布魯金斯學(xué)會-21世紀(jì)的國際金融：全球失衡、估值效應(yīng)和金融一體化（英）

1NANCEINTHESTCENTURYariaMilesiFerrettiTheHutchinsCenter,BrookingsInstitutionSeptember2022Structureofpresentation22TheperiodprecedingtheglobalfinancialcrisisapitalflowsTheglobalfinancialcrisisThepastdecadealancesturesofinternationalfinancialintegrationmekeyBOPandIIPdefinitions33RapidexpansionofcurrentaccountimbalancesBoomininternationalcapitalflowsodgenerallycharacterizedbyveryeasyiceshousingandcreditboomsinanumberofcountriesIMFworriedaboutglobalimbalances,andatmentAboomininternationalcapitalflowsWorldfinancialinflows(percentofworldGDP)501995199619971998199920002001200220032004200520062007PortfolioequityFDIPortfoliodebtOtherinvestmentFinancialinflowsWorldExternalAssets(percentofworldGDP)0001995199619971998199920002001200220032004200520062007FinancialcentersAdvancedeconomiesexcl.financialcentersEmerginganddevelopingeconomiesnalholdingsontheriseGlobalexternalliabilities(inpercentofworldGDP)250200001995199619971998199920002001200220032004200520062007PortfolioequityFDIPortfoliodebtOtherinvestmentDerivativesTotalliabilitiesCAimbalancesprecrisisGlobalcurrentaccountimbalances(percentofworldGDP).0-2.0-3.0200020012002200320042005200620072008AdvancedEuropeChinaersUnitedStatesCEE+OtherdebtorsAdvancedAsiasGlobalstockimbalancespre-crisisGlobalIIP(percentofworldGDP)50-20200020012002200320042005200620072008EURcreditorsChinaAdvancedAsiaOilUSEURdebtorsCEEOtherdebtorsandgrosspositionsboostedthewhichtheseeffectsoperate.Thisisparticularlythecaseforthegrowthincross-bordertyholdingswhereassetpricefluctuationsareparticularlyExchangeratechangeswerealsonotableduringtheseyearsdeoryIGoodsurveyoftheliteratureinGourinchasandRey(2014)Uphillcapitalflows,contrarytothebasic“neoclassicalmodel”(higherratesofreturninEMDEswouldcallfornetborrowingtofinancecapitalaccumulation).Gourinchas-Jeanne,2013ReStud)Butcaseoverstated:specialroleforCHN,oilexporters,officialflowsReasonsforhighdemandforUSassetsEmergingmkts:FXreserveaccumulationasinsuranceagainstexternalcrises(Mexico,Asiancrisis,Brazil,Russia,Argentina…),partofexport-leddevelopmentstrategy(China),revenuesfromoilGlobalsavingsglut(Bernanke,2005)口Scarcityof“safeassets”(Caballero,Farhi,Gourinchas,2017)口Precautionarysaving(Mendoza,Quadrini,RiosRull,2009)yIIEmpiricalassessmentofCAimbalancesonthebasisof“fundamentals”(Chinn-hodologiesGeneralfindings:tOverall,reasonablefitbutactualimbalancesmostlylargerthanestimatedvalues.Assessment:“excessimbalances”Resolutionofimbalances:exchangerateadjustment(estimatesofovervaluation,undervaluation.Dollarassessedasovervalued,RMBundervalued.IMFmethodologiessubsequentlyrefinedwithamore“normative”bent(“EBA”).itsimmediateaftermathThecrisiswasnotthe“disorderlyunwindingofCAimbalances”DespitetheUSbeingattheepicenterofthecrisis,theUSDactuallystrengthenedduringtheperiodofhighestfinancialstressClearexpostthatimbalanceswereasymptomofpre-crisisexcesses...Indeed,the“bonanza”endedabruptlywiththecrisis—tighterexternalfinancingconditions,reassessmentofexternalcreditriskforImbalancesnarrowedsubstantially–butmostlythroughlargedeclinesinaggregatedemandandGDPgrowthindeficitcountriesthelegacyofthecrisisintermsofPainfulexternaladjustmentincountriesthanranlargedeficitsOutputcostofcrisisandsubsequentyearshigherincountrieswithlargerprecrisisimbalances(egeuroareacrisis)Non-CEEemergingmarketsrecoveredwell,helpedbythereboundincommodityprices.Verylargedebtorpositionsintheeuroarea“periphery”andincentralandeasternEuropeSurprisinglylowlevelofUSexternalliabilitiesiesintheeuroareapositionGIIPS%ItalyGreeceIrelandPortugalSpainope%ThesurprisinglylowexternalliabilitiesoftheUSUSIIPandcumulativeexternalborrowing(ratioofGDP)1995199619971998199920002001200220032004200520062007200820092010-5%10%-15%20%25%30%35%40%45%50%IIPCumulativenetborrowing1996-2010Sliabilitypositionstaymodestbt?bt?1=bgst+bt?1+at?1+etValuationeffectsivetoworldreturnsrtArButalso“otherchanges”intheUSIIP(et>0)TheUSrecordshigherinvestmentincomeonitsassetsthanliabilitiesUS:yieldonexternalassetsandexternalliabilities4%199920002001200220032004200520062007200820092010YieldonassetsYieldonliabilitiesswhichareoftenUS:yieldonFDIassetsandliabilities%%4%0%199920002001200220032004200520062007200820092010AssetsLiabilitiesTheshareofinstrumentswithhigherreturns(FDIinparticular)ishigherforUSassetsthanforUSliabilities,sothatalsoraisestheyielddifferential.Inaddition,thelargepositivevaluationgainsbetween2002and2010implythatdifferencesinratesofreturn(whichincludeK-gains)rgerThereisadebateintheliteratureontheextenttowhichUSinvestorshavehigherreturnsontheirassetsthanontheirliabilities.SeeGourinchasandRey(2007)butalsoCurcuruetal(2009,2013).ShrinkingglobalCAimbalancessincetheGFCrrentaccountbalancespercentofGDP3210-2-32006200720082009201020112012201320142015201620172018201920202021Adv.AsiaAdv.EURChinaOilJapanUSEMDECmwlthOtherAEDiscrepancynsGlobalIIP(inpercentofworldGDP)0-10-20-3002006200720082009201020112012201320142015201620172018201920202021Adv.AsiaAdv.EURChinaOilJapanUSEMDECmwlthOtherAEDiscrepancysitionsCreditorcountriesgenerallycontinuedtorunsurpluses,andriesincludingtheUStorundeficitsButalsomassivevaluationchangeslinkedtoWorldstockpricesup128%inUSDtermsbetweenend-2010ionofGDPinUSIIPandcumulativeexternalborrowing%%%%%%%%%IIPCumulativenetborrowing2011-21Cumulativenetborrowing1996-21MassiveshiftinUSnetIIPdrivenbyvaluationFigure4.ChangesintheUSexternalportfolio,2010-21(billionsUS$)12000100008000600040002000FDIclaimsPortf.Eq.Portf.DebtOth.Inv.FDIliabilitiesPortf.Eq.Portf.DebtOth.Inv.assetsassetsAssetsliab.liabsliabs-2000-4000flowsassetpricesexchangeratesotherchangesAdvancedEurope:ndsbnAdvancedAsia:LargeCAsurplusesplayedabigrole(valuationhelpedinsomecases,MiddleEastoilexportersremainlargecreditorsaswell–butmuchbiggerentchallengesNetcreditorposition,2010-21(billionUS$)40000JapanOilexportersAdv.EURAdv.AsiaChina20102021Whobenefitedfromvaluationgains?HoldersofUSequities,FDIintheUSVerylargegainsforCanada,butalsoUK,Australia,andcountrieswithlargesovereignwealthfunds(Norway,Kuwait,UAE…).ForCanada,口netborrowing2010-21:500bn口netchangeinIIP,2009-21:+$1.4trillion.ButalsoEMDE(excl.Chinaandoilexporters)experiencednetvaluationgainsExchangeratedepreciation/inflationdifferentialsWeakerassetpricedynamicsountriesFactorsatplayDifferentiatedpictureLargeroleforgovernmentsaving(includingoil-drivenSWF)insomecases(Norway,MiddleEastoilexporters,butalsoSGP)Geopoliticalfactors(Taiwan)DemographicsPresenceoflargeinstitutionalinvestors(generallyassociatedwithlargerportfolioequityholdings)xternalAfallinthevalueofthedomesticcapitalstockreducesdomesticwealth…..…buttotheextentthatnonresidentsownsomecapitalinthecountrytheexternalpositionwillimproveAcountryonthebrinkofdefaultcanhaveanimprovementintheexternalposition,asthemarketvalueofitsexternaldebtdeclinesBottomline:netexternalwealthnotalwayspositivelycorrelatedwiththIfadebtorcountryis“l(fā)ong”FX,adepreciationwillimprovetheexternalpositionandspurnetexports.ThiscaneaseexternaljustmentComparethiswithascenariowhereacountryborrowsonlyinFX(classicnegativebalancesheeteffectsfromanexchangeratedepreciation).Netliabilities:equityordebt?Externaladjustmentharderincountrieswithnetexternaldebtliabilities(Catao-MilesiFerretti,2016).inancialintegrationinthe21stcenturyilitiesesdominateGlobalExternalFinancialAssetspercentofworldGDP)082020advancedexclfinctrsFinancialcentersEMDEsexcl.fin.ctrs.TotalAEexclFCFCEMDEDocumentinginternationalfinancialintegration:Whytheslowdown?Muchlowercapitalflowstoandfromadvancedeconomiesandfinancialcenters口Retrenchmentinglobalbanking口EuroareacrisisIncreasedweightofEMDEsinglobalGDP口TheseeconomieshavelowersharesofexternalclaimsandliabilitiestoGDP,andhencelowertheglobalshareastheygrowinimportancesis0Pre-crisis:keyroleforbankingcenters(suchastheUKandSwitzerland)Post-crisis:Retrenchmentinglobalbanking,increasedroleforcentersintermediatingactivitybyMNCsandhostingtheinvestmentfundindustryymanIslandsAftertheGFC:risingFDIsGlobalExternalFDIclaims(percentofworldGDP)002001200320052007200920112013201520172019advancedexclfinctrs.FinancialcentersEMDEsexcl.fin.ctrs.TotalAftertheGFC:risingportfolioequityioequityclaims4002001200320052007200920112013201520172019advancedexclfinctrs.FinancialcentersEMDEsexcl.fin.ctrs.TotaltableportfoliodebtclaimsGlobalexternalportfoliodebtclaimsercentofworldGDP4540502001200320052007200920112013201520172019advancedexclfinctrs.FinancialcentersEMDEsexcl.fin.ctrs.TotalGFCshrinkingcrossborderbankactivityGlobalexternalotherinvestmentclaims(percentofworldGDP)002001200320052007200920112013201520172019advancedexclfinctrs.FinancialcentersEMDEsexcl.fin.ctrs.TotalesWorldForeignExchangeReserves(percentofworldGDP)8642Advancedeconomiesexcl.financialcentersFinancialcentersEmerginganddevelopingeconomiesnkscorrectlyActivitybymultinationalcorporations(MNC)andglobalizationmoregenerallydistortvolume,composition,andgeographicalpatternofglobalcapitalflowsandexternalpositionseofSPEstochannelfundsthroughfinancialcentersticstheroleoffinancialcenters7BoominSFEs/SPEs口Re-domicilingofMNCstofinancialcenters(e.g.nd口ShiftsinintellectualpropertycapitaltowardsFCsCaymanIslandsBritishVirginIslandsJapanSingapore Canada France IrelandHongKongSwitzerlandGermany UnitedKingdomChina,P.R.:MainlandLuxembourgNetherlandsUnitedStatesFDIpositions,2020(billionsUS$)14000020004000600080001000012000LiabilitiesAssetstpositionsinportfolioequityCanada Netherlands GermanyUnitedKingdomJapanCaymanIslands ndLuxembourgUnitedStatesPortfolioequityinvestment:positions,end-2020(billionsUS$)020004000600080001000012000LiabilitiesAssetsderlending口Globalportfoliodiversification?Privatesector(pensionfunds,households…)?Governmentinvestment(reserves,SWFs)口Internationalallocationofproduction(greenfieldFDI,M&A)口Location/residenceofassetmanagers(egfundindustryinIreland,Luxembourg,CaymanIslands)口Cross-borderactivityofbanks口FinancialactivityofnonfinancialMNCs(tax/regulatoryarbitrage,balancesheetmanagement)ssborderclaimsand“internationalfinancialintegration”nanciallinksandofteninvolve“round-tripping”offinancialcentersininternationalfinancialLinkexternalpositionstodomesticfinancialaccountsBankingstatistics:consolidateddataPortfolioinvestmenteremappingpossibleforcommonequityoffshorebondsSeverechallengesfor“seeingthrough”investmentfundsFDI口SeparatereportingofSFEStatisticsbyultimatesource/destinationHowtoallocateconsolidateddatageographically?Howtodealwithtaxinversions“External”:residentsvis-à-visnonresidentsBalanceofpaymentsandIIPclassification:sLaneandMilesi-Ferretti,TheExternalWealthofNations(postedonmyhomepageontheBrookingswebsite).Estimatesofexternalassetsandliabilitiesforover200countries,1970-2021).IMF,BalanceofPaymentsandInternationalInvestmentPositionStatisticsCA+KA+EO=FAThesumofthecurrentaccountbalanceandcapitalaccountbalanceshouldequalthefinancialaccountbalance(netaccumulationoffinancialassetsoverseas).The“balancingitem”iserrorsandomissions,whichcapturesbothunrecordedfinancialflowsandunrecordedCAtransactions.VAL(t)=VAL_ER(t)+VAL_AP(t)Thecha