Tài liệu World Economic outlook - Financial Stress, Downturns and Recoveries ppt

WORLD ECONOMIC OUTLOOK October 2008 Financial Stress, Downturns, and Recoveries International Monetary Fund W o r l d E c o n o m i c a n d F i n a n c i a l S u r v e y s ©2008 International Monetary Fund Production: IMF Multimedia Services Division Cover and Design: Luisa Menjivar and Jorge Salazar Figures: Theodore F. Peters, Jr. Typesetting: Julio Prego and Choon Lee Cataloging-in-Publication Data World economic outlook (International Monetary Fund) World economic outlook : a survey by the staff of the International Monetary Fund. — Washington, DC : International Monetary Fund, 1980– v. ; 28 cm. — (1981–1984: Occasional paper / International Monetary Fund, 0251-6365). — (1986– : World economic and financial surveys, 0256-6877) Semiannual. Has occasional updates, 1984– 1. Economic history, 1971–1990 — Periodicals. 2. Economic history, 1990– — Periodicals. I. International Monetary Fund. II. Series: Occasional paper (International Monetary Fund). III. Series: World economic and financial surveys. HC10.W7979 84-640155 338.5’443’09048—dc19 AACR2 MARC-S ISBN 978-1-58906-758-5 Please send orders to: International Monetary Fund, Publication Services 700 19th Street, N.W., Washington, D.C. 20431, U.S.A. Tel.: (202) 623-7430 Telefax: (202) 623-7201 E-mail: publications@imf.org Internet: www.imfbookstore.org iii CONTENTS Assumptions and Conventions ix Preface xi Foreword xii Executive Summary xv Chapter 1. Global Prospects and Policies Global Economy under Stress 1 Financial System in Crisis 6 Deepening Housing Corrections 10 Overstretched Commodity Markets 15 Have Macroeconomic Policies Been Too Loose? 21 Prospects for a Turnaround 23 Policy Challenges for the Global Economy 35 Appendix 1.1. Assessing and Communicating Risks to the Global Outlook 41 References 46 Chapter 2. Country and Regional Perspectives United States and Canada: Prognosis for the Downturn 49 Western Europe: Struggling with Multiple Shocks 51 Advanced Asia: Responding to External Shocks 59 Emerging Asia: Balancing Risks to Growth and Price Stability 63 Latin America and the Caribbean: Navigating a More Perilous Environment 66 Emerging Europe: Prospects for a Soft Landing 68 Commonwealth of Independent States: Managing the Commodity Price Boom 71 Sub-Saharan Africa: A Test of Policy Frameworks 74 Middle East: Overheating Still a Concern 77 References 80 Chapter 3. Is Inflation Back? Commodity Prices and Inflation Surging Commodity Prices: Origins and Prospects 84 Commodity Price Shocks and Inflation 99 Monetary Policy Responses to Commodity Price Shocks 109 Summary and Conclusions 116 Appendix 3.1. Recent Commodity Market Developments 118 Appendix 3.2. Accounting for Food Price Increases, 2006–08 122 Appendix 3.3 Estimating Inflationary Effects of Commodity Price Shocks 124 References 126 contents iv Chapter 4. Financial Stress and Economic Downturns Identifying Episodes of Financial Stress 131 Financial Stress, Economic Slowdown, and Recession 136 Has Financial Innovation Affected the Interplay between Financial Stress and Economic Cycles 141 The Current Financial Crisis in Historical Context 145 Conclusions 148 Appendix 4.1. Data and Methodology 154 References 156 Chapter 5. Fiscal Policy as a Countercyclical Tool Understanding the Fiscal Policy Debate 160 How Has Discretionary Fiscal Policy Typically Responded? 166 Are Fiscal Policy Reactions Different in Emerging and Advanced Economies? 170 The Macroeconomic Effects of Discretionary Fiscal Policy 173 A Simulation-Based Perspective on Fiscal Stimulus 180 Conclusions and Policy Considerations 183 Appendix 5.1. Data and Empirical Methods 187 References 195 Chapter 6. Divergence of Current Account Balances across Emerging Economies Recent Current Account Patterns in Emerging Economies 199 What Factors Have Contributed to Recent Current Account Patterns 210 Sustainability of Current Account Imbalances 221 Conclusions and Policy Implications 228 Appendix 6.1. Variable Definitions and Data Source 229 Appendix 6.2. Econometric Approach 231 References 237 Annex: IMF Executive Board Discussion of the Outlook, September 2008 241 Statistical Appendix 247 Assumptions 247 What’s New 250 Data and Conventions 250 Classification of Countries 252 General Features and Composition of Groups in the World Economic Outlook Classification 254 List of Tables Output (Tables A1–A4) 259 Inflation (Tables A5–A7) 267 Financial Policies (Table A8) 273 Foreign Trade (Table A9) 274 Current Account Transactions (Tables A10–A12) 276 Balance of Payments and External Financing (Tables A13–A15) 282 Flow of Funds (Table A16) 286 Medium-Term Baseline Scenario (Table A17) 290 contents v World Economic Outlook and Staff Studies for the World Economic Outlook, Selected Topics 291 Boxes 1.1 The Latest Bout of Financial Distress: How Does It Change the Global Outlook? 11 1.2 House Prices: Corrections and Consequences 16 1.3 Measuring Output Gaps 26 2.1 EMU: 10 Years On 58 3.1 Does Financial Investment Affect Commodity Price Behavior? 88 3.2 Fiscal Responses to Recent Commodity Price Increases: An Assessment 103 3.3 Monetary Policy Regimes and Commodity Prices 112 4.1 Policies to Resolve Financial System Stress and Restore Sound Financial Intermediation 151 5.1 Differences in the Extent of Automatic Stabilizers and Their Relationship with Discretionary Fiscal Policy 161 5.2 Why Is It So Hard to Determine the Effects of Fiscal Stimulus? 164 5.3 Have U.S. Tax Cuts Been “TTT”? 172 6.1 Current Account Determinants for Oil-Exporting Countries 200 6.2 Sovereign Wealth Funds: Implications for Global Financial Markets 204 6.3 Historical Perspective on Growth and the Current Account 214 A1 Economic Policy Assumptions Underlying the Projections for Selected Economies 248 Tables 1.1 Overview of the World Economic Outlook Projections 2 2.1 Advanced Economies: Real GDP, Consumer Prices, and Unemployment 52 2.2 Advanced Economies: Current Account Positions 54 2.3 Selected Asian Economies: Real GDP, Consumer Prices, and Current Account Balance 65 2.4 Selected Western Hemisphere Economies: Real GDP, Consumer Prices, and Current Account Balance 67 2.5 Selected Emerging European Economies: Real GDP, Consumer Prices, and Current Account Balance 70 2.6 Commonwealth of Independent States (CIS): Real GDP, Consumer Prices, and Current Account Balance 73 2.7 Selected African Economies: Real GDP, Consumer Prices, and Current Account Balance 76 2.8 Selected Middle Eastern Economies: Real GDP, Consumer Prices, and Current Account Balance 78 3.1 Contributions of Common Factors to Commodity Price Fluctuations 94 3.2 Selected Indicators of Spillovers across Major Food Commodity Prices 98 3.3 Global Oil Demand and Production by Region 120 3.4 Elasticity Estimates Used for Price Calculations 123 4.1 Descriptive Statistics on Financial Stress Episodes 134 4.2 Descriptive Statistics on Financial Stress, Slowdowns, and Recessions 137 4.3 Cross-Section Regressions 144 4.4 Six Major Periods of Financial Stress and Economic Contractions 149 4.5 Data 154 4.6 Average Yearly Share of Total Bank Assets of Banks in Sample 156 contents vi 5.1 Macroeconomic Indicators around Downturns, with and without a Fiscal Impulse: All Economies 176 5.2 Real GDP Growth and Fiscal Impulse under Various Initial Conditions: All Economies 178 5.3 Real GDP Growth and Fiscal Impulse by Composition: All Economies 180 5.4 Responses of Real GDP to Discretionary Fiscal Policy Changes 181 5.5 List of Countries and Downturn Episodes 189 5.6 Discretionary Fiscal Policy and Growth: Regression Results with Arellano-Bond Dynamic Panel Estimator Using Elasticity-Based Fiscal Impulse Measure 191 5.7 Discretionary Fiscal Policy and Growth: Regression Results with Arellano-Bond Dynamic Panel Estimator Using Regression-Based Fiscal Impulse Measure 193 6.1 Determinants of the Current Account Balance 217 6.2 Duration Regressions of Persistent and Large Current Account Deficits 226 6.3 Explaining Differentiated Effects in Emerging Europe 233 6.4 List of Persistently Large Current Account Imbalance Episodes 235 6.5 Duration Analysis and Domestic Financial Sector Liberalization 236 6.6 Duration Analysis and Risk of Abrupt and Non-Abrupt Endings 236 Figures 1.1 Global Indicators 3 1.2 Current and Forward-Looking Indicators 4 1.3 Global Inflation 5 1.4 External Developments in Selected Advanced Economies 6 1.5 External Developments in Emerging and Developing Economies 7 1.6 Developments in Mature Credit Markets 8 1.7 Mature Financial and Housing Market Indicators 9 1.8 Emerging Market Conditions 10 1.9 Measures of Monetary Policy and Liquidity in Selected Advanced Economies 22 1.10 Measures of the Output Gap and Capacity Pressures 24 1.11 Global Outlook 25 1.12 Risks to the Global Outlook 30 1.13 Impact of Financial Shock on the Global Economy 32 1.14 Current Account Balances and Net Foreign Assets 34 1.15 Median Forecast Errors during Global Recessions and at Other Times, 1991–2007 42 1.16 Histograms of Forecast Errors, 1991–2007 43 1.17 Probability of Global Recessions 44 1.18 Illustrative GPM-Based 90 Percent Confidence Intervals 46 2.1 United States: Strains on Households 50 2.2 Western Europe: Slowing Demand and High Inflation 53 2.3 Japan: How Well Would the Economy Weather a Terms-of-Trade Shock? 57 2.4 Emerging Asia: Remaining Inflation Concerns 63 2.5 Latin America: Inflation Returns 68 2.6 Emerging Europe: Are Credit Booms Cooling Off? 69 2.7 Commonwealth of Independent States (CIS): Managing the Commodity Price Boom 72 2.8 Sub-Saharan Africa: The Mixed Blessing of High Commodity Prices 75 2.9 Middle East: Managing Inflation Pressures 79 3.1 Commodity Prices in Historical Context 85 contents vii 3.2 Marginal Change in Energy Intensity, Commodity Inventories, and OPEC Spare Capacity 86 3.3 Grain and Oil Demand, Production, and Inventories in Comparison 87 3.4 Oil Supply Developments 95 3.5 Price Trends of Major Foods 97 3.6 Duration and Amplitude of Food and Crude Oil Price Cycles 99 3.7 Inflation around the World 100 3.8 Changes in International and Domestic Commodity Prices and Headline Inflation 101 3.9 The Relative Importance of Food and Energy 105 3.10 Monetary and Exchange Rate Policies 106 3.11 Commodity Price Pass-Through 107 3.12 Changes in Expected Inflation in Response to Changes in Actual Inflation 108 3.13 Activity, Interest Rates, and Inflation 110 3.14 Stylized Advanced Economy with Adverse and Favorable Supply Shocks 111 3.15 Stylized More-Vulnerable Emerging Market Economy with Adverse and Favorable Supply Shocks 115 3.16 Potential Costs of Delaying Interest Rate Hikes 116 3.17 Commodity and Petroleum Prices 118 3.18 World Oil Market Balances and Oil Futures Price 119 3.19 Developments in Food and Metal Markets 122 4.1 Financial Stress and Output Loss 130 4.2 Financial Stress Index 134 4.3 Financial Stress and Shocks 135 4.4 Contribution of Banking, Securities, and Foreign Exchange to Current Financial Stress Episode 136 4.5 Lag between Financial Stress and Downturns 138 4.6 Selected Macrovariables around Economic Downturns with and without Financial Stress 139 4.7 Banking-Related Financial Stress, Slowdowns, and Recessions 140 4.8 Cost of Capital and Bank Asset Growth around Banking Financial Stress Episodes 141 4.9 Selected Macrovariables around Financial Stress Episodes 142 4.10 Initial Conditions of Financial Stress Episodes 143 4.11 Financial Stress and Economic Downturns: Controlling for Four Main Shocks 145 4.12 The Procyclicality of Leverage in Investment and Commercial Banks 146 4.13 Procyclical Leverage and Arm’s-Length Financial Systems 147 4.14 Arm’s-Length Financial Systems, GDP Growth, and Bank Leverage 148 4.15 The Current Financial Stress Episode in the United States and Euro Area in Historical Context 150 5.1 How Often and Quickly Has Fiscal Stimulus Been Used in G7 Economies? 167 5.2 How Strong Was the Fiscal Policy Response in G7 Economies? 168 5.3 How Have Fiscal Policy Responses Varied across Advanced Economies? 169 5.4 Is There a Bias toward Easing during Downturns in G7 Economies? 170 5.5 Did G7 Economies Respond to Erroneously Perceived Downturns? 171 5.6 Composition of Fiscal Stimulus during Downturns for Advanced and Emerging Economies 174 5.7 Fiscal Policy Responses in Downturns and Upturns 175 5.8 Macroeconomic Indicators after Downturns, with and without a Fiscal Stimulus 177 5.9 Changes in Real GDP Growth and Fiscal Policies under Various Initial Conditions 179 5.10 Effect of Fiscal Expansion in a Large Economy 182 contents viii 5.11 Fiscal Expansion in a Large Economy Compared with a Small Open Economy with Monetary Accommodation 184 5.12 Effect of Fiscal Expansion in a Small Economy with Market-Risk-Premium Reaction 185 6.1 Patterns of Divergence in Current Account Balance 199 6.2 External Balances by Component 203 6.3 Current Account Balance, Saving, and Investment 208 6.4 Saving and Investment by Components 209 6.5 Growth Takeoffs 210 6.6 Current Account Reversals around Crises 211 6.7 Current Account Balance and Real GDP per Capita Growth 212 6.8 Patterns of Financial Development 213 6.9 Explaining the Current Account Balances of Emerging Asia and Emerging Europe 218 6.10 Explaining Current Account Balances: Results by Subregion 219 6.11 Deviation from Predicted Real Effective Exchange Rates 221 6.12 Residual Current Account Balance, Deviation of Real Effective Exchange Rate from Predicted Level and Stock of Reserves 222 6.13 Persistently Large Current Account Deficit and Surplus Episodes, 1960–2007 223 6.14 Duration of Large, Persistent Current Account Deficits, 1960–2007 224 6.15 Survival Functions of Deficit Episodes 225 6.16 Predicted Duration and Actual Length of Ongoing Deficit Episodes 227 6.17 Corporate Profitability and Productivity Growth 228 A number of assumptions have been adopted for the projections presented in the World Economic Outlook. It has been assumed that real effective exchange rates will remain constant at their average levels during August 18–September 15, 2008, except for the currencies participating in the European exchange rate mechanism II (ERM II), which are assumed to remain constant in nominal terms relative to the euro; that established policies of national authorities will be maintained (for specific assumptions about fiscal and monetary policies in industrial countries, see Box A1); that the average price of oil will be $107.25 a barrel in 2008 and $100.50 a barrel in 2009, and remain unchanged in real terms over the medium term; that the six-month London interbank offered rate (LIBOR) on U.S. dollar deposits will average 3.2 percent in 2008 and 3.1 percent in 2009; that the three-month euro deposits rate will average 4.8 percent in 2008 and 4.2 percent in 2009; and that the six-month Japanese yen deposit rate will yield an average of 1.0 percent in 2008 and 1.2 percent in 2009. These are, of course, working hypotheses rather than forecasts, and the uncertainties surrounding them add to the margin of error that would in any event be involved in the projections. The estimates and projections are based on statistical information available through early October 2008. The following conventions have been used throughout the World Economic Outlook: . . . to indicate that data are not available or not applicable; — to indicate that the figure is zero or negligible; – between years or months (for example, 2006–07 or January–June) to indicate the years or months covered, including the beginning and ending years or months; / between years or months (for example, 2006/07) to indicate a fiscal or financial year. “Billion” means a thousand million; “trillion” means a thousand billion. “Basis points” refer to hundredths of 1 percentage point (for example, 25 basis points are equivalent to ¼ of 1 percent point). In figures and tables, shaded areas indicate IMF staff projections. Minor discrepancies between sums of constituent figures and totals shown are due to rounding. As used in this report, the term “country” does not in all cases refer to a territorial entity that is a state as understood by international law and practice. As used here, the term also covers some territo- rial entities that are not states but for which statistical data are maintained on a separate and indepen- dent basis. ASSUMPTIONS AND CONVENTIONS ix x This report on the World Economic Outlook is available in full on the IMF’s website, www.imf.org. Accompanying it on the website is a larger compilation of data from the WEO database than in the report itself, consisting of files containing the series most frequently requested by readers. These files may be downloaded for use in a variety of software packages. Inquiries about the content of the World Economic Outlook and the WEO database should be sent by mail, electronic mail, or telefax (telephone inquiries cannot be accepted) to: World Economic Studies Division Research Department International Monetary Fund 700 19th Street, N.W. Washington, D.C. 20431, U.S.A. E-mail: weo@imf.org Telefax: (202) 623-6343 FURTHER INFORMATION AND DATAFURTHER INFORMATION AND DATA x [...]... 2 Corporate bonds HG nonfinancial corporate bonds LG nonfinancial corporate bonds Nonfinancial equity 1600 0 Countries with current account deficits > 5% 0 -5 1400 1200 1000 -1 0 -1 0 -2 0 -1 5 800 Countries with current account surpluses (or small deficits) 600 -3 0 400 -2 0 United States Europe Asia Eastern Latin Europe America -4 0 Median Market-Based Default Probability of Nonfinancial Corporates, 2004–08... Industrial Production Emerging economies2 10 -1 0 16 12 6 0 20 -1 2 Japan5 (left scale) 2000 02 -1 6 -2 0 04 06 -2 4 Sep 08 Sources: CPB Netherlands Bureau for Economic Policy Analysis for CPB trade volume index; for all others, NTC Economics and Haver Analytics 1Australia, Canada, Denmark, euro area, Japan, New Zealand, Norway, Sweden, Switzerland, United Kingdom, and United States 2Argentina, Brazil, Bulgaria,... loans, and international bond issuances 4 Relative to headline inflation 10 -4 Aug 08 than-usual business-cycle downturns and more protracted recoveries The main transmission channel from financial sector shocks to downturns in activity seems to be a contraction in net lending to the business and household sectors Chapter 4 points out that the growing role of securities markets and of arm’s-length...Preface The analysis and projections contained in the World Economic Outlook are integral elements of the IMF’s surveillance of economic developments and policies in its member countries, of developments in international financial markets, and of the global economic system The survey of prospects and policies is the product of a comprehensive interdepartmental review of world economic developments,... Collyns, Jörg Decressin, and their team for their work Chapters 1 and 2 assess the state and the evolution of the world economy, an exercise that has rarely been so difficult The world economy is decelerating quickly—buffeted by an extraordinary financial shock and by still-high energy and commodity prices and many advanced economies are close to or moving into recession Developments in financial markets... Dell’Ariccia, Igan, and Laeven (2008) document how the weakening of lending standards contributed to the deterioration of credit quality in the U.S subprime sector Deepening Housing Corrections Box 1.1 The Latest Bout of Financial Distress: How Does It Change the Global Outlook? Since the beginning of the financial crisis in mid-2007, the World Economic Outlook baseline forecast has envisaged that financial. .. oil prices may yet revert to the much lower levels observed in the second half of the 1980s and the 1990s, and in part because of policy shortcomings that have discouraged investment in new supply, for both energy and food With inventories low and spare capacity limited, and with very low short-term supply -and- demand price elasticities, commodity prices have become highly sensitive to news about possible... Moreover, the financial turmoil has revealed that national financial stability frameworks have failed to keep up with financial market innovation and globalization, at the price of deleterious cross-border spillovers Greater cross-border coordination and collaboration among national prudential authorities are needed, particularly for the purposes of preventing, managing, and resolving financial stress... stress It then examines the expanding financial crisis and its macroeconomic implications in more detail, as well as the imbalances in housing and commodity markets This analysis sets the stage for the discussion of the outlook and risks The final part of the chapter discusses the policy challenges Chapter 2 looks in more detail at developments and policy issues in each of the world s main regions Global... revealed by the current financial turbulence As laid out in the October 2008 Global Financial Stability Report, a central objective is to ensure more effective and resilient risk management by individual institutions, including by setting more robust regulatory capital requirements and insisting on stronger liquidity management practices and improved disclosure of on- and off-balance-sheet risk Another . 4. Financial Stress and Economic Downturns Identifying Episodes of Financial Stress 131 Financial Stress, Economic Slowdown, and Recession 136 Has Financial. Fund). III. Series: World economic and financial surveys. HC10.W7979 8 4-6 40155 338.5’443’09048—dc19 AACR2 MARC-S ISBN 97 8-1 -5 890 6-7 5 8-5 Please send orders