国际经济学课件21

Chapter21TheGlobalCapitalMarket:

PerformanceandPolicyProblemsPreviewGainsfromtradePortfoliodiversificationPlayersintheinternationalcapitalmarketsAttainablepolicieswithinternationalcapitalmarketsOffshorebankingandoffshorecurrencytradingRegulationofinternationalbankingTestsofhowwellinternationalcapitalmarketsallowportfoliodiversification,allowintertemporaltradeandtransmitinformation2Copyright©2009PearsonAddison-Wesley.Allrightsreserved.InternationalCapitalMarketsInternationalasset(capital)marketsareagroupofmarkets(inLondon,Tokyo,NewYork,Singapore,andotherfinancialcities)thattradedifferenttypesoffinancialandphysicalassets(capital),includingstocksbonds(governmentandprivatesector)depositsdenominatedindifferentcurrenciescommodities(likepetroleum,wheat,bauxite,gold)forwardcontracts,futurescontracts,swaps,optionscontractsrealestateandlandfactoriesandequipment3Copyright©2009PearsonAddison-Wesley.Allrightsreserved.GainsfromTradeHowhaveinternationalcapitalmarketsincreasedthegainsfromtrade?Whenabuyerandasellerengageinavoluntarytransaction,bothreceivesomethingthattheywantandbothcanbemadebetteroff.Abuyerandsellercantradegoodsorservicesforothergoodsorservicesgoodsorservicesforassetsassetsforassets4Copyright©2009PearsonAddison-Wesley.Allrightsreserved.Fig.21-1:TheThreeTypesof

InternationalTransactionTrade5Copyright©2009PearsonAddison-Wesley.Allrightsreserved.GainsfromTrade(cont.)Thetheoryofcomparativeadvantagedescribesthegainsfromtradeofgoodsandservicesforothergoodsandservices:withafiniteamountofresourcesandtime,usethoseresourcesandtimetoproducewhatyouaremostproductiveat(comparedtoalternatives),thentradethoseproductsforgoodsandservicesthatyouwant.beaspecialistinproduction,whileenjoyingmanygoodsandservicesasaconsumerthroughtrade.6Copyright©2009PearsonAddison-Wesley.Allrightsreserved.GainsfromTrade(cont.)Thetheoryofintertemporaltradedescribesthegainsfromtradeofgoodsandservicesforassets,ofgoodsandservicestodayforclaimstogoodsandservicesinthefuture(today’sassets).Saverswanttobuyassets(claimstofuturegoodsandservices)andborrowerswanttouseassetstoconsumeorinvestinmoregoodsandservicesthantheycanbuywithcurrentincome.Saversearnarateofreturnontheirassets,whileborrowersareabletousegoodsandserviceswhentheywanttousethem:theybothcanbemadebetteroff.7Copyright©2009PearsonAddison-Wesley.Allrightsreserved.GainsfromTrade(cont.)Thetheoryofportfoliodiversificationdescribesthegainsfromtradeofassetsforassets,ofassetswithonetypeofriskwithassetsofanothertypeofrisk.Investinginadiverseset,orportfolio,ofassetsisawayforinvestorstoavoidorreducerisk.Mostpeoplemostofthetimewanttoavoidrisk:theywouldratherhaveasuregainofwealththaninvestinriskyassetswhenotherfactorsareconstant.Peopleusuallydisplayriskaversion:theyareusuallyaversetorisk.8Copyright©2009PearsonAddison-Wesley.Allrightsreserved.PortfolioDiversificationSupposethat2countrieshaveanassetoffarmlandthatyieldsacrop,dependingontheweather.Theyield(return)oftheassetisuncertain,butwithbadweatherthelandcanproduce20tonnesofpotatoes,whilewithgoodweatherthelandcanproduce100tonnesofpotatoes.Onaverage,thelandwillproduce1/2*20+1/2*100=60tonnesifbadweatherandgoodweatherareequallylikely(bothwithaprobabilityof1/2).Theexpectedvalueoftheyieldis60tonnes.9Copyright©2009PearsonAddison-Wesley.Allrightsreserved.PortfolioDiversification(cont.)Supposethathistoricalrecordsshowthatwhenthedomesticcountryhasgoodweather(highyields),theforeigncountryhasbadweather(lowyields).andthatwecanassumethatthefuturewillbelikethepast.Whatcouldthetwocountriesdotoavoidsufferingfromabadpotatocrop?Sell50%ofone’sassetstotheotherpartyandbuy

50%oftheotherparty’sassets:diversifytheportfoliosofassetssothatbothcountriesalwaysachievetheportfolios’expected(average)values.10Copyright©2009PearsonAddison-Wesley.Allrightsreserved.PortfolioDiversification(cont.)Withportfoliodiversification,bothcountriescouldalwaysenjoyamoderatepotatoyieldandnotexperiencethevicissitudesoffeastandfamine.Ifthedomesticcountry’syieldis20andtheforeigncountry’syieldis100thenbothcountriesreceive:

50%*20+50%*100=60.Ifthedomesticcountry’syieldis100andtheforeigncountry’syieldis20thenbothcountriesreceive:

50%*100+50%*20=60.Ifbothcountriesareriskaverse,thenbothcountriescouldbemadebetteroffthroughportfoliodiversification.11Copyright©2009PearsonAddison-Wesley.Allrightsreserved.ClassificationofAssetsAssetscanbeclassifiedaseitherDebtinstrumentsExamplesincludebondsanddepositsTheyspecifythattheissuermustrepayafixedamountregardlessofeconomicconditions.EquityinstrumentsExamplesincludestocksoratitletorealestateTheyspecifyownership(equity=ownership)ofvariableprofitsorreturns,whichvaryaccordingtoeconomicconditions.12Copyright©2009PearsonAddison-Wesley.Allrightsreserved.InternationalCapitalMarketsTheparticipants:Commercialbanksandotherdepositoryinstitutions:acceptdepositslendtocommercialbusinesses,otherbanks,governments,and/orindividualsbuyandsellbondsandotherassetsSomecommercialbanksunderwritenewstocksandbondsbyagreeingtofindbuyersforthoseassetsataspecifiedprice.13Copyright©2009PearsonAddison-Wesley.Allrightsreserved.InternationalCapitalMarkets(cont.)Non-bankfinancialinstitutions:securitiesfirms,pensionfunds,insurancecompanies,mutualfundsSecuritiesfirmsspecializeinunderwritingstocksandbonds(securities)andinmakingvariousinvestments.Pensionfundsacceptfundsfromworkersandinvestthemuntiltheworkersretire.Insurancecompaniesacceptpremiumsfrompolicyholdersandinvestthemuntilanaccidentoranotherunexpectedeventoccurs.Mutualfundsacceptfundsfrominvestorsandinvesttheminadiversifiedportfolioofstocks.14Copyright©2009PearsonAddison-Wesley.Allrightsreserved.InternationalCapitalMarkets(cont.)Privatefirms:Corporationsmayissuestock,mayissuebondsormayborrowtoacquirefundsforinvestmentpurposes.Otherprivatefirmsmayissuebondsormayborrowfromcommercialbanks.Centralbanksandgovernmentagencies:Centralbankssometimesinterveneinforeignexchangemarkets.Governmentagenciesissuebondstoacquirefunds,andmayborrowfromcommercialbanksorsecuritiesfirms.15Copyright©2009PearsonAddison-Wesley.Allrightsreserved.InternationalCapitalMarkets(cont.)Becauseofinternationalcapitalmarkets,policymakersgenerallyhaveachoiceof2ofthefollowing3policies:AfixedexchangerateMonetarypolicyaimedatachievingdomesticeconomicgoalsFreeinternationalflowsoffinancialcapital16Copyright©2009PearsonAddison-Wesley.Allrightsreserved.InternationalCapitalMarkets(cont.)Afixedexchangerateandanindependentmonetarypolicycanexistifrestrictionsonflowsofassetspreventspeculationandcapitalflight.Anindependentmonetarypolicyandfreeflowsoffinancialcapitalcanexistwhentheexchangeratefluctuates.Afixedexchangerateandfreeflowsoffinancialcapitalcanexistifthecentralbankgivesupitsdomesticgoalsandmaintainsthefixedexchangerate.17Copyright©2009PearsonAddison-Wesley.Allrightsreserved.OffshoreBankingOffshorebankingreferstobankingoutsideoftheboundariesofacountry.Thereareatleast4typesofoffshorebankinginstitutions,whichareregulateddifferently:Anagencyofficeinaforeigncountrymakesloansandtransfers,butdoesnotacceptdeposits,andisthereforenotsubjecttodepositoryregulationsineitherthedomesticorforeigncountry.18Copyright©2009PearsonAddison-Wesley.Allrightsreserved.OffshoreBanking(cont.)Asubsidiarybankinaforeigncountryfollowstheregulationsoftheforeigncountry,notthedomesticregulationsofthe

domesticparent.Aforeignbranchofadomesticbankisoftensubjecttobothdomesticandforeignregulations,butsometimesmaychoosethemorelenientregulationsofthetwo.19Copyright©2009PearsonAddison-Wesley.Allrightsreserved.OffshoreBanking(cont.)InternationalbankingfacilitiesareforeignbanksintheU.S.thatareallowedtoacceptdepositsfromandmakeloanstoforeigncustomersonly.Theyarenotsubjecttoreserverequirements,interestrateceilingsandstateandlocaltaxes.Bahrain,Singapore,andJapanhavesimilarregulationsforoffshorebanks.20Copyright©2009PearsonAddison-Wesley.Allrightsreserved.OffshoreCurrencyTradingAnoffshorecurrencydepositisabankdepositdenominatedinacurrencyotherthanthecurrencythatcirculateswherethebankresides.Anoffshorecurrencydepositmaybedepositedinasubsidiarybank,aforeignbranch,aforeignbankoranotherdepositoryinstitutionlocatedinaforeigncountry.Offshorecurrencydepositsaresometimes(confusingly)referredtoaseurocurrencydeposits,becausethesedepositswerehistoricallymadeinEuropeanbanks.21Copyright©2009PearsonAddison-Wesley.Allrightsreserved.OffshoreCurrencyTrading(cont.)Offshorecurrencytradinghasgrownforthreereasons:growthininternationaltradeandinternationalbusinessavoidanceofdomesticregulationsandtaxespoliticalfactors(ex.,toavoidconfiscationbyagovernmentbecauseofpoliticalevents)22Copyright©2009PearsonAddison-Wesley.Allrightsreserved.OffshoreCurrencyTrading(cont.)Reserverequirementsaretheprimaryexampleofadomesticregulationthatbankshavetriedtoavoidthroughoffshorecurrencytrading.DepositoryinstitutionsintheU.S.andothercountriesarerequiredtoholdafractionofdomesticcurrencydepositsonreserveatthecentralbank.Thesereservescannotbelenttocustomersanddonotearninterestinmanycountries,thereforethereserverequirementreducesincomeforbanks.Butoffshorecurrencydepositsinmanycountriesarenotsubjecttothisrequirement,andthuscanearninterestonthefullamountofthedeposit.23Copyright©2009PearsonAddison-Wesley.Allrightsreserved.BalanceSheetforBank

AssetsLiabilities+NetworthReservesLoans-business-home-car-realestateGovernmentandcorporatebondsDepositsBorrowedfundsNetworth=bankcapital24Copyright©2009PearsonAddison-Wesley.Allrightsreserved.RegulationofInternationalBankingBanksfailbecausetheydonothaveenoughortherightkindofassetstopayfortheirliabilities.Theprincipalliabilityforcommercialbanksandotherdepositoryinstitutionsisthevalueofdeposits,andbanksfailwhentheycannotpaytheirdepositors.Ifthevalueofassetsdecline,saybecausemanyloansgointodefault,thenliabilitiescouldbecomegreaterthanthevalueofassetsandbankruptcycouldresult.Inmanycountriesthereareseveraltypesofregulationstoavoidbankfailureoritseffects.25Copyright©2009PearsonAddison-Wesley.Allrightsreserved.RegulationofInternationalBanking(cont.)DepositinsuranceInsuresdepositorsagainstlossesupto$100,000intheU.S.whenbanksfailPreventsbankpanicsduetoalackofinformation:becausedepositorscannotdeterminethefinancialhealthofabank,theymayquicklywithdrawtheirfundsiftheyarenotsurethatabankisfinanciallyhealthyenoughtopayforthemCreatesamoralhazardforbankstotakemoreriskbecausetheyarenolongerfullyresponsibleforfailureMoralhazard:ahazardthatapartyinatransactionwillengageinactivitiesthatwouldbeconsideredinappropriate(ex.,toorisky)accordingtoanotherpartywhoisnotfullyinformedaboutthoseactivities26Copyright©2009PearsonAddison-Wesley.Allrightsreserved.RegulationofInternationalBanking(cont.)ReserverequirementsBanksarehistoricallyrequiredtomaintainsomedepositsonreserveatthecentralbankincaseofaneedforcashCapitalrequirementsandassetrestrictionsHigherbankcapital(networth)allowsbankstohavemorefundsavailabletocoverthecostoffailedassetsBypreventingabankfromholding(toomany)riskyassets,assetrestrictionsreduceriskyinvestmentsBypreventingabankfromholdingtoomuchofoneasset,assetrestrictionsalsoencouragediversification27Copyright©2009PearsonAddison-Wesley.Allrightsreserved.RegulationofInternationalBanking(cont.)BankexaminationRegularexaminationpreventsbanksfromengagingin

riskyactivitiesLenderoflastresortIntheU.S.,theFederalReserveSystemmaylendtobankswithinadequatereserves(cash)PreventsbankpanicsActsasinsurancefordepositorsandbanks,inadditiontodepositinsuranceCreatesamoralhazardforbankstotakemoreriskbecausetheyarenolongerfullyresponsiblefortherisk28Copyright©2009PearsonAddison-Wesley.Allrightsreserved.DifficultiesinRegulating

InternationalBankingDepositinsuranceintheU.S.coverslossesupto$100,000,butsincethesizeofdepositsininternationalbankingisoftenmuchlarger,theamountofinsuranceisoftenminimal.Reserverequirementsalsoactasaformofinsurancefordepositors,butcountriescannotimposereserverequirementsonforeigncurrencydepositsinagencyoffices,foreignbranches,orsubsidiarybanksofdomesticbanks.29Copyright©2009PearsonAddison-Wesley.Allrightsreserved.DifficultiesinRegulating

InternationalBanking(cont.)Bankexamination,capitalrequirementsandassetrestrictionsaremoredifficultinternationally.Distanceandlanguagebarriersmakemonitoringdifficult.Differentassetswithdifferentcharacteristics(ex.,risk)existindifferentcountries,makingjudgmentdifficult.Jurisdictionisnotclearinthecaseofsubsidiarybanks:ifasubsidiaryofanItalianbanklocatedinLondonthatprimarilyhasoffshoreU.S.dollardeposits,whichregulatorshavejurisdiction?30Copyright©2009PearsonAddison-Wesley.Allrightsreserved.DifficultiesinRegulating

InternationalBanking(cont.)Nointernationallenderoflastresortforbanksexists.TheIMFsometimesactsa“lenderoflastresort”forgovernmentswithbalanceofpaymentsproblems.Theactivitiesofnon-bankfinancialinstitutionsaregrowingininternationalbanking,buttheylacktheregulationandsupervisionthatbankshave.Derivativesandsecuritizedassetsmakeithardertoassessfinancialstabilityandriskbecausetheseassetsarenotaccountedforonthetraditionalbalancesheet.Asecuritizedassetisacombinationofdifferentilliquidassetslikeloansthatissoldasasecurity.31Copyright©2009PearsonAddison-Wesley.Allrightsreserved.InternationalRegulatoryCooperationBaselaccords(in1988and2006)providestandardregulationsandaccountingforinternationalfinancialinstitutions.1988accordstriedtomakebankcapitalmeasurementsstandardacrosscountries.Theydevelopedrisk-basedcapitalrequirements,wheremoreriskyassetsrequireahigheramountofbankcapital.CoreprinciplesofeffectivebankingsupervisionwasdevelopedbytheBaselCommitteein1997forcountrieswithoutadequatebankingregulationsandaccountingstandards.32Copyright©2009PearsonAddison-Wesley.Allrightsreserved.ExtentofInternational

PortfolioDiversificationIn1999,U.S.ownedassetsinforeigncountriesrepresentedabout30%ofU.S.capital,whileforeignassetsintheU.S.representedabout36%ofU.S.capital.Thesepercentagesareabout5timesaslargeaspercentagesfrom1970,indicatingthatinternationalcapitalmarketshaveallowedinvestorstodiversify.Likewise,foreignassetsandliabilitiesasapercentofGDPhasgrownfortheU.S.andothercountries.33Copyright©2009PearsonAddison-Wesley.Allrightsreserved.Table21-1:GrossForeignAssetsandLiabilitiesofSelectedIndustrialCountries(percentofGDP)34Copyright©2009PearsonAddison-Wesley.Allrightsreserved.ExtentofInternational

PortfolioDiversification(cont.)Still,someeconomistsarguethatitwouldbeoptimalifinvestorsdiversifiedmorebyinvestingmoreinforeignassets,avoidingthe“homebias”ofinvestment.35Copyright©2009PearsonAddison-Wesley.Allrightsreserved.ExtentofInternational

IntertemporalTradeIfsomecountriesborrowforinvestmentprojects(forfutureproductionandconsumption)whileotherslendtothesecountries,thennationalsavingandinvestmentlevelsshouldnotbehighlycorrelated.Recallthatnationalsaving–investment=currentaccountSomecountriesshouldhavelargecurrentaccountsurplusesastheysavealotandlendtoforeigncountries.Somecountriesshouldhavelargecurrentaccountdeficitsastheyborrowalotfromforeigncountries.Inreality,nationalsavingandinvestmentlevelsarehighlycorrelated.36Copyright©2009PearsonAddison-Wesley.Allrightsreserved.Fig.21-2:SavingandInvestmentRatesfor24Countries,1990–2005AveragesSource:WorldBank,WorldDevelopmentIndicators.37Copyright©2009PearsonAddison-Wesley.Allrightsreserved.ExtentofInternational

IntertemporalTrade(cont.)Areinternationalcapitalmarketsunabletoallowcountriestoengageinmuchintertemporaltrade?Notnecessarily:factorsthatgenerateahighsavingrate,suchasrapidgrowthinproductionandincome,mayalsogenerateahighinvestmentrate.Governmentsmayalsoenactpoliciestoavoidlargecurrentaccountdeficitsorsurpluses.38Copyright©2009PearsonAddison-Wesley.Allrightsreserved.ExtentofInformationTransmission

andFinancialCapitalMobilityWeshouldexpectthatinterestratesonoffshorecurrencydepositsandthoseondomesticcurrencydepositswithinacountryshouldbethesameifthetwotypesofdepositsaretreatedasperfectsubstitutes,assetscanflowfreelyacrossbordersandinternationalcapitalmarketsareabletoquicklyandeasilytransmitinformationaboutanydifferencesinrates.39Copyright©2009PearsonAddison-Wesley.Allrightsreserved.ExtentofInformationTransmission

andFinancialCapitalMobility(cont.)Infact,differencesininterestrateshaveapproachedzeroasfinancialcapitalmobilityhasgrownandinformationprocessinghasbecomefasterandcheaperthroughcomputersandtelecommunications.40Copyright©2009PearsonAddison-Wesley.Allrightsreserved.Fig.21-3:ComparingOnshoreandOffshoreInterestRatesfortheDollarSource:BoardofGovernorsoftheFederalReserve,monthlydata.41Copyright©2009PearsonAddison-Wesley.Allrightsreserved.ExtentofInformationTransmission

andFinancialCapitalMobility(cont.)Ifassetsaretreatedasperfectsubstitutes,thenweexpectinterestparitytoholdonaverage:

Rt–R*t

=(Eet+1–Et)/Et

(21-1)Underthiscondition,theinterestratedifferenceisthemarket’sforecastofexpectedchangesintheexchangerate.Ifwereplaceexpectedexchangerateswithactualfutureexchangerates,wecantesthowwellthemarketpredictsexchangeratechanges.Butinterestratedifferentialsfailtopredictlargeswingsinactualexchangeratesandevenfailtopredictwhichdirectionactualexchangerateschange.42Copyright©2009PearsonAddison-Wesley.Allrightsreserved.ExtentofInformationTransmission

andFinancialCapitalMobility(cont.)Giventhattherearefewrestrictionsonfinancialcapitalinmostmajorcountries,doesthismeanthatinternationalcapitalmarketsareunabletoprocessandtransmitinformationaboutinterestrates?Notnecessarily:ifassetsareimperfectsubstitutesthenRt–R*t

=(Eet+1–Et)/Et+t

(21-4)Interestratedifferentialsareassociatedwithexchangeratechangesandwithriskpremiumsthatchangeovertime.Changesinriskpremiumsmaydrivechangesinexchangeratesratherthaninterestratedifferentials.43Copyright©2009PearsonAddison-Wesley.Allrightsreserved.ExtentofInformationTransmission

andFinancialCapitalMobility(cont.)Rt–R*t

=(Eet+1–Et)/Et+t

Sincebothexpectedchangesinexchangeratesandriskpremiumsarefunctionsofexpectationsandsinceexpectationsareunobservable,itisdifficulttotestifinternationalcapit