Volatilities of price indicators have remained extremely stable during the period of low interest rates since the Global Financial Crisis (GFC) of September 2009. Low volatility pushes down the risk premium which could cause global investors’risk appetite to increase. There has been a big change in global liquidity flows since 2009. Emerging market economies (EMEs), with relatively high credit risk, received huge capital inflows backed up by the increased risk appetite of global investors. US Federal Reserve is now trying to normalize its monetary policy by increasing the policy rate tied at zero low bound for about seven years. This will bring asset price volatility and risk premiums to normalize. We remain concerned about the downside risk to the capital outflows from EMEs, including Korea. And it may well potentially cause a decrease in asset price and a growth contraction in EMEs. Accordingly, we provide an overview of the volatility of financial market and new trends in capital flows, and identify the determinants of capital flows to/from EMEs. We also review the use of capital flow management policies in EMEs including Korea, and examine the effectiveness of Asset？Based Reserve Requirements (ABRR) as an alternative macro-prudential policy measure to manage capital flows. First, we provide an overview of volatility of financial markets and recent trends in capital flows in Chapter 2. The continuation of low volatility and ample funding at low rates has encouraged market participants to take increasingly speculative positions. Thus, many large EMs have experienced a surge in capital inflows in the aftermath of the GFC. In addition, the composition of capital flows has changed significantly over the past few years. Prior to the GFC, banks’short-term loans mainly took the large volume of capital inflow to EMEs. After 2009, however, portfolio investment (equity and fixed income debt) has taken a larger share. It would be dubbed ‘the second phase’ of global liquidity. And we assess the impacts of push (global) and pull (country-specific) factors on capital inflows to EMEs. According to the results, push factors are more significant for capital inflows to EMs. This implies that domestic policy tools are limited in terms of addressing the macroeconomic and financial stability risks driven by capital inflow surges from abroad. There is concern that the US Fed’s imminent lift-off in policy rates may have a significant impact on capital flows and economic growth in emerging market countries. Thus we may need to find policy tools to respond to these important issues. Against this backdrop, we conducted empirical research to better understand the effects of price volatility (VIX) and interest rate spreads on the capital flows of emerging economies in Chapter 3. In the study, we chose to utilize fund flow data from EPFR (Emerging Portfolio Fund Research) whose data has higher reporting frequency than conventional capital flow data sources. The implications from our empirical results are threefold. First, an increase in volatility is associated with net outflow of funds from emerging economies. Second, our results do not unconditionally support the textbook effects of widening of interest rate spreads leading to capital inflows in emerging economies. Lastly, interest rate spreads had opposite effects on the capital flows of emerging economies depending on the level of volatility. In times of heightened volatility, widening interest rate spreads were associated with positive (+) capital inflow. In contrast, the widening of interest rate spreads was negatively (-) associated with capital inflows when volatility was low. This particular empirical result on the effect of interest rate spread suggests that it may be difficult to address issues of volatile capital flows using monetary policy alone. The results also suggest it is important to consider the effect of volatility when conducting monetary policies in emerging economies. In Chapter 4, we review the use of capital flow management policies in emerging economies including Korea.  A surge in capital inflows to EMEs may deepen volatility and vulnerability of the macro-economy and financial markets. The IMF provided a clear and consistent perspective with respect to capital flows and policies. Policymakers should take into account appropriate macro-economic policies at first, and then need to employ Capital Flows Management Measures (CFMs) and Macro-prudential Measures (MPMs) to respond to capital flow surges. Several emerging economies introduced CFMs to address side effects from the high volatility of capital flows. Beginning in June 2010, Korea introduced a series of Macro-prudential measures (MPMs) aimed at building resilience against external financial shocks, especially against vulnerability to capital flow reversals in the banking sector. These MPMs succeeded in reinforcing the banking system’s soundness by improving the structure of foreign debt of the banking sector, and reducing capital inflows in short-term portion and stabilizing volatility of capital flows. There are, however, limitations that MPMs in Korea are placing more emphasis on consolidating foreign liquidity soundness of the banking sector. In addition to the above, it is imperative that Korea make preparations to reduce volatility of capital flows in equity and debt. In chapter 5, we discuss asset-based reserve requirement policy as an instrument to cope with financial systemic risk. Specifically, we compare the effects of asset-based reserve requirement and Basel III-type countercyclical capital buffer using a DSGE (dynamic stochastic general equilibrium) model. Asset-based reserve requirement forces financial institutions to set aside a certain portion of their assets as reserves. In this sense, it contrasts with the current reserve requirement system that is imposed on the liability side of the banks. In particular, it can be used to alleviate credit overheating in a particular sector of the economy, such as the household mortgage market. We introduce heterogeneity into the credit market by assuming two types of entrepreneurs, and a bank that allocates lending to both entrepreneurs. Given common external shocks that has identical effects on both credit sectors, both asset-based reserve requirement and countercyclical capital buffer perform equally well to mitigate the credit cycle. However, given sector-specific shocks that generate sector-specific credit cycles, an asset-based reserve requirement performs better than the countercyclical capital buffer. The reason is that the former can adjust the asset return of the sector where credit cycle arises while leaving the other sector unaffected, but the latter affects the profitability of the entire bank as well as credit to the other sector that is unrelated to the shock. Also, accumulated reserve can be used to cover liquidity shortfalls when financial conditions deteriorate, as in periods of sudden capital outflows. In this paper, we find the evidence that capital flows to Korea are more sensitive to global factors (push factors). This gives an appropriate prominence to  the recipient countries introducing CFMs and MPMs in response to global liquidity expansion. We have seen that effect of interest rate spreads on capital flows vary according to the degree of volatility. Accordingly, monetary policy alone cannot address problems posed by capital flows surges. Many papers suggest that MPMs in Korea are effective in controlling capital inflow and would strengthen external stability. However, these measures are limited to simply responding to surges in capital outflows, expected as the consequence of normalization of US monetary policy. A broader policy package should be introduced to address the macroeconomic and financial stability risks to which capital outflow surges can give rise. In the short term, accumulation of foreign currency reserves, financial safety net, IMF’s special drawing rights (SDR) could be effective as a first aid measure. In the medium term, expanding the scope of application of MPMs from banks to non-banks (i.e. shadow banking) might be the way forward.

서언

국문요약

제1장 서론

제2장 국제금융시장의 변동성과 자본유출입 흐름의 변화
1. 국제금융시장의 변동성과 투자자의 리스크 감수행위
2. 자본유출입 흐름의 변화
가. 신흥국 자금흐름의 변화
나. 형태별 자금흐름의 변화
3. 신흥국 자본유입 결정요인 분석
가. 자본유입 결정요인
나. 분석방법 및 자료
다. 실증분석 결과
라. 우리나라 주식 및 채권투자자금 유입의 결정요인
4. 자본유입과 국내신용/자산가격 간 상관관계

제3장 신흥국의 주식, 채권자금의 이동과 변동성
1. 문헌연구
2. 실증분석 결과
3. 소결론

제4장 자본유출입 관련 거시건전성 측면의 정책 대응
1. 자본이동관리정책 및 거시건전성정책 관련 논의
가. 자본유입관리방안
나. 자본유출관리방안
2. 자본유출에 대응한 국가별 정책 사례
가. 자본유출관리방안 유형
나. 자본유출 규제 사례
3. 우리나라의 자본이동관리정책 및 거시건전성정책 사례
가. 사례
나. 우리나라 거시건전성정책의 유효성

제5장 새로운 거시건전성 수단: 자산지준제도
1. 연구의 의의
2. 문헌연구
3. 자산지준제도 효과 분석을 위한 DSGE 모형
가. 생산 부문
나. 금융중개 부문
다. 가계 부문
라. 노동시장
마. 집계(aggregation) 및 시장 청산(market clearing)
바. 통화정책
사. 거시건전성정책
아. 모수값 지정(calibration)
4. 분석 결과
가. 공통충격(common shock) 발생 시 거시건전성정책의 역할
나. 부문 고유충격(sector-specific shock) 발생 시 정책효과
5. 소결론

제6장 정책적 시사점
1. 국제자금이동에 대응한 거시건전성정책 도입의 당위성
2. 자본유출 대응방안
3. 자금이동관리정책 관련 국제기구(OECD/IMF)의 입장
4. 채권, 주식 유출액 추정결과가 주는 정책적 시사점
5. 자산지준제도의 정책적 시사점

참고문헌

Executive Summary