资金流与金融风险管理

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1、Joint CCER-World Bank Institute course July 16-20,Beijing,China1Dr.Yan Wang,Senior EconomistManaging Capital Flows and Financial Risks,a CCER-WBI joint course July 16-20,Beijing,China2I.Rise and Fall of Capital Flows Capital flow volatility Implicit government guarantees market failures Volatility h

2、urts growth and hurts the poor mostII.New issues in managing risks Fiscal risks and govt contingent liabilities Derivatives and risks“Value at Risk”Early warning indicators Short term flows and crisesIII.Policy options to manage financial risks A spectrum of capital flow interventions Chile:reserve

3、requirements for short term inflows:pros and cons Sound banking system and regulations:currency risk exposure and etc.Competition and corporate governance crucial for market disciplineSummary3Global financial market size and world tradeFinancial markets include stocks and international bonds and loa

4、ns outstanding Trade figures are averages of imports and exports.Sources:IFC,BIS,and IMF.19808284868890929496020406080100Percent of world GDPFinanceTrade41990919293949596979899020406080100120140160Billions of U.S.$Portfolio equityBondsTotal loansSource:GDF 2000.5Source:GDF,1999International capital

5、market flows hit their lowest point since 1992020406080100120140160199019911992199319941995199619971998Billions of US dollars01002003004005006007008009001000Portfolio equity flowsBondsLoansFDI67argbgdbolbracmrchlchncolcridomecuegyslvethgabgtmhndindidnjorkenmysmexmarnplnicngapakpanpryphllkatzathatunt

6、urugauryvenzwey=2.0156x+2.1531r=0.5700.02.04.06.08.010.012.014.00.00.51.01.52.02.53.03.5Volatility in capital flowsVolatility in GDP Growth rates,(75-96)Relationship between economic growth variability and volatility in private foreign capital flowsSource:Thomas et al“The Quality of Growth,”2000.819

7、70-791980-841985-891990-9601020304050Number of episodesSystemic crisesSmaller crisesCapital Flow Volatility is linked with Frequency in Systemic Banking CrisesFrequent Banking Crisis9High Cost of Banking Crises10Population living on less than$1 a day198586 87 88 89 90 91 92 93 94 95 96 97 98 9920000

8、10203040PercentPhilippinesIndonesiaM alaysiaThailandProjectionPopulation living on less than$4 a dayP olandB alticsM oldovaR ussiaU kraineC entral A siaA ll T ransition010203040506070Percent in poverty1987-881993-95Source:Thomas et al“The Quality of Growth”,2000.11-15-10-50510152025-5-4-3-2-1012345F

9、inancial depth(M2/GDP)GDP growth rate(1981-97)Source:Thomas et al“The Quality of Growth,12000.12-2-1.5-1-0.500.511.52-5-4-3-2-1012345Financial opennessGDP growth rate(1981-97)Source:Thomas et al“The Quality of Growth,”2000.13 Financial and fiscal risks are linked Capital flow volatility may lead to

10、a rising government contingent liabilities Derivatives may lead to heightened systemic risks(see Steinherrs book)“Value at risk”method is important Early warning indicators of financial crises Short term debt should be controlled,regulated,and monitored,carefully.14050100150200Sweden(1990-93)Japan(1

11、991-)Norway(1987-93)Mexico(1995-)Chile(1981-83)Argentina(1980-82)Thailand(1997-)Malaysia(1997-)Korea(1997-)Indonesia(1997-)percent of GDP15G ro w th o f d erivatives m arkets,1991-97(notional values in billions of U.S.dollars)In stru m en ts trad ed o n exch an g esO ver-th e co u n ter(O T C)in str

12、u m en tsInterest rate Interest rateC urrencyS tock m arket indexT otalInterest rate Interest rate C urrencyT otalT o talfuturesoptionsfutures&options futures&optionsE xch.optionssw apssw apsO T C912,1571,073811093,5195773,0658074,4497,969922,9131,385982384,6356353,8518605,3469,980934,9592,362110340

13、7,7711,3986,1779008,47516,246945,7782,624963668,8631,5738,81691511,30320,166955,8632,742825029,1893,70512,8111,19717,71326,901965,9313,278975749,8804,72319,1711,56025,45335,333977,4893,6408599312,2075,03322,1161,58528,73340,940S ource:B ank for Interntaional S ettlem ents:A nnual R eport(various iss

14、ues).16“The Daily Earning at Risk for our combined trading activities averaged approximately$15million”J.P.Morgan 1994 annual report VAR 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 i

15、n one number and compare across different companies/markets It is now widely used in firms and banks.17 Define 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 the given confide

16、nce 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.After interpolatin

17、g,we find W*=-$9.6m The VAR of daily revenues,relative to the mean is VAR=E(W)W*=$5.1m-(-$9.6m)=$14.7m(2)Absolute VAR=$9.6m18Short-term Debt/ReservesEast Asia&Pacific Selected Countries,1990s00.511.522.5319901992199419961997China Korea,Rep.Indonesia PhilippinesThailandSource:GDF,199919Short-term Deb

18、t/ReservesLatin America&Caribbean Selected Countries,1990s00.511.522.533.544.555.566.519901992199419961997Argentina BrazilChile MexicoPeruSource:GDF,1999203040506070809086878889909192939495969798CHILE1020304050607086878889909192939495969798CHINA102030405060708086878889909192939495969798MALAYSIA01002

19、0030040050060070086878889909192939495969798MEXICO218010012014016018020086878889909192939495969798INDONESIA5010015020025030086878889909192939495969798KOREA010020030040050086878889909192939495969798PHILIPPINES608010012014086878889909192939495969798THAILAND222324 A spectrum of capital flow intervention

20、s Chile:reserve requirements for short term inflows:pros and cons Prudential fiscal policy and disciplines Do not provide implicit guarantees Sound banking system and regulations:regulate foreign currency exposure Competition and corporate governance crucial for market discipline Summary251.Financia

21、l Autarky2.Quantity Controls(All Capital 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

22、/Liability Management)9.No Intervention 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

23、Management:Some Theoretical Considerations and Practice from the Argentine Banking Sector,199926Administrative Controls in Capital Inflows and Capital Outflows0102030405060708090100Jan-89May-89Sep-89Jan-90May-90Sep-90Jan-91May-91Sep-91Jan-92May-92Sep-92Jan-93May-93Sep-93Jan-94May-94Sep-94Jan-95May-9

24、5Sep-95Jan-96May-96Sep-96Jan-97May-97Sep-97Jan-98May-98Sep-98012345678910Restrictions to capital inflowsOther restrictions to capital outflows(right-hand side)Restrictions on remittances of profits and principal(right-hand side)Source:Schmidt-Hebbel&Hernandez,Capital Controls in Chile:Effective?Effi

25、cient?Endurable?,199927Short-term debt/Total Debt(%)0.005.0010.0015.0020.0025.0030.0035.001988198919901991199219931994199519961997ChileMalaysiaChiles deposit requirements imposedMalaysias temporary restrictions on short-term capital inflowsSource:GDF 199928Source:GDF 1999Chile:Short-term Debt/Net De

26、bt Flows(%)02040608010012014016018020019901991199219931994199519961997Chiles deposit requirements imposed29Source:GDF 1999Malaysia:Short-term Debt/Net Debt Flows(%)-40.00-20.000.0020.0040.0060.0080.00100.0019901991199219931994199519961997Malaysias temporary restrictions on short-term capital inflows

27、30 Pros Provide more room for the use of independent monetary policy led to a fall in short term inflows,reducing Chiles indebtedness changed the composition of capital inflows toward longer maturities,making Chile more resilient to shocks Cons did not affect the real exchange rate led to an ineffic

28、ient allocation of resources led to higher short term interest rates,reducing investment and LT growth provided incentive for tax evasion.31 Information asymmetry and market imperfection prevail in financial markets-roles for government Capital flow is volatile in nature and volatility hurts the poo

29、r most-rationale for public policy Tight fiscal discipline good,guarantees are bad Sequencing in financial openness key Correcting incentives,building institutions and enforcing regulations crucial Market-based control on ST flows helps Early detection of problems is possible Decisive restructuring vital32