Capital mobility and monetary sterilization policies in selected Asia economies before and after the 1997 Asian currency crises.

摘要

Many emerging economies in Asia and elsewhere have been plagued by sharp booms and bust cycles of capital inflows and outflows. The heavily managed exchange rate, current account improvement, and surge of capital inflows inevitably placed significant upward pressure on the domestic currency. To keep inflation under control, the monetary authorities have often used monetary sterilization policies to offset the liquidity impact of their foreign exchange rate intervention.; The aim of my dissertation is to examine the extent of sterilization and the degree of de facto capital mobility in nine Asian economies before and after the 1997 Asian currency crises, namely China, India, Indonesia, Korea, Malaysia, the Philippines, Singapore, Taiwan, and Thailand. To do so I estimate what the literature refers to as the "sterilization coefficient", i.e. the how much domestic credit changes in response to a change in international reserves, as well as the "offset coefficient", i.e. how much private capital changes in response to a change in domestic credit. The estimated equations were derived from the expanded theoretical model based on Brissimis, Gibson, and Tsakalotos (2002). Two-stage least square methodology is used to estimate the simultaneous equations. Various types of sterilization instruments are also discussed in the dissertation.; The empirical results suggest that China's effective degree of capital mobility has risen substantially in recent years with offset coefficients rising from around 0.1 to 0.2 in 2003 to above 0.6 for the most recent data. This is consistent with the judgments of a number of economists that China's capital controls have been becoming increasingly less binding.; With regard to the other Asian economies, in the pre-crisis period, the offset coefficients ranged from a low of 0.29 in the case of Indonesia to a high of 1 (perfect de facto capital mobility) in the cases of Thailand. The coefficients for India, Korea, Malaysia, the Philippines, Singapore, and Taiwan hovered around 0.53-0.9. In the post-crisis period the offset coefficients fell somewhat in India (0.65-0.71), Indonesia (positive 0.01-0.03), Korea (0.47-0.55), the Philippines (0.42-0.47), Taiwan (0.7-0.8), and Thailand (0.8-1.08), and increased marginally in Malaysia (0.91-0.95) and Singapore (1.05-1.19). Monetary sterilization appears to have been complete in the cases of Indonesia, Korea, the Philippines, Singapore, Taiwan, and Thailand, and moderate-to-high in the case of India and Malaysia (0.6-0.8). Post-crisis, the sterilization coefficient fell sharply for Indonesia and also lost statistical significance, suggesting that monetary policy was focused on other objectives. Estimated sterilization coefficients also declined in Korea (0.21-0.79) and Thailand (0.36-0.59), and increased slightly in India (0.93-1.21) and Malaysia (0.91-1.01), but remained stable and moderate-to-high levels in the cases of the Philippines (0.97-1.07), Taiwan (0.92-1.07), and Singapore (0.37-0.91).