Global liquidity and international risk- sharing in the post-crisis environment Bank of Korea International Conference 2013 Seoul 3 June 2013
Benoît Cœuré, Member of the Executive Board European Central Bank
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Global liquidity and macro factors
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Source: Eickmeier, Gambacorta and Hofmann (2013), Figure 4(a).
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The role of global liquidity factors in shaping global financial dynamics
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Source: Eickmeier, Gambacorta and Hofmann (2013), Figure 4(b).
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Limited spillovers from the Fed’s QE policies so far
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Non-standard monetary policy measure
Domestic long-term bond yields
Domestic equity prices
Global equity prices
EME equity prices
Exchange rate VIX
QE1 -100bp +25% +20% +7% 0 (effective) (-)
QE2 0 +10% +12% +15% -2% (effective) (-)
QE3 - +1.5% -1.8% (against euro) -1.3pp
Sources: Fratzscher, Lo Duca and Straub (2012), and ECB compilations.
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Estimated cumulated impact of US QE on equity flows to emerging markets (in % of assets under management)
Pull factors have been important for capital flows
Source: Fratzscher, Lo Duca and Straub (2012).
-5
0
5
10
15
20
25
30
Mar-07 Sep-07 Mar-08 Sep-08 Mar-09 Sep-09 Mar-10 Sep-10
Monetary Policy
Other Factors
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Long cycles in financial globalisation
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0%
50%
100%
150%
200%
250%
1870 1900 1914 1930 1938 1945 1960 1980 1985 1990 1995 2000 2005 2006 2007 2008 2009 2010 2011
Foreign assets of major economies (in % of sample GDP)
Sources: Obstfeld and Taylor (1994), IMF and ECB calculations. Notes: Data from 1870 to 2000 are from Obstfeld and Taylor (1994) and refer to the UK, France, Germany, Netherlands, United States, Canada, Japan and “other Europe”. Data for 2000 to 2011 refer to IMF data for the same countries, excluding “other Europe”.
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The geography of wealth transfer before and after the global financial crisis
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US external debt and equity (in % of GDP)
Source: Gourinchas, Rey and Govillot (2012).
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Financial fragmentation within the euro area
Sources: Tesoro and Banca d’Italia.
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Non-resident holdings of government debt securities
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“Home bias” during periods of deleveraging
Sources: IMF, World Bank and ECB calculations. Notes: The country sample refers to advanced economies including Australia, Austria, Belgium, Canada, Denmark, France, Germany, Ireland, Italy, Japan, Netherlands, Portugal, Spain, Sweden, the United Kingdom and the United States. .
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y = 0.64x + 197.74R² = 0.315
0
100
200
300
400
500
600
700
0 100 200 300 400 500
International lending
Domestic lending
Average change (2000 - 2007)
y = 1.1866x - 14.873R² = 0.524
-50
-40
-30
-20
-10
0
10
20
30
40
-20 -10 0 10 20 30 40
International lending
Domestic lending
Average change (2008 - 2011)
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The changing correlation of saving and investment
Sources: IMF and ECB calculations.
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Financial openness at risk?
Source: Chinn and Ito (2006 and 2013).
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-1
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.619
8419
8519
8619
8719
8819
8919
9019
9119
9219
9319
9419
9519
9619
9719
9819
9920
0020
0120
0220
0320
0420
0520
0620
0720
0820
0920
1020
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Index of capital account openness for emerging markets (normalised score, averages)
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Gradual reduction of US dollar positions of European banks
Source: Bank for International Settlements.
Gross and net US dollar positions of European banks (US dollar billions)
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Deleveraging of euro area banks in Asia
Source: BIS consolidated banking statistics (immediate borrower basis). Notes: 1 Sum of all cross-border claims and locally extended claims in foreign currency. 2 Intra-regional share is the sum of international claims on the emerging Asia-Pacific region of banks headquartered in Chinese Taipei, Hong Kong SAR, India, Singapore, and outside-area banks (assuming these are headquartered in Asia).
Credit to emerging Asia-Pacific
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