Assessing the Sustainability of Credit Growth: The case of Central and Eastern European Countries

Credit growth rates as high as 30% or 50% a year were observed in some Central Eastern European countries (CEECs) in 2006-2007, such as the Baltic States, Bulgaria or Romania. This strong credit growth could have been due to the catching-up process but could also have been excessive, paving the way to the credit crunch that followed the crisis in 2008-2009. We try to assess the excessiveness of credit by applying a number of methods. First, we consider the gap between current credit and its long-term trend and we find some signs of credit booms, in several CEECs in 2005-2007. Second, we assess the “normal” growth of credit with regard to fundamentals through econometric estimations. Credit growth is also shown to have been excessive in several countries just before the 2008-2009 financial crisis.credit boom, transition, financial development

Gold and financial assets: Are there any safe havens in bear markets?

This paper looks into the role of gold as a safe haven or a hedge against stocks. We extend the existing literature in two ways. First, we consider crisis periods successively defined by recessions and bear markets. Second, we use a bivariate ARMA-GARCH-X model to estimate conditional covariances between gold and stocks returns. The regressions are run on monthly data for gold and several stock market indices (France, Germany, the UK, the US, the G7). We find that gold qualifies as a safe haven against all these stock indexes. This result holds for crises defined as recessions or bear markets, as the covariance between gold and stocks returns is found negative or null in all cases. Gold is also able to hedge against stock losses in most cases, although results are less clear-cut.gold, stocks, safe haven.

Oil Price and the Dollar

The aim of this paper is to test whether a stable long-term relationship exists between oil prices and the US effective exchange rate, expressed in real terms. To this end, weproceed to a cointegration and causality study between the two variables. Our results indicate that causality runs from oil prices to the exchange rate and that the relationship between the two variables is transmitted through the US net foreign asset position.oil prices; effective exchange rate; net foreign asset position; cointegration; causality; error correction model

delivered to the conference « REGIONAL INTEGRATION AND EXCHANGE

Dehove and Dominique Plihon: “Les crises financières, ana lyses e

Oil Price and the Dollar

International audienceThe aim of this paper is to test whether a stable long-term relationship exists between oil prices and the US effective exchange rate, expressed in real terms. To this end, weproceed to a cointegration and causality study between the two variables. Our results indicate that causality runs from oil prices to the exchange rate and that the relationship between the two variables is transmitted through the US net foreign asset position

Credit et dynamiques economiques

La longue recession de l'economie mondiale dans les annees 1990 redonne de l'eclat aux conceptions financieres du cycle economique. La mode du cycle reel, qui avait prevalu dans le sillage de la nouvelle economie classique, a du mal a apprehender les evenements qui se sont succede depuis 1989, si tant est qu'elle ait eu une part de verite empirique. Les faillites bancaires aux Etats-Unis et dans les pays scandinaves, l'effondrement des prix des actifs patrimoniaux au Royaume-Uni et au Japon, apres leur ascension vertigineuse, peuvent difficilement etre imputes a des chocs dans les conditions reelles de production. Il paraît plus raisonnable de les rapporter aux perturbations provoquees par la liberalisation financiere a l'interieur des pays et entre les pays. Si cette hypothese minimale de travail peut etre retenue, de nombreuses questions en decoulent. La liberalisation financiere a-t-elle modifie les interactions entre la finance et l'economie ? Si modification il y a, est-elle un phenomene transitoire pendant que les comportements s'ajustent a de nouvelles regles ou un caractere permanent du nouvel environnement financier ? Une finance ouverte et liberalisee provoque-t-elle des instabilites qui se repercutent dans les ajustements macro-economiques et doivent nous apprendre a vivre avec des fluctuations reelles beaucoup plus accusees qu'on en avait l'habitude dans les trente ans qui ont suivi la deuxieme guerre mondiale ?politique monetaire; croissance

Mythes et réalités de la « zone dollar »

Facts and Fantasies about the « Dollar Area » The « dollar area » can be defined as the set of countries that peg their currencies to the US dollar. In broad terms, it covers many countries that try to stabilize their exchange rate de facto against the US dollar, from Asia to South America and Middle East. Therefore, the international monetary system still relies heavily on the US dollar, like in the Bretton Woods period. A key difference is its great flexibility, as exchange rate regimes are decided at the country level and regularly adapted to market pressures and dollar fluctuations. However, one nagging similarity with Bretton Woods is still at work. The « dollar area » pushes central banks to intervene on the forex market and to hold their reserves in dollar, which helps financing the US' current account deficit and fosters its indebtedness. Classification JEL : E42, F31, F33La « zone dollar », peut se définir comme l'ensemble des pays dont les monnaies sont accrochées au dollar ; au sens large, elle recouvre un très grand nombre de pays émergents, en Asie, en Amérique Latine, au Moyen-Orient, qui cherchent à stabiliser leur taux de change de facto contre dollar. Le système monétaire international repose donc encore largement sur le billet vert, comme le système antérieur de Bretton Woods. Une différence majeure est sa plus grande souplesse, puisque les régimes de change adoptés par chaque pays sont décidés au niveau des États et évoluent régulièrement selon les fluctuations du dollar et les pressions des marchés. Pourtant, une similarité regrettable avec Bretton Woods demeure, la «zone dollar » conduit les banques centrales à intervenir sur le marché des changes et à placer leurs réserves en dollars, ce qui facilite le financement du déficit américain et pousse les États-Unis à l'endettement. Classification JEL : E42, F31, F33Coudert Virginie. Mythes et réalités de la « zone dollar » . In: Revue d'économie financière, n°94, 2009. Dollar : fin de règne ? pp. 151-169