抑制全球金融冲击：宏观审慎监管（比资本管制更有帮助）吗？（英）

BISWorkingPapers No1097 Dampeningglobalfinancialshocks:canmacroprudentialregulationhelp(morethancapitalcontrols)? byKatharinaBergant,FrancescoGrigoli,Niels-JakobHansenandDamianoSandri MonetaryandEconomicDepartment May2023 JELclassification:F3,F4,E5. Keywords:macroprudentialregulation,monetarypolicy,capitalcontrols. BISWorkingPapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationalSettlements,andfromtimetotimebyothereconomists,andarepublishedbytheBank.Thepapersareonsubjectsoftopicalinterestandaretechnicalincharacter.TheviewsexpressedinthemarethoseoftheirauthorsandnotnecessarilytheviewsoftheBIS. ThispublicationisavailableontheBISwebsite(www.bis.org). ©BankforInternationalSettlements2023.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated. ISSN1020-0959(print) ISSN1682-7678(online) DampeningGlobalFinancialShocks:CanMacroprudentialRegulationHelp(MorethanCapitalControls)?∗ KatharinaBergantIMF FrancescoGrigoliIMF Niels-JakobHansenIMF DamianoSandriBISandCEPR April19,2023 Abstract Weshowthatmacroprudentialregulationsignificantlydampenstheimpactofglobalfinancialshocksonemergingmarkets.Specifically,atighterlevelofregulationreducesthesensitivityofGDPgrowthtocapitalflowshocksandmovementsintheVIX.Abroadsetofmacroprudentialtoolscontributestothisresult,includingmeasurestargetingbankcapitalandliquidity,foreigncurrencymismatches,andriskycredit.Wealsofindthattightermacroprudentialregulationallowsmonetarypolicytorespondmorecountercyclicallytoglobalfinancialshocks.Thiscouldbeanimportantchannelthroughwhichmacroprudentialregulationenhancesmacroeconomicstability.Wedonotfindevidencethatcapitalcontrolsprovidesimilarbenefits. JELCodes:F3,F4,E5 Keywords:Macroprudentialregulation,monetarypolicy,capitalcontrols. ∗KatharinaBergant:InternationalMonetaryFund,kbergant@imf.org;FrancescoGrigoli:InternationalMonetaryFund, fgrigoli@imf.org;Niels-JakobHansen:InternationalMonetaryFund,nhansen@imf.org;DamianoSandri:BankforInternationalSettlementsandCEPR,damiano.sandri@bis.org.Theviewsexpressedhereinarethoseoftheauthorsandshouldnotbe attributedtotheBIS,theIMF,itsExecutiveBoard,oritsmanagement.ThispaperbenefitedfrominsightfulcommentsbyKristinForbes,LindaGoldberg,GitaGopinath,SebnemKalemli-O¨zcan,PhilipLane,GianMariaMilesi-Ferretti,MalharNabar,JonathanD.Ostry,andseminarparticipantsattheASSAmeetings2021,AustrianNationalBank,BankofEngland, BankforInternationalSettlements,DanishNationalBank,EuropeanCentralBank,EuropeanCommission,EuropeanStabilityMechanism,InternationalMonetaryFund,andGeorgeWashingtonUniversity. 1Introduction Agrowingliteraturedocumentsthatfluctuationsinglobalfinancialmarketscanseverelyaffectfinancialandmacroeconomicconditionsinemergingmarkets.1Whenglobalfinancialconditionsarebuoyant,emergingmarketstendtoenjoyhighereconomicgrowthsupportedbyabundantforeigncapitalinflows.Conversely,atighteninginglobalfinancialconditionscanconsiderablydepresseconomicactivityinemergingmarkets. Accordingtoconventionalmacroeconomictheory,emergingmarketsshouldbeabletooffsettheimpactofglobalfinancialshocksbyrelyingonexchangerateflexibility.Empiricalevidenceshowsthataflexibleexchangeratetendstosoftentheimpactofforeignfinancialshocksonthedomesticeconomy(Obstfeldetal.,2005).However,itfallsshortofprovidingfullinsulation.Globalfinancialshockscandestabilizeevenemergingmarketswithflexibleexchangerates,asdocumentedinRey(2015)andRey(2016)amongothers.2Thevulnerabilityofemergingmarketstoglobalfinancialshocksleadstorecurrentcallsforpolicymakerstodeployadditionalpolicytools.Thediscussionoftencentersontheroleofcapitalcontrolsandforeignexchangeinterventionbecausethesetoolsdirectlytargetinternationalfinancialtransactions.However,thereisgrowingawarenessthatmacroprudentialpoliciescanalsoplayanimportantroleinstabilizingcreditmarkets. Againstthisbackdrop,thepaperexamineswhethermacroprudentialregulationcandampenthemacroe-conomicimpactofglobalfinancialshocksonemergingmarkets.Thehypothesisunderpinningtheanalysisisthatbyreinforcingbanks’andborrowers’balancesheets,preventingexcessiverisktaking,andlimitingforeigncurrencyexposures,macroprudentialregulationstrengthenstheresilienceofthedomesticfinancialsectorandthusenhancesmacroeconomicstability. Ostryetal.(2012)provideearlyevidenceinfavorofthishypothesis,showingthatcountrieswithstrongermacroprudentialregulationweremoreresilienttotheglobalfinancialcrisis.Similarly,Neanidis(2019)findsthatstrongerbanksupervisionreducesthenegativeimpactofvolatilecapitalflowsoneconomicgrowth.Thispaperexaminesthedampeningeffectsofmacroprudentialregulationmoresystematically,usingabroadsetofglobalfinancialshocksandanalyzingtheexperienceof38emergingmarketsbetween2000and2019.3 Duringthistime,emergingmarketswereexposedtohighlyvolatileglobalfinancialconditions,drivenby largeswingsinUSpolicyrates,globalriskaversion—proxiedbytheVIX—andcapitalinflows,asillustratedinpanels1and2ofFigure1.Panel3inFigure1showsthatGDPinemergingmarketsgrewrapidlyduringthebuoyantyearsbeforetheglobalfinancialcrisisandcontractedsharp