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Liquidity Risk Aversion, Debt Maturity, and Current Account Surpluses : A Theory and Evidence from East Asia
http://hdl.handle.net/2261/5723
http://hdl.handle.net/2261/5723e81ba240-7679-4eb0-812d-312e81befb55
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-06-03 | |||||
| タイトル | ||||||
| タイトル | Liquidity Risk Aversion, Debt Maturity, and Current Account Surpluses : A Theory and Evidence from East Asia | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Lizuidity Risuk | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Debt Maturity | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Asian Crisis | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Foreign Reserve | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classification: F21, F32, F34 | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Fukuda, Shin-ichi
× Fukuda, Shin-ichi× Kon, Yoshifumi |
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| 著者所属 | ||||||
| 著者所属 | University of Tokyo | |||||
| 著者所属 | ||||||
| 著者所属 | Graduate School of Economics, University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | After a series of crises, many developing countries came to recognize that reducing liquidity risk is an important self-protection. However, they have alternative strategies for the self-protection. The purpose of this paper is to show that macroeconomic impacts might be very different depending on which strategy developing countries will take. In the first part, we investigate what macroeconomic impacts an increased aversion to liquidity risk can have in a simple open economy model. When the government keeps foreign reserves constant, an increased aversion to liquidity risk reduces liquid debt and increases illiquid debt. However, its macroeconomic impacts are not large, causing only small current account surpluses. In contrast, when the government responds to the shock, the changed aversion increases foreign reserves and may lead to a rise of liquidity debt. In particular, under some reasonable parameter set, it causes large macroeconomic impacts, including significant current account surpluses. In the second part, we provide several empirical supports to the implications. In particular, we explore how foreign debt maturity structures changed in East Asia. We find that many East Asian economies reduced short-term borrowings temporarily after the crisis but increased short-term borrowings in the early 2000s. Since short-term debt is liquid debt, the instantaneous change after the crisis is consistent with the case where only private agents responded to increased aversion to liquidity risk. However, accompanied by substantial rises in foreign exchange reserves, the change in the early 2000s is consistent with the case where the government also started to respond. We discuss that our results have important implications for the recent deterioration in the U.S. current account. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-489, 発行日 2007-04 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 330 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2007/2007cf489ab.html | |||||
