The Study on the Procyclicality of International Capital Flows

本研究的目的是分析国际资本流动对实体经济的顺周期效应，并提出国际资本流动对实体经济的逆周期作用的制度和政策改革。尽管近年来关于国际资本流动的研究中经常出现顺周期的概念，但关于其顺周期的机制和反周期的政策建议似乎还没有一个既定的理论来解释。本研究的结果总结如下。(1)我们关注的是检验关于卢卡斯悖论(1990)的理论假设和实验研究，即“为什么资本不会从富国流向穷国”。这些思考表明，对这一悖论的回答为我们的研究提供了理论基础。(2)我们引入了两种在标准经济学中经常被忽视的资本流动的新方法：贷款人和借款人之间的信息不对称和外债的货币计价问题。前者是R.McKinnon的过度借贷综合征模型，后者是B.Eichengreen的原罪假说。这两种方法对于我们讨论东亚国家未来的国际金融体系很重要。(3)我们关注卡明斯基、莱因哈特和韦(2004)发现的关于资本流动、财政政策和货币政策之间的顺周期相互作用的四个程式化事实。我们将他们的主要发现应用于东亚国家，并基于上述两种新方法考虑了这种顺周期相互作用的原因。(4)我们将我们的考虑延伸到全球经常账户失衡的可持续性，这是本研究不可或缺的。我们的研究支持M.Obstfeld和K.Rogoff(2005)的模拟结果，他们得出美元实际有效汇率应该贬值33.0%的结论。

The purpose of this study is to analyze the pro-cyclical effect of international capital flows on the real economy and to propose the institutional and policy reforms that the former counter-cyclically act on the latter. Although the idea of the pro-cyclicality appears quite frequently in recent studies about international capital movement, there seems to be no established theory to explain about its pro-cyclical mechanism and counter-cyclical policy proposal. The results of this study are summarized in the following points. (1) Our concern is to examine the theoretical hypotheses and experimental studies about the Lucas paradox (1990) of "why capital doesn't flow from rich to poor countries". These considerations make it clear that the answering of this paradox gives the theoretical foundation on our study. (2) We introduce two new approaches to capital flows which have been often neglected in standard economics : the asymmetrical information between lenders and borrowers and the problem of the currency denomination of foreign debt. The former is the over-borrowing syndrome model by R. McKinnon and the latter is the original sin hypothesis by B. Eichengreen. These two approaches are important to our discussion of a future international financial system for East Asian countries. (3) We are concerned with the four stylized facts which Kaminsky, Reinhart and Vegh (2004) found regarding the pro-cyclical interaction between capital flows, fiscal policy, and monetary policy. We apply their main findings to East Asian countries and consider the causes of this pro-cyclical interaction based on the above two new approaches. (4) We extend our consideration to the sustainability of global current account imbalances which are indispensable for this study. Our study supports the result of the simulations by M. Obstfeld and K. Rogoff (2005), who conclude that the real effective exchange rate of the US dollar should depreciate by 33.0 percent.