Back Matter

Back Matter New

Author(s):
Ana Corbacho, and Shanaka Peiris
Published Date:
August 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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