بحران ارز و اقتصاد واقعی: نقش بانک ها

This paper attempts to explain the divergent output effects of currency crises through a very simple and intuitive model that relates the effects of a devaluation not only to the financial fragility of banks, but also to the degree of financial market imperfection. The model shows that countries with higher degrees of financial market imperfection and/or a banking sector whose balance sheets are weak, in terms of having low net worth and high foreign currency exposure, are much more likely to suffer a contraction in the wake of a currency crisis.

Recent ‘second generation’ models of currency crises are predicated on the assumption that there exists a trade-off between defending a peg and devaluing (Obstfeld, 1994). In particular, the presence of nominal rigidities implies that a devaluation will be expansionary, while a defense comes at the cost of high interest rates, so that the policy dilemma is cast in terms of a devaluation versus a recession. However, a notable feature of recent experiences of currency crises has been the fact that for countries that succumbed to a devaluation, the aftermath on the real economy has been strikingly different for developed and developing economies. The former have tended to fare a lot better whereas complete output collapse is often experienced by the latter.1 This raises some important issues which the extensive literature on currency crises has yet to resolve. Specifically, what are the macroeconomic impacts of currency crises, and why have they differed so much between episodes? And in particular, why has the experience been so different for developing and developed countries? The current study contends that the health of the banking system, as well as the degree of credit market imperfection, constitute a large part of the answer and presents a very simple and intuitive model to illustrate the arguments. The focus is on the way in which banks’ balance sheets can be compromised by their unhedged foreign currency liabilities, with adverse consequences for the real economy. This was particularly relevant in the Asian countries because deep currency depreciations exacerbated the financial distress of banks and made it very expensive for local exporters to get the credit they needed to take advantage of their increased international competitiveness. Thus the benefits to exporters proved elusive and the devaluation turned out to be painful ( Mishkin, 1996; Edwards and Vegh, 1997; Chan-Lau and Chen, 1998; Goldstein, 1998). This paper aims to formalize this simple idea. The model builds on the conceptual footsteps of Gale and Hellwig (1985), Williamson (1987), Bernanke and Gertler (1989), Agenor and Aizenman (1997), and Holmstrom and Tirole (1997) by introducing credit market imperfections in a setting where firms are critically dependent on bank credit for their operations. Explicit modelling of the banking sector and formal consideration of the role of bank balance sheets, makes it possible to discuss how differences in the health of the banking system determine the real effects of a depreciation. Specifically, when the banking sector is healthy, the standard Keynesian effect applies—output increases as real factors costs decline—but when banks are sufficiently weak, a devaluation will bring about a contraction in the real economy. In addition, the model predicts that economies with higher financial market imperfections are more likely to suffer contractions in output following a devaluation. To the extent that this reflects the situation of emerging market economies relative to developed countries, it represents another explanation which, together with the balance sheet story, goes a long way in rationalizing the divergent output effects of currency crises in a manner that seems to be consistent with the empirical evidence. A number of recent papers have looked into the role of banks in currency crises. Chang and Velasco (1998) analyzed the interaction between financial intermediaries and currency crises in a model that builds on the ‘bank run’ framework of Diamond and Dybvig (1983). A crisis occurs when there is a self-fulfilling depositor panic which results in the collapse of the whole banking sector as well as the liquidation of real investments. An alternative attempt to incorporate banks into the currency crisis story has focussed on the idea of moral-hazard-driven lending. The intuition—put forward by Krugman (1998) and formalized by Corsetti et al. (1998), Burnside et al. (1999), and Schneider and Tornell (2000)—is simply that the presumption of implicit government bail-out guarantees led banks to engage in excessive lending which resulted in bad-quality loans and unhedged exchange rate exposures. Self-fulfilling crises takes place as devaluations transform the government's contingent liabilities into actual liabilities, depleting reserves. Finally, recent papers by Caballero and Krishnamurthy 1999 and Caballero and Krishnamurthy 2000 have analyzed how collateral constraints can lead firms to underinsure against adverse shocks, increasing the severity of these shocks. While these models do capture some salient elements of the Asian crisis, none of them seem to really get at the essential nature of how banks drove the output collapse nor do they directly focus on the question at hand: How does one rationalize the traditional prediction of standard small open economy models that depreciations should be expansionary on the one hand, with observed real output collapse in many emerging market crisis episodes on the other? The explanation advanced in this paper has some elements similar to the collateral stories of Caballero and Krishnamurthy, but given the simplicity of the idea, the model presented here is relatively straightforward and focuses directly on explaining the observed effects of currency crises. The rest of the paper is organized as follows. Section 2 presents the model and an outline of its solution is set out in Section 3. Section 4 analyzes the effects of a depreciation and shows how this is sensitive to the health of the banking system and the degree of financial market imperfection. Section 5 concludes and some technical details are collected in the appendix.

A striking feature of recent experiences of currency crises has been the vastly divergent impact which these crises have had on real output of the countries affected. In particular, more mature economies with strong financial sectors have been more successful in coping with these crises and avoiding the output collapse that have often taken place in developing economies. This observation does not sit well with modern ‘second generation’ analysis of currency crises where a devaluation is implicitly assumed to be expansionary. By explicitly considering the role of banks and their balance sheets, the model presented in this paper is able to rationalize the divergent output effects of currency crises. The output effects are more likely to be negative if: (i) banks have small net worth; (ii) banks have large unhedged exposure to currency risk; and (iii) the degree of financial market imperfection is high.