اندازه گیری تحرک سرمایه متغیر با زمان در شرق آسیا

This paper examines the dynamic capital mobility in East Asia's newly industrialized economies (NIEs). We propose an alternative measure of capital mobility based on an intertemporal current account model that is developed by Shitaba and Shintani [J. Int. Money Financ. 17 (1998) 741]. We present the time-varying parameter estimates to illustrate the different processes of financial liberalization in these developing countries. The results indicate that capital is much more mobile over time, corresponding to the liberalization policies. Our findings are sharply in contrast to the previous studies, which show the lower degree of capital mobility either in developed or in developing countries.

International capital mobility is a well-documented phenomenon after financial deregulation and capital account liberalization pursued in developing countries since 1980s. Increasing integration of capital markets has promoted the surge of private capitals of developed countries inflowing to developing countries. Capital inflows stimulate investment and economic growth in the recipient countries, allow intertemporal smoothing in consumption, and thus raise welfare across countries. At the same time, they also increase the vulnerability of the recipients to a sudden reversal of capital inflows. Therefore, how to investigate the evolution and magnitude of capital movements has become more and more prominent in light of the debates regarding the optimal response to capital inflows in East Asia after the recent Asian crisis. Several papers have focused on how to measure the degree of international capital mobility. As pointed out by Frankel (1992), Montiel (1993), and Obstfeld (1995), two major measurements have been frequently used in the existing literature. One is to compare the correlation between national saving and investment rates, and the other is to compare the returns on financial assets in different countries. In a seminal paper, Feldstein and Horioka (1980) propose that if international capital markets are well integrated, the saving–investment correlation should be low, because investments can be financed by foreign savings. On the contrary, the correlation will be high under the low capital mobility, because domestic investments have to be financed by domestic savings in this case. Low mobility will occur when there are risks involved in investing abroad and official restrictions on capital movements. Feldstein and Horioka (1980) and their followers find statistically significant, large positive correlations between saving and investment rates for OECD countries, both in cross-section and in time-series studies.1 According to their arguments, these findings are strong evidences against the null hypothesis of perfect capital mobility, namely, the mobility is considered to be low. Baxter and Crucini (1993) and Obstfeld and Rogoff (1996), among others, have listed several skeptical arguments against the validity of interpreting the correlation between saving and investment rates as a measurement of the degree of capital mobility.2Feldstein and Horioka's (1980) approach is not explicitly based on a theoretical model, because the saving–investment regressive equation cannot be directly derived from a theoretical model. Therefore, the saving–investment correlation is difficult to make an obvious economic interpretation for capital mobility. We need a theoretical model to measure the degree of capital mobility. In addition to Feldstein and Horioka's (1980) approach, the degree of capital mobility is also examined by interest rate arbitrage, which focuses on the relationship between capital flows and interest rate differentials, because international movements will equalize the return between domestic and foreign assets of the same type, eventually. Chinn and Frankel (1994), Marston (1995), and Obstfeld and Taylor (1998) have utilized the covered interest differential measurement and shown a higher degree of the capital mobility in developed countries. Unfortunately, forward exchange rate markets are either extremely sparse or nonexistent in most developing countries, so we cannot use the covered interest differential measurement, but have to use the uncovered interest rate arbitrage instead. Edwards and Khan (1985) present a theoretical model that postulates the domestic market-clearing interest rate to be a weighted average of the hypothetical interest rate under the perfectly open case and the hypothetical interest rate under the financial autarky.3 The weight parameter serves as an index of capital mobility. The hypothetical interest rate under financial autarky is derived from the money market equilibrium condition under that hypothetical situation. The uncovered interest parity condition is used to derive the hypothetical interest rate under the perfectly open case. Reisen and Yeches (1993) have extended this method to include a risk premium and applied their method to the Republic of Korea and Taiwan by using time-varying parameter estimation. Their findings indicate a low degree of capital mobility for both countries and no trend toward more financial openness in Korea during 1980s. The possible reason for the low degree of capital mobility is that their estimated results are based on the use of the actual depreciation rate to replace the expected depreciation, so they do not account for ex ante uncertainty of exchange rate. The actual ex post uncovered interest differential can be decomposed into the covered interest differential, exchange rate risk premium, and forecast error.4 Only when the exchange rate market is efficient will the forecast error have an expected value equal to zero. Therefore, under their perfect foresight measurement of the depreciation rate, the forecast error problem would be found easily. The interest rate determination approach has been widely used to examine international financial integration by evaluating the cross-border interest rate linkage. However, the macroeconomic impact of international financial integration also depends on the extent of domestic financial integration, that is, the integration of domestic institutional interest rates such as deposit and lending rates with domestic money market rates. As noted by Chinn and Dooley (1995), most empirical studies examining money market rates linkage lead to a false inference, because a large quantity of foreign capitals to domestic firms is mediated through domestic bank lending, and the bank lending rate might be independent in East Asia with regulated domestic financial markets. In this sense, we also need an alternative model to measure dynamic capital mobility to reflect the process of capital account liberalization and domestic financial deregulation. Shitaba and Shintani (1989) present such an alternative measure based on an intertemporal capital account model. They apply the basic idea of life-cycle permanent income hypothesis in the closed economy to the open economy. They assume two hypothetical cases in a small economy. One is a case of financial autarky (abbreviated to FA), where the representative agent consumes the country's net output for a specific period. The other is a case of perfect international capital mobility (abbreviated to PM), where the representative agent chooses the net foreign asset optimally to maximize lifetime utility. Actual consumption is assumed to be a weighted average of consumption in these two extreme cases. The weight parameter is defined as the degree of capital mobility. Their approach primarily characterizes the intertemporal optimal behavior of private consumption. As the openness in both capital account and domestic financial system is necessary for consumers to be able to smooth out their consumptions over time, the approach, in this regard, is a more appropriate measurement of capital mobility corresponding to the liberalization policies adopted by the individual governments. Shitaba and Shintani (1989) apply the model to OECD countries by using general method of moments (GMM), but they find a low degree of capital mobility in some developed countries including the United States and Japan. In this paper, we use the intertemporal current account model to the developing countries because the small country assumption used in the model is more likely to be satisfied in the developing countries rather than in the developed countries. Instead of the constant parameter estimation, we use Kalman filter technique in the analysis. Ogawa (1990) also used the same technique to show the time-varying estimates on the fraction of liquidity-constrained households in the context of a closed economy permanent income model, which reflects the cyclical fluctuation in Japan, but we present time-varying estimates to show the dynamic development of capital mobility in small open economies, that is, East Asia's newly industrialized economies (NIEs) in the study. Furthermore, we attempt to illustrate the different extents to financial liberalization in these countries by a comparison of their estimates. This paper is organized as follows. Section 2 outlines the theoretical model and econometric methodology. Section 3 describes the data briefly. Section 4 reports the estimation results. Section 5 presents the concluding remarks.