Auswahl der wissenschaftlichen Literatur zum Thema „Macrofinancial risks“

AbstractOverheating of economic and financial activities leads to macrofinancial imbalances that may disrupt financial stability, and can be detected by studying relevant indcators. In this study we developed an aggregate early warning index of macrofinancial activity for Romania over the 1998q1-2020q4 period, employing data from six categories: (i) macroeconomic risks, (ii) bank risks, (iii) activity of corporations and households, (iv) monetary and financial conditions, (v) risk appetite and (vi) external shocks. We determine the utility of these variables from two perspectives: (i) whether these indicators are able to detect overheating of macrofinancial activity in Romania in two periods characterized by systemic crises and (ii) whether these variables successfully minimize various statistical errors involved in forecasting future events. Comparing the evolution of our index with a series of indicators that measure investors’ perception of macrofinancial stability or the probability of default of Romanian economy, we note the positive correlation between these two, but our index exhibits a more pronounced early warning component, making it extremely useful in anticipating future systemic crises.

In the current complex global economic background, international capital flows are becoming more frequent. Based on this, this paper takes international portfolio investment as the research object and empirically tests the causal relationship and control channel between international portfolio flows and macrofinancial risk in emerging economies. It selects the panel data of emerging economies from 2001 to 2020, constructs macrofinancial risk indicators by using contingent claim analysis and the entropy-based TOPSIS method, tests the effect of international portfolio flows on macrofinancial risk by using the panel distributed lag regression model, and explores the management effect of foreign exchange reserves and capital controls on the risk effect by using the panel threshold regression model. The results show that long-term international portfolio flows help reduce macrofinancial risk, but short-term capital flows appear to increase macrofinancial risk. In addition, both foreign exchange reserves and capital controls effectively reduce the risk effect of portfolio flows. However, when considering different types of portfolios, we find that foreign exchange reserves do not effectively control the risk effect of equity securities flows, while stricter capital controls do. This paper argues that emerging economies should be more open to international long-term portfolio flows, focus on the monitoring of short-term portfolio capital flows and equity securities flows, and coordinate the use of foreign exchange reserves and capital control instruments to manage the risk effects of portfolio flows. This paper verifies the risk effect of international portfolio investment flows through empirical analysis, tests the effectiveness of foreign exchange reserves and capital controls, and provides a decision-making reference for emerging economies to timely identify, effectively manage, and prevent the risk effect of international capital flows.

A firm’s default risk is closely related to its macrofinancial stability. As financial reform deepens, banking competition may ease firms’ credit constraints, encouraging them to increase their leverage and default risks. This study uses contingent claims analysis to examine firms’ asset–liability ratio and default distance. We find that companies have low leverage and low overall default risks. Moreover, a pro-cyclical effect exists between leverage and economic growth. As banking competition becomes more intense, the default risk decreases, but firms’ leverage ratio rises significantly. The impact is more prominent for highly leveraged firms. Our findings also indicate that utilizing the contingent claims analysis method to measure firms’ leverage and default risks provides more accurate results. Moreover, we provide empirical evidence of the impact of banking competition on firms’ leverage and credit risks. The results suggest that enhancing financial competition has a positive effect on easing credit constraints and reducing default risks.

We show that the conditional distribution of forecasted GDP growth depends on financial conditions in a panel of 11 advanced economies. Financial conditions have a larger effect on the lower fifth percentile of conditional growth—which we call growth-at-risk (GaR)—than the median. In addition, the term structure of GaR reflects that when initial financial conditions are loose, downside risks are lower in the near term but increase in later quarters. This intertemporal tradeoff for loose financial conditions is amplified when credit-to-GDP growth is rapid. Using granular instrumental variables, we also provide evidence that the relationship from loose financial conditions to future downside risks is causal. Our results suggest that models of macrofinancial linkages should incorporate the endogeneity of higher-order moments to systematically account for downside risks to growth in the medium run. (JEL E23, E27, E32, E44)

AbstractSince the last global financial crisis supervisory mechanisms and regulations have become more stringent which have significantly improved resilience of banks therefore positively affecting financial stability. Apart from traditional financial institutions which have been supervised according to strict regulations and standards technological development in financial services commonly called FinTech have introduced new trends providing fast peer to peer lending which directly matches lenders and borrowers thus putting more pressure to policymakers and supervisors.This paper presents potential implications of FinTech developments to financial stability, while explaining FinTech influence to market structure as well as benefits and risks of technologically driven financial innovations to financial stability.The paper stresses out an importance of international cooperation of regulators in order to preserve financial stability in the recent world of technological changes and innovations. FinTech has changed consumers’ expectations and preferences while increasing the number of users expecting fast and easily accessible services available on mobile phones and other electronic devices. The paper shows that new technology provides the space for expanding financial services but it also poses additional risks to financial system in terms of microfinancial and macrofinancial risks.

Le plan Brady de restructuration de la dette dans les pays d'Amérique latine et d'Asie du Sud pendant les années 80 a marqué un tournant pour l'émergence d'un marché actif de la dette dans les pays émergents. Les vagues de libéralisation financière et les réformes structurelles entreprises dans le cadre de ce plan Brady ont accru l'ouverture de ces économies émergentes aux flux de capitaux internationaux. Par la suite, dans les économies émergentes, les obligations sont devenues la source de capital la plus importante pour ces pays. En 2007, les économies émergentes ont émis des obligations d'environ 350 milliards de dollars US, comparativement à 1,2 trillion de dollars US en 2023 (600 milliards de dollars US hors Chine) selon le FMI. Cette vague de flux de capitaux vers les marchés émergents est rapidement devenue une préoccupation majeure dans les cercles politiques et académiques, entrainant de nombreuses controverses sur les déterminants macroéconomiques sous-jacents de ce niveau de flux de capitaux sans précédent, ainsi que sur les variations des spreads ( primes de risques) et des rendements financiers sur les marchés émergents. La recherche vise à mieux comprendre les principaux déterminants domestiques et mondiaux qui influencent les spreads obligataires, en spécifiant statistiquement le rôle pivot des flux de dette obligataire à travers un modèle de régression simple (moindres carrés ordinaires) et à partir d'un modèle vectoriel autorégressif. Dans un premier temps, nous nous sommes demandés quelle proportion de la variation des spreads obligataires sur les marchés de la dette émergente est expliquée par les variations des flux de dette, les fondamentaux et les conditions mondiales, et dans quelle mesure leurs chocs affectent mutuellement les marchés de la dette, la performance économique et l'environnement mondial. Enfin, des lignes directrices ont été proposées pour concevoir des politiques durables de gestion de la dette souveraine dans les économies émergentes.La crise des subprimes, qui s'est déclenchée aux États-Unis en 2007 a conduit à une forte hausse des défauts de paiement hypothécaires des américains, a ensuite entrainé un ralentissement économique important dans les pays développés, les amenant à mettre en place des plans de sauvetage et de renflouement : ce qui a encouragé une dette publique excessive dans les pays développés. Cette crise financière internationale de 2007 a eu des conséquences négatives bien plus importantes dans les pays avancés que dans les pays émergents, dont l'impact a été relativement limité et modulé selon la situation spécifique de chaque pays émergent.Au milieu des années 2000, les institutions de Bretton Woods ont formulé des recommandations sur une gestion optimale de la dette publique, que les pays émergents ont parfois appliquées comme condition pour obtenir des programmes de soutien du FMI et de la Banque mondiale, dans le but de promouvoir la croissance à long terme et la stabilité macroéconomique.Cette recherche a également permis de comprendre la trajectoire et la dynamique accélérée de la transformation des économies émergentes, ainsi que le poids économique et politique croissant des BRICS (élargi au groupe BRICS+ en 2023) dans l'économie mondiale. Ce changement de paradigme appelle à une profonde modification des règles de gouvernance des institutions financières internationales, en promouvant un meilleur rééquilibrage des forces dans une économie mondialisée en constante transformation
The Brady Plan of debt restructuring in Latin American and South Asian countries during 80s was a turning point for the emergence of an active debt market in emerging countries. The waves of financial liberalization and the structural reforms undertaken and associated with this Brady Plan in emerging economies has increased their openness to international capital flows. Then emerging economies were recorded, and bonds became the most important source of capital for emerging countries. Emerging economies issued bonds roughly US dollars 350 billion during 2007 compared to dollars 1,2 Trillion US (US dollars 600 billion excluding China) IMF . This wave of capital flow in emerging markets has quickly become a main concern in policymaking and academic circles and has generated considerable controversies over the underlying macroeconomic determinants of this unprecedented flow, the change of bond spreads and yields in emerging markets.The research aims to a better understanding of the key domestic and global determinants that drive bond spreads and by specifying statistically the pivotal role of debt flows through a regression model and later from a vector autoregressive model. First, we ask what proportion of the change in market bond spreads in emerging debt markets is explained by changes in debt flows, fundamentals, and global condition and in what percentage their shocks affect mutually debt markets, economic performance, and global environment. Finally, some guidelines have been given to design sustainable strategic policies of management of sovereign debt in emerging economies.The subprime crisis that broke out in the United States in 2007, leading to a sharp rise in mortgage defaults by Americans, subsequently triggered a deep economic slowdown in developed countries that led them to request rescue and bail out plans. These government-initiated plans systematically encouraged excessive public debt in developed countries. The emerging countries, on the other hand, had relatively healthier intrinsic macroeconomic situations, with relatively more resilient fundamentals, thus allowing a relative mitigation of the risks and tensions on their economic growth, their level of public debt and external accounts. This international financial crisis of 2007 had by far greater negative consequences in the advanced countries than in the emerging countries, whose impact was relatively limited and modulated according to the specific situation of the emerging countries.In the mid-2000s, the Bretton Woods institutions formulated recommendations on optimal public debt management, which emerging countries sometimes applied as a condition for obtaining support programmes from the IMF and the World Bank, with a view to promoting long-term growth and macroeconomic stability. The financial crisis has shown that these recommendations on public debt management could also be applied to developed countries that suffered from excessive public debt during the subprime crisis.This research has also enabled us to understand the trajectory and accelerated dynamics of the transformation of emerging economies, the increasing economic weight and political power of the BRICS (enlarged to BRICS + group in 2023) in the world economy. This paradigm shift calls for a profound change in the rules of governance of international financial institutions, through the promotion of a better rebalancing of forces in a globalized economy which is undergoing constant transformation

This dissertation proposes an analysis and assessment of the two regimes of macrofinancial risk management in the United States since the 1950s: one based on financial regulation and government controls, from 1950 to 1971, and another based on financial derivatives, from 1972 to the present. It compares the two regimes and discusses the means to assess their relative effectiveness in mitigating financial volatility for nonfinancial corporations. Without exhausting all the different criteria to adjudicate between the two regimes, the research emphasizes some specific characteristics that must be part of any coherent mechanism of risk management such as coverage of exposed firms, impacts on financial stability and systemic risks, scope for speculative activities, degree of complexity and transparency, creation of additional risks, and potential for failures. The use of these criteria suggests that financial derivatives might be relatively less effective in mitigating financial risks and their consequences. In order to test the proposition that financial derivatives are potentially less effective than financial regulation, an econometric analysis of the liquidity preference of nonfinancial firms, assumed to be an important hedging mechanism under capitalism, is carried out. At the aggregate level, the time series show that nonfinancial corporations have been accumulating more liquid assets since the beginning of the eighties, in contrast to the declining liquidity preference under the regulatory regime. A cointegration analysis suggests that the relationship between liquidity preference and financial risk was stable for the period 1948-2005, notwithstanding the rise of derivatives. At the firm level, using a panel consisting of balance sheet and financial statements for 170 firms over the period 1993-2005, the liquidity preference of firms is regressed against a measure of the intensity of financial derivatives usage. The evidence here suggests that, after controlling for other firms' characteristics, financial derivatives do not substantially reduce the necessity of holding liquid assets as a behavior toward financial risk. These results seem to indicate that financial derivatives are relatively less effective in hedging financial risks, making the case for financial regulation.

This paper explores the empirical determinants of external crises on a world panel dataset of 62 countries over the fifty-year period 1970-2019 and estimates their risk trade-offs with the aim of informing macrofinancial prudential policies. The determinants include countries external balance sheets, macroeconomic imbalances, and structural and global factors. It finds that information on the composition of gross positions in countries external financial portfolios is required to gauge the risk of external crisis: debt liabilities are the riskiest component, FDI liabilities are half as risky, and FDI assets are the most protective. Macroeconomic imbalances increase risk but are usually not the key drivers of crises. Adverse global shocks significantly leverage domestic risks. International reserves are powerful risk mitigants that provide high insurance value. The evidence shows that advanced economies are structurally more resilient to withstand exposure to weak external portfolios, macroeconomic imbalances, and global shocks. For the average country the risk of external crisis is on a declining trend mainly driven by improvements in the composition of external portfolio assets magnified by increasing financial integration as well as rising international reserves.

I examine whether and how local income inequality affects household debt and its composition using household panel data for Australia from the Household, Income and Labour Dynamics in Australia Survey. I find that middle-income households without liquidity and credit constraints tend to borrow more for non-residential investment purposes as local income inequality rises, suggesting that they are trying to close the income gap. They also appear to try to close the consumption gap by accumulating more car debt with a rise in local income inequality. Both findings are consistent with households 'keeping up with the Joneses', but unlikely to have implications for macrofinancial stability given that households taking on debt appear well resourced.