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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