Back Matter

Back Matter

Author(s):
Ana Corbacho, and Shanaka Peiris
Published Date:
October 2018
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Index

A

  • Access, to financial system, 54, 55f
  • Accountability
    • by central banks, 16
    • macroprudential policy and, 7
  • Adler, G., 104–5, 106, 109, 110
  • Adrian, T., 207, 268n11
  • AEC. See Asian Economic Community
  • Aggregate Rational Inflation-Targeting Model, 22
  • Ahmed, Shaghil, 67n1
  • Aizenman, J. M., 2, 24, 37–42, 38f, 41f, 105–6
  • Ajello, A., 181
  • AML/CFT. See Anti-money laundering and combating the financing of terrorism
  • Ananchotikul, N., 264n7
  • Anand, R., 111, 225, 243–44
  • Annual Report on Exchange Arrangements and Exchange Restrictions (AREAER), 27
  • Anti-money laundering and combating the financing of terrorism (AML/CFT), 214
  • APDMOD, 234
  • AREAER. See Annual Report on Exchange Arrangements and Exchange Restrictions
  • ASEAN-5. See specific topics
  • ASEAN Plus Three, 259, 259n1, 269
    • regional financing arrangements of, 277
  • Asian Bond Market Initiative, 47–48
  • Asian Economic Community (AEC), 257, 274
  • Asian financial crisis
    • bank balance sheet and, 62
    • bond markets after, 47–48
    • capital requirements and, 139–40
    • central banks and, 24
    • credit growth in, 147, 148–51, 186
    • credit in, 144–46
    • financial system and, 45, 45n2, 46–50
    • financial system regulation after, 46–47, 46n3
    • GFC and, 24–27, 42
    • inflation after, 161–62
    • macroprudential policy in, 148–51, 151f
    • major reforms since, 46–50
    • monetary policy in, 15–16
    • nonperforming loans in, 45
    • policy rate in, 112–13, 113f, 143
    • price cycles in, 151
  • Asset-management companies, 50
  • Asset prices
    • balance sheets and, 146
    • credit and, 6–7
    • impulse response functions and, 77
    • inflation of, 103
    • monetary policy and, 129
    • principal component analysis and, 68
    • VIX and, 4, 74
  • Association of Southeastern Nations-5 (ASEAN-5). See specific topics

B

  • Balance sheets. See Bank balance sheets
  • Bangko Sentral ng Pilipinas (BSP), 16, 17, 209
    • financial system regulation by, 47
    • inflation forecasting by, 22
    • interest rate corridor system of, 22
  • Bank balance sheets, 7, 60f
    • Asian financial crisis and, 62
    • asset prices and, 146
    • impulse response functions and, 77
    • structural risk in, 60
  • Bank credit
    • global shocks and, 75–77
    • local currencies and, 79–80
    • macroprudential policy and, 7
    • principal component analysis and, 68
  • Bank for Agriculture and Agriculture Cooperatives, 58
  • Bank for International Settlements (BIS), 136, 190, 243
    • on macroprudential policy, 130
  • Bank Indonesia (BI), 16, 17
    • Aggregate Rational Inflation-Targeting Model of, 22
    • financial system regulation by, 46–47
    • foreign exchange and, 115–16
  • Banking Integration Framework, 277
  • Bank Negara Malaysia (BNM), 16
    • exchange rates by, 18
    • financial system regulation by, 47
    • monetary policy of, 174
    • price stability by, 18
    • short-term interest rate and, 18
  • Bank of Thailand (BOT), 16, 57, 208, 209
    • financial system regulation by, 47
    • Macroeconomic Model of, 22
    • money supply of, 17n4
    • provisioning rates of, 84n17
    • supervision by, 58
  • Bankruptcy laws, 49
  • Banks
    • conglomerates of, 57
    • corporations and, 205–6, 205f
    • DSGE and, 250–52
    • fund assets of, 53f
    • global shocks and, 82–84, 83t
    • household debt and, 197–201, 199f, 200f, 200t
    • interest rates of, 82–84, 83t
    • leverage of, 60, 146–47, 147f
    • shadow, 4, 51, 52, 53f
    • See also Capital requirements; Central banks; Nonperforming loans; Reserve requirements
  • Basel core principles, 3, 46
  • Basel I, 139
  • Basel III, 9, 207, 208
    • capital requirements for, 139–40
    • countercyclical capital buffer, 252
    • liquidity and, 132
  • Baseline gravity model, for trade, 263–64, 264t
  • Bayesian vector autoregression (VAR), 4, 74, 150, 221
  • Beaudry, P., 240
  • Benes, J., 111
  • BI. See Bank Indonesia
  • BIS. See Bank for International Settlements
  • Bitcoin, 214
  • Blanchard, O., 159
  • Blinder, A., 167n6
  • Bloomberg Finance L.P.’s, 201n3, 203
  • BNM. See Bank Negara Malaysia
  • Bond markets
    • access to, 54, 55f
    • after Asian financial crisis, 47–48
    • foreign exchange and, 3
    • global yields from, 5f
    • in local currencies, 47–48, 49f
  • Boom-and-bust cycles
    • countercyclical monetary policy in, 217
    • global spillovers with, 217
    • household debt and, 243
    • spillovers in, 9
  • Borio, C., 124, 190
  • BOT. See Bank of Thailand
  • Break-even inflation rate (BEIR), 159nn1–2
  • Broad money, 146, 146f
  • Bruno, V., 142, 268n11
  • BSP. See Bangko Sentral ng Pilipinas
  • Business cycles, 73–80
    • average length of, 124–25, 124t
    • external factors and, 99
    • fiscal policy for, 218
    • foreign exchange market and, 6
    • macroprudential policy for, 217

C

  • Caceres, C., 97, 98
  • Calvo, G., 108
  • Capital accounts
    • liberalization of, 276–77
    • openness of, impossible trinity and, 2, 37–42, 38f, 41f
  • Capital buffer
    • countercyclical, 140–41, 140f, 140n6, 230–31, 231f, 232f, 252
    • requirements for, 141n7
    • for shocks, 60
  • Capital conversion buffer, 208
  • Capital flows, 10
    • central banks and, 101
    • domestic financial factors and, 78f–79f
    • equity prices and, 79
    • external factors for, 100–112, 101f, 102f
    • external shocks on, 278
    • in financial cycles, 100
    • financial stability and, 142
    • foreign exchange and, 103–9, 104f, 115f
    • GFC and, 101–2
    • global financial factors and, 78f–79f
    • global shocks and, 77–79
    • institutional quality and, 266
    • macroprudential policy and, 142n8, 148n10
    • management of, 141–42, 141f
    • monetary policy for, 103
    • monetary policy response to, 112–16, 113f, 114t, 115f, 116f
    • risk management of, 277–78
    • in taper tantrum, 103
    • VIX and, 4, 74, 269n12, 271f
    • volatility of, 93–94
  • Capital gains tax, 48
  • Capital-oriented tools, for macroprudential policy, 131–32
  • Capital producers, DSGE and, 248
  • Capital requirements, 208
    • Asian financial crisis and, 139–40
    • GFC and, 139
    • macroprudential policy for, 133t
  • Carrière-Swallow, Y., 97, 98
  • Cash reserve ratio (CRR), 251
  • CDRAC. See Corporate Debt Restructuring Advisory Committee
  • CDRC. See Corporate Debt Restructuring Committee
  • Central Bank of Malaysia Act 2009, 209
  • Central banks, 16n2
    • accountability by, 16
    • Asian financial crisis and, 24
    • capital flows and, 101
    • conglomerates and, 56
    • cryptocurrencies and, 213–14
    • foreign exchange and, 24, 105–6
    • fund assets of, 53f
    • governance structure of, 17t
    • inflation and, 8, 18, 126, 159, 167
    • interest rates of, 22–24, 23f
    • liquidity of, 24
    • macroprudential policy of, 7, 94
    • monetary policy of, 15–16, 175
    • natural real interest rate and, 171
    • operational autonomy of, 16
    • transparency of, 16, 24, 25f, 171–73, 172f, 173f
    • See also Policy rate
  • Cerra, V., 218
  • Cerutti, E., 159
  • Cervantes, R., 58
  • Chai-anant, C., 111
  • Chiang Mai Initiative Multilateralization (CMIM), 10–11
    • regional financing arrangements of, 277
  • Chicago Board Options Volatility Index (VIX), 268n11
    • asset prices and, 4, 74
    • capital flows and, 4, 74, 269n12, 271f
    • global risk aversion and, 74, 75, 80, 96–97
    • monetary policy and, 67
    • principal component analysis and, 68
  • China
    • in ASEAN Plus Three, 259, 259n1
    • Asian Bond Market Initiative and, 47
    • equity markets of, 271n13
    • external demand from, 67, 75, 90
    • financial stability in, 84
    • funding shock in, 84, 88
    • GDP growth in, 88, 89f
    • growth slowdown in, 5
    • real GDP growth in, 88
    • terms-of-trade growth in, 74
  • Chinn, M., 2, 24, 37–42, 38f, 41f
  • Cihak, M., 47, 58
  • Claessens S., 50
  • CMIM. See Chiang Mai Initiative Multilateralization
  • Coefficient of variation, for exchange rate volatility, 28–30, 29t
  • Coibion, O., 160n4
  • Commodity prices
    • cycles, 2
    • inflation and, 32f
    • terms-of-trade and, 100f
  • Common equity ratio, 208
  • Conglomerates
    • credit for, 230
    • in financial system, 55–57
  • Connected lending, regulations for, 46
  • Contingency planning, 212–13
  • Coordinated Portfolio Investment Survey, of IMF, 269n12
  • Core inflation, 18, 21f, 94, 158, 158f
  • Corporate Debt Restructuring Advisory Committee (CDRAC), 49
  • Corporate Debt Restructuring Committee (CDRC), 49
  • Corporations
    • Asian financial crisis and, 48–50
    • banks and, 205–6, 205f
    • debt of, 201–6, 202f–5f
    • exchange rates and, 204
    • interest rates and, 204
    • leverage of, 8, 201
    • out-of-court workouts for, 3, 49–50
    • restructuring of, 48–50
    • shocks to, 203–4
    • systemic risk of, 201–6, 202f–5f
  • Countercyclical capital buffer, 140–41, 140f, 140n6, 230–31, 231f, 232f, 252
  • Countercyclical loan-to-value ratio, 226–30
    • macroprudential policy and, 229n6
  • Countercyclical monetary policy, 9
    • in boom-and-bust cycles, 217
    • inflation and, 177
  • Country Financial Stability Maps, 58, 60–61, 61f
  • Credit
    • in Asian financial crisis, 144–46
    • asset prices and, 6–7
    • broad money and, 146, 146f
    • for conglomerates, 230
    • in financial cycles, 144
    • macroprudential policy for, 132t, 222f
    • See also Bank credit
  • Credit cycles, 123
    • average length of, 124t
    • credit growth in, 126–27
    • LTV and, 147–48
    • macroprudential policy and, 9
    • prudential measures for, 136, 138
    • reserve requirements and, 147–48
  • Credit growth
    • in Asian financial crisis, 147, 148–51, 186
    • after GFC, 8, 187, 230
    • interest rates and, 230
    • leaning-against-the-wind for, 180
    • LTV and, 138
    • macroprudential policy for, 133t, 134t, 147, 148f, 151f
    • systemic risk of, 186–93, 187f–92f
  • Credit shocks, 73–80
  • Credit-to-GDP ratio, 186–87, 189f–92f, 190, 193
  • Crisis management, 212–13
    • See also Asian financial crisis; Global financial crisis
  • CRR. See Cash reserve ratio
  • Cryptocurrency, 213–14
  • Currency
    • cryptocurrency, 213–14
    • depreciation, 80
    • foreign currency exposure, regulations for, 46
    • swap arrangement, 10
    • See also Local currency; Reserve currency; United States dollar

D

  • Danaharta, 50
  • Dao, T., 27n10
  • Debt financing, by government, 237
  • Debt service-to-income (DSTI), 135t
  • De facto capital account openness index, 39–40, 40f, 41f
  • De facto exchange rates, 28f, 30
  • De jure capital account openness index, 39
  • De jure exchange rates, 28f
  • Dell’Ariccia, G., 186–87
  • Delloro, V., 111, 225, 243–44
  • DeLong, J. B., 240
  • Demirgüç-Kunt, A., 54, 186
  • De Paoli, B., 96n1
  • Deposit Insurance Corporation, 213
  • Deposit rates
    • global shocks and, 82, 82t
    • policy rate and, 22
  • Deposit-to-loan ratio, 59
  • Detragiache, E., 186
  • Diebold, F. X., 67n3, 270
  • Divine coincidence, 179n10
  • Dollar. See United States dollar
  • Domestic financial factors, 68n5
    • capital flows and, 78f–79f
    • external shocks and, 76f–77f
    • global financial factors and, 68, 69f–70f, 71t, 126
    • global shocks and, 72f–73f
    • local currencies and, 79–80
    • SVARX and, 119
  • Drehmann, M., 124, 190
  • DSGE. See Dynamic stochastic general equilibrium
  • DSTI. See Debt service-to-income
  • Dynamic stochastic general equilibrium (DSGE), 22, 225
    • banks and, 250–52
    • capital producers and, 248
    • entrepreneurs and, 246–48
    • government and, 252
    • households and, 244–46
    • for leaning-against-the-wind, 220–21
    • macroprudential policy and, 243–53
    • market clearing conditions for, 252–53
    • monetary policy and, 243–53
    • retail sector and, 249–50
    • shocks in, 253
    • structure of, 226f
    • wholesale sector and, 249

E

  • Economic cycles
    • financial cycles and, 190
    • interest rates and, 93
    • policy rate and, 5
  • Effective federal funds rate (EFFR), 100f
  • Efficiency, of financial system, 54–55, 56f
  • EFFR. See Effective federal funds rate
  • Emerging Market Government Bond Index (EMBIG), 75, 80
  • Entrepreneurs, 225–26
    • DSGE and, 246–48
  • Equilibrium real interest rate, 169n7
  • Equity markets
    • financial system integration of, 271, 271n13
    • spillovers in, 270–71, 272f
  • Equity prices
    • global financial factors and, 79
    • global risk aversion and, 80
    • interest rates and, 84
  • Escudé, G., 109–10, 111
  • Etula, E., 268n11
  • Europe
    • liquidity in, 269, 270t
    • reserve holdings in, 108–9
  • Exchange rates
    • by BNM, 18
    • coefficient of variation for, 28–30, 29t
    • corporations and, 204
    • de facto, 28f, 30
    • de jure, 28f
    • foreign exchange and, 104–5, 105f, 109–12
    • free floats of, 27
    • in GFC, 5
    • greater flexibility of, 24–30
    • impossible trinity and, 2, 37–42, 38f, 41f
    • monetary policy response and, 93–119
    • reserve buffers and, 115–16
    • shocks and, 5–6
    • stability of, 2, 37–42, 38f, 41f
    • with US dollar, 106
    • volatility of, 28–30, 29t, 116, 116n6
    • See also Nominal effective exchange rate; Peg exchange rates; Real exchange rate
  • External blocks, 74
  • External demand
    • from China, 67, 75, 90
    • from US, 67, 75, 90
  • External factors, 73–80
    • business cycle and, 99
    • for capital flows, 100–112, 101f, 102f
    • SVARX and, 119
  • External shocks
    • on capital flows, 278
    • domestic financial factors and, 76f–77f
    • impulse response function and, 77–80
    • VAR for, 74
  • External stability, 16, 16n3
  • Eyraud, L., 273

F

  • FATF. See Financial Action Task Force
  • Federal funds rate, 80n14, 98
    • policy rate and, 100f
    • twelve-month cumulative response to, 99f
  • Felman, J., 48
  • Feyen, E., 54
  • Fibonacci retracement, 204n4
  • Filardo, A., 180
  • Financial Action Task Force (FATF), 214
  • Financial cycles
    • capital flows in, 100
    • credit in, 144
    • economic cycles and, 190
    • inflation and, 124–25, 125f
    • macroprudential policy for, 217, 221, 241–42
    • recognition of, 136
  • Financial depth, 50–54, 51f–53f
  • Financial risk, 4
    • in institutional quality, 264
    • monetary policy and, 221, 221n5
    • See also Macro-financial risk
  • Financial soundness indicators, 59–60, 60t
  • Financial stability, 58–61, 61f
    • capital flows and, 142
    • in China, 84
    • macroprudential policy for, 123–24, 128, 130–32, 221
    • monetary policy for, 177–81, 220, 220f
    • systemic risk and, 185–215
  • Financial Stability Board (FSB), 52, 213
    • on macroprudential policy, 130
  • Financial system
    • access to, 54, 55f
    • Asian financial crisis and, 45, 45n2, 46–50
    • conglomerates in, 55–57
    • efficiency of, 54–55, 56f
    • financial depth of, 50–54, 51f, –53f
    • financial soundness indicators for, 59–60, 60t
    • in GFC, 45
    • government ownership of, 57–58
    • interconnectivity of, 193–201
    • liberalization of, 275–76, 276f
    • macro-financial risk for, 60–61, 61f
    • macroprudential policy for, 58
    • net interest margins of, 54, 56f
    • present condition of, 50–58
    • resilience of, 45–63
    • z-scores for, 58–59, 59f
  • Financial system integration
    • benefits and costs of, 266–74, 268t, 269t, 270f–72f, 273t, 274t
    • challenges and policy initiatives of, 274–78, 275t, 276f
    • current state of, 258–62, 258f–62f
    • drivers of, 262, 267t
    • of equity markets, 271, 271n13
    • framework for, 275, 275t
    • future of, 257–78
    • global, 273, 273nn17–18
    • institutional quality and, 264–66, 264n7, 265t, 266f
    • with portfolios and trade, 10, 10f, 261–62, 262f
    • rebalancing with, 10, 271–72, 273f
    • trade baseline gravity model and, 263–64, 264t
  • Financial system regulation, 3, 9
    • after Asian financial crisis, 46–47, 46n3
    • after GFC, 206
    • systemic risk and, 207–8
  • Fiscal expansion, in US, 85–88, 87f
  • Fiscal policy
    • for business cycles, 218
    • monetary policy and, 9, 232–39
  • Fiscal stimulus
    • inflation and, 177–79, 178f, 237
    • for infrastructure investment, 234–39, 235f, 236f, 238f
    • monetary policy and, 233
    • real GDP growth and, 237
  • Fit-and-proper rules, 46
  • Flexible System of Global Models, of IMF, 234
  • Forecasting and Policy Analysis System (FPAS), 109–10, 111t
  • Foreign currency exposure, regulations for, 46
  • Foreign direct investment, 260
    • z-scores from, 273n17
  • Foreign exchange
    • BI and, 115–16
    • bond markets and, 3
    • business cycle and, 6
    • capital flows and, 103–9, 104f, 115f
    • central banks and, 24, 105–6
    • ex ante total cost of, 106, 108f
    • exchange rates and, 104–5, 105f, 109–12
    • FPAS for, 109–10, 111t
    • hedging instruments for, 48, 204
    • inflation and, 110
    • leaning-against-the-wind and, 103, 109
    • macroprudential policy for, 111–12
    • reserve holdings of, 106–9
    • share of liabilities in total liabilities, 59
    • share of loans to total loans in, 59
    • sterilization of, 103, 105–6, 107f, 108t
  • Forward-looking
    • GFC and, 2
    • inflation and, 8f
    • macroprudential policy, 134t, 148
    • monetary policy, 15–16, 18, 24, 161
  • FPAS. See Forecasting and Policy Analysis System
  • Free floaters
    • of exchange rates, 27
    • peg exchange rates and, 98n5
  • FSB. See Financial Stability Board
  • Full employment, inflation and, 177n9
  • Fund assets of, 53f
  • Funding shock, in China, 84, 88

G

  • Galí, J., 128, 159
  • Gambacorta, L., 180
  • Garcia Morales, Juan Angel, 7
  • GDP growth, 2f
    • in China, 88, 89f
    • credit growth and, 231f
    • as domestic financial condition, 74
    • inflation and, 30, 31f
    • portfolio investment and, 270f
    • private sector debt and, 224, 224f, 225t
    • real cycle and, 241
    • See also Real GDP growth
  • Gertler, M., 159
  • GFC. See Global financial crisis
  • Ghilardi, M. F., 221
  • Glick, R., 105–6
  • Global financial crisis (GFC), 3–4
    • Asian financial crisis and, 24–27, 42
    • bank reserve requirements in, 113–15
    • capital flows and, 101–2
    • capital requirements and, 139
    • credit growth after, 8, 187, 230
    • exchange rates in, 5
    • financial system in, 45
    • financial system regulation after, 206
    • forward-looking and, 2
    • Great Recession after, 179
    • inflation after, 32, 158, 164–65, 236–37
    • macroeconomic policies in, 219–20
    • macro-financial risk since, 60
    • monetary policy and, 5, 176f
    • policy rate in, 143f
    • systemic risk after, 193
  • Global financial factors
    • capital flows and, 78f–79f
    • domestic financial factors and, 68, 69f–70f, 71t, 126
    • equity prices and, 79
    • short-term interest rates and, 75
  • Global financial integration, 273, 273nn17–18
  • Global Financial Stability Map, 61, 61f
  • Global Financial Stability Report (IMF), 187, 193
  • Global Integrated Monetary and Fiscal Model, of IMF, 84
  • Global interest rates
    • principal component analysis and, 68
    • US interest rates and, 68n6
  • Global Projection Model, of IMF, 22
  • Global risk aversion, 67n1
    • equity prices and, 80
    • VIX and, 74, 75, 80, 96–97
  • Global shocks
    • bank credit and, 75–77
    • bank interest rates and, 82–84, 83t
    • capital flows and, 77–79
    • deposit rates and, 82, 82t
    • domestic financial factors and, 72f–73f
    • financial system integration and, 267
    • real exchange rate and, 75
    • sovereign bond yields and, 80–82, 81t
    • See also Taper tantrum
  • Global spillovers, 67–90
    • with boom-and-bust cycles, 217
    • future of, 84–88
  • Gorodnichenko, Y., 160n4
  • Gourinchas, P., 146
  • Government
    • debt financing by, 237
    • DSGE and, 252
    • ownership of financial system, 57–58
  • Government bonds, 69f, 71t, 78f
    • global shocks and, 80–82, 81t
    • taper tantrum and, 80
    • yields of, 79
  • Government Savings Bank, 58
  • Gravity models, of trade, 262–63
  • Great Moderation, 126
  • Great Recession, 179
  • Gruss, B., 97, 98
  • Guimarães-Filho, R., 271n13

H

  • Headline inflation, 18, 20f, 21f, 32, 118, 158, 158f, 168f
  • Hodrick-Prescott trend, 84, 190
  • Hoe Ee Khor, 2
  • Hong, G., 271n13
  • Household debt, 6, 8
    • banks and, 197–201, 199f, 200f, 200t
    • boom-and-bust cycles and, 243
    • countercyclical LTV and, 227
    • inflation and, 229, 230n8
    • leaning-against-the-wind and, 230n8
    • Taylor rule and, 229
  • Household debt-to-GDP ratio, 226
  • Households
    • DSGE and, 244–46
    • financial interconnectivity and, 193, 197–201
  • Housing demand, positive shock on, 228, 228f

I

  • IMF. See International Monetary Fund
  • Impatient households, 245
  • Impossible trinity, 2, 37–42, 38f, 41f
  • Impulse response function, 68n7
    • external shocks and, 77–80
    • of monetary policy, 99
  • India, 47
  • Indonesia. See Bank Indonesia; specific topics
  • Indonesian Bank Restructuring agency, 50
  • Indonesian Financial Services Authority, 209
  • Inflation, 3f
    • actual and targeted, 20f–21f
    • after Asian financial crisis, 161–62
    • of asset prices, 103
    • BEIR, 159nn1–2
    • central banks and, 8, 18, 126, 159, 167
    • challenges for, 165–81
    • commodity prices and, 32f
    • contributions from time-varying parameters, 164f
    • contributions to, 8f
    • core, 18, 21f, 94, 158, 158f
    • countercyclical LTV and, 226–27
    • countercyclical monetary policy and, 177
    • drivers of, 157–65, 162f, 162n5, 165f, 166f
    • financial cycle and, 124–25, 125f
    • fiscal stimulus and, 177–79, 237
    • forecasting of, 22
    • foreign exchange and, 110
    • forward-looking and, 8f
    • full employment and, 177n9
    • GDP growth and, 30, 31f
    • after GFC, 32, 158, 164–65, 236–37
    • headline, 18, 20f, 21f, 32, 118, 158, 158f, 168f
    • household debt and, 229, 230n8
    • impulse response function and, 99
    • intermediate target for, 18, 18n7
    • macroprudential policy and, 7
    • medium-term objectives for, 18, 18n5
    • monetary policy and, 2, 7–8, 16–17, 125–26, 157–65, 220, 237
    • natural interest rate and, 126
    • natural real interest rate and, 169–71, 169n7, 170f
    • output gap and, 159, 163, 165, 230
    • shocks and, 30–32, 30n11, 31f
    • surveys for, 160, 160n4
    • Taylor rule for, 94, 95f, 227
    • in US, 85
    • volatility of, 166
    • See also Long-term inflation
  • Infrastructure investment, fiscal stimulus for, 234–39, 235f, 236f, 238f, 239f
  • Institutional quality, 264–66, 264n7, 265t, 266f
  • Instrumental variables (IV), 273
  • Insurance companies, 51, 52f, 53f
  • Integration. See Financial system integration
  • Interconnectivity, of financial system, 193–201
  • Interest rates
    • of banks, 82–84, 83t
    • of central banks, 22–24, 23f
    • corporations and, 204
    • corridor system, of BSP, 22
    • credit growth and, 230
    • economic cycles and, 93
    • equity prices and, 84
    • hedging instruments for, 48
    • monetary policy for, 226
    • natural, 126, 126n1, 127f
    • natural real, 169–71, 169n7, 170f
    • nominal, 228, 228f
    • parity of, 106
    • policy rate shocks and, 230, 232f
    • spillovers to, 80–84, 98
    • stock price and, 129, 130f
    • in US, 4, 67, 68, 74n10, 75, 97, 97n4
    • See also Global interest rates; Policy rate; Short-term interest rates
  • Internal blocks, 74
  • International Monetary Fund (IMF)
    • AREAER of, 27
    • Coordinated Portfolio Investment Survey of, 269n12
    • Flexible System of Global Models of, 234
    • Global Financial Stability Report of, 187, 193
    • Global Integrated Monetary and Fiscal Model of, 84
    • Global Projection Model of, 22
    • on macroprudential policy, 130
    • reserve adequacy metric of, 101, 116
  • Ito, H., 2, 24, 37–42, 38f, 41f
  • IV. See Instrumental variables
  • Izquierdo, A., 108

J

  • Jácome, L., 176
  • Jakarta Initiative Task Force (JITF), 49
  • Japan
    • in ASEAN Plus Three, 259, 259n1
    • Asian Bond Market Initiative and, 47
  • Jeanne, O., 106
  • JITF. See Jakarta Initiative Task Force
  • Jordà, Ò., 223
  • JPMorgan, 75, 80

K

  • Kalman smoothing, 126n1, 150, 162f
  • Kawai, M., 37
  • Key Attributes for Effective Resolution of Financial Institutions, 9
    • for crisis management, 213
  • Kiley, M., 171
  • Klapper, L., 54
  • Klyuev, V., 27n10
  • Koepke, Robin, 67n1
  • Koop, G., 240
  • Korea, in ASEAN Plus Three, 259, 259n1
  • Kose, M. A., 126
  • Krung Thai Bank, 58
  • Kung, R. L., 108

L

  • Laeven, L., 45nn1–2
  • Lagged dependent variable, Taylor rule and, 94
  • Leaning-against-the-wind
    • for credit growth, 180
    • DSGE for, 220–21
    • foreign exchange and, 103, 109
    • household debt and, 230n8
  • Leeper, E. M., 149n11
  • Leverage
    • of banks, 60, 146–47, 147f
    • of corporations, 8, 201
    • macroprudential policy for, 134t
  • Levine, R., 54
  • Lindgren, C., 46n3
  • Liquidity, 2–3
    • of central banks, 24
    • coverage ratio, 208
    • in Europe, 269, 270t
    • macroprudential policy for, 132, 133t, 137f
    • regulations for, 46
    • SLR, 251
    • of stock markets, 55
    • in US, 269, 269t
  • Lisack, N., 104–5, 110
  • Litterman, Robert B., 75n12
  • Loan-to-deposits, 135t
  • Loan-to-value (LTV), 6–7
    • countercyclical, 226–30
    • credit cycle and, 147–48
    • credit growth and, 138
    • in GFC, 113
    • macroprudential policy for, 135t
  • Local currency
    • bank credit and, 79–80
    • bond markets in, 47–48, 49f
    • domestic financial factors and, 79–80
    • principal component analysis and, 68
  • Long-term inflation, 158–62, 159n1, 160f, 161f
    • expectations for, 174, 175f
  • Lopez Murphy, Pablo, 3, 8
  • Lowe, P., 124
  • LTV. See Loan-to-value
  • Lucas critique, 149n11
  • Lucas paradox, 271

M

  • Macroeconomic Model, of BOT, 22
  • Macroeconomic policies
    • in GFC, 219–20
    • macroprudential policy and, 144–52
    • for sustained growth, 217–53
  • Macroeconomic Research Office, 11
  • Macro-financial risk, 4, 60–61, 61f
  • Macroprudential policy, 6–7, 6f, 123–53
    • aims of, 133t–35t
    • in Asian financial crisis, 148–51, 151f
    • for business cycles, 217
    • capital flows and, 142n8, 148n10
    • capital-oriented tools for, 131–32
    • of central banks, 94
    • countercyclical LTV and, 227, 229n6
    • for credit, 132t, 222f
    • credit cycles and, 9
    • for credit growth, 147, 148f, 151f
    • defined, 221n4
    • DSGE and, 243–53
    • evolution of, 136–42, 137f–41f
    • for financial cycles, 217, 221, 241–42
    • for financial stability, 123–24, 128, 130–32, 181, 221
    • for financial system, 58
    • for foreign exchange, 111–12
    • forward-looking, 134t, 148
    • frameworks for, 208–12, 210t, 211f
    • for liquidity, 132, 133t, 137f
    • macroeconomic policies and, 144–52
    • monetary policy and, 9, 142–52, 143f, 143t, 145t, 146f–48f, 150f, 151f, 181, 219–31
    • for net interest margins, 149, 150f
    • on real cycle, 241–42
    • for real estate, 138, 138f, 148, 148f
    • real GDP growth and, 222f
    • schema of, 132t
    • sectoral tools for, 132
    • for shocks, 9
    • for systemic risk, 181, 181n11, 208–12, 210t, 211f
    • tools for, 131–32
  • Malaysia. See Bank Negara Malaysia; specific topics
  • Managed float regime, 110
  • Mano, R., 104–5, 106, 109, 110
  • MAS. See Monetary Authority of Singapore
  • Medium-Term Macroeconometric Model, for BSP, 22
  • Melecky, M., 48
  • Mendoza, E., 186
  • Menna, L., 181
  • Mertens, E., 160n4
  • Mian, A., 224, 243
  • Microprudential regulation, 59, 93–94, 206–7, 209, 211
  • Miranda-Agrippino, Silvia, 68
  • MMS. See Monetary Model of Singapore
  • Modified Taylor rule, 227–29, 228f
  • Mondino, Tomas, 67n1
  • Monetary Authority of Singapore (MAS), 16, 209
    • financial system regulation by, 47
    • MMS for, 22
  • Monetary Model of Singapore (MMS), for MAS, 22
  • Monetary policy
    • in Asian financial crisis, 15–16
    • asset prices and, 129
    • autonomy of, 2, 37–42, 38f, 41f, 97–100, 118–19
    • of BNM, 174
    • in boom-and-bust cycles, 9
    • for capital flows, 103
    • of central banks, 15–16, 175
    • DSGE and, 243–53
    • financial risk and, 221, 221n5
    • for financial stability, 177–81, 220, 220f
    • fiscal policy and, 9, 232–39
    • fiscal stimulus and, 233
    • forward-looking, 161
    • frameworks for, 15–42, 34t–36t
    • GFC and, 5, 174–75, 176f
    • impossible trinity and, 2, 37–42, 38f, 41f
    • impulse response function of, 99
    • inflation and, 2, 7–8, 16–17, 125–26, 157–65, 220, 237
    • for interest rate, 226
    • macroprudential policy and, 7, 9, 142–52, 143f, 143t, 145t, 146f–48f, 150f, 151f, 219–31
    • natural real interest rate and, 170–71
    • in new normal, 157–82
    • performance of, 30–32, 31f, 32f
    • shocks of, 67n2
    • stock price and, 128–29
    • two target-two-instrument, 109–12
    • of US, 4–5, 80n14, 84–85, 86f, 97, 98t, 166–69
    • VIX and, 67
    • See also Countercyclical monetary policy
  • Monetary policy response
    • to capital flows, 112–16, 113f, 114t, 115f, 116f
    • exchange rates and, 93–119
    • SVARX and, 119
  • Money laundering, with cryptocurrencies, 214
  • Money supply, of BOT, 17n4
  • Muir, T., 268n11
  • Multiple Equation Model, for BSP, 22

N

  • Narain, A., 207
  • Nason, J., 160n4
  • Natural interest rate, 126, 126n1, 127f
  • Natural real interest rate, 169–71, 169n7, 170f
  • NDA. See Net domestic assets
  • NEER. See Nominal effective exchange rate
  • Net domestic assets (NDA), 105–6
  • Net foreign assets (NFA), 105–6
  • Net interest margins, 54, 56f
    • macroprudential policy for, 149, 150f
  • New Keynesian, 220, 225
    • divine coincidence, 179n10
    • fiscal stimulus, 178
    • Phillips curve, 159
  • NFA. See Net foreign assets
  • Nier, Erlend, 67n1
  • Nominal effective exchange rate (NEER), 18, 19, 19f
    • Taylor rule and, 94
  • Nominal interest rate, 228, 228f
  • Nonperforming loans, 205–6, 205f
    • in Asian financial crisis, 45
    • leverage and, 60

O

  • Obstfeld, M., 146
  • Open capital markets, 2
  • Ordinary least squares regression, 82n16, 162n5, 272n16
  • Otrok, C., 126
  • Out-of-court workouts, for corporations, 3, 49–50
  • Output gap
    • countercyclical LTV and, 226
    • inflation and, 159, 163, 165, 230
    • Taylor rule for, 94, 95f, 227
  • Output volatility, 2
  • Overfitting, with VAR, 75n12

P

  • Patient households, 244–45
  • Peg exchange rates, 25
    • free floaters and, 98n5
    • US and, 27n10
  • Peiris, Shanaka J., 5, 111, 221, 225, 243–44
  • Pension funds, 51, 52f, 53f
  • Pesaran’s panel mean group estimator, 218n1, 240
  • Philippines. See Bangko Sentral ng Pilipinas; specific topics
  • Phillips curve, 7, 9
    • for inflation, 159, 163, 169
    • for interest rate, 229–30
  • Piao, S., 264n7
  • Policy rate, 94, 97n2, 177n9
    • in Asian financial crisis, 112–13, 113f, 143
    • deposit rates and, 22
    • economic cycles and, 5
    • federal funds rate and, 100f
    • in GFC, 143f
    • household debt and inflation and, 229
    • natural interest rate and, 126
    • NEER and, 143f
    • real GDP growth and, 171
    • shock, 230, 232f
    • in taper tantrum, 113, 143–44
    • Taylor rule for, 252
    • in US, 97, 98t, 119, 168
  • Pongsaparn, R., 111, 271
  • Podpiera, A., 48
  • Podpiera, R., 47
  • Population growth, 273
  • Portfolio investment, 260, 261f, 263f
    • GDP growth and, 270f
    • trade integration with, 10, 10f, 261–62, 262f
  • Price cycles, 2, 6, 136
    • in Asian financial crisis, 151
    • macroprudential measures for, 138, 147
  • Price stability, 7, 16, 17
    • by BNM, 18
  • Principal component analysis, 68, 70t, 71t
  • Private sector debt, 223, 223f
    • GDP growth and, 224, 224f, 225t
    • medium-term impact of, 242–43
    • See also Household debt
  • Provisioning rates, of BOT, 84n17

R

  • Rafiq , Sohrab, 6
  • Rancière, R., 106
  • Real cycle, 123, 124
    • Asian financial crisis and, 140
    • GFC and, 140
    • macroprudential policy on, 241–42
  • Real estate
    • housing demand in, 228, 228f
    • macroprudential policy for, 138, 138f, 148, 148f
    • taxes on, 6–7
  • Real exchange rate
    • global shocks and, 75
    • US dollar and, 74
  • Real GDP growth
    • in China, 88
    • fiscal stimulus and, 237
    • impulse response function and, 99
    • macroprudential policy and, 222f
    • policy rate and, 171
    • in recessions, 218–19, 219f, 240–41, 241f
    • of US, 74, 85
  • Real natural interest rate. See Natural real interest rate
  • Rebalancing, with financial system integration, 10, 271–72, 273f
  • Recessions
    • long-term impact of, 240–41, 241f
    • real GDP growth in, 218–19, 219f, 240–41, 241f
    • See also Asian financial crisis; Global financial crisis
  • Regional financing arrangements, 277
  • Regulation. See Financial system regulation
  • Reserve adequacy metric, of IMF, 101, 116
  • Reserve buffers, 5–6
    • exchange rates and, 115–16
  • Reserve currency, 80
    • US interest rates and, 97n4
  • Reserve holdings
    • in Europe, 108–9
    • of foreign exchange, 106–9
  • Reserve requirements, 113–15
    • credit cycle and, 147–48
    • macroprudential policy for, 133t, 137f, 138
  • Retail sector, DSGE and, 249–50
  • Rey, Hélène, 67, 67n2, 68
  • Ricci, Luca, 82, 82n16
  • Risk. See Financial risk; Global risk aversion; Structural risk; Systemic risk
  • Risk-weighting assets, 133t, 139f
  • Roberts, J., 171
  • Rule-of-law index, 265–66, 265n8
  • Rungcharoenkitkul, P., 180

S

  • Saadi Sedik, T., 176
  • Saenz, Manrique, 9
  • Safety nets, 10
    • financial system integration and, 267
  • Saxena, S. C., 218
  • Schularick, M., 223
  • SDA. See Special deposit account
  • Sectoral tools, for macroprudential policy, 132
  • Sedik, Tahsin Saadi, 67n1
  • Shadow banks, 4, 51, 52, 53f
  • Shadow short rate, 80n14
  • Shi, Wei, 82, 82n16
  • Shim, I., 142
  • Shin, H. S., 142, 268n11
  • Shocks
    • capital buffer for, 60
    • to corporations, 203–4
    • credit, 73–80
    • in DSGE, 253
    • exchange rates and, 5–6
    • funding, 84, 88
    • on housing demand, 228, 228f
    • inflation and, 30–32, 30n11, 31f
    • macroprudential policy for, 9
    • of monetary policy, 67n2
    • policy rate, 230, 232f
    • technology, 231, 233f
    • See also Asian financial crisis; External shocks; Global financial crisis; Global shocks
  • Short-term interest rates
    • BNM and, 18
    • global financial factors and, 75
  • Signoretti, F. M., 180
  • Singapore. See specific topics
  • Singh, D., 273
  • Single Equation Model, 98
    • for BSP, 22
  • SLR. See Statutory liquidity ratio
  • Smets, F., 179
  • Special deposit account (SDA), 251
  • Spillovers, 4–5
    • in boom-and-bust cycles, 9
    • in equity markets, 270–71, 272f
    • in Global Financial Stability Map, 61
    • to interest rates, 80–84, 98
    • See also Global spillovers
  • Standard Taylor rule, 227–29, 228f
    • for policy rate shock, 230, 232f
    • for technology shock, 233
  • Statutory liquidity ratio (SLR), 251
  • Stein, J. C., 179
  • Sterilization, of foreign exchange, 103, 105–6, 107f, 108t
  • Stock markets, 52–54, 53f
    • access to, 54, 55f
    • liquidity of, 55
    • turnover ratio for, 55, 55n4, 56f
    • volatility of, 61, 62f
  • Stock price
    • interest rates and, 129, 130f
    • monetary policy and, 128–29
  • Structural risk, in bank balance sheet, 60
  • Structural vector autoregression (SVAR), 98, 269n12
  • Structural vector autoregression with block exogeneity (SVARX), 119
  • Sufi, A., 224, 243
  • Summers, L., 159, 240
  • Surveillance and monitoring systems, 277
  • Sutton, B. W., 273
  • SVAR. See Structural vector autoregression
  • SVARX. See Structural vector autoregression with block exogeneity
  • Systemic risk
    • of corporations, 201–6, 202f–5f
    • of credit growth, 186–93, 187f–92f
    • with crisis management, 212–13
    • with cryptocurrencies, 213–14
    • financial stability and, 185–215
    • financial system regulation and, 207–8
    • after GFC, 193
    • macroprudential policy for, 181, 181n11, 208–12, 210t, 211f

T

  • Tansuwanarat, K., 111
  • Taper tantrum, 152
    • capital flows in, 103
    • financial system integration and, 267
    • government bonds and, 80
    • monetary policy autonomy and, 39
    • policy rate in, 113, 143–44
  • Taxes, on real estate, 6–7
  • Taylor, A., 223
  • Taylor rule, 5, 93
    • countercyclical LTV and, 227
    • for foreign exchange, 109
    • FPAS and, 109–10, 111t
    • household debt and, 229
    • for inflation, 227
    • for monetary policy autonomy, 97
    • for monetary policy interest rate, 226
    • for output gap, 94, 95f, 227
    • for policy rate, 252
    • SVARX and, 119
    • See also Standard Taylor rule
  • Technology shock, 231, 233f
  • 10-year Treasury bond, US, 68nn6–7, 74, 74n10, 98, 100f, 119
  • Terms-of-trade
    • in China, 74
    • commodity prices and, 100f
  • Terrones, M., 186
  • Terrorism, cryptocurrencies and, 214
  • Thai Asset Management Corporation, 50
  • Thailand. See Bank of Thailand; specific topics
  • Tobal, M., 181
  • Trade
    • baseline gravity model for, 263–64, 264t
    • gravity models of, 262–63
    • intensity score, 261, 261n3
    • openness, 273
    • portfolio investment with, 10, 10f, 261–62, 262f
    • See also Terms-of-trade
  • Transparency, of central banks, 16, 24, 25f, 171–73, 172f, 173f
  • Trend inflation, 174
  • Trilemma triangles, 24, 26f, 27, 93
  • Tsatsaronis, K., 124, 190
  • Turnover ratio, for stock markets, 55, 55n4, 56f
  • Two target-two-instrument monetary policy, 109–12

U

  • Uncertainty, 5, 8
    • of global spillovers, 84
    • for inflation, 161
    • for trend inflation, 174
    • of US monetary policy, 168
  • United States (US)
    • external demand from, 67, 75, 90
    • financial system integration and, 268t
    • fiscal expansion in, 85–88, 87f
    • inflation in, 85
    • interest rates in, 18, 67, 68, 74n10, 75, 97, 97n4
    • liquidity in, 269, 269t
    • monetary policy of, 4–5, 80n14, 84–85, 86f, 97, 98t, 166–69
    • monetary policy shocks of, 67n2
    • peg exchange rates and, 27n10
    • policy rate in, 97, 98t, 119, 168
    • real GDP growth of, 74, 85
    • reserve currency and, 97n4
    • 10-year Treasury bond, 68nn6–7, 74, 74n10, 98, 100f, 119
  • United States (US) dollar
    • appreciation of, 84
    • China and, 88
    • exchange rates with, 106
    • real exchange rate and, 74
  • Unteroberdoerster, O., 271
  • US. See United States

V

  • Valencia, F., 45nn1–2
  • Vector autoregression (VAR), 68, 68n7
    • Bayesian, 4, 74, 150, 221
    • for external shocks, 74
    • overfitting with, 75n12
    • SVAR, 98, 269n12
    • SVARX, 119
  • Verner, E., 224, 243
  • VIX. See Chicago Board Options Volatility Index
  • Volatility, 93–94
    • of exchange rates, 28–30, 29t, 116, 116n6
    • of inflation, 166
    • output, 2
    • of stock markets, 61, 62f
    • See also Chicago Board Options Volatility Index

W

  • Whiteman, C. H., 126
  • Wholesale sector, DSGE and, 249
  • World Bank, 265n8
  • Worldwide Governance Indicators, 265n8
  • Wu, Ryan, 9–10

Y

  • Yilmaz, K., 67n3, 270

Z

  • Zha, T., 149n11
  • Zhang, L., 138
  • Ziegenbein, A., 176
  • Zlate, Andrei, 67n1
  • Zoli, E., 138, 264n7
  • z-scores
    • for financial system, 58–59, 59f
    • from foreign direct investment, 273n17

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