Benhima, Kenza (2008) From the Need for Finance to Precautionary Savings : The Impact of Risk on Capital Flows and Growth in Emerging Markets. PhD thesis Laboratoire de Macroéconomie , Centre de Recherche en Economie et Statistique Laboratoire de Macroéconomie, ENSAE 2008PA100115 p.223.
Full text available as:
|
|
Official URL: https://gestion4.bibli.fr/genes/doc_num.php?explnum_id=5172
Abstract
In this thesis, we study the impact of liquidity and production risk on the link between capital flows and growth on the one band, exchange rate policy and growth on the other. We can offer potential explanations for some empirical paradoxes in international finance: the allocation paradox and the paradox of exchange rate regimes. More specifically, the first paradox refers to the "perverse" relationship between growth and capital flows, while the second refers to the absence of a stable relationship between exchange rate regimes and economic performance. The first two chapters are devoted to the capital flows paradox. The first one attempts to explain how total factor productivity growth and capital outflows can be endogenously related. It can be applied to the recent global imbalances and the parallel growth in ernerging countries. In the second chapter, it is not the causality between flows and growth that is studied, but rather their consistency in the cross-country dimension when applying the growth accounting methodology. In both cases, the presence of non-incurable liquidity or production risk at the firm level explains the positive relationship between growth and capital outflows. Finally, the third chapter studies the choke of exchange rate regime and its impact on growth. The presence of liquidity risk and imperfect access to credit justify the idea that volatility can have an impact on growth. In particular, this chapter establishes theoretically and empirically that liability dollarization conditions that impact. This helps explain the lack of robustness in the previous empirical studies on that issue
| Item Type: | PhD Thesis (PhD) |
|---|---|
| PhD Supervisor: | Bénassy-Quéré, Agnès |
| Date: | 21 November 2008 |
| Board of examiners: | Cohen, Daniel and Bénassy-Quéré, Agnès and Martin, Philippe and Rancière, Romain and Mignon, Valérie and Rey, Hélène |
| Ecole Doctorale: | CREST Laboratoire de Macroéconomie |
| Discipline: | Laboratoire de Macroéconomie |
| Collection (Fonds): | ENSAE ParisTech |
| Institution: | ENSAE |
| Department: | Centre de Recherche en Economie et Statistique Laboratoire de Macroéconomie |
| Subjects: | 9. Sciences of Economy, Management and Society |
| Uncontrolled Keywords: | Croissance, Finance internationale, Risque de production, Risque de liquidit¶e, Choix de portefeuille, Choix technologiques, ¶Epargne de pr¶ecaution, R¶egimes de change, Dollarisation de la dette, Effets de bilan. |
| ID Code: | 4969 |
| Deposited By: | Luc Langouet |
| Deposited On: | 31 March 2009 |
Table of content
Introduction Générale xi
I Financial Integration, Technological Change in Emerging Markets
and Global Imbalances 1
1 Introduction - 1
2 Related literature - 7
3 Static model - 10
3.1 Economic environment - 10
3.2 Individual decisions - 12
3.3 Comparative statics - 16
3.3.1 Autarky - 17
3.3.2 Financial globalization - 19
4 The Ramsey framework - 26
4.1 Economic environment - 26
4.2 Individual decisions - 26
4.2.1 Individual program - 26
4.2.2 Individual dynamic system - 28
4.3 The experiment - 29
4.4 General equilibrium dynamic system - 31
vii-viii Table of contents
4.5 E®ect of ¯nancial globalization in the long run - 32
5 E®ect of ¯nancial globalization in the medium run - 34
5.1 Calibration - 35
5.2 Qualitative ¯t - 37
5.3 Quantitative ¯t - 42
5.4 Adding capital installation costs - 45
6 Conclusion - 49
7 Appendix - 50
II A Reappraisal of the Allocation Puzzle through the Portfolio
Approach 59
1 Introduction - 59
2 Amending the neoclassical growth model - 65
2.1 Firms and technology - 65
2.2 The household's program - 67
2.3 Household's behavior - 69
2.4 Steady state - 71
2.5 Capital °ows - 73
2.6 The role of productivity - 78
3 Capital °ow accounting and calibration - 81
3.1 Some key parameters - 83
3.2 Capital °ows - 86
3.2.1 The riskless approach - 86
3.2.2 The portfolio approach - 91
4 Extensions - 97
4.1 Sovereign risk - 97
4.2 Asymmetric production risk - 100
4.3 Hand-to-mouth workers - 101
5 Conclusion - 102
6 Appendix - 104
Table of contents ix
IIIExchange Rate Volatility and Productivity Growth : the Role of
Liability Dollarization 111
1 Introduction - 111
2 A stylized monetary model - 117
2.1 A small open economy with sticky wages and two sectors
2.2 The evolution of productivity - 118
2.2.1 Innovation process - 118
2.2.2 Liquidity shocks and credit market imperfections . . 118
2.3 Within-period analysis - 120
2.3.1 Firms - 121
2.3.2 Households - 124
2.3.3 Wage setting - 125
2.3.4 Monetary policy - 125
2.3.5 Equilibrium - 126
3 Model's empirical implications - 127
3.1 The log-linearized, reduced-form model - 127
3.2 Reactions of quantities and prices to shocks - 130.3 Comparing regimes - 132
3.4 The impact of exchange rate regimes on growth - 133
4 Empirical Analysis - 135
4.1 Data and methodology - 135
4.1.1 The dependent variable - 136
4.1.2 The dollarization variable - 136
4.1.3 Exchange rate °exibility variables - 137
4.1.4 Other variables - 138
4.1.5 Methodology - 139
4.2 The role of ¯nancial dollarization - 140
4.2.1 OLS - 140
4.2.2 GMM - 142
x Introduction G¶en¶erale
4.3 Robustness checks - 145
5 Conclusion - 152
6 Appendix - 154
IVConclusion G¶en¶erale et Orientations de Recherche 163
Repository Staff Only: edit this item