IMF-減少高加索和中亞的美元化（英）

theCaucasusandCentralAsiaWhatCouldHelpMakeFurtherProgressSelimCakir,MariaAtamanchuk,MazinAlRiyami,NiaSharashidze,NathalieReyesWP/22/154IMFWorkingPapersdescriberesearchinbytheauthorsandarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.20221.本附加與原報告無關;互聯(lián)網公開數據；3.本資料在“行業(yè)報告資源群”和“知識星球4.本資料僅限社群內部學習，如需它用請聯(lián)系1.進群即領福利《報告與資源合編》，內有近百行業(yè)、上萬份行2.每日分享學習最新6+份精選行研資料；3.群友交流，群主免費提供相關領域行研資料。效業(yè)研究、運營管理、價值傳播等計劃、蓋科技、金融、教育、互聯(lián)*“Theauthor(s)wouldliketothankNicolasBlancherforconstructivecommentsandhelpfulguidance.?2022InternationalMonetaryFundWP/22/154IMFWorkingPaperMiddleEastandCentralAsiaDepartmentzationintheCaucasusandCentralAsiaWhatCouldHelpMakeFurtherProgresslimCakirMariaAtamanchukMazinAlRiyamiNiaSharashidzeNathalieReyesAuthorizedfordistributionbyNicolasBlancherJuly2022IMFWorkingPapersdescriberesearchinprogressbytheauthorsandarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthorsanddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:DecliningbutstillhighdollarizationratesintheCaucasusandCentralAsia(CCA)regionaffectmacroeconomicstability,monetarypolicytransmission,andfinancialsectordevelopment.AlthoughseveralstudieshaveinvestigatedthedynamicsofdollarizationintheCCA,therelativerolesofmacrofinancialpoliciesandfinancialmarketdevelopmentinthede-dollarizationprocesshavenotyetbeenassessedempirically.Thispapertakesstockofdedollarizationeffortsandexplorestheshort-termdriversoffinancialde‐dollarizationinAregionIthighlightsthatthereremainssignificantscopetofurtherreducedollarizationthroughcontinuedprogressinstrengtheningmacroeconomicpolicyframeworksandindevelopingmarketsandinstitutions.JELClassificationNumbers:E52,E58,F30,F31.Keywords:scakir@;matamanchuk@;nrayes@;Author’sE-MailAddress:nsharashidze@;almazinr@;IMFWORKINGPAPERSReducingDollarizationintheCaucasusandCentralAsiaINTERNATIONALMONETARYFUND3WORKINGPAPERSReducingDollarizationinthesiaWhatCouldHelpMakeFurtherProgressPreparedbySelimCakirMariaAtamanchuk,MazinAlRiyami,NiaSharashidze,NathalieReyes.11WearegratefulforinsightfulcommentsandsuggestionsfromNicolasBlancher.IMFWORKINGPAPERSReducingDollarizationintheCaucasusandCentralAsiaINTERNATIONALMONETARYFUND4 n rization ollarizationofDepositsandCreditsintheCCA larizationofDepositsandCreditsinotherEMDEs llarizationAtConstantExchangeRates n DepositDollarizationtoaShocktoDifferentialReserveRequirement ditDollarizationtoaShocktoDifferentialReserveRequirement troductionofPrudentialMeasures Figure12.ResponseofDepositDollarizationtoShocktoSpreadBetweenLocalandForeignCurrency ationtoaShocktoDifferentialReserveRequirement FigureAcResponseofDepositDollarizationtoaShocktoIntroductionofVariousPrudential INTERNATIONALMONETARYFUND5FigureAd.ResponseofCreditDollarizationtoaShocktoIntroductionofVariousPrudentialMeasures RateShock IssuanceofLocalCurrencyLongtermBonds FigureAhResponsesoffinancialdollarizationtochangeinspreadbetweenlocalandforeignes llarizationtoanExchangeRateVolatilityShock arization ositDollarization nCreditDollarization INTERNATIONALMONETARYFUND6Dollarizationoftenhasrootsinweakeconomicfundamentals.DollarizationisdefinedastheuseofforeignaunitofaccountmediumofexchangeandstoreofvalueWeakeconomicfundamentalshighandvolatileinflation,nominalexchangeratevolatility,andweakmonetarypolicyframeworkareamongthensthatcausehighlevelsofdollarizationOntheotherhanddollarizationweakensmonetarypolicyssthemonetarypolicyframeworkcreatingaviciouscycleManycountriesaresearchingforwaystoreducedollarizationandlearnfromsuccessfulcountryexamples.TheliteraturesuggeststhatdollarizationisoftenareflectionofpastsevereeconomicandpoliticalturmoilandareactiontocroeconomicinstabilityInvestorstrytominimizethevarianceofexpectedreturnswhichdependonthevolatilityofinflationandtherealexchangerate(Yeyati,2006).Dollarizationcanposemajorchallengesforpolicymakers.Thehighlevelofdollarizationraisesquestionsconcerningthedesign,implementation,andeffectivenessofmonetary,fiscal,andexchangeratepolicies.TheinterestratechannelbecomesineffectivewhenmostintermediationisindollarsandexchangeratepassthroughtoinflationincreasesIzeandYeyati,2005).Dollarizationreducesthemonetaryauthorities’controloverdomesticliquiditybothbyincreasingthecomponentoverwhichlittledirectinfluencecanbeexertedandbyrenderingmoneydemandlessstable(BergandBorenzstein,2000).Itincreasesthevulnerabilityoffinancialsystemstosolvencyandliquidityrisksasdollarizationaffectsthecapacityofthecentralbankstoactasalenderoflastresort,andcurrencymismatchesinthecorporatesectorcouldleadtoariseinnon-performingloansGuldeHoelscheretalInadditiondollarizationexposesthebalancesheetsofthepublicsectortoexchangeraterisks.Balancesheetmismatchesinhighlydollarizedeconomiestendtomakecountrieslesstoleranttolargeexchangeratefluctuationsbecauseofitscontractionaryimpactonaggregateoutput,hencethe“fearoffloating”(CalvoandReinhart,2002).Dollarizationdisplaysirreversibility(hysteresis),meaning,dollarizationratiosdonotdeclineevenafterthelocalcurrencieshavebeensuccessfullystabilizedandfinancialmarketshavedeepenedduetoswitchingcostsandlong-lastingmemories(IzeandYeyati,1998).stingstudiesshowthatmonetarypolicyandexchangeratecredibilityareessentialtoreducedollarization(Yeyati,2006)anddollarizationisassociatedwithweakeconomicinstitutions(DeNicoloetal.2005).Reinhart,RogoffandSavastano(2003)arguethatmarketbasedsuccessfulde-dollarizationexperiencesfollowedsuccessfuldisinflationprogramsandincountrieswheredomesticfinancialsystemofferedassetswithalternativeformsofindexation(Israel)orveryhighrealinterestrates(Poland).Non-marketbasedstainedbasisinseveralLatinAmericancountriesinthe1980’s.Successfulmarket-friendlyde-dollarizationprocessesin2000sinBolivia,pportedbytheappreciationtrendfordepositdedollarizationInadditionactivemanagementofreserverequirementdifferentialsandotherprudentialmeasures,extensionofdomesticyieldcurveanddepositde-dollarizationfacilitatedcreditde-dollarizationinthesecountries(García-EscribanoandSosa,2010).Yeyati(2021)pointsoutthatthecountriesthatformulatedacomprehensiveagendaofde-dollarizationpolicieshavemanaged,tovaryingdegrees,toattackthephenomenonsuccessfully.Thesepoliciesincludemacroeconomicmeasuressuchasinflationtargetingwithoutexchangerateanchorsorfiscaldominanceofthecentralbank),microeconomicmeasures(suchasdifferentialreservesrequirements,limitsondollarlending,orthedevelopmentofcompetitivesavingsinstrumentsinpesos),andsand-on-the-wheelsINTERNATIONALMONETARYFUND7measurestodiscouragerealdollarization(suchaslegaltenderrestrictions,mandatorypricedenominationinthelocalcurrency,orthewideningofthedollarpurchaseandsalespread).ighlevelofdollarizationalthoughithasbeendecliningrapidlyoverthepastfewyearsonaccountofprudentmacroeconomicpolicies.Dollarizationintheregion,stemsfromahistoryofextremeinstability,hyperinflation,andlargeexchangeratedepreciation,mostlyinthenineties,leadinghouseholdstopreferholdingdollarsasasafestoreofvalueBenNaceuretal)findthatforeignexchange(FX)depositsandloansintheCCAaremainlydrivenbyvolatileinflationandexchangerates,lowldepthandasymmetricexchangeratepoliciesbiasedtowarddepreciationThecountriesintheregionlityoverthelastdecadeThisprogressisowedtotherespectivecentralbanksandgovernmentswhohavedemonstratedtheabilitytomaintainfiscaldisciplineandcontinuethereformsthataretransformingtheireconomies.evelsanddedollarizationpoliciesintheCCAregionWenductedaqualitativesurveywithcountryteamsaboutmacroprudentialandadministrativemeasurestoyinplaceAllcountriesapplyhigherreserverequirementratiosandadditionalcapitalrequirementsforFXdenominatedliabilitiesvsdomesticcurrencyliabilities.Allcountrieshaveintroducedmacroprudentialandadministrativemeasurestoreflectbetterandevaluatetherisksassociatedwithforeigncurrencyassets.AnoutrightbanonFXlendingtocertainsegmentssuchasmortgagesisobservedindifferentformsinseveralcountrieswhereasGeorgiaintroducedaflooronFXloans.Measuressuchasdifferentiatedloan-to-valueandpayment-to-incomeratiosarelesscommonandmorerecent.Followingtheintroductionofopenforeignexchangepositionlimitsthegapbetweenloananddepositdollarizationhasdeclinedconsiderablysince2010.InKazakhstan,Azerbaijan,andGeorgiacreditdollarizationhasdeclinedsignificantlymorethandepositdollarizationpartlyasaresultofadministrativemeasures.CountriesintheregionhavemadeimportantprogressindevelopingtheircapitalmarketsovertheermgovernmentsecuritiesinlocalcurrencyUzbekistanSimilarly,negativenetinternationalinvestmentpositioninseveralcountriesintheregionremainabove70percentofGDP,exacerbatingthecontractionaryimpactofforeignexchangedepreciationsthroughbalance-sheetimpact.Attheempiricallevel,theabsenceofdataonthestockofforeigncurrencycirculatingintheeconomyhasemergedasaserioushindrance.Consequently,mostofthetime,empiricalstudiescanonlyinvestigatemportanceofdollarizationforeigncurrencyasastoreofvaluesocalledfinancialdollarizationbutnotnecessarilycurrencysubstitution(foreigncurrencyasamediumofexchange).Thispaperisnoexceptionandattemptstoanalyzethedriversoffinancialdollarizationdefinedastheratioofforeignexchangedepositsandloanstototaldepositsandloans.AstandardrecursiveVARisusedtoexaminetheroleofdifferentfactorssuchasmacro-variables,prudentialmeasures,andthedevelopmentoffinancialcapitalmarketsonbothcreditanddepositde-dollarizationinthetionsandforecasterrorvariancedecompositions,toidentifythedynamicresponsesofchangesindepositandcreditdollarizationtoINTERNATIONALMONETARYFUND8variousshocksandquantifytherelativeimportanceofeachshockinfinancialdollarizationlevels.Ourresultssuggestthat(i)increasingthespreadbetweenreserverequirementratiosonforeigncurrencyandlocalcurrencyhavecontributedtodepositandcreditde-dollarizationinseveralcountries;(ii)variousprudentialmeasureshavecontributedtodepositde-dollarizationinseveralcountries(iii)depositdollarizationincreasesinsomecountriesinresponsetoashockchangeinthespreadbetweenlocalandforeigncurrency(iv)theimpactofanexchangerateappreciationshockondepositde-dollarizationisimmediateandsignificantinsomecountries;(v)countries’concertedeffortstoextendtheyieldcurveanddevelopthedomesticdebtmarkethavenotbeenassociatedwithsufficientresultsindedollarizationvitheeffectsofexchangeratevolatilityandinflationonfinancialdollarizationaremixed;and(vii)depositdollarizationisdrivingcreditdollarization.Thestructureofthepaperisasfollowing.SectionIIpresentsthestylizedfacts.SectionIIIdocumentssurveyresultsregardingtheauthorities’de-dollarizationpolicies.SectionIVdescribestheempiricalapproachandcontainsresults.SectionVconcludes.TheCCAregionhistoricallyhadahighlevelofdollarizationbuthasbeendecliningoverthelastdecade.Prudentmacroeconomicpolicies,de-dollarizationpolicies,macroprudentialmeasures,andswitchtofloatingexchangerateregimescontributedtothisgradualdecline.TheshareofFXdepositsintotaldepositswasonaverage60percent(measuredattheconstantexchangerate)acrosstheCCAadecadeagoanddepositdollarizationratesvariedsignificantlyamongcountries,from32percentinArmeniatoabove80percenttheregiondeclinedtopercentinDedollarizationofdepositsgainedpaceinKazakhstanandKyrgyzRepublicfollowingexchangerateadjustmentsafterthe2014economiccrisisGeorgiastillhasthehighestdollarizationrateintheregionatabove60percent.Creditde-dollarizationintheregionhasbeenevenmorepronounced.TheshareofFXloansintotalloanshasdeclinedfrom67percentin2010to34percentin2021.Kazakhstanstandsoutwiththefastestrateofcreditde-dollarizationfrom73percentofallcreditin2010to13percentin2021.Figure1showsthede-dollarizationtrendindepositsandcreditsinCCAcountriesduring2010-2021inconstantexchangerates.FigureDollarizationofDepositsandCreditsintheCCAIMFWORKINGPAPERSReducingDollarizationintheCaucasusandCentralAsiaINTERNATIONALMONETARYFUND9Depositdollarizationintheregiondeclined,andasimilartrendisobservedinotheremergingmarketeconomies(EMDEs).EvenifCCAexperiencedthelargestdeclinecomparedto2010,otherEMDEsfollowedthesametrend1(Figure2).Dollarizationofdepositsdecreasedby11percentinLatinAmericanCountries(LAC),8percentinEmerging(EM)Europeand2percentinEMAsia,whiledollarizationofloansdecreasedbypercentinEMEuropepercentinLACandslightly1percentinEMAsia2.ThisreductionindepositdollarizationisinlinewiththefindingsofYeyati(2021),whichshowsthatoutof21EMDEs,16countriesreduceddollarizationoftermdepositswiththeaveragereductionofcloseto20percentagepointsbetween1999-2018.FigureDollarizationofDepositsandCreditsinotherEMDEsAsexpected,thede-dollarizationspeedofdepositsandcreditdiffers(Figure3).Whilethetwoempiricalmeasuresofdollarizationareoftencloselycorrelated,weobservethatde-dollarizationincreditisconsiderablythandepositsintheregionThisisparticularlythecaseforKazakhstanAzerbaijanandGeorgiawherecreditdollarizationhasdeclinedsignificantlymorethandepositdollarization.InArmenia,andUzbekistandepositde-dollarizationoutpacedcreditde-dollarization,implyingthatthereisroomformacroprudentialmeasurestoreducecreditdollarizationtothelevelofdepositdollarization.Creditdollarizationdeclinedby32onRegulatoryfactorssuchasrestrictionsonforeigncurrencylending,clearlyplayaroleinthisdifferentiationaswellassupplyanddemandfactors.1Inconstantexchangerates.TheCCAregionalaveragesincludedataforArmenia,Azerbaijan,Georgia,Kazakhstan,KyrgyzRepublic,andTajikistanbecauseofdatalimitations.2Sampleofcountriesincludedintheregionalaverage:EMEurope(Albania,BosniaandHerzegovina,Bulgaria,Croatia,NorthMacedonia,Montenegro,Poland,RomaniaandTurkey),LAC(Argentina,Bolivia,Brazil,Chile,Colombia,CostaRica,Guatemala,Mexico,Nicaragua,Panama,Paraguay,Peru,TrinidadandTobagoandUruguay)andEMAsia(BruneiDarussalam,Cambodia,Fiji,Indonesia,Malaysia,PapuaNewGuinea,Philippines,TongaandVietnam).IMFWORKINGPAPERSReducingDollarizationintheCaucasusandCentralAsiaINTERNATIONALMONETARYFUND10einDollarizationAtConstantExchangeRatesBoxWhatisaNaturalLevelofDollarization?Anaturallevelofdollarizationisdefinedsuchasitsbenefitsoutweighitscosts.Ontheonehand,dollarizationsupportsfinancialdeepeningespeciallyincountrieswithalowlevelofcapitalmarketdevelopmentandpersistentlyhighinflation.Ontheotherhand,dollarizationposesvariousdrawbacksforpolicymakersasoutlinedintheintroductionofthispaper,includingahigherriskontheprivateandpublicbalancesheetsduetounhedgedcurrencyriskexposure.edanaturallevelofdollarizationintheCCA,followingthemodelin(IzeandLevyYeyati,2003).TheydefineadollarizationbenchmarklevelfordepositsthatndontherelativevolatilityoftherealExRtionNaturalratesofdollarizationvaryacrosstheCCA,withcountriesdependentonremittanceshavinghighernaturalratesofdollarization.Forexample,KyrgyzRepublicandTajikistanhaveinflowsin2020equivalentto31percentandpercentofGDP,respectively.Remittancesareanimportantsourceofforeignexchangeandhaveanimpactonnaturallevelofdollarization(Gondo,AidorovaandSingh,2020)andhouseholdswhoreceiveremittancesaremorelikelytoholdforeigncurrencyfordiversifyingtheirportfolio(OECD,2007;andBrownandStix,2015).Estimatesforthenaturalrateofdollarizationrangefrom3.0percentforKazakhstanto36.6percentforKyrgyzRepublicin2019.INTERNATIONALMONETARYFUND11Theoriginalsin,i.e.,theinabilityofthecountriestoborrowintheirowncurrency,ispresentintheCCAeigncurrencyremainsextremelyhighForsomecountriessuchasKyrgyzRepublic,Azerbaijan,GeorgiaandArmeniaitremainsabove70percent.Gradualde-dollarizationofandemwiththedeclineindepositdollarizationAscountriesdeveloptheirlocalcurrencybondmarketsandthesemarketsgaindepthovertime,onewouldexpectamorevisibledeclineinpublicdebtdollarizationinthecomingyears.reGrossFXDebtandNIIPngshareovertimeinpublicborrowingdomesticcurrencydenominatedbondissuancescurrentlyaccountonlyforasmallfractionofpublicdebt.Countriesintheregionhaveintensifiedtheireffortstodevelopdomesticcapitalmarkets.Georgia,Kazakhstan,Armenia,andAzerbaijantadecadeagoCurrentlyalmostallcountriesintheregionissuelongasissuedlongtermlocalcurrencybondsThebondmarketsarestillnascentandlacksufficientlevelofdevelopment.Hencethemarketsdonotseemtobeatastageofdevelopmentthatcanmateriallyimpactthelevelofdollarization.MostCCAcountrieslackavailabilityoffloatingrateorinflationindexedbondsthatcouldallowtheinvestortopartiallyhedgeagainsttheforeigncurrencyvolatilitywithoutactuallyholdingtheforeigncurrency.PillarIIandpillarIIIpensionsystemsplayanimportantroleinincreasingdomesticsavingsinlocalcurrency.Forexample,followingpillarIIpensionreformintroductionnGeorgiainearlythePensionFundhasaccumulatedsizablefundsandisgettingreadytoinvestinlariatedbondsgraduallyIssuanceoflongtermlocalcurrencybondsalsofacilitatesthedevelopmentofivativemarketsovertimeandallowsbankstohedgetheironbalancesheetforeignexchangepositionsForexample,severalemergingmarketcountryregulatorsinEuropeandLatinAmericaintroducedbansonelopmentofderivativeinstrumentsenabledbanksinthesecountriestocomplywithsuchregulationswithoutreducingtheiroveralllendingbyhedgingtheirforeignexchangepositionsthderivativetransactionsSimilarlyotheremergingmarketcountriesintroducedindexedinstrumentsinlocalcurrencytodivertsavingsawayfromforeignexchange.Whenbalancesheetsarehighlydollarized,economicagentspreferhardcurrencytomaintaintherealvalueoftheirconsumptioninthefaceofmacroeconomicuncertainty.Theexistenceofbalancesheetmismatchesinhighlydollarizedeconomiestendstoreinforcethecontractionaryeffectofexchangeratedeprecation,thusalsoexplainingthepersistenceofdollarization(IzeandLevyYeyati,2005).Georgia,INTERNATIONALMONETARYFUND12Armenia,KyrgyzRepublicandTajikistanhaveanegativenetinternationalinvestmentpositionabove70percentofGDP,exacerbatingthecontractionaryimpactofforeignexchangedepreciationthroughbalance-sheetimpact.Countriesintheregionhavemadesignificantstridesinfinancialdevelopmentoverthepastdecades,includingthroughfinancialdeepening,improvementsinfinancialinclusion,andbankingsectorpmenthasinturnsupportedhighereconomicgrowthintheregionIntheoryonecouldexpectanegativeimpactofdepositdollarizationonfinancialdepthasitmayreflectthefactthatashareofforeigncurrencydepositsiseventuallytransferredoverseas,ratherthanretainedinthedomesticeconomyasprivatecredit,thuscontributingtoashallowerdomesticfinancialsector.However,thepicturefortheregionnnDeNicoloetal2005;andLevyYeyati,2006)whohavealsoraisedthepossibilitythat,inprovidingfinancialsolutionstoeconomicagentsinless-than-optimalpolicyenvironments,dollarizationcansupportgreaterfinancialdevelopment(Figure5).Dollarizationisoftenassociatedwithhavinganegativeimpactonfinancialefficiency.Inotherwords,netinterestmarginsareexpectedtobepositivelyrelatedtolevelsofdollarization,suggestinganegativeeffectiencyHoweverthisdoesnotseemtobethecaseforallthecountriesintheregionWeseerelativelylowernetinterestmarginSimilarlylookingatthechartsitisdifficulttomakeanassociationbetweenfinancialdollarizationandaccesstofinance(Figure5).eFinancialDepthandDollarizationINTERNATIONALMONETARYFUND13Countriesintheregionhavebeentryingtode-dollarizetheireconomiesagainstthebackdropofreciationpressuresFigureExchangerateappreciationhasbeenanimportantfactorindedollarizationinotheremergingmarketeconomies,particularlyinLatinAmerica.However,severalcountriesintheCCAregionmanagedtoreducedollarizationinanenvironmentwhentheircurrenciesweredepreciatingwhichclearlyisadifficulttask.Anotherobservationisthatfollowingsharpdevaluationsin2014-15,supportedincreasedexchangerateflexibilityandtightermonetarypoliciesweobserveasignificantincreaseinthepaceofde-dollarization.INTERNATIONALMONETARYFUND14eREERandDollarizationIMFWORKINGPAPERSReducingDollarizationintheCaucasusandCentralAsiaINTERNATIONALMONETARYFUND15esintheregionlitativesurveywithcountryauthoritiesanddesksattheIMFlookingintodedollarizationpoliciesincludingintroducedbytheauthoritiesintheregion.Inparticular,thesurveytookstockofmacroprudentialandadministrativemeasuressuchasadditionalcapitalrequirementsforunhedgedFXexposures,opencurrencypositionlimit,bansonFXlendingandothermeasures(Figure7)(forsurveydetails,seeAnnexI).WehavereceivedresponsesforArmenia,Azerbaijan,Georgia,Kazakhstan,Tajikistan,Uzbekistan,andKyrgyzRepublic.theregionhaveanofficialdedollarizationpolicyinplaceTomitigatetherisksassociatedwithforeigncurrencyassets,theauthoritieshaveintroducedmacroprudentialandadministrativemeasuresForexampleallcoun