英文标题:
《Feedback effect between Volatility of capital flows and financial
stability: evidence from Democratic Republic of Congo》
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作者:
Christian Pinshi
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最新提交年份:
2017
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英文摘要:
Financial system being the place of metting capital flows (equality between saving and investment), a volatility of capital flows can destroy the robustness and good working of financial system, it means subvert financial stability. The same a weak financial system, few regulated and bad manage can exacerbate volatility of capital flows and finely undermine financial stability. The present study provides evidence on feedback effect between volatility of capital flows and financial stability in Democratic republic of Congo (DRC), and estimate the contributions of macroeconomic and macroprudential policies in the attenuation volatility of capital flows effects on financial stability and in the prevention of instability financial. Assessment dynamic regression model a la Feldstein-Horioka we showed that financial system is widely supplied and financed by internationals capital flows. This implicate Congolese economy is financially mobile, that can be dangerous for financial stability. The study dynamic econometric of financial system\'s absolute size, we stipulate financial system has a systemic weight on real economy. Hence a shock of financial system could have devastating effects on Congolese economy. We estimate a vector autoregressive (VAR) model for prove the bilateral causality and impacts of macroeconomic and macroprudential policies. With regard to results, it proved on the one there is a feedback effect between volatility of capital flows and financial stability, on the other hand macroeconomic and macroprudential policies can\'t attenuate volatility of capital flows and prevent instability financial. It prove macroprudential approach is given a better result than monetary policy. The implementation of framework macroprudential by Central Bank of Congo will be beneficial in the realization of financial stability and attenuation volatility of capital flows.Keywords: Volatility of capital flows, financial stability, macroeconomic and macroprudential policies
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中文摘要:
金融体系是资本流动(储蓄与投资平等)的场所,资本流动的波动会破坏金融体系的稳健性和良好运行,意味着颠覆金融稳定。同样,一个薄弱的金融体系、监管不力和管理不善也会加剧资本流动的波动,严重破坏金融稳定。本研究为刚果民主共和国(DRC)资本流动波动与金融稳定之间的反馈效应提供了证据,并估计了宏观经济和宏观审慎政策在减少资本流动波动对金融稳定的影响和防止金融不稳定方面的贡献。评估动态回归模型a la Feldstein-Horioka我们表明,金融体系广泛由国际资本流动提供和融资。这意味着刚果经济在金融上是流动的,这可能对金融稳定造成危险。研究金融体系绝对规模的动态计量经济学,规定金融体系对实体经济具有系统权重。因此,金融体系的冲击可能对刚果经济产生毁灭性影响。我们估计了一个向量自回归(VAR)模型,以证明宏观经济和宏观审慎政策的双边因果关系和影响。从结果来看,一方面证明了资本流动的波动性与金融稳定之间存在反馈效应,另一方面宏观经济和宏观审慎政策不能减弱资本流动的波动性,防止金融不稳定。这证明宏观审慎方法比货币政策给出了更好的结果。刚果中央银行实施宏观审慎框架将有利于实现金融稳定和减少资本流动的波动。关键词:资本流动波动、金融稳定、宏观经济和宏观审慎政策
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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