理分布。随着时间的推移，这一国际化进程是不均衡的，在出口商的生命周期中，早期比后期表现出更大的波动性。具体来说，年轻的出口商尤其有可能退出，如果他们继续出口，就会在密集和次粗放型利润率上进行扩张，在进入新的目的地之前扩大目的地的产品范围。我们还发现，尽管企业的核心产品在进入其他国家时被用来“试水”，但它们的弹性特别大。现有的企业出口动态模型并不能解释这些经验规律。我们认为，可以通过一种机制使其合理化，即新的出口商不确定其产品在不同市场的盈利能力，但从最初的出口经验中吸取教训，然后相应地调整其销售额、产品数量和目的地国家。

Asset purchase bailouts and endogenous implicit guarantees

资产购买救助和内生隐性担保

Eric Mengus

This paper provides a theory of endogenous implicit guarantees on risky assets, in which a government’s bailouts take the form of asset purchases to alleviate asymmetric information on private liquidity needs. As a result of asymmetric information, direct transfers to agents are imperfect so that, when more constrained agents are also more exposed to a given asset, asset purchases by the government are optimal. When anticipated, this form of bailouts leads to an endogenous implicit guarantee premium so that otherwise risky assets can be traded as if there are risk-free. This possibility of implicit guarantee is amplified by other financial frictions such as risk-shifting. Finally, I show how this form of bailouts can shed light on the buildup of the euro area's sovereign debt crisis.

本文提出了风险资产的内生隐性担保理论，即政府救助采取资产购买的形式来缓解私人流动性需求的信息不对称。由于信息不对称，直接向代理的转移是不完美的，因此，当更多约束的代理也更多地暴露于给定资产时，政府购买资产是最优的。在预期的情况下，这种形式的救助会导致内生的隐性担保溢价，这样，原本存在风险的资产就可以像无风险资产一样进行交易。风险转移等其他金融摩擦放大了这种隐性担保的可能性。最后，我将说明这种形式的救助如何能够揭示欧元区主权债务危机的累积。

Real interest rates and productivity in small open economies

小型开放经济体的实际利率和生产率

Tommaso Monacelli, Luca Sala, Daniele Siena

We construct factor utilization-adjusted measures of aggregate TFP for a sample of advanced (AEs) and emerging market small open economies (EMEs). We estimate the effects of real interest rate shocks on TFP and GDP using structural VARs. The results are starkly different in the two groups of countries. While TFP is pro-cyclical in both sets of countries, lower real interest rates - a proxy for capital inflows - lead to productivity booms in EMEs, whereas they lead to a contraction in productivity in AEs.

我们以发达经济体(AEs)和新兴市场小型开放经济体(EMEs)为样本，构建了经要素利用调整的总TFP指标。我们使用结构var来估计实际利率冲击对TFP和GDP的影响。两组国家的结果截然不同。尽管TFP在这两个国家都是顺周期的，但较低的实际利率(资本流入的代表)会导致新兴市场的生产率激增，而在新兴市场会导致生产率收缩。

China's dazzling transport-infrastructure growth: Measurement and effects

中国令人眼花缭乱的交通基础设施增长:衡量和影响

Peter H. Egger, Gabriel Loumeau, Nicole Loumeau

We document an unprecedented change in the size and the quality of China's transport-infrastructure network between 2000 and 2013 based on hand-collected and digitized data on roads and railways. The changes are summarized and portrayed as shortest-possible transport times of people and goods between 330 prefectures of mainland China. A quantitative model of China's prefectures and a Rest of the World, featuring both goods trade and migration, suggests that the transport-infrastructure changes induced regional convergence of lagging-behind prefectures in terms of population density and, to a lesser extent, of real per-capita income. Not only changes in highway and high-speed-railway networks but also ones in lower-level road and railway networks are quantitatively important.

基于人工收集和数字化的公路和铁路数据，我们记录了2000年至2013年间中国交通基础设施网络的规模和质量发生的前所未有的变化。这些变化被概括和描述为中国大陆330个州之间的人员和货物运输时间尽可能短。一个以商品贸易和移民为特征的中国地级市和世界其他地区的定量模型表明，交通基础设施的变化导致了落后地级市在人口密度和实际人均收入(在较小程度上)方面的区域趋同。不仅是高速公路和高铁路网的变化，下级公路和铁路网的变化在数量上也很重要。

Exchange rate policy and heterogeneity in small open economies

小型开放经济体的汇率政策与异质性

Aleksei Oskolkov

This paper studies the role of exchange rate regimes in shaping the distributional effects of external monetary shocks. I model a small open economy where agents differ in wealth and in exposure to international trade, producing either tradable or non-tradable goods. The central bank responds to a foreign interest rate hike by a monetary tightening to stabilize the exchange rate or lets the currency depreciate, keeping the interest rate low. I find that exchange rate flexibility distributes consumption gains to the poorer agents. The monetary tightening required to stabilize the currency disproportionately affects their disposable income through interest payments on loans and falling wages. Attempts to fix the exchange rate increase consumption inequality. Flexibility also benefits the non-tradable sector because conditions in this sector are more sensitive to domestic demand and sharply deteriorate when domestic interest rates rise.

本文研究了汇率制度在形成外部货币冲击的分配效应方面的作用。我建立了一个小型开放经济模型，在这个模型中，各主体的财富和对国际贸易的敞口不同，生产可贸易或不可贸易的商品。中央银行对外国利率上升的反应是货币紧缩以稳定汇率或让货币贬值，保持低利率。我发现，汇率灵活性将消费收益分配给较贫穷的代理人。稳定货币所需的货币紧缩，通过支付贷款利息和工资下降，对他们的可支配收入造成了不成比例的影响。试图固定汇率会加剧消费不平等。灵活性也有利于非贸易部门，因为该部门的情况对国内需求更为敏感，一旦国内利率上升，情况就会急剧恶化。

Banking across borders with heterogeneous banks

与异质银行进行跨境银行业务

Friederike Niepmann

This paper develops a model of banking across borders where banks differ in their efficiencies. Operating abroad allows the most efficient banks that have a large enough scale to overcome the associated fixed costs to increase their leverage, size and profits even more. Banking globalization increases welfare because these banks, by maximizing the return on loans and minimizing funding costs, improve the allocation of capital by channeling capital across borders. At the same time, global banking sector efficiency increases because the least efficient banks exit. Foreign exposures data for German banks deliver new model-derived stylized facts. In particular, the average efficiency of banks that operate abroad is lower for host countries that have a less efficient banking sector, are larger and feature lower impediments to foreign bank entry.

本文开发了一个银行效率不同的跨国银行模型。在海外经营可以让那些最有效率、规模足够大的银行克服相关的固定成本，从而进一步提高杠杆率、规模和利润。银行业全球化增加了福利，因为这些银行通过最大化贷款回报和最小化融资成本，通过跨境输送资本来改善资本配置。与此同时，由于效率最低的银行退出，全球银行业的效率提高了。德国银行的外国风险敞口数据提供了新的模型衍生的程式化事实。特别是，对于银行部门效率较低、规模较大且外资银行进入障碍较低的东道国来说，在海外经营的银行的平均效率较低。

Selection effects, inequality, and aggregate gains from trade

选择效应、不平等和贸易的总收益

Sergey Nigai

This paper argues that the cost of trade-induced inequality in terms of aggregate gains from trade is decreasing with globalization. I use a general equilibrium model of trade and show that at low levels of trade openness, a 1% point increase in real per capita income due to higher trade is associated with percentage point increases of 0.5, 0.85, and 0.92 in the Gini, Atkinson and Theil indices, respectively. These trade-offs, however, quickly decline upon opening up to trade and converge toward zero as trade barriers disappear. I find that at high levels of openness, more firms are exporters such that the elasticity of income inequality to reductions in trade costs converges to a constant, whereas the elasticity of average real income keeps increasing. Trade liberalization has positive marginal welfare effects for a wide range of social welfare function parameters. Existing taxation and redistributive policies can reinforce this relationship.

本文认为，就贸易总收益而言，贸易导致的不平等的成本正在随着全球化而降低。我使用一般均衡贸易模型，证明在贸易开放程度较低的情况下，实际人均收入每增加1%，基尼指数、阿特金森指数和泰尔指数分别增加0.5、0.85和0.92个百分点。然而，这些权衡在贸易开放后迅速下降，并随着贸易壁垒的消失而趋近于零。我发现，在高度开放的情况下，更多的企业是出口商，以至于收入不平等对贸易成本降低的弹性趋近于常数，而平均实际收入的弹性则不断增加。在广泛的社会福利函数参数范围内，贸易自由化具有正向的边际福利效应。现有的税收和再分配政策可以加强这种关系。

Bailout dynamics in a monetary union

货币联盟中的救助动态

M.L. Kobielarz

The Eurozone bailouts consisted of credit lines with favorable lending conditions, equivalent to countries receiving implicit fiscal transfers. They are often interpreted as meant to prevent a default in the Eurozone or resolve the crisis. Contrary to this narrative, Greece defaulted on its debt and went through a deep and prolonged recession, despite receiving fiscal assistance. This paper analyzes country bailouts in a monetary union within a framework where sovereign default and exit from the union are two separate decisions. The studied bailouts prevent an exit and, thus, do not exclude subsequent defaults. The model replicates the experience of Greece and captures the coexistence of bailouts, defaults, and recession. It also sheds new light on the moral hazard discussion of bailouts by showing no significant effects from exit-driven bailouts.

欧元区的救助包括贷款条件有利的信贷额度，相当于各国接受隐性财政转移。它们通常被解释为旨在防止欧元区违约或解决危机。与这种说法相反的是，尽管希腊获得了财政援助，但还是出现了债务违约，并经历了严重而长期的衰退。本文分析了货币联盟框架下的国家救助，其中主权违约和退出联盟是两个独立的决定。研究过的救助措施防止了退出，因此不排除随后的违约。该模型复制了希腊的经历，捕捉到了救助、违约和衰退的共存。报告还显示，退出驱动型纾困并未产生显著影响，从而为有关纾困的道德风险讨论提供了新的线索。