Government financial regulation and growth

Investigación Económica, vol. LXXVI, núm. 299, enero-marzo de 2017, pp. 51-86.

ARTÍCULOS ŠŠŠŠ™ŠŠŠŠ ˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘ Salvador Rivas AcevesŠ,Œ ȡȱ‘’Š›Šȱ–Š˜b Abstract TKHHIIHFWVRI ÀQDQFLDOV\VWHPRQHFRQRPLFJURZWKUDWHDUHLGHQWLÀHG7RGRWKLVLQDQ HQGRJHQRXVVWRFKDVWLFJURZWKPRGHOZLWKWZRW\SHVRI ÀQDQFLDOV\VWHPVHIÀFLHQWDQG LQHIÀFLHQWRQHVWKHHIIHFWVRQJURZWKDUHVWXGLHG7KLVLQYHVWLJDWLRQVKRZVWKDWÀQDQFLDO LQHIÀFLHQF\KDVDQHJDWLYHLPSDFWRQJURZWK$ÀQDQFLDOUHJXODWLRQWKURXJKDFDSLWDO \LHOGWD[FRUUHFWVQHJDWLYHLPSDFWVRQJURZWKIXUWKHUPRUHWKHQHFHVVDU\FRQGLWLRQV IRUJURZLQJXQGHUWKLVVFHQDULRDUHFKDUDFWHUL]HG$QHPSLULFDOVWXG\LVFDUULHGRXWLQ RUGHUWRYHULI\WKHUHODWLRQVKLSEHWZHHQHFRQRPLFJURZWKDQGÀQDQFLDOUHJXODWLRQV Keywords)LQDQFLDOPDUNHWUHJXODWLRQHIÀFLHQF\RI FDSLWDOPDUNHWHFRQRPLFJURZWK PDFURHFRQRPLFHTXLOLEULXP JEL&ODVVLÀFDWLRQ: (***2 5HVXPHQ MHGLDQWHXQPRGHORGHFUHFLPLHQWRHQGyJHQRHVWRFiVWLFRVHDQDOL]DHOLPSDFWRGHO VLVWHPDÀQDQFLHUREDMRHVFHQDULRVGHHÀFLHQFLDHLQHÀFLHQFLDGHOPLVPRVREUHODWDVD GHFUHFLPLHQWR6HPXHVWUDTXHODVLQHÀFLHQFLDVGHOVLVWHPDÀQDQFLHURWLHQHQXQLPSDFWR QHJDWLYRVREUHHOFUHFLPLHQWRHFRQyPLFRORFXDOHVFRUUHJLGRPHGLDQWHODUHJXODFLyQ ÀQDQFLHUDDWUDYpVGHXQLPSXHVWRDOUHQGLPLHQWRGHOFDSLWDO$VLPLVPRXQDQiOLVLV HPStULFRFRUURERUDORVUHVXOWDGRVWHyULFRVFRUUHVSRQGLHQWHV Palabras clave PHUFDGR ÀQDQFLHUR UHJXODFLyQ HÀFLHQFLD GHO PHUFDGR ÀQDQFLHUR FUHFLPLHQWRHFRQyPLFRHTXLOLEULRPDFURHFRQyPLFR &ODVLÀFDFLyQ JEL: (***2 0DQXVFULSWUHFHLYHGRQ$XJXVWthDFFHSWHGRQ6HSWHPEHUth a *RYHUQPHQWDQG(FRQRPLFV6FKRRO8QLYHUVLGDG3DQDPHULFDQD0H[LFR  b 6FKRRORI 3ROLWLFDO6FLHQFH8QLYHUVLW\&ROOHJH/RQGRQ8QLWHG.LQJGRP  c &RUUHVSRQGLQJDXWKRU VULYDVD#XSHGXP[ ‹8QLYHUVLGDG1DFLRQDO$XWyQRPDGH0p[LFR)DFXOWDGGH(FRQRPtD7KLVLVDQRSHQDFFHVVDUWLFOH XQGHUWKH&&%@

0

ZKHUHXWLOLW\IXQFWLRQu(ct) PHWZLWKu’(ct) > 0DQGu’’(ct) < 0LQRWKHUZRUGV KDVGHFUHDVLQJPDUJLQDO\LHOGV$FFRUGLQJWRWKLVGHÀQLWLRQSHUFDSLWDFRQ VXPSWLRQLVUHSUHVHQWHGE\ctDQGρLVWKHVXEMHFWLYHGLVFRXQWUDWHWKDWPHDVXUHV SUHIHUHQFHVRQSUHVHQWFRQVXPSWLRQRI DUHSUHVHQWDWLYHLQGLYLGXDO6XSSRVHD ORJDULWKPLFXWLOLW\IXQFWLRQW\SHu(ct) = ln ct DQGLQDGGLWLRQDVVXPHFRQVXPHUV KDYHDFFHVVWRLQIRUPDWLRQIRUGHFLVLRQPDNLQJZKLFKLVDYDLODEOHDWDOOWLPH t&RQVHTXHQWO\YRQ1HXPDQQ0RUJHQVWHUQXWLOLW\IXQFWLRQVHSDUDEOHDWt = 0 ZKLFKPHDVXUHVWKLVEHKDYLRULV ⎧⎪ ∞ ⎫⎪ .0 = E ⎨ ∫ ln ct e −ρt dt 0 ⎬ ⎪⎭ ⎩⎪ 0

>@

ZLWK࣠0DVWKHVHWRI LQLWLDOLQIRUPDWLRQDQGLQLWLDOFRQGLWLRQVRI HFRQRPLFYDUL DEOHVWKDWZLOOEHGHÀQHGODWHU

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

55

›˜žŒ’ŸŽȱœŽŒ˜›

3URGXFHUVXVHDOOFDSLWDODYDLODEOHktWRSURGXFHWKHFRPPRGLW\DQGLVFRQ VLGHUHGDYDLODEOHLQWKHVHQVHWKDWLWKDVQRWEHHQFRQVXPHGLPSO\LQJWKDWWKH FRPPRGLW\FDQEHXVHGDVDFDSLWDODVVHWDVZHOO/LNHZLVHSHUFDSLWDSURGXF WLRQZKLFKLVTXDQWLÀHGE\ytLVFRQGXFWHGWKURXJKDJLYHQWHFKQRORJ\E\DOO SURGXFHUVVRSURGXFWLRQFRQGLWLRQVDUH dyt = a(ktdt + ktsydWt +ktnydZt)

>@

ZKHUHαPHDVXUHVWKHH[SHFWHGDYHUDJHRQPDUJLQDOSURGXFWRI FDSLWDOσy the H[SHFWHGSURGXFWLYLW\GLVSHUVLRQDQGνy DOHDSLQSURGXFWLYLW\0HDQZKLOHdWt LVD:LHQHUSURFHVVGHÀQHGRQDÀ[HGVSDFHRI SUREDELOLW\ZKLFKDQLQFUHDVHG ÀOWUDWLRQWKDWPHWΩF(Ft)t≥0Զ ZLWKLQGHSHQGHQWWHPSRUDU\LQFUHPHQWV ]HURDYHUDJHDQGYDULDQFHHTXDOWRWKHWHPSRUDU\LQFUHDVHODVWdZtLVD3RLV VRQSURFHVVWKDWFKDUDFWHUL]HVWKHG\QDPLFVRI DOHDSLQSURGXFWLYLW\ZLWKθy LQWHQVLW\VRWKDW ⎧› (Šȱ•ŽŠ™ȱž›’—ȱdt ) = › ( dZt = ŗ) = θ y dt ⎪⎪ ⎨› ( —˜—Žȱ•ŽŠ™ȱž›’—ȱdt ) = › ( dZt = Ŗ ) = ŗ − θ y dt + o ( dt ) ⎪ ⎩⎪› ( –˜›Žȱ‘Š—ȱ˜—Žȱ•ŽŠ™ȱž›’—ȱdt ) = › ( dZt > ŗ) = o ( dt )

>@ >@ >@

$GGLWLRQDOO\LVVXSSRVHGdWtDQGdZtDUHXQFRUUHODWHGDQGWKDWLQLWLDOQXPEHU RI OHDSVLQSURGXFWLYLW\LVZ0 = 0DOVRWKHUHLVDSRVLWLYHOHYHORI LQLWLDOFDSLWDO k0DQGEHVLGHVFRQVLGHUWKDWo(dt)PHDVXUHVWKHHIIHFWVRI YDULDEOHVWKDWSHUVLVW EH\RQGt + dtZKLFKDUHLQVLJQLÀFDQWVRo(dt)/t→0ZKHQt→0 ›ŽŠŽȱ‹Ž‘ŠŸ’˜›

6XSSRVHWKDWHFRQRPLFDJHQWVPDNHGHFLVLRQVVLPXOWDQHRXVO\UHJDUGLQJSURGXF WLRQDQGFRQVXPSWLRQLQRWKHUZRUGVKRXVHKROGVDUHWKHRZQHUVRI SURGXFWLRQ PHDQV&RQVHTXHQWO\WRWDOSURGXFWLRQLQWKHHFRQRP\LVLQWHQGHGWRLQYHVWPHQW RUFRQVXPSWLRQi.e.: dyt = dkt + ctdt

>@

56

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

6XEVWLWXWLQJHTXDWLRQ>@LQ>@FDXVHVWKHDFFRXQWLQJLGHQWLW\WKDWGHWHUPLQHV FDSLWDODFFXPXODWLRQG\QDPLFVIRUHDFKHFRQRPLFDJHQWWKHUHIRUH

(

)

dkt c = α dt + σ y dWt + ν y dZt − t dt kt kt

>@

⎛ c ⎞ dkt = kt ⎜ α − t ⎟ dt + kt ασ y dWt + kt αν y dZt kt ⎠ ⎝

>·@

(TXLYDOHQWO\

7RPDNHGHFLVLRQVDJHQWVVLPXOWDQHRXVO\LQYROYHGWKHNQRZOHGJHRI UHVWULFWLRQ >·@DQGDYDLODEOHLQIRUPDWLRQDWt = 0JLYHQE\࣠0 = {k0,Z0} ŠŒ›˜ŽŒ˜—˜–’ŒȱŽšž’•’‹›’ž– 8QGHUWKHHVWDEOLVKHGFRQGLWLRQVUHSUHVHQWDWLYHDJHQWPDNHVGHFLVLRQVEDVHG RQUHVXOWVREWDLQHGE\WKHVROXWLRQRI WKHVWRFKDVWLFRSWLPDOFRQWUROSUREOHP JLYHQE\HTXDWLRQV>@DQG>·@WKLVVROXWLRQVHHDSSHQGL[ UHJDUGVWKHIROORZLQJ RSWLPDOLW\WUDMHFWRULHV

kt = k0 e

⎛ α 2 σ2y ⎜ α−ρ− ⎜ 2 ⎝

ct = ρk0 e

⎞ ⎟t +ασ y Wt + ln 1+αν y Zt ⎟ ⎠

⎛ α 2 σ2y ⎜ α−ρ− ⎜ 2 ⎝

⎛ α 2 σ2y ψ = ⎜α −ρ− ⎜ 2 ⎝

(

)

>@

⎞ ⎟t +ασ y Wt + ln 1+αν y Zt ⎟ ⎠

(

)

>@

⎞ ⎟⎟ t + ασ y ξ + ln 1 + αν y Zt ⎠

(

)

>@

Œ˜—˜–’Œȱ›˜ ‘ȱ›ŠŽ

*URZWKRQWKLVHFRQRP\GHSHQGVRQKRZFDSLWDODFFXPXODWLRQULVHVFRQGLWLRQ GHWHUPLQHGE\HTXLOLEULXPURXWHHVWDEOLVKHGLQ>@0RUHRYHUHTXDWLRQ>@ VKRZVLQGHWDLOWKHG\QDPLFRI JURZWKZKLFKKDVWZRFRPSRQHQWVGHWHUPLQLVWLF

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

57

DQGVWRFKDVWLF%\FRQVLGHULQJHTXDWLRQ>@DQGHTXDWLRQ>@WKHGHWHUPLQLVWLF FRPSRQHQWFDQEHPHDVXUHG

⎡ dk 1 ⎤ Ø = E ⎢ t · ⎥ = α + αν y θ y − ρ ⎣ kt dt ⎦

>@

)RUHFRQRP\WRJURZLVDOZD\VQHHGHGWKDWα + ανyθy > ρRWKHUZLVHHFRQRPLF JURZWKZLOOGHFUHDVH0RUHWKDQWKDWDQLQFUHDVHLQWKHH[SHFWHGDYHUDJHRI  PDUJLQDOSURGXFWRI FDSLWDORULQLQWHQVLW\SURGXFWLYLW\OHDSVLQFUHDVHVHFR QRPLFJURZWKUDWH0HDQZKLOHWKHYDULDELOLW\LQWKHGHWHUPLQLVWLFFRPSRQHQW RI JURZWKUDWHLV 2

⎡ dk ⎤ E ⎢ t ⎥ = α 2 σ2y + ν 2y θ y dt ⎣ kt ⎦

(

)

>@

7KLVPHDQVWKDWYDULDELOLW\LQJURZWKUDWHGHSHQGVRQPDUJLQDOSURGXFWRI FDS LWDOYDULDELOLW\DQGOHDSYDULDQFH2QWKHRWKHUKDQGVWRFKDVWLFFRPSRQHQWLV ΨW = σyξ

>@

7KHDERYHHTXDWLRQVKRZVWKDWHDFKWHPSRUDU\LQFUHDVHLQWKHHFRQRP\ZLOO GLUHFWO\DIIHFWWKHVWRFKDVWLFVWDQGDUGGHYLDWLRQRI JURZWKUDWH іћюћѐіюљȱѠѦѠѡђњ

$PRQJWKHPDQ\REMHFWLYHVRI DÀQDQFLDOV\VWHPLQDQHFRQRP\RQHRI WKH PRVWLPSRUWDQWLVWRJXLGHIXQGVIURPXQLWVRUHFRQRPLFDJHQWVUHJLVWHULQJ VXUSOXVHVDWWKHHQGRI WKHLUHFRQRPLFDFWLYLWLHVLQHDFKSHULRGWRZDUGVRWKHU XQLWVRUHFRQRPLFDJHQWVWKDWKDYHUHJLVWHUHGGHÀFLWVWKXVWRVWXG\ÀQDQFLDO V\VWHPLQLWVHVVHQWLDOIRUPPRQH\ZRQ·WEHFRQVLGHUHGLQWKLVPRGHOVLQFH SK\VLFDOFDSLWDOFDQEHKDYHDOVRDVPRQH\GRHV%DVHGRQWKLVLGHDWKHDQDO\VLV LQWKLVVHFWLRQLQWURGXFHVÀQDQFLDOV\VWHPLQWRHFRQRP\ ›˜žŒ’ŸŽȱœŽŒ˜›

,QRUGHUWRLQWURGXFHWKHÀQDQFLDOV\VWHPLWLVQHFHVVDU\WRVOLJKWO\PRGLI\WKH EHKDYLRURI DERYHDOUHDG\GHVFULEHGHFRQRP\SDUWLFXODUO\LQFRQQHFWLRQZLWK

58

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

LQLWLDOHQGRZPHQWVRI HFRQRPLFDJHQWVVRDVVXPHWKDWSURGXFWLYHVHFWRURI  WKHHFRQRP\LVQRZFRPSRVHGE\WZRW\SHVRI SURGXFHUVQDPHO\DSURGXFHU ZKRKDVWKHQHFHVVDU\FDSLWDODPRXQWWRFDUU\RXWKLVSURGXFWLRQDFWLYLWLHVSOXV DUHPQDQWUHVXOWRI WKHLUVXUSOXVHVUHJLVWHUHGLQSUHYLRXVSHULRGVDQGDVHFRQG SURGXFHUZKRGRHVQRWSRVVHVVWKHDPRXQWRI FDSLWDOQHHGHGWRSURGXFH 7KLVLPSOLHVWKDWWRWDOSRSXODWLRQRI WKHHFRQRP\NZKLFKLVDVVXPHG WRUHPDLQFRQVWDQWRYHUWLPHLVGLYLGHGE\WZRW\SHVRI KRXVHKROGVWKDWRZQ SURGXFWLRQPHDQVQDPHGOHQGHUVl DQGMRLQWO\PDNHXSWRWDOFDSLWDOVWRFNRI  HFRQRP\LQVXFKDZD\WKDW Kt = Ktl + Ktb ZLWK Ktl Ktb 5HSUHVHQWDWLYHDJHQWV OHQGHUDQGERUURZHUQHHGDOHYHORI ktWRFDUU\RXWZLWKWKHSURGXFWLRQSURFHVV VHHHTXDWLRQ>@ EXWWKHÀUVWRQHKDV

ktl = kt + kt

>@

ZKHUH kt PHDVXUHVWKHDGGLWLRQDOOHYHORI FDSLWDOZLWK kt > 0 ZKLOHWKHVHFRQG RQHRQO\KDVOHVVWKDQQHHGHGWRSURGXFH8QGHUWKHVHFRQGLWLRQVOHQGHUPD\ GHFLGHWRJUDQWKLVDGGLWLRQDOFDSLWDOVXFKDVDFUHGLWUHVXOWLQJLQWKHÀQDQFLDO V\VWHP7KHUHDVRQVIRUOHQGHUDJHQWWRGRWKDWFDQEHWKHIROORZLQJa OHQGHU DJHQWLVQRWSODQQLQJWRLQFUHDVHSURGXFWLRQEHFDXVHLVQRWH[SHFWLQJDQH[ SDQVLRQRQDJJUHJDWHGHPDQGb GXHWRXQFHUWDLQW\HQYLURQPHQWVOHQGHUDJHQW SUHIHUWRVDYHUHVRXUFHVVRIDFLQJIXWXUHFULVLVLQDSURWHFWZD\LVSRVVLEOHDQG c LQYHVWPHQWLQUHDOVHFWRULVQRWDVSURÀWDEOHDVLQÀQDQFLDOVHFWRUWKDWLVFDSLWDO \LHOGLVKLJKHUWKDQPDUJLQDOSURGXFWRI FDSLWDO7KHODWWHUVFHQDULRLVWKHRQH WKDWPDWWHUVLQWKLVUHVHDUFK *LYHQWKDWLVLQWHUHVWLQJWRDQDO\]HWKHHIIHFWRI ÀQDQFLDOV\VWHPRQJURZWK IRUVLPSOLFLW\LQWKHDQDO\VLVDVVXPHWKDWÀQDQFLDOV\VWHPDLPVRQO\LQUHDOOR FDWHFDSLWDOZLWKRXWREWDLQLQJDSURÀWDQGGRHVQRWSHUIRUPDQ\RWKHUDFWLYLW\ %HFDXVHVDYLQJVHTXDOVLQYHVWPHQWFRQGLWLRQWDNHVSODFHXSWRQRZDQGVLQFH DJHQWVOLYHLQDFORVHGHFRQRP\ERUURZHUDJHQWFDQJRWRDSSO\IRUDORDQUH JDUGLQJWKHFDSLWDOQHHGHGWRSHUIRUPKLVSURGXFWLRQDFWLYLWLHV,WLVVXSSRVHG WKDWWKHDPRXQWRI FDSLWDOWKDWOHQGHUDJHQWSODFHGLQWRÀQDQFLDOV\VWHPLVH[ DFWO\HTXDOWRWKHDPRXQWRI FDSLWDOUHTXLUHGE\ERUURZHUDJHQWVRWKDWWKHUH DUHQRWOD]\UHVRXUFHVLQWKHHFRQRP\7KLVPHDQVWKDWLQRUGHUWRSURGXFH ERUURZHUDJHQWQHHGV

kt = ktb + kt

>@

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

59

,WZLOOEHDVVXPHGWKDWWKHUHLVDFRVWIRUFUHGLWVRQRZFDSLWDO kt FDQEHSXU FKDVHGE\SD\LQJDFRVWδ > 0ZKRVHG\QDPLFVDUH dRk =

dkt = δ ( dt + σδ dXt + ν δ dQt ) kt

>@

ZKHUH dRkPHDVXUHVFDSLWDO\LHOGDYDLODEOHLQÀQDQFLDOV\VWHPδLVWKHDYHUDJH \LHOGH[SHFWHGσδUHSUHVHQWV\LHOGYRODWLOLW\νδLVDOHDSLQWKHDYHUDJH\LHOGH[ SHFWHGdXtLVDQRWKHU:LHQHUSURFHVVGHÀQHGLQDÀ[HGVSDFHRI SUREDELOLW\ WKDWFRPSOLHVZLWKDXJPHQWHGÀOWUDWLRQΩF(Ft)t≥0Զ ZLWKDQLQGHSHQGHQW WHPSRUDU\LQFUHDVHV]HURDYHUDJHDQGYDULDQFHHTXDOWRWKHWHPSRUDU\LQFUHDVH PHDQZKLOHdQtLVDQHZ3RLVVRQSURFHVVFKDUDFWHUL]LQJWKHG\QDPLFVOHDSLQWR WKHFDSLWDO\LHOGZLWKDQLQWHQVLW\θδVRWKDW ⎧› ( Šȱ•ŽŠ™ȱž›’—ȱdt ) = › ( dQt = ŗ) = θδ dt ⎪ ⎨› ( —˜—Žȱ•ŽŠ™ȱž›’—ȱdt ) = › ( dQt = Ŗ ) = ŗ − θδ dt + o ( dt ) ⎪ ⎩› ( –˜›Žȱ‘Š—ȱŠȱ•ŽŠ™ȱž›’—ȱdt ) = › ( dQt > ŗ) = o ( dt )

>@ >@ >@

3URFHVVdXt DQGdQtDUHXQFRUUHODWHGLQLWLDOQXPEHURI OHDSVLQFDSLWDO\LHOG LV Q0 = 0 &RQVHTXHQWO\ OHQGHU DJHQW ZLOO JHW DW WKH HQG RI  HYHU\ SHULRG kt + dRk kt = kt ( 1 + dRk ) REYLRXVO\ERUURZHUDJHQWZLOOSD\WKHVDPHDPRXQW :LWKWKLVEXGJHWFRQVWUDLQWVRI HDFKDJHQWDUHPRGLÀHGDQGZKHQHTXDWLRQ>@ LVVXEVWLWXWHLQWR>@DQG>@IRUOHQGHUDQGERUURZHUUHVSHFWLYHO\ZHKDYH

⎛ cl ⎞ dktl = ktl ⎜ α + δ − tl ⎟ dt + ktl ασ y + δσδ dUtl + ktl αν y + δν δ dMtl kt ⎠ ⎝

>@

⎛ ctb ⎞ dk = k ⎜ α − δ − b ⎟ dt + ktb ασ y − δσδ dUtb + ktb αν y − δν δ dMtb kt ⎠ ⎝

>@

(

b t

1

b t

(

)

)

(

(

)

)

7KHLQWURGXFWLRQRI FDSLWDOFRVWLVDQDORJRXVWRWKDWSURSRVHGE\5LYDV$FHYHVDQG0DUWtQH]3pUH]  PRGLI\LQJWKHEHKDYLRURI WKHFRVW

60

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

ZKHUHdUtDQGdMtDUH3RLVVRQGLIIXVLRQSURFHVVHVWKDWUHVXOWVIURPWKHPRG LÀFDWLRQRI FDSLWDODFFXPXODWLRQHTXDWLRQIRUOHQGHUVDQGERUURZHUVUHVSHF WLYHO\DQGDOVRDOOWKHSURFHVVHVLQYROYHGDUHQRWFRUUHODWHGHDFKRWKHU1RZ PDNLQJGHFLVLRQVE\UHSUHVHQWDWLYHDJHQWVFRQVLGHUUHVWULFWLRQV>@DQG>@DQG LQIRUPDWLRQDYDLODEOHDWt = 0GHWHUPLQHGE\ 0 = k0 , Z0 , k0 , Q0 , M0 VLPXO WDQHRXVO\

{

}

ŠŒ›˜ŽŒ˜—˜–’ŒȱŽšž’•’‹›’ž–

7RGHWHUPLQHPDFURHFRQRPLFHTXLOLEULXPLWLVQHHGHGWRHVWDEOLVKWKHEDODQFH RI WKHKRXVHKROGVHFWRUZKLFKXQGHUWKHHVWDEOLVKHGFRQGLWLRQVLVWKHVDPHIRU ERUURZHUVDQGOHQGHUVDQGLVUXOHGE\WKHVDPHVFKHPHWKDWSUHYLRXVVHFWLRQ SURYLGHG0DFURHFRQRPLFHTXLOLEULXPQRZUHOLHVRQLQGLYLGXDOHTXLOLEULXPRI  ERWKW\SHVRI SURGXFHUV Lender agent equilibrium

7KHOHQGHUDJHQWPDNHVLWVGHFLVLRQVEDVHGRQWKHFRQGLWLRQVVHWE\HTXDWLRQ>@ VXEMHFWWRFRQVWUDLQW>@WKHUHIRUHWKHFRUUHVSRQGLQJRSWLPDOWUDMHFWRULHVDUH ⎛ α 2 σ2y +δ2 σδ2 ⎞ ⎜ α+δ−ρ− ⎟t + ασ y +δσ y Utl + ln 1+αν y Mt + ln ( 1+δν δ ) Mt ⎟ 2 l ⎜⎝ ⎠ 0

(

ktl = k e

)

(

)

⎛ α 2 σ2y +δ2 σδ2 ⎞ ⎜ α+δ−ρ− ⎟t + ασ y +δσ y Utl + ln 1+αν y Mt + ln ( 1+δν δ ) Mt ⎜ ⎟ 2 l ⎝ ⎠ 0

(

ctl = ρk e

)

(

)

⎛ α 2 σ2y + δ2 σδ2 ⎞ ψ = ⎜α + δ −ρ− ⎟⎟ t + ασ y + δσ y ξ ⎜ 2 ⎝ ⎠ + ⎡ln 1 + αν y + ln ( 1 + δν δ ) ⎤ Mt ⎣ ⎦

(

l

(

)

)

>@ >@

>@

Borrower agent equilibrium

7KHERUURZHUDJHQWPDNHVGHFLVLRQVEDVHGRQWKHFRQGLWLRQVVHWE\HTXDWLRQ>@ VXEMHFWWRFRQVWUDLQW>@WKHUHIRUHWKHFRUUHVSRQGLQJRSWLPDOWUDMHFWRULHVDUH

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

ke

⎛ α 2 σ2 −δ2 σ2 ⎞ ⎜ α−δ−ρ− ⎟t + ασ y −δσ y Ut + ln 1+αν y Mt − ln ( 1+δν ) Mt ⎜ ⎟ ⎝ ⎠

(

)

(

)

⎛ α 2 σ2y −δ2 σδ2 ⎞ ⎜ α−δ−ρ− ⎟t + ασ y −δσ y Utl + ln 1+αν y Mt − ln ( 1+δν δ ) Mt ⎟ 2 b ⎜⎝ ⎠ 0

(

ctb = ρk e

)

⎛ α 2 σ2y − δ2 σδ2 ψb = ⎜ α − δ − ρ − ⎜ 2 ⎝

(

)

(

)

⎞ ⎟⎟ t + ασ y − δσ y ξ ⎠

(

)

61

>@

>@

>@

+ ⎡ln 1 + αν y − ln ( 1 + δν δ ) ⎤ Mt ⎣ ⎦ Œ˜—˜–’Œȱ›˜ ‘ȱ›ŠŽ

7KHHFRQRPLFJURZWKUDWHZKHQWKHUHLVDFDSLWDOPDUNHWUHOLHVRQWKHDYHUDJH JURZWKRI ERWKSURGXFWLYHVHFWRUVOHQGHUDQGERUURZHUVRWKDWE\FRQVLGHULQJ HTXDWLRQV>@>@>@DQG>@WKHGHWHUPLQLVWLFFRPSRQHQWRI JURZWKLV ⎡ dktl 1 ⎤ ⎡ dktb 1 ⎤ E E + · ⎢ k l dt ⎥ ⎢ k b · dt ⎥ ψl + ψb t ⎣ ⎦ ⎣ t ⎦ = Ø= 2 2 =

( α + δ + αν θ y

y

) (

+ ν δ θδ − ρ + α + αν y θ y − ν δ θδ − δ − ρ

)

>@

2

(TXLYDOHQWO\ Ψ = α + ανyθy – ρ

>@

7KHJURZWKUDWHRI DQHFRQRP\ZLWKRXWÀQDQFLDOV\VWHPLVH[DFWO\HTXDOWRWKDW RQHZLWKDQHIÀFLHQWÀQDQFLDOV\VWHPWKHSUHFHGLQJLVYHULÀHGEHFDXVHHTXDWLRQV >@DQG>@DUHHTXDO7KLVPHDQVWKDWHFRQRP\JURZVDWWKHVDPHUDWHZKHQ ÀQDQFLDOV\VWHPDOORZVWKHUHDOORFDWLRQRI FDSLWDOVRWKDWDOOSURGXFHUVFDUU\ RXWWKHLUSURGXFWLRQSURFHVVHV$WÀUVWVLJKWLWPD\VHHPWKDWWKHHIIHFWRI WKH ÀQDQFLDOV\VWHPRQJURZWKLV]HURKRZHYHUWKLVLVQRWVREHFDXVHLWGHSHQGVRQ WKHOHYHORI FDSLWDOFRVWDWWKHÀQDQFLDOV\VWHPDVFHQDULRWKDWZLOOEHGLVFXVVHG

62

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

LQWKHQH[WVHFWLRQ,I GHWHUPLQLVWLFFRPSRQHQWRI JURZWKLVJLYHQE\>@ WKHQVWRFKDVWLFYDULDELOLW\RI JURZWKUDWHLVHTXDOWRFRQGLWLRQV>@DQG>@ ›Ž’ȱŒ˜—œ›Š’—œȱŠ—ȱ’—ŽĜŒ’Ž—Œ¢ȱ˜ȱꗊ—Œ’Š•ȱœ¢œŽ–

,QSUHYLRXVVHFWLRQLWZDVVKRZQWKDWHFRQRPLFJURZWKUDWHRI DQHFRQRP\ZLWK DQHIÀFLHQWÀQDQFLDOV\VWHPLVHTXDOWRWKDWRI DQRQÀQDQFLDOV\VWHPHFRQRP\ 7KLVLVWUXHDVORQJDVUHDOORFDWLQJXQXVHGFDSLWDOLQWKHHFRQRP\EHWKHRQO\ IXQFWLRQRI ÀQDQFLDOV\VWHPQHYHUWKHOHVVLI ÀQDQFLDOV\VWHPLVH[SDQGLQJLWV VFRSHDQGLVORRNLQJIRUDYDULHW\RI DFWLYLWLHVZLWKWKHDLPRI REWDLQLQJDSURÀW GHULYDWLYHIURPUHVRXUFHVPDQDJHPHQWGHSRVLWHGLQLWWKHQLWFDQJHQHUDWHLQ HIÀFLHQFLHVZLWKLQWKDWPDUNHWZKLFKZRXOGLQFUHDVHFRVWRI FDSLWDO7KLVVDPH FRQVHTXHQFHUHVXOWLQJIURPFUHGLWFRQVWUDLQWVi.e.OLPLWLQJWKHXVHRI FDSLWDORU OLWWOHFDSLWDODYDLODEOHIRUSURGXFWLYHFUHGLWJHQHUDWHVKLJKFDSLWDOFRVWV $QGLWLVSUHFLVHO\DKLJKFRVWWKDWJHQHUDWHVQHJDWLYHLPSDFWVRQJURZWK &RQVLGHUEXGJHWFRQVWUDLQWVVHWWRERUURZHUDJHQW>@DQGDVVXPHWKDWFRVW RI FDSLWDOGHWHUPLQHGE\HTXDWLRQ>@LVVRKLJKWKDWFDXVHVWKHFRQVWUDLQWWR EH]HURRUQHJDWLYH,QRWKHUZRUGVWRDFKLHYH

(

kt ( 1 + dRk ) − ctb dt ≥ α dt + σ y dWt + ν y dZt

)

LI WKLVLVVRWKHQWKHUHDUHWZRSRVVLEOHVFHQDULRVQDPHO\ÀUVWRQHLVZKHQD SURGXFHUZDQWVWRPDLQWDLQDÀ[HGOHYHORI FRQVXPSWLRQDQGWKXVDKLJKFRVW LQFDSLWDOOHDGVWRVDFULÀFLQJLWVGHEWDQGWKHVHFRQGRQHLVWRNHHSXSGHEW SD\PHQWVE\VDFULÀFLQJFRQVXPSWLRQ8QGHUDQ\VFHQDULRSURGXFHUVKDVDQ LQFHQWLYHWRQRWFDUU\LQJRXWKLVHFRQRPLFDFWLYLWLHVVLQFHZRXOGQRWEHRSWL PDOWRGRLWEHFDXVHWKH\ZLOOQRWREWDLQWKHQHFHVVDU\JDLQVWRVXUYLYHZKLFK LPSOLHVLQDIDOORI HFRQRPLFJURZWKUDWHEHLQJWKDWEHFDXVHERUURZHUVHFWRU ZLOOQRWSURGXFH,I VRHFRQRPLFJURZWKUDWHZRXOGEH Ø=

α + αν y θ y − ρ Nl

>@

2EYLRXVO\WKHHFRQRPLFJURZWKUDWHHVWDEOLVKHGLQ>@LVOHVVWKDQWKDWVHWRXW LQ>@i.e. α + ανyθy – ρ/Nl < α + ανyθy – ρ,WLVLQWKLVFDVHZKHQÀQDQFLDO V\VWHPKDVDQHJDWLYHHIIHFWRQJURZWK$FFRUGLQJO\DQH[FHVVLYHLQFUHDVHLQ

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

63

FDSLWDOFRVWFDXVHGE\FUHGLWFRQVWUDLQWVRULQHIÀFLHQFLHVLQWKHÀQDQFLDOV\VWHP JHQHUDWHVGLVLQFHQWLYHVLQWKHSURGXFWLYHVHFWRUDQGWKXVFUHDWHVDIDOOLQHFR QRPLFJURZWKUDWHDVZHOODVXQHPSOR\PHQWRI SURGXFWLRQIDFWRUV7KHLQFUHDVH FDQEHPHDVXUHGE\WKHDYHUDJHH[SHFWHGFRVWδE\WKHYRODWLOHFRPSRQHQWσδ DVZHOODVE\XQH[SHFWHGOHDSVPHDVXUHGE\νδ ќѣђџћњђћѡȱџђєѢљюѡіќћ

(YHU\RQHNQRZVWKDWLI ERUURZHUDJHQWGRHVQRWREWDLQWKHPLVVLQJFDSLWDOWR FDUU\RXWKLVHFRQRPLFDFWLYLWLHVWKHQHFRQRPLFJURZWKUDWHZLOOEHQHJDWLYHO\ DIIHFWHGDQGWKLVFDQRQO\KDSSHQLI FDSLWDOFRVWLVVRKLJKWKDWFDSLWDODFFX PXODWLRQLQERUURZHUVHFWRUEHFRPHV]HURRUQHJDWLYH7RSUHYHQWVXFKDIDOO LQWKHJURZWKUDWHLWPXVWEHPHW dytb − kt ( 1 + dRk ) − ctb dt > 0

>@

&OHDULQJIRUWKHFRVWRI FDSLWDOLWLVREWDLQHG dRk
@

$WHTXLOLEULXPDORQJHTXDWLRQV>@>@DQG>@FDSLWDFRVWPXVWDOZD\VIXOÀOO dRk < α(dt + σydWt + νydZt) – ρ – 1

>@

7KHDERYHHTXDWLRQVKRZVWKDWLI FDSLWDOFRVWLVORZHUWKDQWKHH[SHFWHGDYHU DJHRI PDUJLQDOSURGXFWRI FDSLWDOIRUWKHERUURZHUSURGXFHUGLVFRXQWLQJWKH VXEMHFWLYHGLVFRXQWUDWHWKHQWKLVDJHQWZLOOGHFLGHWRKLUHFUHGLWDQGWKXVFDUU\ RXWSURGXFWLRQSURFHVV6XEVWLWXWLQJHTXDWLRQ>@LQ>@WKHGHWHUPLQLVWLF DQGVWRFKDVWLFFRPSRQHQWVRI WKHSURFHVVHVLQYROYHGPXVWPHHWUHVSHFWLYHO\ (δ + δθδ)dt < (α + αθy)dt

>@

δσδdXt < ασydWt

>@

δ2 σδ2 dt < α 2 σ2y dt

>·@

64

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

6XSSRVHQRZWKDWJRYHUQPHQWWDNHVSDUWLQWKHHFRQRP\WKURXJKUHJXODWLRQRI  ÀQDQFLDOV\VWHPZLWKWKHH[FOXVLYHSXUSRVHRI SUHYHQWLQJERUURZHULQGXVWU\WR FRPHRXWIURPHFRQRPLFDFWLYLWLHVDQGWKXVGHFUHDVLQJJURZWKUDWH7RDFKLHYH WKLVJRYHUQPHQWFDQLPSRVHDWDQ\WLPHtDWD[τδZKLFKUHSUHVHQWVWKHZD\ LQZKHUHE\JRYHUQPHQWUHJXODWHVÀQDQFLDOV\VWHPLWLVQRWDWD[ÀJXUHLQRUGHU WRREWDLQUHVRXUFHVWRÀQDQFHVSHQGLQJ7KLVWD[UHSUHVHQWVDSURSRUWLRQRI  FDSLWDOFRVWZKHQHYHU>@LVQRWIXOÀOOVR

(

)

τδ ⎡⎣( δ + δθδ + δ2 σδ2 ) dt ⎤⎦ ≥ α + αθ y + α 2 σ2y dt − ρ − 1

>@

)XUWKHUPRUHGHÀQLQJDORZHUOLPLWωLWFDQEHGHWHUPLQHGWKDWWKHWD[RI FRVW RI FDSLWDOLQDQLQHIÀFLHQWÀQDQFLDOV\VWHPLV

τδ

( α + αθ =

y

)

+ α 2 σ2y dt − ρ − 1

( δ + δθ

δ

+ δ σδ2 ) dt 2

+ω

>@

,QDGGLWLRQLWFDQEHDVVXPHGWKDWJRYHUQPHQWGRHVQRWFDUU\RXWDQ\RWKHU DFWLYLW\VRLWVEXGJHWFRQVWUDLQWLVJLYHQE\ gdt = τδ

>@

ZKHUHgPHDVXUHVWKHOHYHORI SHUFDSLWDH[SHFWHGDYHUDJHVSHQGLQJPDGHE\ WKHJRYHUQPHQWLQWKHIRUPRI SURGXFWLRQVXEVLGLHVH[FOXVLYHO\IRUERUURZHU VHFWRU7KLVGXHWRDQH[FHVVLYHLQFUHDVHRQFDSLWDOFRVWJRYHUQPHQWDYRLGVWKH IDOORI HFRQRPLFJURZWKUDWHWKURXJKSURGXFWLRQLQFHQWLYHVIRUERUURZHUVHFWRU E\VXEVLGLHVÀQDQFHGSUHFLVHO\E\FDSLWDO\LHOGXQGHULQHIÀFLHQWHQYLURQPHQWV RI ÀQDQFLDOV\VWHPFUHGLWFRQVWUDLQWVRUDQ\RWKHUVFHQDULRWKDWUDLVHVFDSLWDO FRVWKLJKHUWKDQWKHGHVLUHG ™’–Š•ȱ‹Ž‘ŠŸ’˜›ȱ˜ȱ‘ŽȱŠ¡ȱŒ˜œȱ˜ȱŒŠ™’Š•

$VDOUHDG\GLVFXVVHGJRYHUQPHQWLQWHUYHQWLRQRFFXUVE\DWD[RQFDSLWDO\LHOG ZKHQFDSLWDOFRVWLVWRRKLJK+RZHYHUWD[DWLRQPXVWEHSDLGE\VRPHRQHDQG DVRQO\WKHÀQDQFLDOV\VWHPRUOHQGHUDJHQWVDUHVXEMHFWWRVXFKDSKHQRPHQRQ

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

65

WZRSRVVLEOHVFHQDULRVFDQFRPHDERXW7KHÀUVWRFFXUVZKHQÀQDQFLDOV\VWHP VHHNVWRREWDLQSURÀWVGXHWRGLVFUHWLRQDODOORFDWLRQVRI FDSLWDOLQKLVSRVVHV VLRQFDXVLQJWZRW\SHVRI FDSLWDO\LHOGVWKHRQHWKDWÀQDQFLDOV\VWHPREWDLQV DQGWKHRQHOHQGHUUHFHLYHVIURPÀQDQFLDOV\VWHPREYLRXVO\ZLWKDQH[LVWLQJ JDSEHWZHHQERWKEHLQJORZHUWKH\LHOGWKDWOHQGHUUHFHLYHV,I VRWKHQWKH ÀQDQFLDOV\VWHPPXVWXQGHUWDNHWKHFRVWRI WD[ 7KHVHFRQGVFHQDULRLVSUHFLVHO\RULJLQDWHGZKHQOHQGHUDJHQWDVNVIRUDKLJK SD\PHQWGXHWRWKHORDQRI KLVUHPDLQLQJFDSLWDOXQGHUWKLVVFHQDULRWD[PXVW EHERUQHE\KLP1RQHWKHOHVVWD[FDQQRWUHDFKVXFKDKLJKOHYHOZKLFKFDXVHV FDSLWDODFFXPXODWLRQLQOHQGHUVHFWRUWREH]HURRUQHJDWLYHDVLI VRJURZWKUDWH RI WKDWVHFWRUZRXOGEHQHJDWLYHO\DIIHFWHG&RQVHTXHQWO\LWPHWWKDW dytl + kt ( 1 + dRk ) − τδ kt dRk − ctl dt > 0

>@

,I \RXDUHUHSODFLQJLQWRDERYHHTXDWLRQHTXLOLEULXPFRQGLWLRQV>@>@>@ DQGLI LVFRQVLGHUHGGHWHUPLQLVWLFDQGVWRFKDVWLFFRPSRQHQWVRI SURFHVVHVWKDW UHSUHVHQWERWKFDSLWDO\LHOGDQGSURGXFWDQGWKHQFOHDUVIRUFDSLWDO\LHOGWD[ WKHQLWLVREWDLQHG τδ

( α + δ + αθ
@

*LYHQWKDWLQHTXDWLRQ>@WKHSDUDPHWHUωLVXQNQRZQWKHQWKHOHYHORI WD[ FDQQRWEHGHWHUPLQHGDQGWKHORZHUOLPLWGHSHQGVRQFDSLWDO\LHOG+RZHYHU FRQVLGHULQJFRQGLWLRQV>@DQG>@LWFDQEHFKDUDFWHUL]HGDQRSWLPXPUDQJH SHUXQLWRI WLPHZLWKLQWD[RQFDSLWDOFDQEHSODFHGQDPHO\ α + αθ y + α 2 σ2y − ρ − 1 δ + δθδ + δ2 σδ2

≤ τδ
@

:KHQJRYHUQPHQWLQWHUYHQWLRQLVQHFHVVDU\WKUXDÀQDQFLDOV\VWHPUHJXODWLRQ WKHWD[RQFDSLWDO\LHOGVKRXOGIROORZWKHRSWLPDOEHKDYLRUGHWHUPLQHGE\WKH HTXDWLRQDERYHWKLVZD\JRYHUQPHQWHQVXUHVWKHSDUWLFLSDWLRQRI ERWKOHQGHU DQG ERUURZHU VHFWRUV LQ HFRQRPLF DFWLYLWLHV DQG WKXV ZLOO DYRLG WKH IDOO RI  HFRQRPLFJURZWKUDWH

66

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

›˜ ‘ȱ›ŠŽȱ ’‘ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—

6RIDULWKDVVKRZQKRZJRYHUQPHQWLQWHUYHQHVLQWKHHFRQRP\LI ÀQDQFLDO V\VWHPKDVLQHIÀFLHQFLHV:LWKVXFKDQLQWHUYHQWLRQFDSLWDODFFXPXODWLRQHTXD WLRQVIURPOHQGHUVDQGERUURZHUVSURGXFHUVDUHPRGLÀHGVRWKDWQRZ

dktl = α dt + σ y dWt + ν y dZt + kt ( 1 + dRk ) − τδ kt dRk − ctl dt l kt

>@

dktb = α dt + σ y dWt + ν y dZt + gdt − kt ( 1 + dRk ) − ctb dt ktb

>@

(

)

(

)

7KXVGHWHUPLQLVWLFHFRQRPLFJURZWKUDWHLV ⎡ dk l 1 ⎤ ⎡ dk b 1 ⎤ E ⎢ lt · ⎥ + E ⎢ bt · ⎥ k dt ⎦ ⎣ kt dt ⎦ = α + αν θ − ρ − τδ ( δ + ν δ θδ ) − g Ø= ⎣ t y y 2 2

>@

ZKHUH DFFRUGLQJ WR UHVWULFWLRQ >@ SXEOLF FRPSRQHQWV RI  WKH DYHUDJH LQ JRYHUQPHQWVSHQGLQJDQGFDSLWDO\LHOGWD[ZLOOEHFDQFHOHG7KLVLPSOLHVWKDW JRYHUQPHQWUHJXODWLRQRQO\JHQHUDWHVWKHHFRQRP\WRGHYHORSDWWKHJURZWK UDWH VHW RXW LQ VHFWLRQ ´$JJUHJDWH EHKDYLRUµ (YHQ PRUH LW FDQ EH YHULÀHG FOHDUO\WKDWJRYHUQPHQWLQWHUYHQWLRQRQO\FRUUHFWVWKHGLVWRUWLRQVFDXVHGE\ LQHIÀFLHQFLHVRI ÀQDQFLDOV\VWHPRQWKHHFRQRP\)LQDOO\YDULDELOLW\LQHFRQRPLF JURZWKUDWHZRXOGEH 2

⎡ dk ⎤ E ⎢ t ⎥ = ⎡α 2 σ 2y + ν 2y θ y − τδ2 δ2 ( σδ2 + ν δ2 θδ ) + g 2 ⎤ dt ⎣ ⎦ ⎣ kt ⎦

(

)

>@

6LPLODUO\FRQGLWLRQ>@UHYHUVHVWKHHIIHFWVRI UHJXODWLRQ њѝіџіѐюљȱђѣіёђћѐђ ŠŠȱŠ—ȱ–Ž‘˜˜•˜¢

7KHGDWDVHWFROOHFWHGIRUWKHDQDO\VLVLQFOXGHVLQIRUPDWLRQEHORQJLQJWRGH YHORSHGDQGHPHUJLQJFRXQWULHVDQGUHIHUULQJWRWKHSHULRGUDQJLQJIURP

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

67

WR7KHFKRLFHRI WKHFRXQWULHVVDPSOHGLQWKHVWXG\DQVZHUVWKHQHHGRI  JLYLQJDIDLWKIXODQGXQELDVHGUHSUHVHQWDWLRQRI UHDOHFRQRP\DQGLVFDUULHGRXW E\EXLOGLQJDEDODQFHGVHWRI DQHTXDOQXPEHURI GHYHORSHGDQGGHYHORSLQJ FRXQWULHV $QQXDOJURZWKUDWHRI HDFKFRQVLGHUHGFRXQWU\LQWKHDQDO\VLVLVHVWLPDWHG DQGUHJUHVVHGRQDVXEVHWRI YDULDEOHVLQRUGHUWRHYDOXDWHZKHWKHUDUHODWLRQ VKLSEHWZHHQÀQDQFLDOVHFWRUDQGHFRQRPLFJURZWKFDQEHIRXQGDQGKRZVXFK FRUUHODWLRQLVDIIHFWHGE\JRYHUQPHQWUHJXODWLRQDQGÀVFDOSROLF\7KHSHULRG FRQVLGHUHGIRUWKHDQDO\VLVLVUDWKHUHPEOHPDWLFLQWKLVVHQVHVRWKDWLWVWXGLHV WKHFKDQJHLQJOREDOHFRQRP\LQWKHDIWHUPDWKRI WKHÀQDQFLDOFULVLVRI  DQGKLJKOLJKWVWKHGLIIHUHQFHLQPDJQLWXGHDQGVLJQLÀFDQF\RI FRHIÀFLHQWVHVWL PDWHGZLWKSDUWLFXODUIRFXVRQWKHSUHFULVLVSHULRGFRPPRQO\DVVXPHGWREH SDUWLFXODUO\LPSRUWDQFHIRUWKHOHYHORI ZHOOEHLQJGHYHORSPHQWDQGLQQRYDWLRQ 7RDVVHVVWKHLQWHUDFWLRQEHWZHHQÀQDQFLDOV\VWHPJURZWKUDWHDQGJRYHUQ PHQWLQWHUYHQWLRQWKURXJKSROLFLHVDQGUHJXODWLRQV DVHWRI LQLWLDOUHJUHVVLRQV LVUXQWRÀUVWLGHQWLI\WKHUHODWLRQVKLSHDFKYDULDEOHVLQJXODUO\KDVZLWKWKHJURZWK UDWH7KLVWHFKQLTXHHQDEOHVWRHYDOXDWHZKLFKYDULDEOHVFDQEHUHOHYDQWIRUWKH DQDO\VLVDQGKRZWKHLUFRHIÀFLHQWFKDQJHVDVZHDOORZWKHPWRYDU\RQFHDGGLWLRQDO YDULDEOHVDUHLQFOXGHG7KHXOWLPDWHJRDOLVWRGHPRQVWUDWHKRZWKHXQGHUO\LQJ UHODWLRQVKLSFDQEHDIIHFWHGE\SRWHQWLDOLQHIÀFLHQFLHVLQWKHÀQDQFLDOVHFWRU SUR[LHGE\ÀQDQFLDOYDULDEOHV WKHOHYHORI H[LVWLQJUHJXODWLRQDQGJRYHUQPHQW LQWHUYHQWLRQSUR[LHGE\WKH0HDVXUHVRI (FRQRPLF)UHHGRP DQGWKHLPSDFW RQ UHDO HFRQRP\ E\ KLJKOLJKWLQJ WKH WUDGHRII  EHWZHHQ LQYHVWPHQWV LQ WKH SURGXFWLYHVHFWRURULQÀQDQFLDOPDUNHWV 7KHVWXG\ZLOOWKXVGLYLGHWKHGDWDFROOHFWHGLQWZRSHULRGVEDVHGRQZKHWKHU WKH\EHORQJWRSUHFULVLV RUSRVWFULVLV SHULRGDQGGLI IHUHQWLDWHWKHFRXQWULHVVDPSOHGLQGHYHORSHGDQGGHYHORSLQJ$Q\FKDQJHLQWKH VLJQPDJQLWXGHDQGVLJQLÀFDQF\RI FRHIÀFLHQWVEHWZHHQWKHWZRSHULRGVVXJ JHVWVWKDWWKHDIRUHPHQWLRQHGUHODWLRQVKLSLVLQIDFWVHQVLWLYHWRHFRQRP\ZLGH DQGFURVVFRXQWU\IDFWRUV)ROORZLQJLVWKHOLVWRI YDULDEOHVHPSOR\HGIRUWKH PRGHODQGWKHWKHRUHWLFDOXQGHUSLQQLQJWRMXVWLI\WKHLULQFOXVLRQLQWKHDQDO\VLV

2 7KHIXOOOLVWRI FRXQWULHVLQFOXGHGLVUHSRUWHGLQ$SSHQGL[DQG0H[LFRZDVQRWDQDO\]HGEHFRXVH WKHUHDUHXQVXIÀFLHQWGDWDWKLVGRHVQRWJHQHUDWHELDVHVLQWKHHPSLULFDOVWXG\VLQFHWKHUHDUHRWKHU GHYHORSLQJFRXQWULHVLQFOXGHG

68

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

Š›’Š‹•ŽœȱŽœŒ›’™’˜— • *URVV'RPHVWLF3URGXFWJURZWKGDPJUR 7KHRYHUDOOOHYHORI JURZWKRI HDFK FRXQWU\FDQEHUHDVRQDEO\SUR[LHGE\WKHDQQXDOSHUFHQWDJHFKDQJHRI QRPL QDOGDPDVLWLVDVVXPHGWREHDIDLWKIXOUHSUHVHQWDWLRQRI WKHUHVRXUFHVDQGWKH XVHVRI VXFKUHVRXUFHVRI DQHFRQRP\ • /HQGLQJ5DWH/HQGLQJ5DWHDSSUR[LPDWHVWKHHDVLQHVVRI WKHSULYDWHVHFWRUWR PHHWWKHLUOLDELOLWLHVWRWKHEDQN$KLJKHU/HQGLQJ5DWHLPSOLHVDORZHUGHPDQG XQIDLUWHUPVRI ORDQVUHSD\PHQWDQGSRWHQWLDOLPSHUIHFWLRQVLQWKHPDUNHWV,W FDQHLWKHUEHGLUHFWO\VHWE\DGPLQLVWUDWLYHUHJXODWLRQVRUOHIWWRÁRDWRQWKHPDU NHW(IÀFLHQWDQGZHOOGHYHORSHGÀQDQFLDOPDUNHWVSURPRWHHFRQRPLFJURZWK DQGFRQVWDQWÁRZVRI UHVRXUFHVWRZDUGVSURGXFWLYHXVHVLQIRUPDWLRQDV\P PHWULHVDQGZHDNQHVVHVLQÀQDQFLDOV\VWHPVJHQHUDWHGLVUXSWLRQVRQWKHPDU NHWORZHUHFRQRPLFDQGÀQDQFLDODFWLYLW\DVGHPRQVWUDWHGE\WUDGHYROXPHV  DQGIULFWLRQVLQWKHFUHGLWRUGHEWRUUHODWLRQVKLSUDLVLQJWKHOHQGLQJLQWHUHVWUDWH WRVKLHOGIURPXQUHOLDEOHERUURZHUV • &HQWUDO*RYHUQPHQW'HEWCGD 7KLVYDULDEOHLVPHDVXUHGDVVWRFNDQGQRWDV ÁRZVDQGLVQHJDWLYHO\FRUUHODWHGZLWKWKHOHYHORI JURZWK/RZHUGHEWIRVWHUV SURGXFWLYLW\ MRE FUHDWLRQ DQG KLJKHU ZHOIDUH DW HFRQRP\ OHYHO 0RUHRYHU D ODUJHUVKDUHRI WKHEXGJHWLVVSHQWRQEDVLFVHUYLFHSURYLVLRQIXQGLQJQDWLRQDO SULYDWH LQYHVWPHQWV DQG LQLWLDWLYHV WDUJHWLQJ KHDOWK HGXFDWLRQ XQGHUVHUYHG FRPPXQLWLHVDQGLQIUDVWUXFWXUH • )LQDQFLDO)UHHGRP7KHOHYHORI DWWUDFWLYHQHVVRI LQYHVWPHQWVLQÀQDQFLDOPDU NHWVUHVWVRQLQYHVWRUV·FRQÀGHQFHWKHH[LVWLQJUHJXODWLRQHQWU\DQGH[LWUHVWULF WLRQV LQVWLWXWLRQDOGHWHUPLQDQWVDSRWHQWLDOVHFXULWLHVDQGH[FKDQJHFRPPLV VLRQWKHODZV\VWHPSURWHFWLQJLQYHVWRUVDQGHQVXULQJOLTXLGLW\RI WKHVWRFN WUDGHG$WWKHVDPHWLPHUHOLDEOHDQGHDVLO\DFFHVVLEOHLQIRUPDWLRQDQGDFRP SHWLWLYHPDUNHWSURPRWHWUDQVSDUHQF\DQGVPRRWKWUDQVIHURI UHVRXUFHV+RZ HYHUZKHQOHIWXQUHJXODWHGÀQDQFLDOPDUNHWVEHFRPHVXEMHFWVWRVSHFXODWLRQV DQGKD]DUGRXVRSHUDWLRQVPXFKDVLWKDSSHQHGGXULQJWKH&ULVLV$SUX GHQWDQGULJRURXVUHJXODWRU\V\VWHPUHGXFLQJ)LQDQFLDO)UHHGRP FDQHQVXUH LQWHJULW\RI ÀQDQFLDOPDUNHWVE\UHTXLULQJGLVFORVXUHRI DVVHWVOLDELOLWLHVRYHU DOOOHYHORI ULVNWDNLQJDQGFULWLFDORSHUDWLRQVFRQWLQXRXVPRQLWRULQJDQGULVN PDQDJHPHQW:HUHWKHVHUHJXODWLRQVIRXQGWREHH[FHVVLYHDQGXQQHFHVVDU\ WKH\FRXOGKLQGHUHIÀFLHQF\RI ÀQDQFLDOPDUNHWVDQGUDLVHWKHFRVWRI FDSLWDO KRZHYHUWKH\HQGHDYRUWRSUHYHQWSDVWÀQDQFLDOVKRFNVGXHPDLQO\WRGHUHJ XODWLRQIURPKDSSHQLQJDJDLQLQWKHIXWXUHDQGWKLVYHU\UHDVRQMXVWLÀHVWKH FKLHI FULWLFDOLPSRUWDQFHRI WKLVYDULDEOHLQFRQWUROOLQJJURZWKUDWH • )LVFDO)UHHGRP,QJHQHUDOJRYHUQPHQWFRQWURODQGPRQRSRO\FRQVWUDLQWVUH VRXUFHVDOORFDWLRQDQGLQWHUIHUHVZLWKLQGLYLGXDOHFRQRPLFIUHHGRPORZHULQJ

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

•

•

•

•

69

WKHLULQFHQWLYHVWRXQGHUWDNHEXVLQHVVSURMHFWV6LPLODUO\KLJKHUWD[UDWHVOLPLW WKHDELOLW\RI WKHSULYDWHVHFWRUWRHQJDJHLQHFRQRPLFDFWLYLW\DQGFDQEHFRPH EXUGHQVRPHIRUWKHQDWLRQDVDZKROH 'RPHVWLF&UHGLWWR3ULYDWH6HFWRU0XFKDV'RPHVWLF&UHGLWSURYLGHGE\À QDQFLDOVHFWRULWSUR[LHVWKHGHSWKDQGH[WHQWWRZKLFKÀQDQFLDOPDUNHWVDUH VSUHDGLQWKHHFRQRP\SURPRWHLQYHVWPHQWVDQGWUDQVIHURI UHVRXUFHVDQGLQ SDUWLFXODUPRQH\WUDQVPLVVLRQLQWKHHFRQRP\DQGLQGLUHFWO\ERRVWWKHOHYHO RI  HFRQRPLF DFWLYLW\ FRQVXPSWLRQ SURGXFWLRQ FDSLWDO IRUPDWLRQ  %\ SUR YLGLQJFUHGLWWRWKHSULYDWHVHFWRUUHVRXUFHVDUHHPSOR\HGIRUVRFLDOO\XVHIXO SXUSRVHVFRQWULEXWHWRHUDGLFDWHSRYHUW\LQWKHOHDVWGHYHORSHGUHJLRQV 6WRFN3ULFH0DUNHWFDSLWDOL]DWLRQSUR[LHVWKHUHWXUQRQLQYHVWPHQWVLQÀQDQ FLDOPDUNHWVDQGPRUHLQJHQHUDOVWRFNPDUNHWVL]HDQGWKHGHYHORSPHQWRI  DQ HFRQRP\·V ÀQDQFLDO PDUNHWV $ ZLGHVSUHDG DQG IULFWLRQOHVV PDUNHW FDQ PRELOL]HFDSLWDODQGLQYHVWRUV·IXQGVEDVHGRQWKHLUDWWLWXGHWRULVNDQGWKHLU QHHGIRUGLYHUVLÀFDWLRQ0RUHRYHUE\UHGXFLQJLQIRUPDWLRQDQGWUDQVSRUWDWLRQ FRVWV 6 3*OREDO(TXLW\,QGH[HV6LPLODUO\WR6WRFN3ULFHWKLVYDULDEOHKLQWVDWWKH FRQVHTXHQFHVWKDWVRXQGOHJDOV\VWHPVH[SRUWOHGHFRQRPLHVPDFURHFRQRPLF VWDELOLW\KDYHDWDWWUDFWLQJLQYHVWPHQWVDQGFURVVFRXQWU\FDSLWDOÁRZVORZHU LQJFRVWRI FDSLWDODQGHQKDQFLQJOLTXLGLW\LQWUDGHH[FKDQJHV8QOLNHWKH6WRFN 3ULFHPHDVXUHXVLQJDJOREDOLQGLFDWRUDOORZVREWDLQLQJDQDSSUR[LPDWHYDOXH RI WKHRYHUDOOÀQDQFLDOSHUIRUPDQFHRI DQHFRQRP\DQGSUHGLFWVIDLUO\DFFX UDWHO\WKHWUHQGLQHPHUJLQJPDUNHWVSUR[\LQJWKHLUPDUNHWVL]H7HPSRUDU\ GHYLDWLRQVIDGVDQGLPSHUIHFWLRQVFDQKRZHYHUSURGXFHDGLIIHUHQWUDQNLQJ DQGUHVXOWLQDELDVHGDQGGLVWRUWHGLPDJHRI WKHH[LVWLQJÀQDQFLDOPDUNHWV *URVV &DSLWDO )RUPDWLRQ GCF  8QOLNH LQYHVWPHQWV LQ WKH ÀQDQFLDO PDUNHWV WKURXJK VWRFNV GHULYDWLYHV DQG RWKHU ÀQDQFLDO LQVWUXPHQWV UHVRXUFHV HP SOR\HG IRU WKH SURGXFWLYH VHFWRU DUH HDUPDUNHG IRU À[HGDVVHWV HTXLSPHQW SXUFKDVHVPDFKLQHU\DQGSODQW DQGFRQWULEXWHWRWKHRYHUDOOOHYHORI FDSLWDO DFTXLVLWLRQ3K\VLFDOFDSLWDOLVWKXVWKHEDFNERQHRI DJULFXOWXUDODQGLQGXVWULDO HFRQRPLHVDOLNHFRQVWLWXWLQJDVLJQLÀFDQWVKDUHRI WKHHFRQRPLFDFWLYLW\DQG VWULYLQJWRDFKLHYHWHFKQRORJLFDODGYDQFHDQGLQQRYDWLRQLQWKHVHVHFWRUV)L QDOO\WKLVSDSHUDVVXPHVFRQVWDQWUHWXUQVWRVFDOHLPSO\LQJWKDWWKHDQQXDOUDWH RI JURZWKRI FDSLWDOWUDQVODWHVLQWRDQHTXDOLQFUHDVHLQSURGXFWLRQLQFRPH DQGKHQFHGDP

$OLVWRI WKHYDULDEOHVHPSOR\HGWKHLUGHÀQLWLRQWKHXQLWRI PHDVXUHWKHVRXUFH IURPZKLFKGDWDZHUHFROOHFWHGDQGWKHH[SHFWHGVLJQRI WKHLUUHODWLRQZLWKWKH GHSHQGHQWYDULDEOHLVUHSRUWHGLQ7DEOH

70

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

Š‹•Žȱŗ Š›’Š‹•ŽȱŽœŒ›’™’˜— Variable

Source of data

GDPgro

World Bank

Developed

ž‘˜›œ

Žę—’’˜— ——žŠ•ȱ›˜ ‘ȱ›ŠŽȱ˜ȱєёѝȱŠȱ–Š›”Žȱ™›’ŒŽœȱ ‹ŠœŽȱ˜—ȱŒ˜—œŠ—ȱŘŖŖśȱȱǻƖǼǯ ž––¢ȱŸŠ›’Š‹•ŽȱŽšžŠ•ȱ˜ȱŖȱ’ȱ‘ŽȱŒ˜ž—›¢ȱ’œȱ ŽŸŽ•˜™’—ȱŠ—ȱŗȱ’ȱ‘ŽȱŒ˜ž—›¢ȱ’œȱŽŸŽ•˜™Žǯ

Expected sign

+

ž‘˜›œ

ž––¢ȱŸŠ›’Š‹•ŽȱŽšžŠ•ȱ˜ȱŖȱ’ȱ‘ŽȱŠŠȱŒ˜—œ’Ž›Žȱ›ŽŽ›ȱ˜ȱ‘Žȱ™›ŽȬŒ›’œ’œȱ™Ž›’˜ȱŠ—ȱ ŗȱ’ȱ Žȱ’—Œ•žŽȱ˜—•¢ȱŠŠȱŒ˜••ŽŒŽȱ˜›ȱ‘Žȱ ™˜œȬŒ›’œ’œȱ™Ž›’˜ǯ

–

Lendrat

—Ž›—Š’˜—Š•ȱ˜—ŽŠ›¢ȱ ž—ǰȱ—Ž›—Š’˜—Š•ȱ ’—Š—Œ’Š•ȱŠ’œ’Œœ

Ž—’—ȱ’—Ž›Žœȱ›ŠŽȱ’œȱ‘Žȱ‹Š—”ȱ›ŠŽȱ Œ‘Š›Žȱ˜—ȱ‘Žȱ™›’ŸŠŽȱœŽŒ˜›ȱ˜›ȱœ‘˜›ȬȱŠ—ȱ –Ž’ž–ȬŽ›–ȱ•˜Š—œȱǻƖǼǯ

–

—ĚŠ’˜—

World Bank

—ĚŠ’˜—ȱ’œȱ‘ŽȱŠ——žŠ•ȱ›ŠŽȱ˜ȱ™›’ŒŽȱŒ‘Š—Žȱ’—ȱ ‘ŽȱŽŒ˜—˜–¢ȱŠœȱŠȱ ‘˜•ŽȱŒ˜–™žŽȱžœ’—ȱ‘Žȱ єёѝȱ’–™•’Œ’ȱŽĚŠ˜›ȱǻƖǼǯ

+

—Ž›—Š’˜—Š•ȱ˜—ŽŠ›¢ȱ ž—ǰȱ ˜ŸŽ›—–Ž—ȱ ’—Š—ŒŽȱŠ’œ’ŒœȱŽŠ›‹˜˜”

˜Š•ȱŽ—›Š•ȱ ˜ŸŽ›—–Ž—ȱŽ‹ȱ ǻƖȱ˜ȱєёѝ).

–

Financial Freedom

Ž›’ŠŽȱ˜ž—Š’˜—ǰȱ —’ŒŠ˜›œȱ˜ȱŒ˜—˜–’Œȱ Freedom3

Š•žŽȱ’—œ’Žȱ‘Žȱ›Š—ŽȱŖȬŗŖŖǯȱȱ‘’‘•¢ȱ›Žž•ŠŽȱꗊ—Œ’Š•ȱœ¢œŽ–ȱŒŠ—ȱ™›ŽŸŽ—ȱ–Š“˜›ȱ ŽŒ˜—˜–’ŒȱŒ›’œŽœȱœŽ––’—ȱ›˜–ȱ‘Š£Š›˜žœȱ ‹Š—”’—ȱŠŒ’Ÿ’’Žœǯ

–

Fiscal Freedom

Ž›’ŠŽȱ˜ž—Š’˜—ǰȱ —’ŒŠ˜›œȱ˜ȱŒ˜—˜–’Œȱ Freedom

Š•žŽȱ’—œ’Žȱ‘Žȱ›Š—ŽȱŖȬŗŖŖǯȱȱ‘’‘Ž›ȱŸŠ•žŽȱ œžŽœœȱ‘ŠȱŽŒ˜—˜–’Œȱ›Žœ˜ž›ŒŽœȱŠ›Žȱ–ŠŽȱ ŠŸŠ’•Š‹•Žȱ˜ȱ™›’ŸŠŽȱŒ’’£Ž—œȱ˜›ȱ™›˜žŒ’ŸŽȱ žœŽȱŠ—ȱŽĜŒ’Ž—Œ¢ȱ’œȱ™›˜–˜Žǯ

+

Domcredpri

—Ž›—Š’˜—Š•ȱ˜—ŽŠ›¢ȱ ž—ǰȱ—Ž›—Š’˜—Š•ȱ ’—Š—Œ’Š•ȱŠ’œ’Œœ

˜–Žœ’Œȱ›Ž’ȱ˜ȱ›’ŸŠŽȱŽŒ˜›ȱ›Ž™›ŽœŽ—œȱ ‘Žȱ™Ž›ŒŽ—ŠŽȱ˜ȱꗊ—Œ’Š•ȱ›Žœ˜ž›ŒŽœȱ–ŠŽȱ ŠŸŠ’•Š‹•Žȱ˜ȱ‘Žȱ™›’ŸŠŽȱœŽŒ˜›ȱ‹¢ȱ‘Žȱꗊ—Œ’Š•ȱœ¢œŽ–ȱǻƖȱ˜ȱєёѝ).

+

Stkcapital

World Bank

Š›”ŽȱŒŠ™’Š•’£Š’˜—ȱ˜ȱ•’œŽȱŒ˜–™Š—’Žœȱ –ŽŠœž›ŽȱŠȱŒž››Ž—ȱǯ

+

SP_equity

World Bank

ŽŠœž›Žȱ˜ȱ‘ŽȱŠ——žŠ•ȱŒ‘Š—Žȱ’—ȱ‘Žȱœ˜Œ”ȱ –Š›”Žȱ˜ȱŠȱ’ŸŽ—ȱŒ˜ž—›¢ȱ’—ȱȱŠœȱ›Ž™˜›Žȱ’—ȱǭȱ •˜‹Š•ȱšž’¢ȱ—Ž¡Žœǯ

+

GCF

World Bank

——žŠ•ȱ›ŠŽȱ˜ȱ›˜ ‘ȱ˜ȱ ›˜œœȱŠ™’Š•ȱ ˜›–Š’˜—ȱǻƖǼǯ

+

Crisis

CGD

˜ž›ŒŽDZȱ —ȱŽ•Š‹˜›Š’˜—ǯ

řȱȱ ˜ž›ŒŽDZȱǯǯȱ’••Ž›ȱŠ—ȱǯǯȱ ’–ǯȱPrinciples of Economic Freedomǯȱǽ˜—•’—ŽǾȱŸŠ’•Š‹•ŽȱŠDZȱ ǀ‘Ĵ™DZȦȦ   ǯ‘Ž›’ŠŽǯ˜›Ȧ’—Ž¡Ȧ‹˜˜”ȦŒ‘Š™Ž›Ȭŗǁǯ

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

71

Ž‘˜˜•˜¢

7KHUHVHDUFKFRPSXWHVWKHHVWLPDWHVE\XVLQJ2UGLQDU\/HDVW6TXDUHVOLS) XSWRGDWH WHFKQLTXHV 1RWZLWKVWDQGLQJ WKH IUHTXHQW VXEVWLWXWLRQ IRU SUR[\ YDULDEOHVWKHFKRLFHRI UHJUHVVRUVGRHVQRWFRPSOHWHO\UHPRYHDQ\ELDVFDXVHG E\HQGRJHQHLW\SUREOHPVDQGWKHVPDOOWLPHSHULRGDQGVDPSOHVL]HFRXSOHG ZLWKODUJHÁ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ÀFDQF\DQGFRQVLVWHQF\LQWKHHVWLPDWHV,WZRXOGWKHQ EHUHFRPPHQGDEOHWRH[WHQGWKHDQDO\VLVWRDODUJHUVHWRI FRXQWULHVUHGXFHWKH GLVSHUVLRQLQWKHHUURUVDQGFRQWDLQWKHPLVVLQJGDWDSUREOHP7KHHVWLPDWHG HTXDWLRQIRUWKHDQDO\VLVLV>@GHVFULEHGLQVHFWLRQZKLOHWKHHPSLULFDOSDUW UHODWHGWRJRYHUQPHQWUHJXODWLRQUHIHUVWRHTXDWLRQ>@ Žœž•œȱ’—ȱ‘Žȱ™›ŽȬŒ›’œ’œȱ–˜Ž• 7DEOHUHIHUVWRWKHDQDO\VLVFDUULHGRXWIRUGHYHORSHGDQGGHYHORSLQJFRXQWULHV IRFXVLQJRQWKHSHULRGUDQJLQJIURPWR&ROXPQ,VKRZVVHSDUDWHO\ WKHUDWHRI JURZWKIRUGHYHORSHGDQGGHYHORSLQJFRXQWULHVDQGKLJKOLJKWVWKH KLJKHUUDWHRI JURZWKIRUWKHODWWHU VXJJHVWLQJWKDWWKHÀUVWFDWHJRU\ KDVDOUHDG\UHDFKHGLWVVWHDG\VWDWHHTXLOLEULXPJURZWKUDWHZKLOHHPHUJLQJ HFRQRPLHVDUHVWLOOFDWFKLQJXSZLWKULFKFRXQWULHVGXHWRWKHLUUHFHQWGHYHO RSPHQW$UHJUHVVLRQXVLQJDFRQVWDQWLQVWHDGRI WKHGXPP\'HYHORSHG  ZDVUXQEXWZDVQRWLQFOXGHGKHUHIRUVDNHRI EUHYLW\DQGGLVSOD\VWKHVDPH UHVXOWVIRXQGEHIRUH

72

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

Š‹•ŽȱŘ ›ŽȬŒ›’œ’œȱ–˜Ž•ȱŽœ’–Š’˜—œ Dependent variable: GDPgro

I

II

III

IV

V

VI

ŚǯŝŝŘ ǻŖǯŘŖřǼ

c

VIII

IX

ŜǯŗŚś ŜǯŘŝŗ řǯŞşŚ ǻŖǯŚŝŜǼ ǻŖǯřřŚǼ ǻŖǯŞśřǼ

R2

0.208

ŚǯşŗŚ ǻŖǯŘŝŘǼ ŗǯŞśŞ ȮŘǯşŝŚ ȮŘǯŘřŞ ȮřǯŘŜŚ ȮŘǯŗşŜ ȮŘǯŜşŖ ȮŘǯŘřŜ ǻŖǯŚŝŜǼ ǻŖǯŘŞŖǼ ǻŖǯŘŜŝǼ ǻŖǯřŚśǼ ǻŖǯřŜŖǼ ǻŖǯŘśŗǼ ǻŖǯřśŖǼ ȮŖǯŖŝŘŜ ǻŖǯŖŗśǼ 0.007 (0.004) ŖǯŘŗř ŖǯŘřŘ ǻŖǯŖŖŞǼ ǻŖǯŗŘŚǼ ŖǯŖŗş ŖǯŖŘŖ ǻŖǯŖŖŚǼ ǻŖǯŖŖŚǼ –0.016 (0.009) ȮŖǯŖŗŜ ǻŖǯŖŖŚǼ 0.020 (0.011) 0.261 0.230 0.222 0.275 0.356 0.224 0.374 0.224



4.664

4.635

4.675

4.646

4.572

4.50

4.699

3.912

4.670

328

258

318

328

316

256

312

209

312

Developed = 0 Developed = 1

śǯŘŜŞ ǻŖǯŗŞşǼ ŘǯŝśŜ ǻŖǯŗşŚǼ

VII

Lendrat Domcredpri Stkcapital SP_equity FinancialFreedom CGD FiscalFreedom

‹œŽ›ŸŠ’˜—œ

ŜǯřŞŖ ǻŖǯřŗŚǼ řǯŗşŞ ǻŖǯŘŚŚǼ –0.076 ǻŖǯŖŗŜǼ

˜ŽDZȱ‹˜•DZȱœ’—’ęŒŠ—Œ¢ȱǀȱŖǯŖŗDzȱž—Ž›•’—ŽDZȱœ’—’ęŒŠ—Œ¢ȱǀȱŖǯŖśDzȱŒž›œ’ŸŽDZȱœ’—’ęŒŠ—Œ¢ȱǀȱŖǯŗŖǯ ˜ž›ŒŽDZȱ —ȱŽ•Š‹˜›Š’˜—ǯ

,Q&ROXPQ,,LWLVGLUHFWO\WHVWHGWKHHIIHFWRI /HQGLQJ5DWHRUHTXLYDOHQWO\IRU WKHFRVWRI FDSLWDO DQGWKHFRHIÀFLHQWHVWLPDWHGSURYHVWKHQHJDWLYHUHODWLRQVKLS ZLWKJURZWKUDWHDWDOOOHYHOVRI VLJQLÀFDQF\DVGHPRQVWUDWHGSUHYLRXVO\LQWKH WKHRU\$OWHUQDWLYHO\WKHH[WHQWDQGGHSWKRI ÀQDQFLDOV\VWHP'RPHVWLF&UHGLW WR3ULYDWH6HFWRU DUHIRXQGWREHSRVLWLYHO\FRUUHODWHGZLWKWKHGHSHQGHQWYDUL DEOHHYHQWKRXJKRQO\PLOGO\&ROXPQ,,, ,QRUGHUWRDVVHVVWKHUHODWLRQVKLS EHWZHHQWKHVWRFNPDUNHWVL]HDQGJURZWK&ROXPQ,9DQG9FRPSDUHWKH UHVXOWVIRXQGXVLQJUHVSHFWLYHO\6 3*OREDO(TXLW\,QGH[HVDQGWKHORJDULWKP RI PDUNHWFDSLWDOL]DWLRQStkcapital $QLQLWLDOUHJUHVVLRQZDVUXQXVLQJWKH OHYHOYDOXHVLQVWHDGRI WKHORJDULWKPRI StkcapitalUHVXOWLQJLQDQH[WUHPHO\ ORZFRHIÀFLHQWDQGORZVLJQLÀFDQF\DQGWVWDWLVWLFVGXHWRWKHPDJQLWXGHDQG

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

73

EURDGGLVSHUVLRQRI WKHYDOXHVFRQVLGHUHG8VLQJORJYDOXHVLQVWHDGZHREWDLQ VLJQLÀFDQWHVWLPDWHVDWDOOOHYHOVPXFKDVLQ&ROXPQ9&ROXPQ9,VXPPDUL]HV WKHPDLQUHVXOWVREWDLQHGUHODWHGWRHYLGHQFHRI WKHLPSRUWDQFHRI WKHÀQDQ FLDOPDUNHWVLQGHWHUPLQLQJJURZWKDQGLQSDUWLFXODUWKHLPSDFWRI SRWHQWLDO LPSHUIHFWLRQVDQGLQHIÀFLHQFLHVRQWKHHFRQRP\0RUHRYHULWKLJKOLJKWVKRZ WKHSUHYLRXVUHODWLRQVKLSVKROGRQFHZHLQFOXGHPRUHYDULDEOHVDVVKRZQE\WKH KLJKVLJQLÀFDQF\RI WKHHVWLPDWHVDQGWKHYDOXHRI WKHJRRGQHVVRIÀW  7KHVHFRQGSDUWRI 7DEOHDQDO\]HVWKHUROHRI JRYHUQPHQWLQERRVWLQJ JURZWK,QSDUWLFXODUWKHUHLVFRPSHOOLQJHYLGHQFHWKDWORZHU&HQWUDO*RYHUQ PHQW'HEW&ROXPQ9,,, KLJKHU)LVFDO)UHHGRP&ROXPQ,; DQGDKLJKO\ EXWQRWH[FHVVLYHUHJXODWRU\V\VWHP&ROXPQ9,, DUHEHQHÀFLDOWRWKHHFRQRP\ DVVKRZQLQWKHWKHRUHWLFDOSDUW,WJRHVZLWKRXWVD\LQJWKDWFRHUFLRQDQGIXOO FRQWURORQHFRQRPLFIUHHGRPSURSHUW\RZQHUVKLSWKHULJKWVWRIUHHO\PRYH ODERUFDSLWDODQGJRRGVEH\RQGQHFHVVDU\DUHKDUPIXOIRUWKHHFRQRP\DQGGR QRWJUDQWUHVSHFWDQGSURWHFWLRQRQLQGLYLGXDOOLEHUW\DQGFRQVWUDLQWVUHVRXUFHV DOORFDWLRQXQGHUPLQLQJJURZWKSDWKV 7KHIXOOPRGHOLQ7DEOHLQGLFDWHVLQWHUDFWLRQVEHWZHHQÀQDQFLDODQGSXEOLF VHFWRUDQGWKHXOWLPDWHOLQNZLWKGDPJURZWK6RPHRI WKHUHODWLRQVKLSIRXQG HDUOLHUGRQRWKROGRQFHZHDFFRXQWIRUDZLGHUDUUD\RI YDULDEOHVKRZHYHU WKHSUHGLFWLYHSRZHURI WKHWHVWLVHQKDQFHG5HTXDOWR DQGGDPgroLV LQGHHGGHWHUPLQHGE\WKHPDUNHWFDSLWDOL]DWLRQRI VKDUHVWKHH[WHQWDQGGHSWK RI ÀQDQFLDOPDUNHWVWKHVL]HRI &HQWUDO*RYHUQPHQW'HEWDQGWKHRYHUDOO OHYHORI )LVFDO)UHHGRPLQWKHHFRQRP\ Š‹•Žȱř ›ŽȬŒ›’œ’œȱ™Ž›’˜Ȭž••ȱ–˜Ž• Dependent variable: GDPgro ŽŸŽ•˜™Žȱƽȱŗ Stkcapital SP_equity CGD FiscalFreedom R2  ‹œŽ›ŸŠ’˜—œ

I –2.39 (0.386) 0.176 (0.033) 0.0155 (0.004) ȮŖǯŖŗŗ ǻŖǯŖŖŚǼ ŖǯŖŘŗ ǻŖǯŖŖşǼ 0.472 3.835 191

˜ŽDZȱ‹˜•DZȱœ’—’ęŒŠ—Œ¢ȱǀȱŖǯŖŗDzȱž—Ž›•’—ŽDZȱœ’—’ęŒŠ—Œ¢ȱ ǀȱŖǯŖśDzȱŒž›œ’ŸŽDZȱœ’—’ęŒŠ—Œ¢ȱǀȱŖǯŗŖǯ ˜ž›ŒŽDZȱ —ȱŽ•Š‹˜›Š’˜—ǯȱ

74

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

Žœž•œȱ’—ȱ‘Žȱ™˜œȬŒ›’œ’œȱ–˜Ž•

0RVWRI WKHUHODWLRQVKLSVIRXQGHDUOLHULQWKHSDSHUGRQRWKROGLQWKHSRVWFUL VLVSHULRG6LQJOHUHJUHVVLRQVZHUHUXQWRWHVWIRUWKHVLJQLÀFDQF\RI /HQGLQJ 5DWH)LQDQFLDO)UHHGRPDQG'RPHVWLF&UHGLWWR3ULYDWH6HFWRUKRZHYHUWKH\ ZHUHQRWIRXQGWREHUHOHYDQWDQGIRUVDNHRI EUHYLW\ZHUHQRWUHSRUWHGKHUH 7KHORZHUYDOXHVRI WKHJRRGQHVVRIÀWLVPDLQO\GXHWRWKHKLJKYDULDELOLW\ FKDUDFWHUL]LQJWKHSHULRGLQSDUWLFXODUWKHUHFHVVLRQGXHWRWKHÀQDQFLDOFULVLV RI DQGIROORZHGE\DUHFRYHU\RI WKHZRUOGZLGHHFRQRP\LQWKHVHFRQG KDOI RI WKHSHULRG1HJDWLYHYDOXHVIRXQGIRUWKHÀUVWSDUWRI WKHLQWHUYDOZHUH RIIVHWE\WKHSRVLWLYHDPRXQWRI WKHODVW\HDUVHOLPLQDWLQJDQ\SRVVLEOHUHVXOWV WKDWFRXOGKDYHEHHQDFKLHYHG0RUHRYHUKLJKGLVSHUVLRQRI WKHYDOXHVDVVXPHG DQGWKHJUHDWHUYDULDQFHLQWKHHUURUVFRQWULEXWHGWRWKHSRRUÀWRI WKHWHVW +RZHYHUPDUNHWFDSLWDOL]DWLRQRI VKDUHVWKHVL]HRI WKHÀQDQFLDOPDUNHWDQG )LVFDO)UHHGRPDUHFRQÀUPHGWREHSRVLWLYHO\UHODWHGWRGDPgroDOWKRXJKRQO\ VLQJXODUO\DQGQRWMRLQWO\6XUSULVLQJO\LQÁDWLRQZDVIRXQGWREHVLJQLÀFDQWDQG SRVLWLYHO\FRUUHODWHGZLWKGDPgroZKLFKLVDWRGGVZLWKHFRQRPLFWKHRU\,Q FRQFOXVLRQIRUGHYHORSHGDQGGHYHORSLQJFRXQWULHVWKHUDWHRI GDPgroVKRZV WKDWERWKFDWHJRULHVRI FRXQWULHVZHUHQHJDWLYHO\DIIHFWHGE\WKHÀQDQFLDOFULVLV DQGSUHVHQWHGORZHUUDWHVRI JURZWK Š‹•ŽȱŚ ›ŽȬŒ›’œ’œȱ–˜Ž•ȱŽœ’–Š’˜—œ Dependent variable: GDPgro c ŽŸŽ•˜™Žȱƽȱŗ

I řǯŚŚś ǻŖǯŘŜŚǼ ȮŘǯşŘŘ ǻŖǯŘŝşǼ

Stkcapital

II ȮŗŚǯŝŜŖ ǻŚǯŖŖřǼ ȮŚǯŘŖŞ ǻŖǯśŗŜǼ ŖǯŝŗŚ ǻŖǯŗśŜǼ

III

IV

řǯśŖş ǻŖǯŘŜŚǼ ȮŘǯşŚş ǻŖǯřŝŜǼ

1.118 (1.390) ȮŘǯśśŗ ǻŖǯŚşśǼ

ȮŖǯŖŗŜ ǻŖǯŖŖśǼ

SP_equity FiscalFreedom R2  ‹œŽ›ŸŠ’˜—œ

0.175 5.187 283

0.252 5.303 205

0.200 5.179 280

0.033 (0.0174) 0.213 5.122 269

˜ŽDZȱ‹˜•DZȱœ’—’ęŒŠ—Œ¢ȱǀȱŖǯŖŗDzȱž—Ž›•’—ŽDZȱœ’—’ęŒŠ—Œ¢ȱǀȱŖǯŖśDzȱŒž›œ’ŸŽDZȱœ’—’ęŒŠ—Œ¢ȱǀȱŖǯŗŖǯ ˜ž›ŒŽDZȱ —ȱŽ•Š‹˜›Š’˜—ǯ

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

75

Žœž•œȱ’—ȱž••Ȭ̎Žȱ–˜Ž•

7KHIXOOSHULRGPRGHOLVEXLOWE\LQWURGXFLQJLQWHUDFWLRQYDULDEOHVDQGXVLQJ WKHELQDU\YDULDEOH&ULVLVWRFRPSDUHWKHFRHIÀFLHQWVRI WKHWZRSHULRGV7KH UHVXOWVIRXQGPDWFKWKHSUHYLRXVDQDO\VLVWKHUDWHRI JURZWKLVKLJKHUIRUGH YHORSLQJFRXQWULHVWKDQIRUGHYHORSHGRQHVDQGWKLVKROGVERWKLQWKHSUHFULVLV DQGSRVWFULVLVSHULRGWKHRYHUDOOUDWHRI JURZWKLVVLJQLÀFDQWO\KLJKHULQWKH ÀUVWSHULRGWKDQLQWKHVHFRQGWKHELQDU\YDULDEOHSUHVHQWVDQH[FHSWLRQDOO\ KLJKFRHIÀFLHQWOHDGLQJWRWKHFRQFOXVLRQWKDWLWLVLQGHHGUHVSRQVLEOHIRUWKH SUHYLRXVUHVXOWPRUHRYHULWVHIIHFWLVVLJQLÀFDQWERWKZKHQXVHGVLQJXODUO\DQG ZKHQLQWHUDFWLQJZLWKWKHUHPDLQLQJYDULDEOHVWKHQHJDWLYHLPSDFWRI FRVWRI  FDSLWDOLVHYLGHQWRQO\LQWKHSUHFULVLVDQGQRWLQWKHSRVWFULVLVSHULRGZKLOH WKHUHODWLRQVKLSUXOLQJSP_equityStkcapitalDQGGDPgroPDLQWDLQVLWVVLJQLI LFDQF\DOWKRXJKSP_equity LQWKHVHFRQGSHULRGH[KLELWVDSX]]OLQJQHJDWLYH VLJQQRWFRQÀUPHGE\WKHVLPLODUYDULDEOHStkcapital  Š‹•Žȱś ž••Ȭ̎Žȱ–˜Ž•ȱŽœ’–Š’˜—œ Dependent variable: GDPgro

I

c Developed*(Crisis = 0)

ȮřǯŖŖŘ

ǻŖǯřŞŘǼ

Developed*(Crisis = 1)

Ȯśǯřşŗ

ǻŖǯŜŘŞǼ

ȮŘŘǯŜŜŝ

ǻŚǯŖśŚǼ

Lendrat*(Crisis = 0)

ȮŖǯŖŞŖ

ǻŖǯŖŗŜǼ

Lendrat*(Crisis = 1)

–0.036

(0.033)

Stkcapital*(Crisis = 0)

ŖǯŘŘŝ

ǻŖǯŖŗŚǼ

Stkcapital*(Crisis = 1)

ŗǯŖŚś

ǻŖǯŗśŜǼ

SP_equity*(Crisis = 0)*

ŖǯŖŘŖ

ǻŖǯŖŖŚǼ

SP_equity*(Crisis = 1)*

ȮŖǯŖŘŖ

ǻŖǯŖŖśǼ

Crisis

2

0.344



4.807

R

‹œŽ›ŸŠ’˜—œ

428

˜ŽDZȱ‹˜•DZȱœ’—’ęŒŠ—Œ¢ȱǀȱŖǯŖŗDzȱž—Ž›•’—ŽDZȱœ’—’ęŒŠ—Œ¢ȱ ǀȱŖǯŖśDzȱŒž›œ’ŸŽDZȱœ’—’ęŒŠ—Œ¢ȱǀȱŖǯŗŖǯ ˜ž›ŒŽDZȱ —ȱŽ•Š‹˜›Š’˜—ǯȱ

76

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

›ŠŽȬ˜ěȱǻž••ȱ™Ž›’˜Ǽ

7RFRQFOXGHWKHHPSLULFDOSDUWLWZDVIXQGDPHQWDOWRLQFOXGHDVHFWLRQVKRZLQJ WKHFRPSDULVRQRI ÀQDQFLDOPDUNHWVDQGWKHSURGXFWLYHVHFWRUDQGWKHLUHIIHFW RQJURZWKZLWKLQWKHIXOOSHULRGRI WLPH7KLVZDVDFFRPSOLVKHGE\UXQQLQJD UHJUHVVLRQGLIIHUHQWLDWLQJWKHFRXQWULHVVDPSOHGLQGHYHORSHGDQGGHYHORSLQJ XVLQJWKHRQFHDJDLQVLJQLÀFDQWELQDU\YDULDEOH'HYHORSHG KRZHYHUWKHUH VXOWVHPSOR\GDWDEHORQJLQJWRWKHIXOOSHULRGXQGHUOLQLQJWKHJHQHUDOYDOLGLW\ RI WKHÀQGLQJVLQ7DEOH Š‹•ŽȱŜ ›ŠŽȬ˜ěȱǻž••ȱ™Ž›’˜ǼȱŽœ’–Š’˜—œ Dependent variable: GDPgro c Developed = 1 GCF

I

II

ȮŘǯŜŜ ǻŖǯśřřǼ ȮŘǯŗŗŝ ǻŖǯŘŗśǼ ŖǯŘŝŖ ǻŖǯŖŘŘǼ

ŚǯŗŜŚ ǻŖǯŗŝśǼ ȮŘǯŚŖŗ ǻŖǯŘŚŖǼ

SP_equity R2  ‹œŽ›ŸŠ’˜—œ

0.304 4.862 645

0.005 (0.003) 0.148 5.060 635

˜ŽDZȱ‹˜•DZȱœ’—’ęŒŠ—Œ¢ȱǀȱŖǯŖŗDzȱž—Ž›•’—ŽDZȱœ’—’ęŒŠ—Œ¢ȱ ǀȱŖǯŖśDzȱŒž›œ’ŸŽDZȱœ’—’ęŒŠ—Œ¢ȱǀȱŖǯŗŖǯ ˜ž›ŒŽDZȱ —ȱŽ•Š‹˜›Š’˜—ǯȱ

*URVV&DSLWDO)RUPDWLRQSUR[\IRUWKHUHWXUQRQWKHSURGXFWLYHVHFWRU DQG SP_equity UHSUHVHQWLQJ WKH UHWXUQ RQ LQYHVWPHQWV LQ WKH ÀQDQFLDO V\VWHP  FRQWULEXWHWRGHWHUPLQHWKHRYHUDOOOHYHORI JURZWKKRZHYHUWKHJRRGQHVV RIÀWLQ&ROXPQ,LVPRUHWKDQWZLFHWKHVL]HRI WKHVHFRQGWHVWSRLQWLQJDW WKHFKLHI UROHRI WKLVVHFWRULQJOREDOHFRQRP\ ќћѐљѢѠіќћѠ

5HDODQGÀQDQFLDOVHFWRUVDUHOLQNHGDVSURYHGWKURXJKRXWWKLVUHVHDUFK7KH OLQNWDNHVSODFHZLWKLQWKHH[LVWLQJWUDGHRII EHWZHHQPDUJLQDOSURGXFWRI FDSLWDO DQGFDSLWDO\LHOGVRLI FDSLWDO\LHOGLVKLJKHUHFRQRPLFJURZWKZLOOGHFUHDVHDQG

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

77

H[DFWO\WKHRSSRVLWHZLOORFFXULI PDUJLQDOSURGXFWRI FDSLWDOLVKLJKHUWKDQ FDSLWDO\LHOG7KHUHIRUHHFRQRPLFJURZWKZLOOIDOOLI XQHPSOR\HGUHVRXUFHVDUH DOORFDWHGWRZDUGVÀQDQFLDOVHFWRUWKLVLVQRWQHZEXWLQRUGHUWRDYRLGHFRQRPLF JURZWKUDWHIURPGHFUHDVLQJÀQDQFLDOUHJXODWLRQFDQWDNHSODFHDVDFDSLWDO\LHOG WD[)RUPDFURHFRQRPLFHTXLOLEULXPWREHJXDUDQWHHFDSLWDO\LHOGWD[QHHGVWR EHDSSOLHGRQO\ZKHQPDUJLQDOSURGXFWRI FDSLWDOLVORZHUWKDQFDSLWDO\LHOG )LQDQFLDOJRYHUQPHQWUHJXODWLRQLQKLELWVOHQGHUDJHQWVWRSHUPDQHQWNHHSLQJ UHVRXUFHVLQÀQDQFLDOVHFWRUDQGVRSUHYHQWVHFRQRPLFJURZWKIURPIDOOLQJ 2QWKHRWKHUVLGHDQH[FHVVLYHKLJKFDSLWDO\LHOGWD[DERYHUHDOUHYHQXHZLOO JHQHUDWHOHQGHUDJHQWVWRQRWEHSURGXFLQJLQWKHQH[WSHULRGVLQFHWKH\ZLOOEH QHHGLQJWRGLUHFWUHVRXUFHVRQSD\LQJWD[HV&RQVHTXHQWO\DQRSWLPXPEHKDYLRU RI FDSLWDO\LHOGWD[LVGHWHUPLQHGVRDOORZVPDLQWHQDQFHWKHHTXLOLEULXPJURZWK UDWHEHFDXVHERWKSURGXFWLYHVHFWRUVSDUWLFLSDWHLQHFRQRPLFDFWLYLWLHV*RYHUQ PHQWUHJXODWLRQLVLPSRUWDQWVLQFHFRUUHFWVQHJDWLYHHIIHFWVRI ÀQDQFLDOV\VWHP RQUHDOHFRQRP\DQGGRHVQRWJHQHUDWHDQ\RWKHUGLVWRUWLRQRQWKHHFRQRP\ ,QRWKHUZRUGVWKHHFRQRP\UHWXUQVWRDVXVWDLQHGEDODQFHGJURZWKSDWKZLWK IXOOHPSOR\PHQWEHFDXVHRI FDSLWDOUHDOORFDWLRQ 7KHWKHRUHWLFDOUHVXOWVPDWFKZLWKWKRVHREWDLQHGIURPHPSLULFDOHYLGHQFH ZKHQÀQDQFLDOLQHIÀFLHQF\DSSHDUVDQGDIIHFWVQHJDWLYHO\RQJURZWKRUÀQDQFLDO UHJXODWLRQLQKLELWVWKLVQHJDWLYHLPSDFW7KHPDLQFRQGLWLRQWRDVVXUHHFRQRPLF JURZWKLVIRUPDUJLQDOSURGXFWRI FDSLWDODOZD\VWREHKLJKHUWKDQLWVÀQDQFLDO \LHOG(PSLULFDOHYLGHQFHDOVRVKRZVWKDWWKHUHLVDQHJDWLYHLPSDFWRQJURZWK GXHWRVKRFNVIURPWKHÀQDQFLDOV\VWHPKLJKO\UHWXUQVIURPVWRFNPDUNHWV GHFUHDVHVWKHHFRQRPLFJURZWKUDWHDQGJRYHUQPHQWUHJXODWLRQVWRWKHÀQDQFLDO V\VWHPFDQLQKLELWQHJDWLYHLPSDFWVRQJURZWK 7KLVDQDO\VLVDOORZVYHULI\LQJWKDWWKHUHLVDOLQNDJHEHWZHHQUHDOHFRQRP\ DQGÀQDQFLDOV\VWHPDQGWKDWDZHOOIXQFWLRQLQJRI WKHODWWHUHQFRXUDJHVJURZWK $ERXWWKHDQDO\VLVLWLVLPSRUWDQWWRVD\WKDWUHVXOWVGHSHQGRQWKHDVVXPSWLRQV VHWRXWWKURXJKRXWDOOWKHLQYHVWLJDWLRQWKDWVZK\WRH[WHQGLWLVUHOHYDQW,Q WKLVZD\WKHSHQGLQJDJHQGDLQGLFDWHVWKDWWKHHIIHFWRI LQWHUQDWLRQDOÀQDQFLDO V\VWHPRSHQHFRQRP\ RQJURZWKPXVWEHPRGHOHGWRH[SDQGWKHUROHRI  JRYHUQPHQWLQHFRQRPLFDFWLYLWLHVE\LQWURGXFLQJFRQVXPSWLRQDQGLQFRPH WD[HVDQGYHULI\HIIHFWVRQJURZWKDOVRLVQHFHVVDU\ÀQDOO\WRLQWURGXFHÀQDQFLDO LQVWUXPHQWVVXFKDVRSWLRQVIRUZDUGVHWFLQWRÀQDQFLDOV\VWHPLVPDQGDWRU\ DVZHOOZKHQFRQFHUQLQJWKHWKHRUHWLFDOSDUW2I FRXUVHHPSLULFDOHYLGHQFH PXVWÀWWKHODWWHU

78

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

ѝѝђћёіѥ Šœ’ŒȱŽŒ˜—˜–¢ȱŽšž’•’‹›’ž–

8QGHU WKH HVWDEOLVKHG FRQGLWLRQV WKH UHSUHVHQWDWLYH DJHQW PDNHV GHFLVLRQV EDVHGRQWKHUHVXOWVREWDLQHGE\WKHVROXWLRQRI WKHVWRFKDVWLFRSWLPDOFRQWURO SUREOHPJLYHQE\HTXDWLRQV>@DQG>·@7KLVVROXWLRQLVJLYHQE\WKH+DPLO WRQ-DFREL%HOOPDQFRQGLWLRQDQGKLVIROORZLQJRSWLPDOLW\FRQGLWLRQV

⎛ c 0 = ln ct − ρV ( kt ) + kt V ′ ( kt ) ⎜ α − t kt ⎝

( (

+ ⎡V kt 1 + αν y ⎣

) ) − V ( k )⎤⎦ dZt

⎞ 1 2 2 2 ⎟ + V ′′ ( kt ) α kt σ y 2 ⎠

>$@

t

1 − V ′ ( kt ) = 0 ct

>$@

V(kt) = β0 + β1 ln kt

>$@

V’(kt) = β1/kt

>$@

V ′′ ( kt ) = −β1 / kt 2

>$@

ct =

kt β1

>$@

)URPRSWLPDOLW\FRQGLWLRQVβ0 DQGβ1DUHFRQVWDQWVWREHGHWHUPLQHG(TXDWLRQ >$@VKRZVWKDWDÀ[HGFDSLWDOSURSRUWLRQLVDOZD\VFRQVXPHGDQGVLQFHWKHUH LVRQO\RQHFRPPRGLW\WKDWLVLQWHQGHGHLWKHUIRUFRQVXPSWLRQRULQYHVWPHQW WKHQQRWFRQVXPHGSURSRUWLRQUHSUHVHQWVWKHLQYHVWPHQW7RGHWHUPLQHβ1 LV QHFHVVDU\WRUHSODFHWKHIXQFWLRQV(kt) DQGLWVFRUUHVSRQGLQJÀUVWDQGVHFRQG RUGHUGHULYDWLYHVFRQGLWLRQV>$@>$@ LQHTXDWLRQ>$@DQGDVVXPHWKDW² ρβ1) DORQJZLWKFRQGLWLRQV>@>@7KLVZD\LWLVREWDLQHG 2 2 αθ y α α σy 0 = ln ρ − β0ρ + − ln 1 + ν y −1+ 2ρ ρ ρ

(

)

>$@

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

79

&RQVHTXHQWO\E\FRQVLGHULQJWKHDERYHFRQGLWLRQVWKHPDFURHFRQRPLFHTXL OLEULXPLV β1 =

β0 =

1 ρ

>$@

⎤ α 2 σ2y α αθ y 1⎡ ρ + + + ν − − 1⎥ ln ln 1 ⎢ y ρ ⎢⎣ ρ ρ 2ρ ⎥⎦

kt = k0 e

(

⎛ α 2 σ2y ⎜ α−ρ− ⎜ 2 ⎝

ct = ρk0 e

⎞ ⎟t +ασ y Wt + ln 1+αν y Zt ⎟ ⎠

⎛ α 2 σ2y ⎜ α−ρ− ⎜ 2 ⎝

⎛ α 2 σ2y ψ = ⎜α −ρ− ⎜ 2 ⎝

)

(

)

>$@

⎞ ⎟t +ασ y Wt + ln 1+αν y Zt ⎟ ⎠

(

)

>$@

⎞ ⎟⎟ t + ασ y ξ + ln 1 + αν y Zt ⎠

(

>$@

)

>$@

ZKHUHξ = Wt DQGξ ∼ (0,1),WFDQEHVHHQWKDWUDWLRVβ1DQGβ0DUHLQYDULDQW RYHUWLPHWKDWFDSLWDOGHSHQGVRQO\RQWKHLQLWLDOFDSLWDOOHYHODQGWKDWSHUFDS LWDFRQVXPSWLRQLVGLUHFWO\GHWHUPLQHGE\FRQVXPHUVSUHIHUHQFHVDQGE\WKH HTXLOLEULXPFDSLWDOURXWH 7RGHULYDWHHTXDWLRQ>$@LWLVQHFHVVDU\WRFRQVLGHUWKDWWKHRSWLPDOFRQWURO SUREOHPSRVHGE\>@DQG>·@JLYHV " ( kt , t ) = Š¡ E {ln ( ct ) e −ρt + o ( dt ) + " ( kt , t ) + d" ( kt , t )|t } >$@ cs [t ,t + dt ]

0HDQZKLOHÍWR·VOHPPDVHWV ⎡ ∂" ∂" ⎛ c ⎞ 1 ∂ 2" 2 2 ⎤ + d" ( kt , t ) = ⎢ kt ⎜ α − t ⎟ + kt σ y ⎥ dt kt ⎠ 2 ∂kt 2 ⎣ ∂t ∂kt ⎝ ⎦ ∂" ∂" + kt σ y dWt + kt vy dZt ∂kt ∂kt

>$@

80

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

7RÀQGHTXDWLRQ>$@LW·VHVVHQWLDOWRUHSODFH(kt,t) = V(kt)e–ρtDQGDSSO\>$@ WRHTXDWLRQ>$@WKHQWDNHH[SHFWDWLRQDQGVHWE(dz) = 0WRGLYLGHE\dtDQG WDNHWKHOLPLWDVt → 0VRLWFDQEHREWDLQHG>$@ Ž—Ž›ȱœŽŒ˜›ȱŽšž’•’‹›’ž–

7KHOHQGHUDJHQWPDNHVLWVGHFLVLRQVEDVHGRQWKHFRQGLWLRQVVHWE\HTXDWLRQ>@ VXEMHFWWRWKHFRQVWUDLQW>@ZKRVHVWDWXV+DPLOWRQ-DFREL%HOOPDQLVHTXDO WR]HURDQGLVDVIROORZV ⎛ cl ⎞ 1 0 = ln ctl − ρV ( ktl ) + ktl V ′ ( ktl ) ⎜ α + δ − tl ⎟ + V ′′ ( ktl ) ktl 2 α 2 σ2y + δ2 σδ2 kt ⎠ 2 ⎝ + ⎡V ktl 1 + αν y + δν δ − V ( ktl ) ⎤ dMtl ⎣ ⎦

(

( (

)

>$@

))

7KHDERYHHTXDWLRQKDVWKHIROORZLQJRSWLPDOLW\FRQGLWLRQV ∂HJB 1 = l − V ′ ( ktl ) = 0 l ∂ct ct

>$@

V ( ktl ) = β0l + β1l ln ktl

>$@

V ′ ( ktl ) =

β1l ktl

V ′′ ( ktl ) = − ctl =

β1l ktl 2

>$@ >$@

ktl β1l

>$@

1 ρ

>$@

β1l =

(TXDWLRQV>$@DQG>$@VKRZWKDWWKHOHQGHUDJHQWDOZD\VZLOOFRQVXPHD À[HGSURSRUWLRQRI WKHLUFDSLWDOVRDKLJKHUOHYHORI FDSLWDODOZD\VUHVXOWV LQDKLJKHUOHYHORI FRQVXPSWLRQ2I WKHDERYHRSWLPDOLW\FRQGLWLRQVUHVXOW

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘ 2 2 2 2 α δ α σ y + δ σδ 0 = ln ρ − β ρ + + − −1 2ρ ρ ρ αθ y δθ + ln 1 + ν y + δ ln (1 + νδ ) ρ ρ

81

l 0

(

>$@

)

7KHUHIRUHWKHHTXLOLEULXPRI WKHUHSUHVHQWDWLYHOHQGHUDJHQWLV β1l = βl0 =

(

)

⎛ α 2 σ2y +δ2 σδ2 ⎞ ⎜ α+δ−ρ− ⎟t + ασ y +δσ y Utl + ln 1+αν y Mt + ln ( 1+δν δ ) Mt ⎟ 2 l ⎜⎝ ⎠ 0

(

)

(

)

⎛ α 2 σ2y +δ2 σδ2 ⎞ ⎜ α+δ−ρ− ⎟t + ασ y +δσ y Utl + ln 1+αν y Mt + ln ( 1+δν δ ) Mt ⎟ 2 l ⎜⎝ ⎠ 0

(

c = ρk e l t

>$@

⎤ α 2 σ2y + δ2 σδ2 δθ α + δ αθ y 1⎡ + − 1⎥ >$@ ln 1 + ν y + δ ln ( 1 + ν δ ) − ⎢ln ρ + ρ ⎣⎢ ρ ρ ρ 2ρ ⎥⎦

k =k e l t

1 ρ

)

(

)

⎛ α 2 σ 2y + δ 2 σ δ2 ⎞ ψ = ⎜α + δ −ρ− ⎟ t + ασ y + δσ y ξ 2 ⎝ ⎠

(

l

(

)

>$@ >$@

>$@

)

+ ⎡⎣ln 1 + αν y + ln (1 + δνδ )⎤⎦ Mt

7KLVEDODQFHUHVFXHVWKHIROORZLQJUDWLRV β1l DQG βl0 DUHLQYDULDQWRYHUWLPHWKH OHYHORI FDSLWDOGHSHQGVRQO\RQLQLWLDOFDSLWDOOHYHODQGSHUFDSLWDFRQVXPSWLRQ LVGLUHFWO\GHWHUPLQHGE\WKHSUHIHUHQFHVRI FRQVXPHUVDQGE\WKHURXWHRI  FDSLWDOHTXLOLEULXP 7RGHULYDWHHTXDWLRQ>$@LWLVQHFHVVDU\WRFRQVLGHUWKDWWKHRSWLPDOFRQWURO SUREOHPSRVHGE\>@DQG>@JLYHV

{

" ( ktl , t ) = Š¡ E ln ( ctl ) e −ρt + o ( dt ) + " ( ktl , t ) + d" ( ktl , t )|t cs [t ,t + dt ]

}

>$@

82

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

0HDQZKLOHÍWR·VOHPPDVWDWHV ⎡ ∂" ∂" l ⎛ ⎤ ctl ⎞ 1 ∂ 2" l 2 2 2 " (k ,t) = ⎢ + l kt ⎜ α + δ − l ⎟ + σ + σ k ⎥ dt δ t y 2 kt ⎠ 2 ∂ktl ⎣ ∂t ∂kt ⎝ ⎦ ∂" ∂" + l ktl σ y + σδ dUtl + l ktl vy + ν δ dMtl ∂kt ∂kt

(

l t

(

)

(

)

>$@

)

7RÀQGHTXDWLRQ>$@LVQHFHVVDU\WRUHSODFH J ( ktl , t ) = V ( ktl )e −ρt DQGDSSO\ >$@WRHTXDWLRQ>$@WKHQWDNHH[SHFWDWLRQDQGÀ[E(dMt) = 0WRGLYLGH dtDQGWDNHWKHOLPLWDVt → 0 VRLWFDQEHREWDLQHG>$@ ˜››˜ Ž›ȱœŽŒ˜›ȱŽšž’•’‹›’ž–

7KHERUURZHUDJHQWPDNHVGHFLVLRQVEDVHGRQWKHFRQGLWLRQVVHWE\HTXDWLRQ >@VXEMHFWWRWKHFRQVWUDLQW>@ZKRVHVWDWXV+DPLOWRQ-DFREL%HOOPDQMRLQWO\ ZLWKLWVRSWLPDOLW\FRQGLWLRQVDUH ⎛ cb ⎞ 1 0 = ln ctb − ρV ( ktb ) + ktb V ′ ( ktb ) ⎜ α − δ − tb ⎟ + V ′′ ( ktb ) ktb 2 α 2 σ2y − δ2 σδ2 kt ⎠ 2 ⎝ + ⎡V ktb 1 + αν y − δν δ − V ( ktb ) ⎤ dMtb ⎣ ⎦ ∂HJB 1 = b − V ′ ( ktb ) = 0 ∂ctb ct

(

( (

))

V ( ktb ) = β0b + β1b ln ktb

V ′ ( ktb ) =

β1b ktb

V ′′ ( ktb ) = − ktb β1b 1 β1b = ρ

ctb =

β1b ktb 2

)

>$@

>$@ >$@ >$@ >$@ >$@

>$@

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

83

6LPLODUO\ERUURZHUFRQVXPSWLRQOHYHOZLOODOZD\VEHDÀ[HGSURSRUWLRQRI KLV FDSLWDODVVKRZQE\WKHHTXDWLRQV>$@DQG>$@7KHFRQVXPSWLRQOHYHOZLOO DOVRLQFUHDVHDVWKHKLJKHUFDSLWDOOHYHOLV)URPSUHYLRXVRSWLPDOLW\FRQGLWLRQV FDQEHREWDLQHG 0 = ln ρ − βb0ρ + αθ y

2 2 2 2 α δ α σ y − δ σδ − − −1 2ρ ρ ρ

>$@

δθ + ln 1 + ν y − δ ln (1 + νδ ) ρ ρ

(

)

7KXVWKHHTXLOLEULXPIRUWKHERUURZHUDJHQWLV β1b =

1 ρ

>$@

2 2 2 2 ⎤ >$@ 1⎡ α αθ y δ α σ y − δ σδ δθδ ln 1 + ν y − − ln ( 1 + ν δ ) − 1⎥ β = ⎢ln ρ + + − 2ρ ρ ⎢⎣ ρ ρ ρ ρ ⎥⎦

(

b 0

)

⎛ α 2 σ2y −δ2 σδ2 ⎞ ⎜ α−δ−ρ− ⎟t + ασ y −δσ y Utl + ln 1+αν y Mt − ln ( 1+δν δ ) Mt ⎜ ⎟ 2 b ⎝ ⎠ 0

>$@

⎛ α 2 σ2y −δ2 σδ2 ⎞ ⎜ α−δ−ρ− ⎟t + ασ y −δσ y Utl + ln 1+αν y Mt − ln ( 1+δν δ ) Mt ⎟ 2 b ⎜⎝ ⎠ 0

>$@

(

ktb = k e

)

(

ctb = ρk e

)

⎛ α 2 σ2y − δ2 σδ2 ψb = ⎜ α − δ − ρ − ⎜ 2 ⎝

(

)

(

)

(

)

⎞ ⎟⎟ t + ασ y − δσ y ξ ⎠

(

)

>$@

+ ⎡ln 1 + αν y − ln ( 1 + δν δ ) ⎤ Mt ⎣ ⎦

,WFDQEHFKHFNHGDJDLQWKDWSURSRUWLRQV β1b DQG βb0 DUHLQYDULDQWRYHUWLPH WKDWFDSLWDOOHYHORI ERUURZHUDOVRGHSHQGVRQO\RQWKHOHYHORI LQLWLDOFDSLWDODQG WKDWKLVSHUFDSLWDFRQVXPSWLRQLVGLUHFWO\GHWHUPLQHGE\KLVSUHIHUHQFHVDQGE\ HTXLOLEULXPFDSLWDOURXWH 7RGHULYDWHHTXDWLRQ>$@LWLVQHFHVVDU\WRFRQVLGHUWKDWWKHRSWLPDOFRQWURO SUREOHPSRVHGE\>@DQG>@JLYHV

84

Š•ŸŠ˜›ȱ’ŸŠœȱŒŽŸŽœȱŠ—ȱ‘’Š›Šȱ–Š˜

{

}

" ( ktb , t ) = Š¡ E ln ( ctb ) e −ρt + o ( dt ) + " ( ktb , t ) + d" ( ktb , t )|t >$@ cs [t ,t + dt ] 0HDQZKLOHÍWR·VOHPPDVHW ⎡ ∂" ∂" b ⎛ ⎤ c b ⎞ 1 ∂ 2" b 2 2 + b kt ⎜ α − δ − tb ⎟ + d " ( ktb , t ) = ⎢ k σ − σ δ2 ) ⎥ dt b2 t ( y kt ⎠ 2 ∂kt ⎝ ⎣ ∂t ∂kt ⎦ ∂" ∂" + b ktb (σ y − σ δ ) dU tl + b ktb ( v y −ν δ ) dM tb ∂kt ∂kt

>$@

−ρt

7RÀQGHTXDWLRQ>$@LW·VHVVHQWLDOWRUHSODFH J ( kt , t ) = V ( kt )e DQGDSSO\ >$@WRHTXDWLRQ>$@WKHQWDNHH[SHFWDWLRQDQGÀ[E(dMt) = 0WRGLYLGH E\dtDQGWDNHWKHOLPLWDVt → 0VRLWFDQEHREWDLQHG>$@ b

b

ŠŠ‹ŠœŽ

7KHFRXQWULHVFRQVLGHUHGLQWKHHPSLULFDODQDO\VLVDUH Developed countries žœ›Š•’Š

Developing countries

Japan

›Ž—’—Š

Š•Š¢œ’Š

žœ›’Š

ž¡Ž–‹˜ž›

Brazil

Ž›ž

Ž•’ž–

‘ŽȱŽ‘Ž›•Š—œ

‘’•Ž

‘’•’™™’—Žœ

Š—ŠŠ

Ž ȱŽŠ•Š—

˜•˜–‹’Š

Poland

Ž—–Š›”

˜›žŠ•

›˜Š’Š

˜ž‘ȱ›’ŒŠ

Finland

Spain

¢™

‘Š’•Š—

France

 ŽŽ—

ž—Š›¢

ž—’œ’Š

Ž›–Š—¢

 ’ĵŽ›•Š—

India

ž›”Ž¢

˜—ȱ ˜—

—’Žȱ ’—˜–

Indonesia

”›Š’—Ž

Š•¢

—’ŽȱŠŽœ

Jordan

—’Žȱ›Š‹ȱ–’›ŠŽœ

ђѓђџђћѐђѠ

$JKLRQ3DQG%ROWRQ3 $WKHRU\RI WULFNOHGRZQJURZWKDQGGHYHO RSPHQWThe Review of Economic Studies SS

˜ŸŽ›—–Ž—ȱꗊ—Œ’Š•ȱ›Žž•Š’˜—ȱŠ—ȱ›˜ ‘

85

%DJHKRW: Lombard Street. A Description of the Money Market/RQGRQ .HJDQ3DXO5SW-RKQ0XUUD\ %DQHUMHH$9DQG1HZPDQ$ 2FFXSDWLRQDOFKRLFHDQGWKHSURFHVV RI GHYHORSPHQWThe Journal of Political Economy SS %DUWK-5&DSULR*-UDQG/HYLQH5D 7KHUHJXODWLRQDQGVXSHU YLVLRQ RI  EDQNV DURXQG WKH ZRUOG $ QHZ GDWDEDVH ,Q 5( /LWDQ DQG 5+HUULQJHGV Brooking-Wharton Papers on Financial Services SS  :DVKLQJWRQ'&%URRNLQJV,QVWLWXWLRQ %DUWK-5&DSULR*-UDQG/HYLQH5E %DQNLQJV\VWHPDURXQGWKH JOREH'RUHJXODWLRQDQGRZQHUVKLSDIIHFWSHUIRUPDQFHDQGVWDELOLW\,Q )60LVKNLQHG Prudential Supervision: What Works and What Dosen’t SS  &KLFDJR,/8QLYHUVLW\RI &KLFDJR3UHVV %DUWK-5&DSULR*-UDQG/HYLQH5 %DQNUHJXODWLRQDQGVXSHUYL VLRQ:KDWZRUNVEHVW"Journal of Financial Intermediation SS %DUWK-5&DSULR*-UDQG/HYLQH5 Rethinking Bank Regulation: Till Angels Govern1HZ