رژیم نرخ ارز، صرفه جویی در عرضه بیش از تقاضا و پازل فلدستین هوریوکا : تجربه شرق آسیا

This paper investigates whether the recent experience of the emerging East Asian countries with current account surpluses is consistent with the “saving glut” hypothesis and the Feldstein and Horioka puzzle. The evidence suggests that the saving retention coefficients declined substantially in most of the countries after an endogenous break date coinciding with a major exchange rate regime change with the 1997–1998 crisis. Exchange rate flexibility appears to be enhancing financial integration. The results are consistent with an “investment slump” explanation rather than the “saving glut” postulation.

The development of substantial domestic saving-investment gaps has been at the centre of debate in international macroeconomics with the recent experience of large current account (CA) imbalances of a number of countries including the US. The recent CA surpluses of emerging East Asian countries have drawn special attention as they have been a major source of finance of the growing US CA deficits. According to the “saving glut” explanation of the global imbalance expounded by Bernanke [1], excess domestic saving over investment (CA surplus) especially in East Asia indeed has caused the sustainability of the US CA deficits. The “saving glut” and the global imbalances are closely related to the Feldstein and Horioka puzzle (Feldstein and Horioka [2], hereafter FH) that the saving (S)-investment (I) relationship has been persistently strong in spite of policy regime changes towards flexible exchange rates and capital mobility. Coakley et al. [3] provides a recent survey of the FH literature. FH consider the following equation: equation(1) It=γ0+γ1St+ut.It=γ0+γ1St+ut. In (1), uu is a disturbance term and γ1γ1 is the ‘saving retention coefficient’. In a financial autarky, investment can only be financed by domestic saving causing γ1=1γ1=1. With capital mobility, investment can be financed by the worldwide pool of saving and domestic saving can be a source of overseas investment, thus the value of γ1γ1 decreases. Consequently, γ1γ1 is an indicator of the extent of capital mobility in the FH sense. A γ1γ1 of zero (one) indicates perfect (the absence of any) capital mobility. The growing global imbalances may be interpreted as reflecting an increase in international financial integration in the FH sense. However, such an interpretation does not make a clear distinction between CA deficits and surpluses persisting under different exchange rate (ER) regimes. Furthermore, CA imbalances, γ1γ1 and thus the FH puzzle may not be invariant to the prevailing ER regime (Sarno and Taylor [4], Özmen and Parmaksız [5]). Fixed ER regimes are often associated with CA deficits due to a real appreciation of domestic currency. A (credible) fixed ER regime, according to Razin and Rubinstein [6] p. 122, “provides a less risky environment for investors and the country may be able to attract more external funds to complement more domestically funded investment”. Consequently, γ1γ1 may be expected to be higher under a fixed ER regime. ER flexibility, on the other hand, can act as a shock absorber [7] or a disciplining device on CA deficits [8] by allowing exchange rates to adjust to CA disequilibrium. The experience of most of the East Asian countries with CA deficits under fixed ER regimes until 1997–1998 and surpluses thereafter under ER flexibility may be consistent with the argument that the FH puzzle is not invariant to ER regime changes. The following section investigates this issue empirically. To this end, we first test whether there is no endogenous break in γ1γ1 for the emerging East Asian countries. We then proceed with the investigation of the postulation that the shifts in γ1γ1 can be explained by ER regimes. The results are discussed also in the context of the “saving glut” arguments.

This paper investigated whether the recent experience of the emerging East Asian countries is consistent with the “saving glut” hypothesis and the FH puzzle. The evidence suggests a substantial decline in the saving retention coefficients after the estimated endogenous break date coinciding with a major ER regime change with the 1997–1998 crisis. Consistent with the view that a CA targeting policy is most plausible under managed exchange rates, the investment-saving relationship is found to be high under fixed ER regimes for all of the countries except Hong Kong, Singapore and Malaysia. Hong Kong and Singapore appear to be financially integrated through the period. In all the countries, except Malaysia which imposed capital control after the crisis, γ1γ1 declines with ERR flexibility. In the FH context, this supports that flexible ER regimes enhance financial integration. The “saving glut” view contends that it is the excess saving over stable investment causing CA surpluses in the emerging East Asian countries. This may not be compatible with the recent East Asian data as domestic saving remained relatively stable whilst investment declined sharply in almost all of the crisis-hit countries [12]. The downward shift in the saving retention coefficient after the estimated endogenous break date provides an important insight for the explanation of the recent CA surpluses of the East Asian countries. The CA imbalances appear to reflect basically investment dynamics. Consequently, “an investment slump” [16] and [17] under relatively stable saving rates rather than the “saving glut” may be a better interpretation of the recent East Asian experience.