ASEAN5ヶ国+3ヶ国における金融政策の国際協調 : 動学的確率的一般均衡アプローチを用いた分析

早大学位記番号:新8589早稲田大

Financial Market and Capital Flow Dynamics During the COVID-19 Pandemic

This paper empirically examines the reaction of global financial markets across 38 economies to the COVID-19 outbreak, with a special focus on the dynamics of capital flow across 14 emerging market economies. Using daily data over the period 4 January 2010 to 30 April 2020 and controlling for a host of domestic and global macroeconomic and financial factors, we use a fixed effects panel approach and a structural VAR framework to show that emerging markets have been more heavily affected than advanced economies. In particular, emerging economies in Asia and Europe have experienced the sharpest impact on stocks, bonds, and exchange rates due to COVID-19, as well as abrupt and substantial capital outflows. Our results indicate that fiscal stimulus packages introduced in response to COVID-19, as well as quantitative easing by central banks, have helped to restore overall investor confidence through reducing bond yields and boosting stock prices. Our findings also highlight the role that global factors and developments in the world’s leading financial centers have on financial conditions in EMEs. Importantly, the impact of COVID-19 related quantitative easing measures by central banks in advanced countries, which helped to lower sovereign bond yields and prop up stock markets at home, extended to EMEs, notably in relation to stabilizing capital flow dynamics. Going forward, while the ultimate resolution of COVID-19 may be expected to lead to a market correction as uncertainty declines, our impulse response analysis suggests that there may be some permanent effects on financial markets and capital flows as a result of COVID-19, particularly in EMEs

Is international monetary policy coordination feasible for the ASEAN-5 + 3 countries?

This study examines the feasibility of international monetary policy coordination among the ASEAN-5 + 3 countries using the two-production-factor dynamic stochastic general equilibrium (DGSE) model. It explores three types of interaction regimes among these countries: "no coordination," "bilateral coordination," and "multilateral coordination." This study defines the benefit of international monetary policy coordination as the improvement of welfare (in terms of macroeconomic stability) for the participating countries. The cost of policy coordination is the loss of flexibility for the central banks of the participating countries to conduct monetary policy in the presence of shocks. A coordination scheme is feasible when the benefit of such coordination exceeds the cost for each of the participating countries. This study finds 18 feasible bilateral coordination schemes (out of 28 schemes) and 4 feasible multilateral coordination schemes (out of 6 schemes) for the ASEAN-5 + 3 countries, of which the ASEAN-5 + 3 multilateral monetary policy coordination is the best feasible scheme. The outcomes of multilateral policy coordination tend to be better than those of bilateral policy coordination. The relative size of the participating countries is a dominant factor that determines the feasibility of policy coordination. Nonetheless, it is possible to have feasible coordination when there are big differences in size among the participating countries, provided that there are other factor(s) with a significant influence on welfare in these countries, such as strong trade and direct investment linkages

The COVID-19 pandemic and Indonesia's fintech markets

This paper investigates the impacts of the COVID-19 pandemic and the large-scale social distancing (PSBB) policy on Indonesia's financial technology (fintech) markets. It also elaborates the roles that fintech companies can play in the national economic recovery. This paper finds that Indonesia's fintech markets were relatively resilient during the COVID-19 pandemic. The pandemic did not have significant impacts on Indonesia's fintech markets, but the PSBB harmed phone banking, mobile banking, and internet banking transaction values as well as peer-to-peer (P2P) fintech lending. Nevertheless, the PSBB increased electronic money transactions. The relatively short PSBB period prevented the restrictions on economic activities from imposing too much damage on the fintech markets. The Indonesian authorities involved the fintech industry as a component of the national economic recovery program (PEN), particularly the pre-employment card (Kartu Prakerja) program. There are still many areas in which the government can utilize the fintech industry for economic recovery, including direct cash transfers to poor households and extensions of subsidized loans for micro, small, and medium enterprises (MSMEs)

APAKAH KOORDINASI KEBIJAKAN MONETER INTERNASIONAL FISIBEL UNTUK NEGARA-NEGARA ASEAN+3?

We examine the feasibility of international monetary policy coordination among the ASEAN-5 + 3 countries using the two-production-factor Dynamic Stochastic General Equilibrium (DGSE) models. It explores three types of interaction regimes among these countries: (1) No Coordination; (2) Bilateral Coordination; and (3)Multilateral Coordination. We find 18 feasible Bilateral Coordination schemes and four feasible Multilateral Coordination schemes for the ASEAN-5 + 3 countries. The best among these schemes is the Multilateral Coordination scheme that involves all the ASEAN-5 + 3 countries. Therefore, we suggest that the ASEAN-5 + 3 countries should adopt this scheme if coordinating monetary policies.Abstrak Penelitian ini merupakan studi fisibilitas terhadap koordinasi kebijakan moneter internasional di antara negara-negara ASEAN-5 + 3 dengan menggunakan model Keseimbangan Umum Stokastik Dinamis (DSGE) dengan dua faktor produksi. Penelitian ini menelusuri tiga regim interaksi antarnegara: “tidak ada koordinasi”, “koordinasi bilateral”, dan “koordinasi multilateral”. Penelitian ini mengidentifikasi 18 skema koordinasi bilateral yang fisibel (dari 28 skema yang ada) dan 4 skema koordinasi multilateral yang fisibel (dari 6 skema yang ada) untuk negara-negara ASEAN-5 + 3. Koordinasi multilateral yang melibatkan semua negara ASEAN-5 + 3 adalah skema yang terbaik di antara semua skema koordinasi yang fisibel. Skema-skema koordinasi multilateral cenderung menghasilkan tingkat kesejahteraan yang lebih baik daripada skema-skema bilateral.   Klasifikasi JEL: F41, F4

Indonesia's financial markets and monetary policy dynamics amid the Covid-19 pandemic

This paper is based on a study that examines the impact of the Covid-19 pandemic on Indonesia's financial markets and monetary policy dynamics. The study explores five types of financial market in Indonesia: (1) the Indonesian rupiah (IDR) interbank money market; (2) the US Dollar (USD) interbank money market; (3) government conventional bond (SUN) markets; (4) the stock market; and (5) the USD/IDR spot market. It examines Bank Indonesia's (BI) three types of monetary policy instrument: (1) BI seven-day reverse repo rate; (2) minimum reserve requirement ratios; and (3) BI's monetary operations. The study finds that the Covid-19 pandemic causes different impacts of particular monetary policy instruments on Indonesia's financial markets during the pandemic compared to those in the non-pandemic period