[论文解读] Feedback effect between Volatility of capital flows and financial stability: evidence from Democratic Republic of Congo

Christian P. Pinshi|arXiv (Cornell University)|Aug 25, 2017

Banking stability, regulation, efficiency参考文献 4被引用 14

一句话总结

本研究利用动态计量经济模型，包括费尔施泰因-堀岡型回归和VAR模型，探讨刚果民主共和国（DRC）资本流动波动性与金融稳定之间的双向反馈效应。研究发现，资本流动波动性与金融不稳定之间存在显著的反馈回路，且宏观审慎政策在缓解这些影响方面比货币政策更为有效，凸显了刚果民主共和国中央银行体系中建立宏观审慎框架的必要性。

ABSTRACT

Financial system being the place of metting capital flows (equality between saving and investment), a volatility of capital flows can destroy the robustness and good working of financial system, it means subvert financial stability. The same a weak financial system, few regulated and bad manage can exacerbate volatility of capital flows and finely undermine financial stability. The present study provides evidence on feedback effect between volatility of capital flows and financial stability in Democratic republic of Congo (DRC), and estimate the contributions of macroeconomic and macroprudential policies in the attenuation volatility of capital flows effects on financial stability and in the prevention of instability financial. Assessment dynamic regression model a la Feldstein-Horioka we showed that financial system is widely supplied and financed by internationals capital flows. This implicate Congolese economy is financially mobile, that can be dangerous for financial stability. The study dynamic econometric of financial system's absolute size, we stipulate financial system has a systemic weight on real economy. Hence a shock of financial system could have devastating effects on Congolese economy. We estimate a vector autoregressive (VAR) model for prove the bilateral causality and impacts of macroeconomic and macroprudential policies. With regard to results, it proved on the one there is a feedback effect between volatility of capital flows and financial stability, on the other hand macroeconomic and macroprudential policies can't attenuate volatility of capital flows and prevent instability financial. It prove macroprudential approach is given a better result than monetary policy. The implementation of framework macroprudential by Central Bank of Congo will be beneficial in the realization of financial stability and attenuation volatility of capital flows.Keywords: Volatility of capital flows, financial stability, macroeconomic and macroprudential policies

研究动机与目标

• 探讨刚果民主共和国（DRC）资本流动波动性与金融稳定之间的反馈效应。
• 评估宏观经济与宏观审慎政策在减轻资本流动波动性对金融稳定造成破坏性影响方面的作用。
• 评估宏观审慎政策在增强刚果民主共和国金融稳定方面是否比货币政策更有效。
• 确定刚果民主共和国金融体系对实体经济的系统性权重。

提出的方法

• 采用基于费尔施泰因-堀岡方法的动态回归模型，分析刚果金融体系的融资结构。
• 对金融体系的绝对规模进行动态建模，以评估其在实体经济中的系统重要性。
• 估计向量自回归（VAR）模型，以检验资本流动波动性与金融稳定之间的双向因果关系。
• 研究在资本流动波动的背景下，宏观经济与宏观审慎政策对稳定金融体系的影响。
• 利用刚果民主共和国的数据，估计金融稳定与资本流动波动性之间反馈效应的强度与方向。
• 比较货币政策与宏观审慎政策在缓解波动性和防止金融不稳定方面的有效性。

实验结果

研究问题

• RQ1 刚果民主共和国是否存在资本流动波动性与金融稳定之间的反馈效应？
• RQ2 宏观经济政策在多大程度上可以减轻资本流动波动性对刚果民主共和国金融稳定的影响？
• RQ3 与货币政策相比，宏观审慎政策在稳定刚果民主共和国金融体系方面有多有效？
• RQ4 刚果民主共和国金融体系对实体经济的系统性权重是多少，这又如何影响金融稳定？

主要发现

• 刚果民主共和国存在资本流动波动性与金融不稳定之间的显著反馈效应。
• 刚果金融体系高度依赖国际资本流动，表明其金融开放度高，易受外部冲击影响。
• 金融体系在实体经济中具有系统性权重，意味着其遭受冲击可能对国家产出造成毁灭性影响。
• 仅靠宏观经济政策无法有效缓解资本流动的波动性或防止金融不稳定。
• 在资本流动波动的背景下，宏观审慎政策被证明比货币政策更有效地稳定金融体系。
• 建议刚果央行实施宏观审慎框架，以增强金融稳定并降低资本流动波动性。