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InternationalFinance:ManagingCapitalFlowsandFinancialRisks,JointCCER-WorldBankInstitutecourseJuly16-20,Beijing,China,CapitalFlowVolatilityandFinancialRisks:Overview,Dr.YanWang,SeniorEconomistManagingCapitalFlowsandFinancialRisks,aCCER-WBIjointcourseJuly16-20,Beijing,China,3,CapitalFlowVolatilityandthelowestportfoliovalueatthegivenconfidencelevelcasW*=W0(1+R*).VARisdefinedasthedollarlossrelativetothemean,ValueatRisk(mean)=E(W)-W*=-W0(R*-)(1)J.P.Morgansdistributionofdailyrevenuein1994:Meanrevenueis$5.1m,n=254.Selectc=95%,254x5%=12.7.Inthechart,wefindthe5%ofoccurrences(15obs)below-$9m.Afterinterpolating,wefindW*=-$9.6mTheVARofdailyrevenues,relativetothemeanisVAR=E(W)W*=$5.1m-(-$9.6m)=$14.7m(2)AbsoluteVAR=$9.6m,19,ShortTermCapitalFlowsareLinkedtoFinancialFragility:Shorttermdebt/reserveratiospeakedbeforecrises,Source:GDF,1999,20,ShortTermDebt/ReserveRatiosaregoodwarningindicatorsoffinancialfragility:ItpeakedbeforethePesocrisis,Source:GDF,1999,21,Short-termDebtaspercentofinternationalreserves:aliquidityindex,22,Short-termDebtaspercentofinternationalreserves:agoodwarningindicator,23,GDPgrowthandgrowthofshort-termdebt:Pro-cyclicaltogrowthandexacerbateboom/bust,24,GDPgrowthandgrowthofshort-termdebt:Pro-cyclicaltogrowthandexacerbatecrises,25,III.Policyoptionstomanagefiscalandfinancialrisks,AspectrumofcapitalflowinterventionsChile:reserverequirementsforshortterminflows:prosandconsPrudentialfiscalpolicyanddisciplinesDonotprovideimplicitguaranteesSoundbankingsystemandregulations:regulateforeigncurrencyexposureCompetitionandcorporategovernancecrucialformarketdisciplineSummary,26,PolicyOptions:ASpectrumofCapitalFlowInterventions,1.FinancialAutarky2.QuantityControls(AllCapitalInflows)3.Tax/Non-RemuneratedReserveRequirement(AllCapitalInflows)4.QuantityControlon“Risky”Inflows5.Taxon“Risky”Inflow6.RemuneratedLiquidityRequirements7.PurchaseInsurance(e.g:-ContingentLiquidityFacility)8.OtherRiskManagementTechniques(Asset/LiabilityManagement)9.NoIntervention,ReduceCapitalInflowsChangeInflowCompositionSelf-InsuranceRiskManagement,1st.BestWorld,Nth.BestWorld,IncreasinglySevereIntervention:ReductioninBenefitsofForeignCapital&ReductioninRisks,Source:Powell,OnLiquidityRequirements,CapitalControlsandRiskManagement:SomeTheoreticalConsiderationsandPracticefromtheArgentineBankingSector,1999,27,PolicyOptions:MarketBasedCapitalControlforShortTermInflowsinChile,Source:Schmidt-Hebbel&Hernandez,CapitalControlsinChile:Effective?Efficient?Endurable?,1999,28,ChileandMalaysia:TwocasesofTemporaryCapitalControlsforShortTermInflows,Source:GDF1999,29,Chile:Shorttermcapitalinflowshavebeendeclining:URRiseffective,Source:GDF1999,30,Malaysia:ShortTermCapitalInflowdeclinedtemporarily,Source:GDF1999,31,ProsandconsofChilesURR,ProsProvidemoreroomfortheuseofindependentmonetarypolicyledtoafallinshortterminflows,reducingChilesindebtednesschangedthecompositionofcapitalinflowstowardlongermaturities,makingChilemoreresilienttoshocks,Consdidnotaffecttherealexchangerateledtoaninefficientallocationofresourcesledtohighershortterminterestrates,reducinginvestmentandLTgrowthprovidedincentivefortaxevasion.,32,Summary,Informationasymmetryandmarketimperfectionprevailinfinancialmarkets-rolesforgovernmentCapitalflowisvolatileinnatureandvolatilityhurtsthepoormost-rationaleforpublicpolicyTightfiscaldisciplinegood,guaranteesarebadSequencinginfinancialo
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