Preview

Вопросы экономики

Расширенный поиск
Доступ открыт Открытый доступ  Доступ закрыт Только для подписчиков

Глобальный финансовый цикл: концепция, эмпирическая оценка и следствия для экономической политики

https://doi.org/10.32609/0042-8736-2021-5-43-56

Полный текст:

Аннотация

В статье рассмотрена концепция глобального финансового цикла, предложенная Э. Рей с соавторами. Обсуждаются движущие силы глобального финансового цикла, а также результаты эмпирических исследований этой концепции. Показано, что признание шоков монетарной политики США в качестве первоосновы глобального финансового цикла не означает отказ от идеи «несовместимой троицы» (или «невозможной троицы») при проведении макроэкономической политики: режим плавающего валютного курса по-прежнему способствует смягчению внешних шоков в случае развивающихся стран и государств с формирующимся рынком. При этом его эффект может быть усилен за счет мер макропруденциального регулирования и частичного ограничения движения капитала. Рассматриваются некоторые направления развития концепции глобального финансового цикла.

Об авторе

М. И. Столбов
Московский государственный институт международных отношений (Университет) МИД России
Россия

Столбов Михаил Иосифович, д. э. н., завкафедрой прикладной экономики

Москва



Список литературы

1. Мамонов М., Панкова В., Ахметов Р., Пестова А. (2020). Финансовые шоки и кредитные циклы // Деньги и кредит. № 4. С. 45—74 https://doi.org/10.31477/rjmf.202004.45

2. Тиунова М. (2019). Сырьевые и финансовые циклы в ресурсных экономиках // Деньги и кредит. № 3. С. 38—70. https://doi.org/10.31477/rjmf.201903.38

3. Acalin J., Rebucci A. (2020). Global business and financial cycles: A tale of two capital account regimes. NBER Working Paper, No. 27739. https://doi.org/10.3386/w27739

4. Akdi Y., Varlik S., Berument M. H. (2020). Duration of global financial cycles. Physica A: Statistical Mechanics and its Applications, Vol. 549, No. C, 124331. https://doi.org/10.1016/j.physa.2020.124331

5. Albrizio S., Choi S., Furceri D., Yoon C. (2020). International bank lending channel of monetary policy. Journal of International Money and Finance, Vol. 102, 102124. https://doi.org/10.1016/j.jimonfin.2019.102124

6. Aldasoro I., Avdjiev S., Borio C., Disyatat P. (2020). Global and domestic financial cycles: Variations on a theme. BIS Working Paper, No. 864.

7. Amiti M., McGuire P., Weinstein D. E. (2019). International bank flows and the global financial cycle. IMF Economic Review, Vol. 67, pp. 61—108. https://doi.org/10.1057/s41308-018-0072-6

8. Andaiyani S., Falianty T. A. (2017). Spillover effect of global financial cycle to asset markets in ASEAN-5 countries: A structural VAR approach. AFEBI Economic and Finance Review, Vol. 2, No. 2, pp. 1—13. https://doi.org/10.47312/aefr.v2i02.97

9. Avdjiev S., Hale G. (2019). US monetary policy and fluctuations of international bank lending. Journal of International Money and Finance, Vol. 95, pp. 251—268. https://doi.org/10.1016/j.jimonfin.2018.06.013

10. Beaudry P., Galizia D., Portier F. (2020). Putting the cycle back into business cycle analysis. American Economic Review, Vol. 110, No. 1, pp. 1—47. https://doi.org/10.1257/aer.20190789

11. Bekaert G., Mehl A. (2019). On the global financial market integration “Swoosh” and the trilemma. Journal of International Money and Finance, Vol. 94, pp. 227—245. https://doi.org/10.1016/j.jimonfin.2019.02.001

12. Bergant K., Grigoli F., Hansen N.-J., Sandri D. (2020). Dampening global financial shocks: Can macroprudential regulation help (more than capital controls)? IMF Working Paper, No. 20/106. https://doi.org/10.5089/9781513547763.001

13. Bisias D., Flood M., Lo A. W., Valavanis S. (2012). A survey of systemic risk analytics. Annual Review of Financial Economics, Vol. 4, pp. 255—296. https://doi.org/10.1146/annurev-financial-110311-101754

14. Boehm C., Kroner T. (2020). The US, economic news, and the global financial cycle. RSIE Discussion Paper, No. 677.

15. Bouri E., Das M., Gupta R., Roubaud D. (2018). Spillovers between Bitcoin and other assets during bear and bull markets. Applied Economics, Vol. 50, No. 55, pp. 5935—5949. https://doi.org/10.1080/00036846.2018.1488075

16. Boughton J. M. (2003). On the origins of the Fleming—Mundell model. IMF Working Paper, No. 2002/107. https://doi.org/10.5089/9781451852998.001

17. Bräuning F., Ivashina V. (2020). US monetary policy and emerging market credit cycles. Journal of Monetary Economics, Vol. 112, pp. 57—76. https://doi.org/10.1016/j.jmoneco.2019.02.005

18. Brownlees C., Engle R. (2017). SRISK: A conditional capital shortfall measure of systemic risk. Review of Financial Studies, Vol. 30, No. 1, pp. 48—79. https://doi.org/10.1093/rfs/hhw060

19. Cavallo E., Izquierdo A. (eds.) (2009). Dealing with an international credit crunch: Policy responses to sudden stops in Latin America. Washington, DC: Inter-American Development Bank.

20. Cerutti E., Claessens S., Rose A. K. (2019). How important is the global financial cycle? Evidence from capital flows. IMF Economic Review, Vol. 67, pp. 24—60. https://doi.org/10.1057/s41308-019-00073-5

21. Ciarlone A., Marconi D. (2020). Financial spillovers to emerging economies: The role of exchange rates and domestic fundamentals. Bank of Italy Occasional Paper, No. 571. https://doi.org/10.2139/ssrn.3680737

22. Claessens S., Kose M. A., Terrones M. (2011). Financial cycles: What? When? How? IMF Working Paper, No. 11/76. https://doi.org/10.5089/9781455227037.001

23. Converse N., Levy-Yeyati E., Williams T. (2020). How ETFs amplify the global financial cycle in emerging markets? International Finance Discussion Papers, No. 1268. Board of Governors of the Federal Reserve System. https://doi.org/10.17016/IFDP.2020.1268

24. Cunha A. M., Haines A., Da Silva P. (2019). Global financial cycle and Brazil’s financial integration. International Review of Applied Economics, Vol. 33, No. 6, pp. 829—851. https://doi.org/10.1080/02692171.2019.1620701

25. Davis J. S., Valente G., van Wincoop E. (2021). Global drivers of gross and net capital flows. Journal of International Economics, Vol. 128, 103397. https://doi.org/10.1016/j.jinteco.2020.103397

26. Dées S., Galesi A. (2019). The global financial cycle and US monetary policy in an interconnected world. Bank of Spain Working Paper, No. 1942. https://doi.org/10.2139/ssrn.3497488

27. Eller M., Huber F., Schuberth H. (2020). How important are global factors for understanding the dynamics of international capital flows? Journal of International Money and Finance, Vol. 109, 102221. https://doi.org/10.1016/j.jimonfin.2020.102221

28. Friedrich C., Guérin P., Leiva-Léon D. (2020). Monetary policy independence and the strength of the global financial cycle. Bank of Canada Staff Working Paper, No. 2020-25.

29. Gertler M., Karadi P. (2015). Monetary policy surprises, credit costs, and economic activity. American Economic Journal: Macroeconomics, Vol. 7, pp. 44—76. https://doi.org/10.1257/mac.20130329

30. Gómez-Pineda J. (2020). Volatility spillovers and the global financial cycle across economies: Evidence from a global semi-structural model. Economic Modelling, Vol. 90, pp. 331—370. https://doi.org/10.1016/j.econmod.2020.02.023

31. Gonzalez R., Khametshin D., Peydró J.-L., Polo A. (2020). Hedger of last resort: Evidence from Brazilian FX interventions, local credit, and global financial cycles. Bank of Spain Working Paper, No. 2014. https://doi.org/10.2139/ssrn.3616939

32. Gülsen E., Ӧzmen E. (2020). Monetary policy trilemma, inflation targeting and global financial crisis. International Journal of Finance and Economics, Vol. 25, No. 2, pp. 286—296. https://doi.org/10.1002/ijfe.1752

33. Gürkaynak R., Sack B., Swanson E. (2005). Do actions speak louder than words? The response of asset prices to monetary policy actions and statements. International Journal of Central Banking, Vol. 1, pp. 55—93.

34. Jordá O., Schularick M., Taylor A. M., Ward F. (2019). Global financial cycles and risk premiums. IMF Economic Review, Vol. 67, pp. 109—150. https://doi.org/10.1057/s41308-019-00077-1

35. Kaufmann C. (2020). Investment funds, monetary policy, and the global financial cycle. ECB Working Paper, No. 2489. https://doi.org/10.2139/ssrn.3636846

36. Mendoza E. G. (2010). Sudden stops, financial crises, and leverage. American Economic Review, Vol. 100, No. 5, pp. 1941—1966. https://doi.org/10.1257/aer.100.5.1941

37. Miranda-Agrippino S., Rey H. (2020a). US monetary policy and the global financial cycle. Review of Economic Studies, Vol. 87, No. 6, pp. 2754—2776. https://doi.org/10.1093/restud/rdaa019

38. Miranda-Agrippino S., Rey H. (2020b). The global financial cycle after Lehman. American Economic Review: AEA Papers and Proceedings, Vol. 110, pp. 523—528. https://doi.org/10.1257/pandp.20201096

39. Miranda-Agrippino S., Nenova T., Rey H. (2020). Global footprints of monetary policies. Centre for Macroeconomics Discussion Paper, No. 2004.

40. Mokni K., Ajmi A. N. (2021). Cryptocurrencies vs. US dollar: Evidence from causality in quantiles analysis. Economic Analysis and Policy, Vol. 69, pp. 238—252. https://doi.org/10.1016/j.eap.2020.12.011

41. Morais B., Peydró J.-L., Roldán-Peсa J., Ruiz-Ortega C. (2019). The international bank lending channel of monetary policy rates and QE: Credit supply, reach-foryield, and real effects. Journal of Finance, Vol. 74, No. 1, pp. 55—90. https://doi.org/10.1111/jofi.12735

42. Obstfeld M., Ostry J. D., Qureshi M. (2019). A tie that binds: Revisiting the trilemma in emerging market economies. Review of Economics and Statistics, Vol. 101, No. 2, pp. 279—293. https://doi.org/10.1162/rest_a_00740

43. Obstfeld M., Shambaugh J. C., Taylor A. M. (2005). The trilemma in history: Tradeoffs among exchange rates, monetary policies, and capital mobility. Review of Economics and Statistics, Vol. 87, No. 3, pp. 423—438. https://doi.org/10.1162/0034653054638300

44. Ouyang A. Y., Guo S. (2019). Macro-prudential policies, the global financial cycle and the real exchange rate. Journal of International Money and Finance, Vol. 96, pp. 147—167. https://doi.org/10.1016/j.jimonfin.2019.05.009

45. Passari E., Rey H. (2015). Financial flows and the international monetary system. Economic Journal, Vol. 125, No. 584, pp. 675—698. https://doi.org/10.1111/ecoj.12268

46. Potjagailo G., Wolters M. H. (2020). Global financial cycles since 1880. Bank of England Staff Working Paper, No. 867. https://doi.org/10.2139/ssrn.3613810

47. Prabheesh K. P., Anglingkusumo R., Juhro S. M. (2021). The dynamics of global financial cycle and domestic economic cycles: Evidence from India and Indonesia. Economic Modelling, Vol. 94, pp. 831—842. https://doi.org/10.1016/j.econmod.2020.02.024

48. Rey H. (2015). Dilemma not trilemma: The global financial cycle and monetary policy independence. NBER Working Paper, No. 21162. https://doi.org/10.3386/w21162

49. Scheubel B., Stracca L., Tille C. (2019). Taming the global financial cycle: What role for the global financial safety net? Journal of International Money and Finance, Vol. 94, pp. 160—182. https://doi.org/10.1016/j.jimonfin.2019.01.015


Дополнительные файлы

Для цитирования:


Столбов М.И. Глобальный финансовый цикл: концепция, эмпирическая оценка и следствия для экономической политики. Вопросы экономики. 2021;(5):43-56. https://doi.org/10.32609/0042-8736-2021-5-43-56

For citation:


Stolbov M.I. The global financial cycle: Notion, empirical evidence and policy implications. Voprosy Ekonomiki. 2021;(5):43-56. (In Russ.) https://doi.org/10.32609/0042-8736-2021-5-43-56

Просмотров: 501


ISSN 0042-8736 (Print)