資金流與金融風險管理

1、 幌裂抗峻詳雛讕鈣饅雄商虜襟頸診鮑殆逃曠弦戳舔績昭燕辯紛嘛備緞硬鏟資金流與金融風險管理資金流與金融風險管理1International Finance:Managing Capital Flows and Financial RisksJoint CCER-World Bank Institute course July 16-20, Beijing, China器閏杉離催貍章錯去轍勾臥淮班絳隨富苛哼賓縫饑賜懸焊瘍出崖鼎巧繪弛資金流與金融風險管理資金流與金融風險管理2Capital Flow Volatility and Financial Risks:OverviewDr. Yan Wang

2、, Senior EconomistManaging Capital Flows and Financial Risks,a CCER-WBI joint course July 16-20, Beijing, China拆追翠豌巖麥自即矯幻蒙甚根燴軌釬譯整初殆閃倡活礫優(yōu)賽咖塑藩北力隴資金流與金融風險管理資金流與金融風險管理3Capital Flow Volatility & Financial RisksI. Rise and Fall of Capital FlowsCapital flow volatilityImplicit government guaranteesmarket fa

3、iluresVolatility hurts growth and hurts the poor mostII. New issues in managing risksFiscal risks and govt contingent liabilitiesDerivatives and risks“Value at Risk”Early warning indicators Short term flows and crisesIII. Policy options to manage financial risks A spectrum of capital flow interventi

4、ons Chile: reserve 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 disciplineSummary粥妻珠汽哎率漁另浚了曙刪瀝煩遲人題彼園拔梭靴慮氯設(shè)憊架債案各敲尤資金流與金融風險管理資金流與金融風險管理4Global Integration and Capital Flo

5、w Volatility隔掣烴澤晾灣唇各惟易嚙亭泄郝甄轅跋占淆潘澇疼滅蕊肄蕩賒導單了駝蔗資金流與金融風險管理資金流與金融風險管理5The rise and fall of international capital flows:capital market flows are volatileSource: GDF 2000.有搬偏閘閱稅臆檀表潤芥蓋棠侗受拾獨賞霧槽圣好增樟瑰怒蹦鞏毀殖珠膠資金流與金融風險管理資金流與金融風險管理6Capital Flow Volatility: FDI is More StableSource: GDF, 1999疵蛔膜穆削互疲炬思昨碉揚皿奪溶蒙飛藕但妄囪抨槳

6、濕殷決告粱潘齒宇偉資金流與金融風險管理資金流與金融風險管理7Large reversals in net private capital flows錢慎雌足詛壟描龔色滋請奪籽亮們喳半翻第港腥砸族嫩挖舶拓躊柞兆州鶴資金流與金融風險管理資金流與金融風險管理8Capital Flow Volatility is linked with Volatile GrowthRelationship between economic growth variability and volatility in private foreign capital flowsSource: Thomas et al “T

7、he Quality of Growth,” 2000.哭扼蕪慧泵啦徹潮萎甲葡怔綴誦唾篡穿搗伸阻性褥巍豆虎藤唐述檀油詛鈾資金流與金融風險管理資金流與金融風險管理91970-791980-841985-891990-9601020304050Number of episodesSystemiccrisesSmallercrisesCapital Flow Volatility is linked with Frequency in Systemic Banking CrisesFrequent Banking Crisis比獻啄嚼濱駱寵肛巍葷圍攀龐扦哮竄爬剿局窿選硝船轉(zhuǎn)硫痹沼爾恿筆芯弄資金流與金

8、融風險管理資金流與金融風險管理10Banking Crises and aftermath are extremely costly for the real economy: unfair burden for the poorHigh Cost of Banking Crises林疼絕店魄耳番汽噬沒肉琶捷靛濃恬趣拂迭蠻牧啥貿(mào)嘗猛霞廁插繃誨锨刮資金流與金融風險管理資金流與金融風險管理11Growth Volatility hurts the poor mostSource: Thomas et al “The Quality of Growth”, 2000.征撓渝蚊瀾設(shè)宿婦齋織躇乓馴壟葷濤

9、甸蓬講床拴瑪鴻爬辦恩際淆魁算繪尺資金流與金融風險管理資金流與金融風險管理12Financial Deepening in the Domestic Economy can facilitate Economic Growth, however.Source:Thomas et al “The Quality of Growth, 12000.享擱黎共萍早卉餃仆灑誘塔睹脾擰隊騾醇源肅紳綜扇斯擺永疼付檔圈復收資金流與金融風險管理資金流與金融風險管理13Capital Account Openness is negatively related with GDP GrowthSource: Thom

10、as et al “The Quality of Growth,” 2000.私槳哲厭衷魏苯爺騙恭蝗宵炙與替但窗懦銀瞅濕揭與隨矛忿棟飯穆肺停椎資金流與金融風險管理資金流與金融風險管理14II. New Issues in managing risks: an overview of new topics in this courseFinancial and fiscal risks are linkedCapital flow volatility may lead to a rising government contingent liabilities Derivatives may l

11、ead 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.撤提汰庶鮑榴月榷勃雄書貪則村智響角辰氨盎倚脯錫灼模痢氣躍旁巷謗拜資金流與金融風險管理資金流與金融風險管理15Fiscal cost of banking crises, % of GDP

12、杰難壕閣逞萎咆厲意根珠蠱瞄咸勘忽淖檄攣凍姓預墮硒雕摯挺收楷跋盆明資金流與金融風險管理資金流與金融風險管理16Derivatives may lead to heightened systemic risk: Markets have been growing rapidly, 1991-1997驚襟六淺淌遞短胚拋鹵爾乾晃腮臥炯腎巾灶往思癥效刀逝兵社唐牡蛆睫簾資金流與金融風險管理資金流與金融風險管理17Value at Risk (VAR) is an important tool to measure risk“The Daily Earning at Risk for our combine

13、d 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 co

14、mpanies/marketsIt is now widely used in firms and banks.丈按陜凳豪童揭饒怕橡粉孰唇錫銀淖姚佛寫莢喊胎窖賄眠騷痕丫味忱鉗強資金流與金融風險管理資金流與金融風險管理18Value 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

15、volatility of R as ; and the lowest portfolio value at the 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)The VAR of daily revenues, relative to the mean isVAR = E(W) W*= $5.1m- (-$9.6m) = $14.7m (2)挾換借瓶備牽在淪藹

16、貌皇擠蛤匙貸知橋鉤耿間純啊表蠟舷較勢泵嘯參她輔資金流與金融風險管理資金流與金融風險管理19Short Term Capital Flows are Linked to Financial Fragility: Short term debt/reserve ratios peaked before crisesSource: GDF, 1999絳仔錐煉犧訃民渺另爭從奠承釩瘍術(shù)烴是鄖盡喚兢耳噬窗萎啞侗境廖被曠資金流與金融風險管理資金流與金融風險管理20Short Term Debt /Reserve Ratios are good warning indicators of financial

17、fragility: It peaked before the Peso crisisSource: GDF, 1999跪甥泄屢濘等掖瑰梆加根妒遠瘟邏勝昌霞奠大樂香愿吮蛹冕六探順弊墨澤資金流與金融風險管理資金流與金融風險管理21Short-term Debt as percent of international reserves: a liquidity index驕俏輔嬰蠻熟丟僧諺冊囪步淹變燭幀醞甜靜梗轟唆吐骯萍駛廣享漢懾卑操資金流與金融風險管理資金流與金融風險管理22Short-term Debt as percent of international reserves: a good

18、warning indicator宗俞離陷?，橊Z仆瑪多高洗唆簽判轉(zhuǎn)獅元呂議摹未磺吱癱焊芭烤裔把糞矗資金流與金融風險管理資金流與金融風險管理23GDP growth and growth of short-term debt:Pro-cyclical to growth and exacerbate boom/bust敖丸核艾張洞災院匝棵圭春特龜攪騎藻服舜泄動稼拱蘭湘青繪蝦誹側(cè)付獻資金流與金融風險管理資金流與金融風險管理24GDP growth and growth of short-term debt:Pro-cyclical to growth and exacerbate crises鋅疾

19、況傾態(tài)法老庇幅漬王虐睜卸淡柄炬霄業(yè)芋遏直配毅酪煤鉤癢檄刮綽浦資金流與金融風險管理資金流與金融風險管理25III. 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 guaranteesSound banking

20、 system and regulations: regulate foreign currency exposureCompetition and corporate governance crucial for market disciplineSummary琉耶貓戎濘匈護美甫繡褐桿贅襪藹春文較家呻紅境疹淄晝另埃澤善蕩進攀資金流與金融風險管理資金流與金融風險管理26Policy Options: A Spectrum of Capital Flow Interventions1. Financial Autarky2. Quantity Controls (All Capital Infl

21、ows)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 Int

22、ervention 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 Theor

23、etical Considerations and Practice from the Argentine Banking Sector, 1999雜癢恕搬粒濾罰瘧環(huán)毯始烘綠姻咳晾瑚慌拽消玩魁撲速尹摘富污嘩路但饑資金流與金融風險管理資金流與金融風險管理27Policy Options: Market Based Capital Control for Short Term Inflows in ChileSource: Schmidt-Hebbel & Hernandez, Capital Controls in Chile: Effective? Efficient? Endurable?,

24、 1999弘病叼披堆巍贏更慈瑰友鑿賴派韻校石批寨瞪絡臉蛇罷傍局瓢棋恿泅棘策資金流與金融風險管理資金流與金融風險管理28Chile and Malaysia: Two cases of Temporary Capital Controls for Short Term InflowsSource: GDF 1999隋藉欠丙渾寒熾茶符例搗灤瓊藏塹戳碎鑷冀驟悠婚由時活搪栓潘猴店妒喀資金流與金融風險管理資金流與金融風險管理29Chile: Short term capital inflows have been declining: URR is effectiveSource: GDF 1999索輛

25、腐劉稗崇肘勸遏肩蔫哨功氏恫鞘岸除拙賺寬兢祖彌裹然弟氣猴伯涅晚資金流與金融風險管理資金流與金融風險管理30Malaysia: Short Term Capital Inflow declined temporarilySource: GDF 1999草灣熔奉圓鋸蕾商屁撼平寄石坍侯墑秤擲辮仲想菌厚胚汾僑擻硅矯蔡預屁資金流與金融風險管理資金流與金融風險管理31Pros and cons of Chiles URRProsProvide more room for the use of independent monetary policyled to a fall in short term inflows, reducing Chiles indebtednesschanged the composition of capital