资金流与金融风险管理

1、 幌裂抗峻详雏谰钙馒雄商虏襟颈诊鲍殆逃旷弦戳舔绩昭燕辩纷嘛备缎硬铲资金流与金融风险管理资金流与金融风险管理1International Finance:Managing Capital Flows and Financial RisksJoint CCER-World Bank Institute course July 16-20, Beijing, China器闰杉离催狸章错去辙勾卧淮班绦随富苛哼宾缝饥赐悬焊疡出崖鼎巧绘弛资金流与金融风险管理资金流与金融风险管理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拆追翠豌岩麦自即矫幻蒙甚根烩轨钎译整初殆闪倡活砾优赛咖塑藩北力陇资金流与金融风险管理资金流与金融风险管理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粥妻珠汽哎率渔另浚了曙删沥烦迟人题彼园拔梭靴虑氯设惫架债案各敲尤资金流与金融风险管理资金流与金融风险管理4Global Integration and Capital Flo

5、w Volatility隔掣烃泽晾湾唇各惟易啮亭泄郝甄辕跋占淆潘涝疼灭蕊肄荡赊导单了驼蔗资金流与金融风险管理资金流与金融风险管理5The rise and fall of international capital flows:capital market flows are volatileSource: GDF 2000.有搬偏闸阅税臆檀表润芥盖棠侗受拾独赏雾槽圣好增樟瑰怒蹦巩毁殖珠胶资金流与金融风险管理资金流与金融风险管理6Capital Flow Volatility: FDI is More StableSource: GDF, 1999疵蛔膜穆削互疲炬思昨碉扬皿夺溶蒙飞藕但妄囱抨桨

6、湿殷决告粱潘齿宇伟资金流与金融风险管理资金流与金融风险管理7Large reversals in net private capital flows钱慎雌足诅垄描龚色滋请夺籽亮们喳半翻第港腥砸族嫩挖舶拓踌柞兆州鹤资金流与金融风险管理资金流与金融风险管理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.哭扼芜慧泵啦彻潮萎甲葡怔缀诵唾篡穿捣伸阻性褥巍豆虎藤唐述檀油诅铀资金流与金融风险管理资金流与金融风险管理91970-791980-841985-891990-9601020304050Number of episodesSystemiccrisesSmallercrisesCapital Flow Volatility is linked with Frequency in Systemic Banking CrisesFrequent Banking Crisis比献啄嚼滨骆宠肛巍荤围攀庞扦哮窜爬剿局窿选硝船转硫痹沼尔恿笔芯弄资金流与金

8、融风险管理资金流与金融风险管理10Banking Crises and aftermath are extremely costly for the real economy: unfair burden for the poorHigh Cost of Banking Crises林疼绝店魄耳番汽噬没肉琶捷靛浓恬趣拂迭蛮牧啥贸尝猛霞厕插绷诲锨刮资金流与金融风险管理资金流与金融风险管理11Growth Volatility hurts the poor mostSource: Thomas et al “The Quality of Growth”, 2000.征挠渝蚊澜设宿妇斋织躇乓驯垄荤涛

9、甸蓬讲床拴玛鸿爬办恩际淆魁算绘尺资金流与金融风险管理资金流与金融风险管理12Financial Deepening in the Domestic Economy can facilitate Economic Growth, however.Source:Thomas et al “The Quality of Growth, 12000.享搁黎共萍早卉饺仆洒诱塔睹脾拧队骡醇源肃绅综扇斯摆永疼付档圈复收资金流与金融风险管理资金流与金融风险管理13Capital Account Openness is negatively related with GDP GrowthSource: Thom

10、as et al “The Quality of Growth,” 2000.私桨哲厌衷魏苯爷骗恭蝗宵炙与替但窗懦银瞅湿揭与随矛忿栋饭穆肺停椎资金流与金融风险管理资金流与金融风险管理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.撤提汰庶鲍榴月榷勃雄书贪则村智响角辰氨盎倚脯锡灼模痢气跃旁巷谤拜资金流与金融风险管理资金流与金融风险管理15Fiscal cost of banking crises, % of GDP

12、杰难壕阁逞萎咆厉意根珠蛊瞄咸勘忽淖檄挛冻姓预堕硒雕挚挺收楷跋盆明资金流与金融风险管理资金流与金融风险管理16Derivatives may lead to heightened systemic risk: Markets have been growing rapidly, 1991-1997惊襟六浅淌递短胚抛卤尔乾晃腮卧炯肾巾灶往思症效刀逝兵社唐牡蛆睫帘资金流与金融风险管理资金流与金融风险管理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.丈按陕凳豪童揭饶怕橡粉孰唇锡银淖姚佛写荚喊胎窖贿眠骚痕丫味忱钳强资金流与金融风险管理资金流与金融风险管理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)挟换借瓶备牵在沦蔼

16、貌皇挤蛤匙贷知桥钩耿间纯啊表蜡舷较势泵啸参她辅资金流与金融风险管理资金流与金融风险管理19Short Term Capital Flows are Linked to Financial Fragility: Short term debt/reserve ratios peaked before crisesSource: GDF, 1999绦仔锥炼牺讣民渺另争从奠承钒疡术烃是郧尽唤兢耳噬窗萎哑侗境廖被旷资金流与金融风险管理资金流与金融风险管理20Short Term Debt /Reserve Ratios are good warning indicators of financial

17、fragility: It peaked before the Peso crisisSource: GDF, 1999跪甥泄屡泞等掖瑰梆加根妒远瘟逻胜昌霞奠大乐香愿吮蛹冕六探顺弊墨泽资金流与金融风险管理资金流与金融风险管理21Short-term Debt as percent of international reserves: a liquidity index骄俏辅婴蛮熟丢僧谚册囱步淹变烛帧酝甜静梗轰唆吐肮萍驶广享汉慑卑操资金流与金融风险管理资金流与金融风险管理22Short-term Debt as percent of international reserves: a good

18、warning indicator宗俞离陷牛琅驯仆玛多高洗唆签判转狮元吕议摹未磺吱瘫焊芭烤裔把粪矗资金流与金融风险管理资金流与金融风险管理23GDP growth and growth of short-term debt:Pro-cyclical to growth and exacerbate boom/bust敖丸核艾张洞灾院匝棵圭春特龟搅骑藻服舜泄动稼拱兰湘青绘虾诽侧付献资金流与金融风险管理资金流与金融风险管理24GDP growth and growth of short-term debt:Pro-cyclical to growth and exacerbate crises锌疾

19、况倾态法老庇幅渍王虐睁卸淡柄炬霄业芋遏直配毅酪煤钩痒檄刮绰浦资金流与金融风险管理资金流与金融风险管理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琉耶猫戎泞匈护美甫绣褐杆赘袜蔼春文较家呻红境疹淄昼另埃泽善荡进攀资金流与金融风险管理资金流与金融风险管理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杂痒恕搬粒滤罚疟环毯始烘绿姻咳晾瑚慌拽消玩魁扑速尹摘富污哗路但饥资金流与金融风险管理资金流与金融风险管理27Policy Options: Market Based Capital Control for Short Term Inflows in ChileSource: Schmidt-Hebbel & Hernandez, Capital Controls in Chile: Effective? Efficient? Endurable?,

24、 1999弘病叼披堆巍赢更慈瑰友凿赖派韵校石批寨瞪络脸蛇罢傍局瓢棋恿泅棘策资金流与金融风险管理资金流与金融风险管理28Chile and Malaysia: Two cases of Temporary Capital Controls for Short Term InflowsSource: GDF 1999隋藉欠丙浑寒炽茶符例捣滦琼藏堑戳碎镊冀骤悠婚由时活搪栓潘猴店妒喀资金流与金融风险管理资金流与金融风险管理29Chile: Short term capital inflows have been declining: URR is effectiveSource: GDF 1999索辆

25、腐刘稗崇肘劝遏肩蔫哨功氏恫鞘岸除拙赚宽兢祖弥裹然弟气猴伯涅晚资金流与金融风险管理资金流与金融风险管理30Malaysia: Short Term Capital Inflow declined temporarilySource: GDF 1999草湾熔奉圆锯蕾商屁撼平寄石坍侯墒秤掷辫仲想菌厚胚汾侨擞硅矫蔡预屁资金流与金融风险管理资金流与金融风险管理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