|
on South East Asia |
| By: | Bhattacharyay, Biswa Nath (Asian Development Bank Institute) |
| Abstract: | One of the reasons behind the financial crisis in 1997 was the excessive dependence of Asian economies on commercial banks for domestic financing. Banks were the major source of corporate financing because bond markets were underdeveloped and small. To enhance corporate bond financing, it is important to examine the factors that promote effective development of bond markets. This study attempts to identity the determinants of bond market development in Asian economies, through examining its relationship with selected key financial and economic factors, and to provide policy recommendations for further development. |
| Keywords: | asia bond market; bond market development integration; asia financial crisis; asia banking sector; corporate financing |
| JEL: | F36 G15 O16 O53 |
| Date: | 2011–07–28 |
| URL: | http://d.repec.org/n?u=RePEc:ris:adbiwp:0300&r=sea |
| By: | Aizenman, Joshua (Asian Development Bank Institute); Jinjarak, Yothin (Asian Development Bank Institute); Park, Donghyun (Asian Development Bank Institute) |
| Abstract: | Motivated by the unprecedented rise of swap agreements between the central banks of developed economies and their developing economy counterparts, this paper evaluates Asian swap arrangements and their association with the build-up of foreign reserves prior to the 2008–2009 global financial crisis. The evidence suggests that there is a limited scope for swaps to substitute for reserves. Furthermore, the selectivity of the swap lines indicates that only countries with significant trade and financial linkages can expect access to such ad hoc arrangements, on a case by case basis. Moral hazard concerns suggest that the applicability of these arrangements will remain limited. However, deepening swap agreements and regional reserve pooling arrangements may weaken the precautionary motive for reserve accumulation. |
| Keywords: | reserves; swaps; dollar standard; asia; trade and financial linkages |
| JEL: | F15 F31 F32 |
| Date: | 2011–07–22 |
| URL: | http://d.repec.org/n?u=RePEc:ris:adbiwp:0297&r=sea |
| By: | C. Randall Henning (Peterson Institute for International Economics) |
| Abstract: | Sovereign wealth funds (SWFs) have become a prominent feature of the international financial landscape. They are sufficiently diverse in their origins, structures, and objectives that generalizations are perilous. However, legitimate concerns have been raised in home and host countries about the management, behavior, and interactions of these funds. Many of those concerns can be addressed via increased accountability and transparency. The Santiago Principles are a good start in doing so, but Edwin M. Truman's SWF scoreboard points to areas where these principles can be improved. Meanwhile, SWF compliance must be further increased. At the same time, the Organization for Economic Cooperation and Development (OECD) effort to address concerns from the host-country side has not resulted in the erection of new barriers to that form of cross-border investment, but the OECD failed to reverse the creeping financial protectionism of the past decade. Because of their size and the source of their funding, some Asian funds are different. As a result, they will be held to a higher standard of accountability and transparency even as their government owners press for more openness to cross-border investment. |
| Keywords: | Asia, international investment, OECD, Santiago Principles, sovereign wealth funds |
| JEL: | F3 F02 F21 F42 |
| Date: | 2011–06 |
| URL: | http://d.repec.org/n?u=RePEc:iie:wpaper:wp11-12&r=sea |
| By: | Thorbecke, Willem (Asian Development Bank Institute) |
| Abstract: | Current account deficits in the United States (US) and current account surpluses in East Asia are an enduring part of the global economic landscape. They are supported by low saving in the US and by reserve accumulation in Asia. This paper argues that this strategy is causing macroeconomic problems for the People’s Republic of China (PRC). Inflation is rising, and interest rates are set too low because the yuan is closely linked to the US dollar. Low interest rates have fueled overinvestment in physical capital and rising real estate prices. They also cause savers to earn negative returns on their bank deposits. |
| Keywords: | reserve accumulation; sterilization policy; transpacific imbalances; macroeconomic codependency |
| JEL: | F30 F32 |
| Date: | 2011–07–28 |
| URL: | http://d.repec.org/n?u=RePEc:ris:adbiwp:0299&r=sea |
| By: | Cheong, Siew Ann; Fornia, Robert Paulo; Lee, Gladys Hui Ting; Kok, Jun Liang; Yim, Woei Shyr; Xu, Danny Yuan; Zhang, Yiting |
| Abstract: | We performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997-2003 crisis, and responded to the most recent global financial crisis in five stages. Of these, the second and main stage affecting 21 industries lasted only 27 days, in contrast to the two-and-a-half-years across-the-board recovery from the 1997-2003 financial crisis. We constructed the minimum spanning trees (MSTs) to visualize the Pearson cross correlations between Japanese industries over five macroeconomic periods: (i) 1997-1999 (Asian Financial Crisis), (ii) 2000-2002 (Technology Bubble Crisis), (iii) 2003-2006 (economic growth), (iv) 2007-2008 (Subprime Crisis), and (iv) 2008-2010 (Lehman Brothers Crisis). In these MSTs, the Chemicals and Electric Machinery industries are consistently hubs. Finally, we present evidence from the segment-to-segment MSTs for flights to quality within the Japanese stock market. -- |
| Keywords: | Japanese industries,macroeconomic cycle,financial crisis,economic recovery,financial time series,segmentation,clustering,cross correlations,minimal spanning tree |
| JEL: | C21 C31 E32 O53 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwedp:201124&r=sea |
| By: | Boettke, Peter |
| Abstract: | James Scott has written a detailed ethnography on the lives of the peoples of upland Southeast Asia who choose to escape oppressive government by living at the edge of their civilization. To the political economist the fascinating story told by Scott provides useful narratives in need of analytical exposition. There remains in this work a “plea for mechanism”; the mechanisms that enable social cooperation to emerge among individuals living outside the realm of state control. Social cooperation outside the formal rules of governance, nevertheless require “rules” of social intercourse, and techniques of “enforcement” to ensure the disciplining of opportunistic behavior. |
| Keywords: | economic development; self-regulation; political economy; peasant economy |
| JEL: | O17 P48 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:32374&r=sea |
| By: | Georg Dettmann (Department of Economics, Mathematics & Statistics, Birkbeck; Department of Economic Science, University of Verona) |
| Abstract: | The Global Imbalances that contributed to the financial crisis (2007-2010) are still present, and the world still hasn’t fully recovered from recession. There is no consistent explanation of the Global Imbalances and their interaction with simultaneous events yet. The current state of the literature is that papers contradict each other and the main questions remain unsolved. This paper aims to provide a coherent story of the economic environment that laid the ground for the financial crisis, focusing on the evolution of Global Imbalances. It will reconcile the discrepancies of the different strands of existing literature and hypotheses. Hypotheses which can be rejected will be discarded. The paper will try to explain what mechanisms (inside and outside of the US) worked within these Imbalances, how they were motivated and if these mechanisms are sustainable. The single most important result will be that there is no obvious reason why China and the other emerging Asian economies finance the US. Further, the US finance themselves by means that are not fully understood yet and can only partially be explained. One important factor appears to be the use of the Exorbitant Privilege via Seigniorage. Other factors remain unknown. |
| Date: | 2011–07 |
| URL: | http://d.repec.org/n?u=RePEc:bbk:bbkefp:1102&r=sea |
| By: | Oleksandr Piskun; Sergii Piskun |
| Abstract: | Financial markets are systems with the complex behavior, that can be hardly analyzed by means of linear methods. Recurrence Quantification Analysis (RQA) is a nonlinear methodology, which is able to work with the nonstationary and short data series. Thus, we apply RQA for the studying of the critical events on financial markets. For the present research, stock crashes of DJI 1929; DJI, NYSE and S&P500 1987; NASDAQ 2000; HSI 1994, 1997 and Spanish 1992, Portuguese 1992, British 1992, German 1992, Italian 1992, Mexican 1994, Brazilian 1999, Indonesian 1997, Thai 1997, Malaysian 1997, Philippine 1997, Russian 1998, Turkish 2001, Argentine 2002 currency devaluations were taken. The recent world financial crisis of 2007-2010 was considered as well. The possibility of LAM measure to serve as a tool for the revealing, monitoring, analysing and precursoring of financial bubbles, crises and crashes was asserted. |
| Date: | 2011–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1107.5420&r=sea |
| By: | Kojima, Masami; Bacon, Robert; Zhou, Xin |
| Abstract: | Household surveys in Guatemala, India, Indonesia, Kenya, Pakistan, and Sri Lanka were analyzed using a two-stage Heckman model to examine the factors influencing the decision to use liquefied petroleum gas (stage 1) and, among users, the quantity consumed per person (stage 2). In the first stage, liquefied petroleum gas selection in all six countries increased with household expenditure and the highest level of education attained by female and male household members. Electricity connection increased, and engagement in agriculture and increasing household size decreased, liquefied petroleum gas selection in five countries; urban residence increased selection in four countries; and rising firewood and kerosene prices increased selection in three countries each. In the second stage, the quantity of liquefied petroleum gas consumed increased with rising household expenditure and decreasing price of liquefied petroleum gas in every country. Urban residence increased and engagement in agriculture decreased liquefied petroleum gas consumption. Surveys in Albania, Brazil, Mexico, and Peru, which did not report quantities, were also examined by calculating quantities using national average prices. Although fuel prices faced by individual households could not be tested, the findings largely supported those from the first six countries. Once the education levels of men and women were separately accounted for, the gender of the head of household was not statistically significant in most cases across the ten countries. Where it was significant (five equations), the sign of the coefficient was positive for men, possibly suggesting that female-headed households are burdened with unmeasured economic disadvantages, making less cash available for purchasing liquefied petroleum gas. |
| Keywords: | Energy Production and Transportation,Markets and Market Access,Energy Conservation&Efficiency,Renewable Energy,Energy and Environment |
| Date: | 2011–07–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:5731&r=sea |
| By: | Albaity, Mohamed Shikh |
| Abstract: | Previous studies found that Islamic stock market index in Malaysia (KLSI), does not react, or react negatively to interest rate, although one of the main criteria of Islamic finance is to avoid business and activities that yield interest because of its prohibition in Islamic laws. On the other hand, studies of Islamic stock market index in the US (DJIMI) found that there is no impact of interest rate on DJIMI. These two stock market indices have different screening criteria and different composite of securities. This study aims at investigating the monetary policy variables impact, the effect of interest rate, and the use of stock market indices as a hedge against inflation. It also examines the volatilities of monetary variables, interest rates, and inflation rate on two Islamic stock market indices. Using time series analysis such as GARCH the results are as follows. It is found that in the variance univariate models of the conventional indices that M1, M3, inflation rate, and real growth in GDP are significant in influencing KLCI volatility, while M2, M3, inflation rate and interest rate affected DJINA volatility. On the other hand, in the Islamic indices, KLSI and DJIMI variance is influenced by M2, M3, and inflation rate. In addition, in the multivariate model, DJIMI is influenced by the interest rate and the inflation rate in the mean and variance equations. In contrast, KLSI is influenced commonly in the mean and variance equations by M3, and the inflation rate. -- |
| Keywords: | Macroeconomic volatility,GARCH,Islamic index |
| JEL: | E4 E6 F4 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwedp:201126&r=sea |
| By: | Thorbecke, Willem (Asian Development Bank Institute); Kato, Atsuyuki (Asian Development Bank Institute) |
| Abstract: | This paper investigates how exchange rates affect Japanese exports. This is difficult because many of Japan’s exports are used to produce goods for re-export. An appreciation in the importing country that decreases exports can decrease its imported inputs from Japan. To correct for this bias the authors examine consumption exports. Using a panel dataset of Japan’s consumption exports to 17 countries over the 1988–2009 period, they found that a 10% appreciation of the yen would reduce Japan’s consumption goods exports by 9%. These results indicate that the large swings in the value of the yen over the last decade have caused large swings in the volume of Japanese exports. |
| Keywords: | exchange rate elasticities; japanese consumption exports |
| JEL: | F30 F32 |
| Date: | 2011–07–26 |
| URL: | http://d.repec.org/n?u=RePEc:ris:adbiwp:0298&r=sea |