Two Hundred Years of Financial Integration

两百年的金融一体化

• 批准号: 1023681
• 负责人: Graciela Kaminsky
• 金额: $ 28.61万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2010
• 资助国家: 美国
• 起止时间: 2010-09-01 至 2016-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1023681&HistoricalAwards=false
• 关键词: Two; Hundred; Years; Financial; Integration

This project involves the creation of a new database of international capital flows for the heydays of financial globalization during the 19th and early 20th centuries. The PI will use this database jointly with modern data on capital flows to study financial contagion, to construct an anatomy of capital flow bonanzas, to examine the dynamics and scope of crises that start in the periphery and those that start in the financial center, and to shed more light on the relationship between capital flow bonanzas, sovereign defaults, and growth. Empirical studies on the characteristics and effects of international capital flows examine mostly the experience of the last thirty years because there are data available only for this period. While these data allow researchers to untangle the cross-country differences in international capital flows and the links to country fundamentals and macropolicies, they cannot help to examine the effects of sporadic shocks in international capital markets and overall timedependence. For example, since 1970 most of the currency crises and the capital flow reversals they triggered started in countries in the periphery, Mexico (1994), Finland (1992), Thailand (1997), Russia (1998). In contrast, the ongoing global financial crisis started in the financial center, similarly to the crises in 1824, 1873, and 1929. Only by comparing the current crisis to those of the earlier period, will we be able to answer which are the mechanisms of contagion when the financial center is the epicenter or assess the future scope of the current crisis. A database on capital flows that spans two centuries can help in this endeavour.This project will also deepen our understanding of capital flow cycles and channels of contagion as well as the elusive link between financial integration and growth. For example, until the mid 1990s most of international capital flows to developing economies took the form of bank loans. Only very recently did these countries gain access to international bond markets. In contrast, in the 19th century, most portfolio flows were bond flows. Are sudden stops more pronounced when capital flows take the form of bank loans as in the 1970s? Or is the bond market during the 19th century and nowadays (with its many uninformed and dispersed investors) what triggers more pronounced reversals, herding behavior, and financial contagion? Also, what are the links between trade openness, the composition of capital flows, sovereign defaults, and growth? re developing countries serial defaulters that only over time "graduate" and stop defaulting? Or are there reversals in their commitment not to default as is the case of Argentina who was only in default 3 percent of the years from 1858 to 1931 but was in default 41 percentof the years in the most recent period? Did the type of capital flows in the 19th century trigger higher commitment?Broader impact: A central contribution of this project is to create a new database of gross primary issuance of bonds, equities, and loans floated in London, Paris, Berlin and Frankfurt, and New York, the financial centers of the 19th and early 20th centuries. The data to be collected include all individual issues floated in these financial centers. Using this new database, we can decompose capital flows into sovereign and private borrowing and by maturity and purpose of the issue. We can also identify the sectoral composition of the firms that are tapping international capital markets (say, railways, meat processing plants, petroleum).

该项目涉及为19世纪和20世纪初金融全球化的鼎盛时期建立一个新的国际资本流动数据库。 PI将利用这一数据库和现代资本流动数据来研究金融传染，构建资本流动富矿的解剖结构，研究始于外围和始于金融中心的危机的动态和范围，并进一步阐明资本流动富矿、主权违约和增长之间的关系。 关于国际资本流动的特点和影响的实证研究主要考察过去30年的经验，因为只有这一时期的数据。 虽然这些数据使研究人员能够理清国际资本流动的跨国差异以及与国家基本面和宏观政策的联系，但它们无助于研究国际资本市场零星冲击的影响和总体时间依赖性。 例如，自1970年以来，大多数货币危机及其引发的资本流动逆转都始于周边国家，如墨西哥（1994年）、芬兰（1992年）、泰国（1997年）、俄罗斯（1998年）。 与此相反，正在进行的全球金融危机始于金融中心，类似于1824年，1873年和1929年的危机。只有将当前的危机与早期的危机进行比较，我们才能回答哪些是金融中心是震中时的传染机制，或者评估当前危机的未来范围。 建立一个跨越两个世纪的资本流动数据库有助于这一努力，这一项目还将加深我们对资本流动周期和传染渠道以及金融一体化与增长之间难以捉摸的联系的理解。例如，直到1990年代中期，流向发展中经济体的国际资本大多采取银行贷款的形式。这些国家直到最近才得以进入国际债券市场。相反，在世纪，大多数投资组合流动是债券流动。 当资本流动以银行贷款的形式出现时，突然停止的现象是否会像1970年代那样更加明显？ 还是19世纪和现在的债券市场（有许多不知情和分散的投资者）引发了更明显的逆转、羊群行为和金融传染？此外，贸易开放、资本流动构成、主权违约和增长之间有什么联系？难道发展中国家的连续违约者只是随着时间的推移才“毕业”并停止违约吗？ 或者，他们不违约的承诺是否发生了逆转，就像阿根廷的情况一样，从1858年到1931年，阿根廷的违约率只有3%，但在最近的一段时间里，阿根廷的违约率达到了41%？世纪资本流动的类型是否引发了更高的承诺？更广泛的影响：该项目的一个核心贡献是创建一个新的数据库，记录19世纪和20世纪初的金融中心伦敦、巴黎、柏林、法兰克福和纽约发行的债券、股票和贷款的总发行量。 收集的数据包括这些金融中心提出的所有个别问题。 使用这个新的数据库，我们可以将资本流动分解为主权和私人借款，并按到期日和发行目的进行分解。我们还可以确定正在利用国际资本市场的公司的部门构成（例如铁路、肉类加工厂、石油）。