海外之声 | 国际货币与金融体系的脆弱性

导读

在金融体系新的或不惹人注目的角落里，资本流动可能为金融体系带来弱点。为了理解这些弱点的存在形式，我们必须放眼整个国际货币与金融体系。那么，当前国际货币与金融体系（IMFS）的“阿喀琉斯之踵”即其致命弱点是什么？下一个压力点或需要留意的角落在哪里？我们应该如何消除IMFS的致命弱点？长期以来，传统思想认为IMFS的致命弱点是它容易产生经常账户的巨额失衡。但是，IMFS真正的致命弱点并不在于净资本流动，而在于总资本流动和存量积累。它无法有效锚定国际和国家内部的金融扩张和收缩，“国际金融周期”与“国内金融周期”的相互作用，可能导致重大的宏观经济失控和金融危机。将目光从大局转移到压力点上。第一个压力点在于美元的作用。许多国家长期以来一直依赖外汇融资。但在许多新兴市场经济体，由于成本高昂，对冲机会有限，这种借贷往往导致货币错配。如此一来，货币的升值与贬值都将剧烈影响其债务规模。第二个压力点在于资产管理行业。过去人们预计，国内货币市场的发展将使新兴市场经济体免受货币错配的影响。证据表明，虽然这在一定程度上起到了帮助作用，但并不能完全解决资产负债表中的货币错配问题。

为了消除IMFS的弱点，各国首先需要在国内政策体系中构建更牢固的锚。国际清算银行主张建立宏观金融稳定框架，其中的货币政策、审慎（尤其是宏观审慎）政策以及财政政策需要更加重视金融失衡的积累。其次，需要构建更强大的国际锚，调整监管政策，应对资产管理行业带来的系统性风险。最后，加强全球安全网的建立，在无法预防的情况下遏制压力。

作者 | Claudio Borio，国际清算银行货币经济部主管

英文原文如下：

Vulnerabilities in the international monetary and financial system

Speech by Mr Claudio Borio, Head of the Monetary and Economic Department of the BIS, at the OECD-G20 High Level Policy Seminar, Paris, 11 September 2019.

I am delighted to be here, and I would like to congratulate the organisers for finalising the revision of the code.This session is about the possible vulnerabilities that capital flows can generate in new - or perhaps less illuminated - corners of the financial system. In addressing this question, I would like to take a broad view. The reason is that we cannot fully understand what the next vulnerabilities are and how best to address them without understanding what is wrong with the international monetary and financial system - or, as the late TommasoPadoa-Schioppa used to say, "non-system".Thus, in my remarks, I will briefly address three questions. What is the Achilles heel of the current international monetary and financial system (IMFS)? Where might the next pressure points or corners to watch be? And how can we address the Achilles heel?

The Achilles heel of the IMFS

There is a long intellectual tradition arguing that the IMFS's Achilles heel is its proclivity to generate large current account imbalances. Think, for instance, of Keynes' concern with asymmetric adjustments between debtors and creditors or of Bernanke's savings glut hypothesis.

Certainly, large current account imbalances can be a problem, not least because they give rise to protectionist pressures, as we painfully see today. But to my mind, the real Achilles heel has to do not so much with net capital flows, which is what current accounts represent, but with gross capital flows and the accumulated stocks.[1] It is here where the underlying weakness of the IMFS is most apparent.That weakness is the failure to anchor effectively financial expansions and contractions, not just across borders but also within countries - cycles that can cause major macroeconomic dislocations and financial crises.Such financial expansions and contractions take two forms.First, expansions and contractions in gross capital flows and correlated asset prices, of which Hélène Rey's "global financial cycle" is the most famous incarnation. As recent BIS research indicates, the length of this cycle roughly coincides with that of business cycles.[2]Second, their close cousin, "domestic financial cycles". These are best captured by strong joint expansions and contractions in domestic credit and, in particular, property prices. These cycles tend to be considerably longer than business cycles (sometimes twice as long) and to cause costly recessions and possibly outright financial crises, such as the recent Great Financial Crisis (GFC).Importantly, while distinct, these two cycles interact and can amplify each other, especially around financial crises.[3]Now, the IMFS fails to provide sufficiently strong anchors because of the way it shapes the interaction of domestic monetary and financial regimes.On the one hand, domestic monetary regimes pay little attention to the build-up of financial imbalances, so that the easing bias spreads from the core economies to the rest of the world. It does so directly, through the extensive reach of international currencies - especially the dollar - beyond national borders. I will come back to this. And it does so indirectly, through policymakers' resistance to exchange rate appreciation, be these the result of concerns with price stability, financial stability or other considerations. That is, central banks keep interest rates lower than otherwise and/or intervene and accumulate foreign exchange reserves. This way, easing begets easing across the world.On the other hand, the interaction of financial regimes reinforces and channels these effects through the free mobility of capital across both currencies and borders. As a result, external funding typically amplifies domestic credit booms and exchange rates move too far ("overshoot"). Hence the relevance of the concept of "global liquidity", ie the ease of global financing, which has been the focus of BIS research.[4]What is the evidence for all this? For one, the surges in international credit ahead of episodes of serious financial stress. Think, for instance, of the GFC, of the Latin American crises in the 1980s, of the Asian crisis in the 1990s and of many similar episodes going further back in history, including under the gold standard - the first globalisation era. In addition, both pre- and post-GFC, we have seen historically accommodative monetary policy conditions, which have been a key source of unwelcome spillovers and which could encourage a further build-up in debt globally. 

Corners to watch: the dollar and the asset management industry

So much for the big picture. Let me now focus briefly on two pressure points - or two corners to watch. One is old: the role of foreign exchange funding, and in particular that of the US dollar, to which I have already alluded. The other is newer: market-based finance and the role of asset managers in particular.

We know that many countries, notably emerging market economies (EMEs), have long relied on foreign exchange funding. And we know that, at the global level, the dollar reigns supreme. But unlike in most advanced economies, in emerging market economies such borrowing often gives rise to currency mismatches, mainly because of costly and sometimes limited hedging opportunities.This, in turn, gives rise to the so-called "financial channel of the exchange rate". Currency appreciation flatters balance sheets and encourages further borrowing and appreciation - a self-reinforcing process. The opposite is naturally the case when the currency depreciates. All this blunts the shock absorber function of the exchange rate and makes EMEs especially vulnerable to boom-bust cycles in global capital flows - an aspect we developed in a special chapter of the latest BIS Annual Economic Report on monetary policy frameworks in EMEs.[5]Against this background, the sharp increase in US dollar borrowing post-crisis is troubling. The corresponding debt has roughly doubled for EMEs' non-bank borrowers, to some $3.7 trillion. And this, let me stress, does not include borrowing via FX swaps, which is not covered in the statistics as it is off-balance sheet. That borrowing, according to our estimates, is even larger. Including also advanced economies, the equivalent figure to the on-balance sheet borrowing for EMEs is $11.8 trillion while the one for FX swaps is of the order of $14 trillion or more.[6]It would not be surprising, therefore, if the next episode of financial stress had the US dollar segment at its epicentre, just as it was during the GFC.In all this, the asset management industry is likely to play a substantially bigger role than in the past. The development of domestic currency markets was expected to insulate EMEs from the currency mismatches linked to borrowing in foreign exchange. The evidence so far suggests that, while clearly helping, it has fallen somewhat short of expectations. But, in any case, this would not solve the problem of currency mismatches in lenders' (investors') balance sheets. Whenever they invest on a foreign exchange unhedged basis to pick up extra return, investors would lose twice on their long-term bond holdings if the exchange rate depreciated as the domestic currency yields rose - a typical correlation, especially under stress. This would exacerbate the pressure to liquidate portfolios.The rapid growth of market-based borrowing post-crisis, as many banks have retrenched, highlights these vulnerabilities.[7] The share of bank loans in US dollar borrowing by non-banks outside the United States has fallen from around 60% to a bit below 50%. The bottom line: although banks are safer, we should watch closely the vulnerabilities linked to market-based finance.

Policy implications

What are the policy implications? Let me just highlight two.

First, we need stronger anchors in domestic policy regimes - ensuring that one's own house is in order. At the BIS, we have argued for the need to put in place macro-financial stability frameworks, in which monetary policy, prudential (especially macroprudential) policies and also fiscal policy pay greater attention to the build-up of financial imbalances. In the BIS Annual Economic Report chapter on EMEs I mentioned before, we explain key aspects of this framework, notably the role of foreign exchange intervention in the spirit of a macroprudential tool alongside the active use of macroprudential measures. Here, I would stress, in particular, measures targeting currency mismatches and liquidity mismatches in foreign exchange. All this would reduce the scope for unwelcome spillovers - a natural outcome if domestic policies are already fully fit for purpose.Second, we need stronger anchors internationally - ensuring that the global village is in order. Here, the degree of progress has differed. It has been substantial in prudential regulation and supervision, through international standards and a degree of reciprocity. Still, some gaps remain. In particular, we need to think harder about how to address the systemic risks that the asset management industry raises. A key strategy here would be to calibrate regulation from a macroprudential perspective, ie considering institutions not just on a standalone basis but explicitly as part of the system, in analogy with what has been done for banks. By contrast, progress has been very limited in monetary policy, for structural reasons. Here the key question is whether it is possible to go beyond enlightened self-interest. Finally, strengthening the global safety net would be an important complementary step, which would help contain stress when it cannot be prevented. Here, the need for funding in US dollars is critical. One question is whether it would be as forthcoming as during the GFC in the current political environment.

[1] For a detailed critique of those positions and an elaboration of the themes highlighted here, see C Borio, "The international monetary and financial system: its Achilles heel and what to do about it", BIS Working Papers, no 456, September 2014; and C Borio and P Disyatat, "Global imbalances and the financial crisis: link or no link?", BIS Working Papers, no 346, May 2011; and "The international monetary and financial system", Chapter V, 85th BIS Annual Report, 2014/15.[2] See I Aldasoro, S Avdjiev, C Borio and P Disyatat, "Global and domestic financial cycles: variations on a theme", BIS Working Papers, forthcoming.[3] See Aldasoro et al, ibid.[4] See C Borio, "Comment on J P Landau, 'Global liquidity: Public and private'", in Global dimensions of unconventional monetary policy, proceedings of the Federal Reserve Bank of Kansas City Jackson Hole symposium, 2013; D Domanski, I Fender and P McGuire (2011): "Assessing global liquidity", BIS Quarterly Review, December; and I Aldasoro and T Ehlers, "Global liquidity: changing instrument and currency patterns", BIS Quarterly Review, September 2018.[5] See BIS, "Monetary policy frameworks in EMEs: inflation targeting, the exchange rate and financial stability", Annual Economic Report 2019, 2019, Chapter II. [6] See C Borio, R McCauley and P McGuire, "FX swaps and forwards: missing global debt?", BIS Quarterly Review, September 2017, pp 37-54.

[7] See H S Shin, "The second phase of global liquidity and its impact on emerging markets", keynote address at the Federal Reserve Bank of San Francisco Asia Economic Policy Conference, 3-5 November 2013; and R McCauley, P McGuire and V Sushko, "Global dollar credit: links to US monetary policy and leverage", BIS Working Papers, no 483, January 2015.

编译  韩子砚

编辑  李锦璇

来源  BIS

审校  金天、蒋旭

监制  朱霜霜

点击查看近期热文

欢迎加入群聊

为了增进与粉丝们的互动，IMI财经观察建立了微信交流群，欢迎大家参与。

入群方法：加群主为微信好友（微信号：imi605）,添加时备注个人姓名（实名认证）、单位、职务等信息，经群主审核后，即可被拉进群。

欢迎读者朋友多多留言与我们交流互动，留言可换奖品：每月累积留言点赞数最多的读者将得到我们寄送的最新研究成果一份。

关于我们

中国人民大学国际货币研究所（IMI）成立于2009年12月20日，是专注于货币金融理论、政策与战略研究的非营利性学术研究机构和新型专业智库。研究所聘请了来自国内外科研院所、政府部门或金融机构的90余位著名专家学者担任顾问委员、学术委员和国际委员，80余位中青年专家担任研究员。

研究所长期聚焦国际金融、货币银行、宏观经济、金融监管、金融科技、地方金融等领域，定期举办国际货币论坛、货币金融（青年）圆桌会议、大金融思想沙龙、麦金农大讲坛、陶湘国际金融讲堂、IMF经济展望报告发布会、金融科技公开课等高层次系列论坛或讲座，形成了《人民币国际化报告》《天府金融指数报告》《金融机构国际化报告》《宏观经济月度分析报告》等一大批具有重要理论和政策影响力的学术成果。

2018年，研究所荣获中国人民大学优秀院属研究机构奖，在182家参评机构中排名第一；在《智库大数据报告（2018）》中获评A等级，在参评的1065个中国智库中排名前5%。

国际货币网：http://www.imi.ruc.edu.cn

微信号：IMI财经观察

（点击识别下方二维码关注我们）

理事单位申请、

学术研究和会议合作

联系方式:  

010-62516755 

[e-mail]

只分享最有价值的财经视点

We only share the most valuable financial insights.