جریان ورودی سرمایه، نظام نرخ ارز و پویایی اعتباری در اقتصادهای بازار نو ظهور

This paper investigates the impact of the exchange rate regime (ERR) on the cycle of capital flows, the private credit growth rate and the level of dollarization in emerging market economies. We consider two different panels including 12 and 22 countries over the periods 1980–2010 and 1994–2008, respectively. We estimate a Panel Smooth Transition Regression (PSTR) model in order to assess whether the impact of ERR on credit dynamics is affected by the cyclical component of capital flows. Our findings are threefold. First, the ERR has no impact on the cyclical component of capital flows. Second, credit expansion is procyclical in economies with pegged currencies. Third, during capital inflows or low outflows periods, economies with fixed exchange rate regimes show a higher level of dollarization. When outflows are sizeable, ERR no longer impacts the level of dollarization. These results suggest that ERR should be an important variable in conceiving the policy mix to cope with domestic credit expansions and liability dollarization.