Innovative Fiscal Policy and Economic Development in Transition Economies (Routledge Studies in the Modern World Economy)

  • 79 75 10
  • Like this paper and download? You can publish your own PDF file online for free in a few minutes! Sign Up

Innovative Fiscal Policy and Economic Development in Transition Economies (Routledge Studies in the Modern World Economy)

Innovative Fiscal Policy and Economic Development in Transition Economies 7KLVERRNH[SORUHVWKHSUREOHPVRI¿VFDOSROL

1,193 332 3MB

Pages 283 Page size 432 x 648 pts Year 2011

Report DMCA / Copyright

DOWNLOAD FILE

Recommend Papers

File loading please wait...
Citation preview

Innovative Fiscal Policy and Economic Development in Transition Economies

7KLVERRNH[SORUHVWKHSUREOHPVRI¿VFDOSROLF\DVDQLQVWUXPHQWRIHFRQRPLF DQG VRFLDO GHYHORSPHQW LQ WKH PRGHUQ HQYLURQPHQW SULPDULO\ IRFXVLQJ RQ WKH WUDQVLWLRQHFRQRPLHVRI(DVWHUQ(XURSH&DXFDVXVDQG&HQWUDO$VLD(YDOXDWLQJ WKHWUDQVIRUPDWLRQDOH[SHULHQFHLQWKHVHFRXQWULHVWKLVZRUNPHHWVDQHHGIRUD FULWLFDODQDO\VLVLQWKHDIWHUPDWKRIWKHVPDUNHWOLEHUDOL]DWLRQUHIRUPVRI FXUUHQWWUHQGVDQGRXWOLQHVWKHURDGPDSIRUIXWXUHGHYHORSPHQW ,QÀXHQFHGE\PDUNHWUHIRUPVLQWKHLPPHGLDWHSRVW6RYLHWHUDDEUXSW¿VFDO ZLWKGUDZDOIURPWKHHFRQRP\OHGWRDGLYHUVHPL[RI¿QDQFLDOLQGXVWULDODQG VRFLDO SUREOHPV 7RGD\ WZR GHFDGHV RQ WKH WUDQVLWLRQ HFRQRPLHV KDYH JURZQ QHZ VWUXFWXUHV DQG HVWDEOLVKHG D QHZ XQLTXH GHYHORSPHQW PRGHO 7KLV ERRN GLUHFWO\ DGGUHVVHV WKHVH LVVXHV &RPELQLQJ ULJRURXV DQDO\WLFDO GLVFXVVLRQ ZLWK VROLGVWDWLVWLFDOH[DPLQDWLRQWKHDXWKRUXQGHUWDNHVDIXOOPDFURHFRQRPLFUHYLHZ RI WKH &,6 HFRQRPLHV WKURXJK WKH SUHVHQW GD\ LQFOXGLQJ DQDO\VLV RI WUDGH DQG ¿VFDOEDODQFHUHODWLRQV¿VFDOSROLF\VXVWDLQDELOLW\DOWHUQDWLYHVRYHUHLJQ¿QDQFH DQGVRYHUHLJQGHEWDVSHFWVRIODERUPDUNHWH[FKDQJHUDWHG\QDPLFVDFULWLFDO HYDOXDWLRQRIWKHFXUUHQWFULVLVDQGWKHIXWXUHRXWORRN 7KH QRYHOW\ RI WKLV VWXG\ LV LQ LWV PXOWLIDFHWHG DQDO\VLV RI WKH JOREDO WKHPH RI SROLF\ IRU GHYHORSPHQW SLRQHHULQJ LGHDV RI ¿VFDO QHW DQG RIIHULQJ SUDJPDWLF SRVWFULVLVVFHQDULRVDQGSROLF\VROXWLRQVZLWKHPSKDVLVRQ¿VFDODFWLRQ*LYHQLWV URXQGHGDSSURDFKWKHERRNLVRISDUWLFXODUXVHWRVFKRODUVVWXGHQWVUHVHDUFKHUVDQG SUDFWLWLRQHUVLQWHUHVWHGLQHFRQRPLFSROLF\DQGGHYHORSPHQW Aleksandr V. GevorkyanLVDQ(FRQRPLVWDW&DSFRDJOREDO¿QDQFLDOFRQVXOW LQJ ¿UP 'U *HYRUN\DQ DOVR WHDFKHV D UDQJH RI ¿QDQFLDO HFRQRPLFV DQG HFR QRPLF GHYHORSPHQW WRSLFV DW 1HZ &@   )LVFDOEDODQFH *'3>)%@ ,QYHVWPHQW*'3>,@   'HEWVHUYLFH>U%@   5HIRUPVLQGH[>5()@   1RRIFRXQWULHV>SDQHOV@ 1RRIREVHUYDWLRQV /0WHVW SURE&KL‫ ޔ‬   +DXVPDQWHVW&KL‫ޔ‬ SURE&KL‫ ޔ‬

5HJUHVVRUPRGHO

7DEOH([WHQGHGPRGHOUHVXOWV ZLWKGHEWVHUYLFHWHUP

       ±    ±   ±        

OLS-PCSE

RE

±     

     ±  ±    ±

 ±                    

FE

CAi,t  c BFBi,t– G Ii,t– LREFi,t W(rBi,t– ) Ei,t

&RQVWDQW>&@  )LVFDOEDODQFH *'3>)%@ ,QYHVWPHQW *'3>,@ 5HIRUPVLQGH[ >5()@ 1RRIFRXQWULHV>SDQHOV@ 1RRIREVHUYDWLRQV /0WHVW SURE&KL‫ ޔ‬  +DXVPDQWHVW&KL‫ޔ‬ SURE&KL‫ ޔ‬

5HJUHVVRUPRGHO

       ±           

       ±           

       ±            

        

     ±

 ±                           

FE

OLS-PCSE

   

   ±

   ±        

FE

 

    ± 

RE

CAi,t  c BFBi,t–1 GIi,t–1 LREFt Ei,t

              ±  ±      ±

 ±                   

RE

OLS-PCSE

OLS-PCSE FE

RE

CAi,t  c BFBi,t–1 GIi,t–1 Ei,t

&$i,t  c BFBi,t GIi,t Ei,t

7DEOH0DLQDQGH[WHQGHGPRGHOUHVXOWV±VHFRQGUHIRUPVSHULRG

       ±    ±

          

       ±    ±           

       ±    ±

            

       ±    ±           

RE

OLS-PCSE

RE

   

     ±

 ±  ±

 ±

 ± ±

                

FE

CAi,t  c BFBi,t–1 GIi,t–1 LREFi,t W(rBi,t–1) Ei,t

        

           ±

 ±  ±        ±

 ±

 ±         ±

                           

FE

OLS-PCSE

RE

OLS-PCSE

FE

CAi,t  c BFBi,t–1 GIi,t–1 W(rBi,t–1) Ei,t

&$i,t  c BFBi,t GIi,t W(rBi,t) Ei,t

1RWHV





LQGLFDWHVLJQL¿FDQFHDWDQGUHVSHFWLYHO\ WVWDWLVWLFDEVROXWHYDOXHVDUHLQSDUHQWKHVHV

6RXUFHDXWKRU¶VFDOFXODWLRQV

&RQVWDQW>&@    )LVFDOEDODQFH *'3>)%@ ,QYHVWPHQW*'3>,@    'HEWVHUYLFH>U%@    5HIRUPVLQGH[>5()@   1RRIFRXQWULHV>SDQHOV@ 1RRIREVHUYDWLRQV /0WHVW SURE&KL‫ ޔ‬   +DXVPDQWHVW&KL‫ޔ‬ SURE&KL‫ ޔ‬

5HJUHVVRUPRGHO

  2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV FXUUHQWDFFRXQWEDODQFHHYHQZKHQWHVWHGXVLQJDOWHUQDWLYHWHFKQLTXHV1RWDEO\ WKLVUHVXOWLVREWDLQHGLQWKHVPDOOHUVDPSOHFRYHULQJ±  7KH LPSRUWDQFH RI WKLV ¿QGLQJ DOEHLW ZLWK ORZHU VLJQL¿FDQFH DV HDUOLHU UHVXOWV PXVW EH DVVHVVHG ZLWK FDXWLRQ )LUVW WKH QHJDWLYH UHODWLRQVKLS EHWZHHQ ¿VFDOEDODQFHDQGFXUUHQWDFFRXQWEDODQFHFRQWUDGLFWVWKHWZLQGH¿FLWVDUJXPHQW 6HFRQG WKH IDFW WKDW WKLV RFFXUV LQ WKH VPDOOHU VDPSOH WKDW FRYHUV WKH VHFRQG WUDQVLWLRQ GHFDGH RI PDFURHFRQRPLF QRUPDOL]DWLRQ LQ WKH &,6 UHLQIRUFHV WKH DUJXPHQWDJDLQVWWKHWZLQGH¿FLWVFDXVDOLW\)LQDOO\WKHVHFRQFOXVLRQVPXVWEH WDNHQZLWKDJUDLQRIVDOWGXHWRSRVVLEOHGDWDLVVXHV1HYHUWKHOHVVWKHVHFRQG GHFDGHRIWKHWUDQVLWLRQSURFHVVKDVEHHQFKDUDFWHUL]HGE\LQFUHDVHGPDFURHFR QRPLFVWDELOLW\DQGWKHLQWURGXFWLRQRIUHVSRQVLEOHGHYHORSPHQWSROLF\VSHFL¿ FDOO\IRVWHULQJRIPDUNHWLQVWLWXWLRQDOIUDPHZRUNDQGVXSSRUWRISULYDWHEXVLQHVV DFURVVWKH&,6VSDFHDVZHOODVWKHQHWLPSRUWHUV  7KHIDFWWKDWWKHQHJDWLYHUHODWLRQVKLSLVGHWHFWHGLQWKHQHWLPSRUWHUHFRQRPLHV LVDOVRVLJQL¿FDQWIRUDQRWKHUUHDVRQ5HFDOOWKDWWKHVH¿YHVPDOOHFRQRPLHVDUHQHW UHFLSLHQWV RI ZRUNHUV¶ UHPLWWDQFHV DQG RWKHU ¿QDQFLDO WUDQVIHUV IURP DEURDG VHH &KDSWHUVDQGRIWKLVVWXG\ 2QWKHPLFUROHYHOLQFUHDVLQJWUDQVIHUVWRSULYDWH UHFLSLHQWVDOOHYLDWHVSUHVVXUHVRQ¿VFDODJHQFLHV+HQFH¿VFDOEXGJHWVDUHFXWDQG SXEOLF H[SHQGLWXUH LV DOORFDWHG WRZDUGV RWKHU SULRULWLHV ,Q WKH PHDQWLPH ZLWK GRPHVWLFSURGXFWLYHFDSDFLWLHVUHGXFHG HLWKHUGXHWRLQGXVWULDOXQGHUGHYHORSPHQW RU SULFH FRPSHWLWLRQ  IXQGV SURFXUHG YLD SULYDWH WUDQVIHU FKDQQHOV DUH VSHQW RQ SULYDWHFRQVXPSWLRQRILPSRUWHGJRRGVGULYLQJXSWKHFXUUHQWDFFRXQWGH¿FLW7KH ODFNRIDVLJQL¿FDQWUHODWLRQVKLSRIWKH¿VFDOEXGJHWDQGFXUUHQWDFFRXQWPD\DOVREH FDSWXUHGE\FRUUHODWLRQVFDOFXODWHGEDVHGRQWKHVDPHGDWDDVWKHUHJUHVVLRQPRGHOV GHVFULEHGDERYH7KHUHVXOWVRIWKHVHFRUUHODWLRQWHVWVDUHVKRZQLQ7DEOH  %DVHGRQUHVXOWVLQ7DEOH¿VFDOEDODQFHWRFXUUHQWDFFRXQWUHODWLRQVKLSLV QHJDWLYHLQTXLWHDIHZFDVHVLQFOXGLQJFRXQWULHVIURPERWKJURXSV2QDYHUDJH WKHDVVRFLDWLRQLVUHODWLYHO\ZHDN  +RZHYHULWDSSHDUVWREHVWURQJO\SRVL WLYH LQ WKH FDVH RI 8]EHNLVWDQ $UPHQLD 7XUNPHQLVWDQ DQG $]HUEDLMDQ    DQG  UHVSHFWLYHO\  6LPLODUO\ ¿[HG FDSLWDO IRUPDWLRQ WR FXUUHQW DFFRXQWDVVRFLDWLRQLVDOVRZHDNLQWKHVHFRQGWUDQVLWLRQGHFDGH ZLWKWKHH[FHS WLRQVRI$UPHQLDDQG8]EHNLVWDQDWDQG 6HYHUDOLVVXHVDULVHIURPWKH FRQGXFWHG HPSLULFDO WHVWV DQG ZH VXPPDUL]H WKRVH LQ WKH FRQFOXGLQJ VHFWLRQ 7KHVHLVVXHVUHODWHHTXDOO\WRHPSLULFDOHVWLPDWLRQPHWKRGVDQGLPSOLHGWKHRUHWL FDOGHULYDWLRQV0RVWLPSRUWDQWO\WKH\LQYROYHFRQVLGHUDWLRQVRISROLF\PHDVXUHV +RZHYHU¿UVWZHDGGUHVVVRPHH[WHQVLRQVWRWKHFRUHDQDO\VLV 3ULYDWHFRQVXPSWLRQUHODWLRQWRFXUUHQWDFFRXQW $QRWKHU LPSRUWDQW H[WHQVLRQ WR WKH FRUH PRGHO LV VWUXFWXUHG DURXQG SULYDWH KRXVHKROGFRQVXPSWLRQ7KLVLVSURPSWHGE\WZRIDFWRUV7KH¿UVWLVGXHWRFRQ VXPSWLRQ EHLQJ D PDMRU FRPSRQHQW RI WKH WRWDO QDWLRQDO LQFRPH DV LQ QDWLRQDO LQFRPH LGHQWLWLHV 7KHQ FXUUHQW DFFRXQW EDODQFH DV LQ WKH HTXDWLRQ   LV H[SUHVVHG LQ WHUPV RI QDWLRQDO LQFRPH JRYHUQPHQW H[SHQGLWXUH LQYHVWPHQW DQG SULYDWHFRQVXPSWLRQ

2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV   7DEOH&XUUHQW DFFRXQW WR ¿VFDO EDODQFH DQG WR LQYHVWPHQWFRUUHODWLRQ Country

CA–FB

CA–I

$UPHQLD $]HUEDLMDQ %HODUXV *HRUJLD .D]DNKVWDQ .\UJ\]5HSXEOLF 0ROGRYD 5XVVLD 7DMLNLVWDQ 7XUNPHQLVWDQ 8NUDLQH 8]EHNLVWDQ Average

  ±  ±  ± ±   ±  0.26

 ± ± ± ± ± ± ±  ± ±  –0.18

6RXUFHDXWKRU¶VFDOFXODWLRQVEDVHGRQ(%5'  :', :RUOG%DQN DQG,)6 ,0) GDWD Note 5HVXOWVUHÀHFWVLPSOHDYHUDJHIRUWKH±SHULRG

Xt±Mt  Yt±Ct±Gt±It



7KLVUHODWLRQLVGHULYHGIURPQDWLRQDOLQFRPHGHFRPSRVLWLRQH[HUFLVHVUHYLHZHG HDUOLHU +\SRWKHWLFDOO\ WKHQ ZLWK JURZLQJ LQFRPH <  KROGLQJ JRYHUQPHQW H[SHQGLWXUH DQG LQYHVWPHQW FRQVWDQW D FXUUHQW DFFRXQW VXUSOXV LV QHJDWLYHO\ UHODWHGWRFRQVXPSWLRQ7KLVLPSOLHVWKDWDQ\LQFUHDVHLQFRQVXPSWLRQH[SHQGL WXUHZRXOGUHVXOWLQLQFUHDVLQJLPSRUWV LHFXUUHQWDFFRXQWGH¿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ÀXHQFLQJLQFUHDVHG GHPDQGIRUPRGHUDWHO\SULFHGLPSRUWHGJRRGVRIEHWWHUTXDOLW\DQGUHODWLYHO\HDV\ DFFHVVLELOLW\FRPSDUHGZLWKWKHODFNRIRUGH¿FLHQWKRPHPDGHSURGXFWV

  2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV Armenia

Azerbaijan

Kazakhstan

Kyrgyz Republic

Tajikistan

Turkmenistan

Belarus

Georgia

150 100 50 0 50 Moldova

Russia

150 100 50 0 50 Ukraine

Uzbekistan

150 100 50 0 50 1990

1995

2000

2005 1990

1995

2000

2005 1990

1995

2000

2005 1990

1995

2000

2005

Year CA

HC

)LJXUH3ULYDWHFRQVXPSWLRQDQGFXUUHQWDFFRXQWE\\HDUE\FRXQWU\ VRXUFHDXWKRU¶V FDOFXODWLRQV EDVHG RQ GDWD IURP (%5'   DQG :', :RUOG %DQN  

 7KH VHFRQG IDFWRU SURPSWLQJ DQDO\VLV RI FXUUHQW DFFRXQW LQ FRQQHFWLRQ ZLWK SULYDWHFRQVXPSWLRQLVGHULYHGIURPWKHDERYHVWDWHPHQW7KHQDWXUHRIWUDQVLWLRQ HFRQRPLHV¶GHYHORSPHQWLVVXFKWKDWWKHUHFRQWLQXHVWREHDKLJKGHJUHHRIVXE VWLWXWLRQRIGRPHVWLFDOO\PDGHJRRGVE\EHWWHUTXDOLW\DQGPRUHHI¿FLHQWIRUHLJQ JRRGV'HVSLWHWKHIDFWWKDWVRPHFRXQWULHVUXQFXUUHQWDFFRXQWVXUSOXVHYHQWKH\ VWLOOLPSRUW¿QDOFRQVXPHUSURGXFWV  $VKDVEHHQHVWDEOLVKHGLQ&KDSWHUWKRVHZLWKFXUUHQWDFFRXQWVXUSOXVHVDUH PDLQO\ UDZ PDWHULDO H[SRUWHUV 7KHUHIRUH HYHQ LQ WKHVH FDVHV RI ODUJH HFRQR PLHVFRQVXPHUVORRNIRUIRUH[DPSOHIRUHLJQFDUVLPSRUWHGGXUDEOHVFORWKHV DQGFHUWDLQVHUYLFHV HJ¿QDQFLDOVHUYLFHV VLQFHWKHPDQXIDFWXULQJSURGXFWLRQ LQ WKHVH VHFWRUV UHPDLQV DW LWV UXGLPHQWDU\ VWDJHV ,Q FHUWDLQ VPDOOHU FRXQWULHV HJ$UPHQLD*HRUJLDDQG0ROGRYD VKDUHVRIFRQVXPHUJRRGVSURGXFWLRQLV HYHQORZHUWKDQLQWKHODUJHUHFRQRPLHV  +RZHYHUWKHGHPDQGIRUFRQVXPHUJRRGVDQGVHUYLFHVPXVWEHVDWLV¿HGDQG WKDW LV GRQH YLD LQÀRZ RI LPSRUWHG JRRGV DQG VHUYLFHV ,Q WKH GHYHORSPHQW FRQWH[WWKLVKDVDPDMRULPSOLFDWLRQLQWHUPVRILQGXVWULDOJURZWKDQGGHYHORS PHQWSROLF\$VPDQ\REVHUYHUVKDYHQRWHGDFRPSOH[LQGXVWULDOSROLF\ODUJHO\ GH¿QHGWKHVXFFHVVHVRIWKH$VLDQ0LUDFOHRUHYHQSRVWZDU:HVWHUQ*HUPDQ\ RU-DSDQ VHHIRUH[DPSOH$PVGHQRU&KDQJ &KDSWHUQRWHGWKDW DWWHPSWV WR LPSOHPHQWDWLRQ RI VXFK SROLFLHV YLD VWDWH FRUSRUDWLRQV DUH PDGH LQ WKHWUDQVLWLRQHFRQRPLHV6WLOOWKLVLVDUHFHQWSKHQRPHQRQFKDUDFWHULVWLFRIWKH ODUJHU HFRQRPLHV UDWKHU WKDQ EHLQJ D JHQHUDO WUHQG DFURVV DOO &,6 7KHUHIRUH

2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV   SULYDWH FRQVXPSWLRQ PD\ EH WKH SULPDU\ GHWHUPLQDQW RI WKH FXUUHQW DFFRXQW GH¿FLWZKLOHWKHJRYHUQPHQWUXQVD¿VFDOGH¿FLWWRVXSSRUWLWVVRFLDOSURJUDPV HJKHDOWKEHQH¿WVDQGHGXFDWLRQDVUHYLHZHGDORQJZLWKRWKHUGRPHVWLFSXEOLF SROLF\SULRULWLHVLQ&KDSWHU   7KLVOHDGVWRWKHFRQFOXVLRQWKDWWKHSULPDU\GHWHUPLQDQWRIFXUUHQWDFFRXQW GH¿FLW LV QRW UHDOO\ WKH ¿VFDO SROLF\ DV WKH WZLQGH¿FLWV WKHRU\ ZRXOG VXJJHVW EXW FRQVXPHU VSHQGLQJ WKDW LV LQÀXHQFHG E\ UHDVRQV RWKHU WKDQ DYDLODELOLW\ RI FUHGLW RU H[SDQVLRQDU\ PRQHWDU\ SROLF\ VRPHWKLQJ PRUH FKDUDFWHULVWLF RI WKH ¿QDQFLDO V\VWHPV RI WKH GHYHORSHG FDSLWDOLVW HFRQRPLHV RI 1RUWK $PHULFD DQG WKH(XURSHDQ8QLRQ ,QWKDWFDVHWKHUHVKRXOGEHDVWURQJQHJDWLYHFRUUHODWLRQ EHWZHHQ FRQVXPSWLRQ VSHQGLQJ DQG FXUUHQW DFFRXQW 7KHVH FRUUHODWLRQV DUH REVHUYHGLQ7DEOH  $JDLQ WKH VHSDUDWLRQ EHWZHHQ WKH ¿UVW GHFDGH RI WUDQVLWLRQ UHIRUPV  DQG WKH VHFRQG GHFDGH WLPH RI PDFURHFRQRPLF VWDELOL]DWLRQ VRPH JURZWK DQG PRUH .H\QHVLDQSROLFLHV LVUHOHYDQWKHUH7KHFRUUHODWLRQLVJUHDWHULQWKHVHFRQGGHFDGH 7KDW LQGLUHFWO\ VXSSRUWV RXU VWDWHPHQW UHJDUGLQJ QRQFRQVXPHU SURGXFWV RULHQWHG JURZWK²WKDWLVZKLOHHFRQRPLHVJHWULFKHUDQGVSHQGLQJULVHVWKLVLVQRWQHFHVVDU LO\GXHWRDQLQFUHDVHLQFRQVXPHUJRRGVGRPHVWLFPDQXIDFWXULQJ,QRWKHUZRUGV VSHQGLQJ LV GLUHFWHG WRZDUGV EHWWHU TXDOLW\ LPSRUWV UDWKHU WKDQ GRPHVWLF JRRGV ,QGLYLGXDOFRXQWU\UHVXOWVRIIHUVXSSRUWIRUDPXFKVWURQJHUUHODWLRQVKLS DVLQWKH FDVHVRI$UPHQLDDQG8]EHNLVWDQIRUH[DPSOH ,QWKHORQJHUWLPHSHULRG WZHQW\ \HDUV UHVXOWV DUH LQ WKH VHFRQG FROXPQ LQ 7DEOH  DERYH  WKH UHODWLRQVKLS LV ZHDNHURQDYHUDJHEXWLVVWLOOVLJQL¿FDQWIRUWKHQHWLPSRUWHUFRXQWULHVDQGVRPHQHW H[SRUWHUV&HUWDLQO\RQHPXVWWDNHLQWRFRQVLGHUDWLRQ DVZLWKDQ\JHQHUDOL]DWLRQ  7DEOH&RQVXPSWLRQDQGFXUUHQWDFFRXQWFRUUHODWLRQ ±± Country

1989–2008

1999–2008

$UPHQLD $]HUEDLMDQ %HODUXV *HRUJLD .D]DNKVWDQ .\UJ\]5HSXEOLF 0ROGRYD 5XVVLD 7DMLNLVWDQ 7XUNPHQLVWDQ 8NUDLQH 8]EHNLVWDQ Average

± ± ± ±  ±  ±  ±  ± –0.25

± ± ± ± ± ± ± ± ± ± ± ± –0.53

6RXUFH DXWKRU¶V FDOFXODWLRQV EDVHG RQ (%5'   :', :RUOG%DQN DQG,)6 ,0) GDWD Note 5HVXOWVUHÀHFWVLPSOHDYHUDJHIRUWKH±SHULRG

  2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV UHOLDELOLW\ RI WKH DYDLODEOH VWDWLVWLFDO GDWD 6WLOO WKHVH SUHOLPLQDU\ UHVXOWV RIIHU VXSSRUWIRUWKHFRQVXPSWLRQWRFXUUHQWDFFRXQWUHODWLRQGLVFXVVHGDERYH  7RJDLQDGGLWLRQDOFRQ¿UPDWLRQDQHZWHVWLVGHULYHGEHORZIURPWKHLQLWLDO UHJUHVVLRQ PRGHO H[SODLQHG LQ 6HFWLRQ  7KH IRFXV LV RQ WKH UHODWLRQVKLS EHWZHHQ KRXVHKROG FRQVXPSWLRQ HC  DQG FXUUHQW DFFRXQW CA  LQ WKH FXUUHQW SHULRGDQGZLWKDRQHSHULRGODJ,QDGGLWLRQWKHPRGHOHVWLPDWHVWKHHIIHFWVRI KRXVHKROG FRQVXPSWLRQ DQG RI ¿VFDO EDODQFH FKDQJH RYHU FXUUHQW DFFRXQW VXUSOXV7KHQHZPRGHOLVIRUPDOO\GH¿QHGDVIROORZV 

 

 



6LPLODUWRWKHORJLFRIWKHHDUOLHUGLVFXVVHGWHVWV GH¿QHGLQ±DQG±  WKHHTXDWLRQV  WKURXJK  WHVWIRUDUHODWLRQVKLSEHWZHHQFXUUHQW DFFRXQWVXUSOXV CA LQWKHFXUUHQWSHULRGDQG KRXVHKROGFRQVXPSWLRQLQWKH FXUUHQW SHULRG HTXDWLRQ     KRXVHKROG FRQVXPSWLRQ DQG ¿VFDO EDODQFH FKDQJHLQWKHFXUUHQWSHULRG HTXDWLRQ DQG KRXVHKROGFRQVXPSWLRQDQG ¿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¿W EXW WR LOOXVWUDWH WKH UHODWLRQVKLS ,Q WKDW DOO WHVWVZLWKH[FHSWLRQVLQWKHUHGXFHGQHWLPSRUWHUVFDVHLQGLFDWHH[LVWHQFHRIWKH QHJDWLYHFRUUHODWLRQRIFXUUHQWDFFRXQWVXUSOXVWRKRXVHKROGH[SHQGLWXUH  7KHVHUHVXOWVDUHLQIRUPDWLYHDQGRIIHUVXI¿FLHQWEDVLVWRVXSSRUWWKHGLVFXVVLRQ DERYHUHJDUGLQJWKHQDWXUHRIFRQVXPSWLRQVSHQGLQJDQGWKHQDWXUHRIWKHFXUUHQW DFFRXQWGH¿FLWVLQWKHWUDQVLWLRQHFRQRPLHV7KHVHUHVXOWVKDYHFOHDUSROLF\LPSOL FDWLRQV LQ WHUPV RI PDFURHFRQRP\ DQG GHYHORSPHQW WDUJHWV HVSHFLDOO\ LQ WKH VPDOOHUQHWLPSRUWHUHFRQRPLHVEXWDUHHTXDOO\LPSRUWDQWLQWKHODUJHUQHWH[SRUW LQJHFRQRPLHV6RPHRIWKHVHLPPLQHQWSROLF\LPSOLFDWLRQVDUHDGGUHVVHGEHORZ 6SHFLDOFDVHFRPPRGLWLHVH[SRUWVLQWKHQHWH[SRUWHUVJURXS 7KH¿QDOH[WHQVLRQWRWKHFRUHDQDO\VLVFRPHVDVDVSHFLDOFDVHWRWKHDERYHRXW OLQHGPRGHO+HUHWKHIRFXVLVRQWKHQHWH[SRUWHUVJURXSRQO\$QHZIDFWRULV DGGHGWRWKHPRGHOFRPPRGLWLHVH[SRUWVDVDVKDUHRI*'3 &20 7KHLQWXL WLRQEHKLQGWKLVDGGLWLRQLVVLPSOH6LQFHPXFKRIQHWH[SRUWHUV¶FXUUHQWDFFRXQW

2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿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¿FLHQW WR DGMXVW WKH SDQHO VHW DQG FDUU\RXWPHDQLQJIXODQDO\VLV  7R VNLS WKURXJK VSHFL¿FV FRYHUHG DW OHQJWK LQ WKH SUHYLRXV VXEVHFWLRQV RI WKLVFKDSWHUWKHDXJPHQWHGPRGHOLVGH¿QHGDORQJIDPLOLDUOLQHV CAi,t  c BHCi,t MCOMi,t Ei,t



CAi,t  c BHCi,t LFBi,t MCOMi,t Ei,t



CAi,t  c B$HCi,t M$COMi,t Ei,t



CAi,t  c B$HCi,t L$FBi,t M$COMi,t Ei,t



(TXDWLRQV  WKURXJK  IROORZDQDOUHDG\IDPLOLDUSDWWHUQZLWKWKHDGGL WLRQRIRQHQHZWHUPLHCOMi,tWKHWHUPIRUWKHFRPPRGLWLHVH[SRUWVDVDVKDUH RI *'3 RI FRXQWU\ i LQ WKH \HDU t $OO YDULDEOHV LQ WKLV PRGHO DUH PHDVXUHG LQ WHUPVRI*'3VKDUHV  (TXDWLRQV  DQG  DOVRUHÀHFWWKHDQQXDOFKDQJHHIIHFWVRIFRQVXPS WLRQ¿VFDOEDODQFHDQGFRPPRGLWLHVH[SRUWVDQGWKHLUUHODWLRQWRFXUUHQWDFFRXQW EDODQFHLQWKHFXUUHQW\HDU7KHLPSOLFDWLRQVRIWKLVDSSURDFKDUHH[SODLQHGEHORZ 8VLQJ FRXQWU\VSHFL¿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¶ WRWDO H[SRUWV ZDUUDQWV WKH WZR HFRQRPLHV¶ LQFOXVLRQ LQ WKH DQDO\VLV IXHO DQG PHWDOH[SRUWVDUHDURXQGSHUFHQWDQGSHUFHQWRIWRWDOH[SRUWVIRU%HODUXV DQG8]EHNLVWDQUHVSHFWLYHO\   8WLOL]LQJVLPLODUWHFKQLFDOWRROVDVHDUOLHUWRHVWLPDWHHTXDWLRQV  WKURXJK  UHVXOWVDUHGHULYHGDQGSUHVHQWHGLQ7DEOH7KHVHUHVXOWVFRQ¿UPWKH VWDWHGK\SRWKHVLVRISRVLWLYHUHODWLRQEXWPXVWEHWUHDWHGZLWKFDXWLRQ,QIDFWLW

  2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV Azerbaijan

Belarus

Kazakhstan

100 50 0 50 Russia

Turkmenistan

Ukraine

100 50 0 50 1995

2000

2005

1995

2000

2005

Uzbekistan 100 50 0 50 1995

2000

2005 Year CA

COM

)LJXUH&RPPRGLWLHV H[SRUWV DQG FXUUHQW DFFRXQW E\ \HDU QHW H[SRUWHUV VRXUFH DXWKRU¶V FDOFXODWLRQV EDVHG RQ 81&7$'   (%5'   DQG :', :RUOG%DQN 

DSSHDUVWKDWGHSHQGLQJRQDQHVWLPDWLRQPHWKRGFKRVHQWKHVLJQRQWKHCOM YDULDEOH FKDQJHG IURP SRVLWLYH WR QHJDWLYH 7KLV LV FOHDUO\ VHHQ LQ WKH UHVXOWV VXPPDU\LQ7DEOH7KLVLVODUJHO\GXHWRWKHGDWDTXDOLW\DQGVPDOOQXPEHU RIREVHUYDWLRQV&RQVLVWHQWDQGVWDWLVWLFDOO\VLJQL¿FDQWFRHI¿FLHQWVZHUHUHWXUQHG E\WKH¿[HGHIIHFWVPHWKRG%RWKFRHI¿FLHQWVRQSULYDWHFRQVXPSWLRQDQG¿VFDO EDODQFHFDPHZLWKVLJQVFRQVLVWHQWZLWKRXUSULRULQYHVWLJDWLRQ VHHDERYHGLV FXVVLRQIRUGHWDLOHGDQDO\VLV   $V PHQWLRQHG WZR UHODWLRQV LQ WHUPV RI WLPH²FXUUHQW \HDU UHODWLRQV DQG FXUUHQW WR D SULRU \HDU FKDQJH²ZHUH DQDO\]HG LQ WKH HVWLPDWLRQ SURFHGXUH 7KHVH UHVXOWV DUH HDV\ WR ORFDWHLQ 7DEOH E\ IROORZLQJ WKH UHVSHFWLYHHTXD WLRQV7KHUDWLRQDOHIRUORRNLQJLQWRFRPPRGLWLHVH[SRUWV¶FKDQJHVLVDVIROORZV  6LQFHCOMPDNHXSDODUJHSRUWLRQRIQHWH[SRUWVIRUWKHHFRQRPLHVLQTXHV WLRQ FKDQJHV LQ COM LH $COM  ZRXOG DOVR LPSO\ SRVLWLYH FKDQJHV LQ WKH FXUUHQW DFFRXQW ,Q IDFW WKDW LV ZKDW ZH ¿QG ZKHQ HVWLPDWLQJ HTXDWLRQV   DQG   &XULRXVO\ DQG FUXFLDOO\  SULYDWH FRQVXPSWLRQ FRHI¿FLHQWV $HC UHPDLQQHJDWLYH  $V SULPDU\ FRPPRGLWLHV IXHO DQG PHWDO  H[SRUWV JURZ DFURVV QHW H[SRUWHU FRXQWULHVSULYDWHFRQVXPSWLRQOHYHOVDOVRJURZEXWUHPDLQQHJDWLYHO\FRUUHODWHG WRWKHFXUUHQWDFFRXQW6RIDUDVWKHHYLGHQFHVXJJHVWV VHH&KDSWHU WKLVKDV UHVXOWHGLQDQHWFXUUHQWDFFRXQWVXUSOXV,QWKHHQGLWEHFRPHVWKHUDFHEHWZHHQ DQ HYHULQFUHDVLQJ SULYDWH FRQVXPSWLRQ VDWLDWHG SULPDULO\ E\ EHWWHU TXDOLW\ LPSRUWHG FRQVXPHU JRRGV DQG UHYHQXH IURP WKH SULPDU\ FRPPRGLWLHV H[SRUWV 7KHODWWHUWKHPDLQQHWH[SRUWHUV¶LQFRPHKROGVWKHVHYHQHFRQRPLHVKRVWDJHWR WKHFKDQJHVLQHQHUJ\DQGUDZPDWHULDOVGHPDQG

 

 

+DXVPDQWHVW&KL‫ޔ‬

 

 





  

  

1RWHV





LQGLFDWHVLJQL¿FDQFHDWDQGUHVSHFWLYHO\ tVWDWLVWLFDEVROXWHYDOXHVDUHLQSDUHQWKHVHV

6RXUFHDXWKRU¶VFDOFXODWLRQV

SURE&KL‫ ޔ‬



/0WHVW SURE&KL‫ ޔ‬  





1RRIFRXQWULHV>SDQHOV@ 

1RRIREVHUYDWLRQV

  



 

 





±

  

±  ±     

 





 ±    

±   

 



&RPPRGLWLHVH[SRUWV ±

 *'3>&20@  

±   

 

)LVFDOEDODQFH *'3>)%@

+RXVHKROG &RQVXPSWLRQ *'3>+&@

   



RE

 

±

OLS-PCSE

 

 





  

  





 ±    

 

 





   

 

±

RE

 

 





  

  





      

±  ±     

 

±

FE

CAi, t  c B$HCi, t M$COMi, t Ei, t

±  ±  ±

      

  



FE

OLS-PCSE

OLS-PCSE FE

RE

CAi, t  c BHCi, t GFBi, t MCOMi, t Ei, t

&$i, t  c BHCi, t MCOMi, t Ei, t

&RQVWDQW>&@

5HJUHVVRUPRGHO

7DEOH2/6UHVXOWVZLWKFRPPRGLWLHVH[SRUWV QHWH[SRUWHUV±

 

 





   

±  



  

±

OLS-PCSE

 

 





   

±   

±  

±

FE

 

 





 

± 

 

±

RE

CAi, t  c B$HCi, t G$FBi, t M$COMi, t Ei, t

  2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV  7KH LPPHGLDWH LPSOLFDWLRQ RI WKLV KDV VXUIDFHG LQ WKH UHFHQW PRQWKV DV WKH ¿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¶IRUWXQHVÀLSSLQJFXUUHQWDFFRXQWEDODQFHVIURPVXUSOXVHVWRGH¿FLWV 8OWLPDWHO\WKHUHLVPRUHWRWKHVWRU\RIWZLQGH¿FLWVWKDQPHHWVWKHH\H

2.7 Conclusion $QDO\VLV LQ WKLV FKDSWHU KDV IRFXVHG RQ UHVHDUFKLQJ YDULRXV PRGDOLWLHV RI WKH WZLQGH¿FLWVDUJXPHQWLQWKHWUDQVLWLRQFRQWH[WRIWKH&,6HFRQRPLHV,QWKHDQD O\WLFDOGHVFULSWLRQRIWKHWZLQGH¿FLWVSUREOHPZHLGHQWL¿HGWKHLPSRUWDQFHRI FRXQWU\VSHFL¿FHIIHFWVDQGXVHGDVWUXFWXUDODSSURDFKLQXQGHUVWDQGLQJWKHVLJ QL¿FDQFHRIDQ\HPSLULFDOUHVXOWV$GGLWLRQDOO\WKHFKDSWHUSUHVHQWHGDYDLODEOH HYLGHQFHRQWKHHYROXWLRQRIWKHFXUUHQWDFFRXQWDQGEXGJHWEDODQFHLQDOOWZHOYH HFRQRPLHV LQGLYLGXDOO\ DQG EDVHG RQ WKHLU FODVVL¿FDWLRQ LQ WKH WZR PDLQ VXE JURXSVQHWH[SRUWHUVDQGQHWLPSRUWHUV  3RLQWLQWLPH JUDSKLFDO DQDO\VLV LQGLFDWHG VRPH SHULRGV RI FXUUHQW DFFRXQW DQG¿VFDOEDODQFHMRLQWPRYHPHQWV(VWLPDWLQJWKHPDLQPRGHODQGLWVH[WHQGHG YHUVLRQZLWKGHEWVHUYLFHVXJJHVWHGWKHVDPHSRVLWLYHUHODWLRQVKLSEHWZHHQWKH WZRYDULDEOHV$GGLWLRQDODQDO\VLVFRYHULQJWKHVHFRQGWUDQVLWLRQGHFDGHIRUDOO WZHOYHFRXQWULHVDQGQHWH[SRUWHUHFRQRPLHVRIIHUHGVLPLODUUHVXOWV7KHVH¿QG LQJVZHUHEURXJKWLQWRTXHVWLRQE\ORZFRUUHODWLRQVEHWZHHQ¿VFDOEDODQFHDQG FXUUHQWDFFRXQWDQGPRUHVSHFL¿FDOO\E\WKHQHJDWLYHUHODWLRQVKLSEHWZHHQWKH KRXVHKROG FRQVXPSWLRQ DQG FXUUHQW DFFRXQW VXUSOXV 7KLV LQGLFDWHV D PRUH FRPSOH[VWUXFWXUDOLVVXHWKDWLQÀXHQFHVFXUUHQWDFFRXQWGH¿FLWUDWKHUWKDQDRQH WRRQH ¿VFDO EDODQFH WR FXUUHQW DFFRXQW UHODWLRQVKLS DSSDUHQW IURP QDWLRQDO LQFRPHLGHQWLWLHV&RQVHTXHQWO\EHORZLVDEULHIVXPPDU\RISRWHQWLDOFRQFHUQV IDFLQJIXWXUHVLPLODUH[SORUDWLRQVDVZHOODVSROLF\LVVXHVLQYROYHG  )LUVW WKHUH LV D SHUVLVWHQW LVVXH RI GDWD UHOLDELOLW\ DQG ODFN RI REVHUYDWLRQV 0DQDJLQJDURXQGWKLVE\UHO\LQJRQ(%5'GDWDWKLVDQDO\VLVXWLOL]HGDSDQHOGDWDLQ WKHPRGHO DOEHLWGLOXWLQJVRPHRIWKHFRXQWU\VSHFL¿FHIIHFWV *LYHQWKHH[LVWHQW GLIIHUHQFHVLQHFRQRP\VL]HDPRQJWKHWZHOYHFRXQWULHVLQWKHVDPSOHDFRPSOLFD WLRQLQWHUPVRIUHVXOWVUHOLDELOLW\PD\RFFXU,QDGGLWLRQWUDQVLWLRQHFRQRPLHVGDWD KDYH VWDUWHG WR EH UHSRUWHG RQ D FRQVLVWHQW EDVLV RQO\ UHFHQWO\ 6HFRQG ZKLOH DQ DWWHPSWZDVPDGHWRUXQVHYHUDO2/6VSHFL¿FDWLRQVWKHXQGHUO\LQJPRGHOLVFOHDUO\ PRUHVWUXFWXUDOLQQDWXUHDQGIXWXUHDQDO\VLVZLOOKDYHWRDFFRXQWIRUFRQVXPSWLRQ SDWWHUQVDQG¿VFDOH[SHQGLWXUHFRPSRVLWLRQDVZHOODVQHWH[SRUWVFRPSRVLWLRQZLWK PRUH GDWD SRLQWV WKDQ FXUUHQWO\ DYDLODEOH 7KLUG RQH VKRXOG H[HUFLVH FDXWLRQ LQ LQWHUSUHWLQJ UHJUHVVLRQ UHVXOWV DV VROLG SUHGLFWRUV RI WKH ¿VFDO EXGJHW RU FXUUHQW DFFRXQWEHKDYLRU7KLVLVVXHOHDGVWRSROLF\LPSOLFDWLRQVRIWKHJLYHQDQDO\VLV

2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV    ,WLVWHPSWLQJXVLQJDYDLODEOHUHJUHVVLRQUHVXOWVWRGHFODUHUHVWULFWLRQVRQ¿VFDO VSHQGLQJDVPRUHRILWZRXOGSRVVLEO\OHDGWRIXUWKHUFXUUHQWDFFRXQWGHWHULRUDWLRQ 7KLVFRQFOXVLRQWKRXJKRPLWVFRXQWU\VSHFL¿FFRQVLGHUDWLRQV7KHUHLVQRGRXEW WKDWWUDQVLWLRQHFRQRPLHVLQWKHFRXUVHRIWKHLUDSSUR[LPDWHO\WZHQW\\HDUVUHIRU PDWLRQSHULRGKDYHH[SHULHQFHGSURORQJHGLQVWDQFHVRIFXUUHQWDFFRXQWDQG¿VFDO EDODQFHGH¿FLWV7KHFUXFLDOSRLQWLVWRUHDOL]HWKDWWKHVHPRYHPHQWVZHUHSULPDULO\ LPSOLHGE\WKHGUDVWLFDWWHPSWVWRWUDQVIRUPVRFLDOLVWHFRQRPLHVDQGVHWWKHPRQ WKHSDWKWRFDSLWDOLVWGHYHORSPHQW7KHUHIRUHDWOHDVWDWWKLVWLPHWKRVHREVHUYD WLRQVDQGGHULYHGFRQFOXVLRQVPDGHIRUWKHFDVHRIWKHDGYDQFHGHFRQRPLHV ZKHUH WKHWZLQGH¿FLWLGHDRULJLQDWHG FDQQRWEHDSSOLHGRQHWRRQH  7KLVYLHZLVUHFRQ¿UPHGE\WKHH[WHQGHGDQDO\VLVSUHVHQWHGLQWKLVFKDSWHU FRQVLGHULQJ KRXVHKROG FRQVXPSWLRQ LQ UHODWLRQ WR FXUUHQW DFFRXQW VXUSOXV E\ LWVHOI DQG LQ FRQQHFWLRQ ZLWK ¿VFDO EDODQFH +RXVHKROG FRQVXPSWLRQ VHUYHG DV WKHSULPDU\GHWHUPLQLQJIDFWRUZKLOH¿VFDOEDODQFHWXUQHGRXWWREHVHFRQGDU\ 5HIRUPDWLRQSDWWHUQVVSHFL¿FWRWKHFRXQWULHVRIWKH&,6KROGWKHNH\WRH[SODLQ LQJVXFKQHJDWLYHO\UHODWHGFRPRYHPHQWVDVFRQVXPHUVWHQGWRFRPSHQVDWHD ODFNRIGRPHVWLFDOO\SURGXFHGJRRGVZLWKUHDVRQDEO\SULFHGDQGKLJKHUTXDOLW\ LPSRUWV ZKLOH JRYHUQPHQWV HQJDJH LQ DGPLQLVWUDWLYH UHVWUXFWXULQJ DQG UDLVLQJ IXQGVIRULQWHUQDOSXEOLFSURMHFWV  )LQDOO\WKHH[WHQGHGPRGHOZDVDSSOLHGDVDVSHFLDOFDVHDQDO\VLVWRH[DPLQH WKHQHWH[SRUWHUV¶FLUFXPVWDQFH&RQGXFWHGDQDO\VLVIRXQGVXEVWDQWLDOHYLGHQFHRI SRVLWLYH FRUUHODWLRQV EHWZHHQ SULPDU\ FRPPRGLWLHV IXHO DQG RUHPHWDO  H[SRUWV DQG FXUUHQW DFFRXQW 7KH FRUUHODWLRQV VHHP WR EH PRVW SURIRXQG ZKHQ DQQXDO FKDQJHVLQFRPPRGLWLHVH[SRUWVDUHFRQVLGHUHG7KLVUHVXOWWDNHVWKHGLVFXVVLRQ RIWZLQGH¿FLWVLQWKHWUDQVLWLRQHFRQRPLHVDVWHSIXUWKHU6WURQJUHOLDQFHRQUDZ PDWHULDOH[SRUWVFUHDWHVLPPHGLDWHYXOQHUDELOLW\WRWKHHFRQRPLHVWKDWSULPDULO\ UHO\RQUHYHQXHGHULYHGIURPWKHVHH[SRUWV,QPDQ\&,6QHWH[SRUWHUVWDWHVDV GLVFXVVHG LQ &KDSWHU  WKDW UHYHQXH JRHV LQWR VWDWH FRIIHUV ZLWK SUR¿WV HLWKHU UHLQYHVWHGLQSXEOLFIXQGVRUVODWHGIRUSXEOLFSURMHFWV&OHDUO\VXFKGHSHQGHQFH RQSULPDU\FRPPRGLWLHVH[SRUWVFRXOGÀLSWKHHFRQRP\¶VIRUWXQHVZLWKGHWULPHQ WDOHIIHFWVRQFXUUHQWDFFRXQWDQG¿VFDOEDODQFHGXHWRWKHDERYHUHDVRQV  7UDQVLWLRQHFRQRPLHV¶JRYHUQPHQWVDUHGHDOLQJZLWKDPXOWLWXGHRILVVXHVLQ WKHLU DWWHPSW WR FUHDWH YLDEOH FRPSHWLWLYH HFRQRPLHV LQWHJUDWHG ZLWK LQWHUQD WLRQDO PDUNHWV 2SHQ ERUGHUV DQG OLEHUDOL]HG WUDGH DQG FDSLWDO DFFRXQWV DUH VKDSLQJ HDFK FRXQWU\¶V LQGLYLGXDO H[WHUQDO SRVLWLRQ 'RPHVWLFDOO\ WKH JRYHUQ PHQWVVKRXOGEHJLYHQDQRSSRUWXQLW\WRLPSOHPHQWDGHYHORSPHQWVWUDWHJ\EHVW ¿WWLQJWKHLUFRXQWU\PRGHO,QDWUDQVLWLRQFRQWH[WWKLVQHFHVVDULO\LQYROYHVVLJ QL¿FDQW LQIUDVWUXFWXUH LQYHVWPHQW KHQFH LQFUHDVHG ¿VFDO H[SHQGLWXUH DQG PRVW OLNHO\ ¿VFDO GH¿FLW +RZ JRYHUQPHQWV REWDLQ WKH QHFHVVDU\ ¿QDQFLQJ DQG ZKHWKHUWKHFXUUHQW¿VFDOSROLF\LVVXVWDLQDEOHJLYHQWKHGHYHORSPHQWWDUJHWVDQG ¿QDQFLDOOLDELOLWLHVLVDVVHVVHGLQWKHIROORZLQJFKDSWHUV  )RU QRZ LW LV FOHDU WKDW GHVSLWH LQGLFDWLRQV REWDLQHG YLD UHJUHVVLRQ WHFK QLTXHVFRH[LVWHQFHRIWKHFXUUHQWDFFRXQWGH¿FLWDQG¿VFDOEDODQFHGH¿FLWLVQRW WKHFDVHRIWKHWH[WERRNWZLQGH¿FLWVSUREOHPWKHLVVXHLVPXOWLGLPHQVLRQDO$ PRUH TXDOLWDWLYH DSSURDFK SURPSWV DQ LQYHVWLJDWLRQ IRU DQVZHUV LQ KRXVHKROG

  2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV FRQVXPSWLRQ SDWWHUQV DQG LWV UHODWLRQ WR FXUUHQW DFFRXQW DQG QDWXUH RI ¿VFDO H[SHQGLWXUH 7KDW LV WKH FDVH LQ WKH SRVWVRFLDOLVW WUDQVIRUPLQJ &,6 HFRQRPLHV ZLWKJURZLQJFRQVXPHUVRFLHWLHV

$SSHQGL[

)LJXUHV±$YHUDJH ¿VFDO GH¿FLW DQG FXUUHQW DFFRXQW EDODQFH VKDUH RI *'3 ±  VRXUFHDXWKRU¶VFDOFXODWLRQVEDVHGRQGDWDIURP(%5'  

  2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV 7DEOH1HWH[SRUWHUVFRUHDQGH[WHQGHGPRGHOV¶HVWLPDWLRQUHVXOWV FULL SAMPLE–CORE, 1989–2008 5HJUHVVRUPRGHO

&$i,t  c BFBi,t GIi,t Ei,t

CAi,t  c BFBi,t– G Ii,t– Ei,t

OLSPCSE

OLSPCSE

FE

RE

&RQVWDQW>&@ 

  

  

  

  

)LVFDOEDODQFH *'3>)%@

   

           

,QYHVWPHQW *'3>,@

±  ±  ±  ±        

FE

CAi,t  c BFBi,t– GIi,t– LREFt Ei,t RE

  

OLSPCSE

  

FE

     

RE

 



     

 

         ±  

±  

± ±    

± 

±     

± 

5HIRUPVLQGH[ >5()@

 

 

 

 

 

 

1RRIFRXQWULHV >SDQHOV@





































/0WHVW SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

+DXVPDQWHVW&KL‫ޔ‬ SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

1RRI REVHUYDWLRQV

FULL SAMPLE–EXTENDED, 1989–2008 &$i,t  c BFBi,t G Ii,t W(rBi,t) Ei,t

CAi,t  c BFBi,t– G Ii,t– W(rBi,t–) Ei,t

CAi,t  c BFBi,t–1 G Ii,t– LREFi,t W (rBi,t–) Ei,t

OLSPCSE

FE

OLSPCSE

FE

RE

OLSPCSE

&RQVWDQW>&@ 

  

      

  

  

  

 ±    

)LVFDOEDODQFH *'3>)%@

   

           

   

    

        

,QYHVWPHQW *'3>,@

±  ±  ±  ±  ±  ±  ±  ±                 

± 

'HEWVHUYLFH >U%@

±  

5HJUHVVRUPRGHO

RE

±  ±    

±  

±  

±  

FE

RE

 

±  

±   

± 

  



  

 

5HIRUPVLQGH[ >5()@

 

 

 

 

 

 

1RRIFRXQWULHV >SDQHOV@

















1RRIREVHUYDWLRQV 

















/0WHVW SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 



+DXVPDQWHVW &KL‫ ޔ‬SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV   FULL SAMPLE–CORE, 1999–2008 CAi,t  c BFBi,t GIi,t Ei,t 

CAi,t  c BFBi,t– GIi,t– Ei,t

OLSPCSE

FE

RE

OLSPCSE

FE

RE

OLSPCSE

FE

RE

&RQVWDQW>&@ 

  

  

  

  

  

  

  

  

 

)LVFDOEDODQFH *'3>)%@

   

   

       

,QYHVWPHQW *'3>,@

±  ±  ±  ±  ±  ±  ±  ±

 ±                 

Regressor/ PRGHO

CAi,t  c BFBi,t– GIi,t– LREFt Ei,t



     

          

5HIRUPVLQGH[ >5()@

 

 

 

 

 

 

1RRIFRXQWULHV >SDQHOV@





































/0WHVW SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

+DXVPDQWHVW &KL‫ ޔ‬SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

1RRI REVHUYDWLRQV

±

±    

± 

FULL SAMPLE–EXTENDED, 1999–2008 CAi,t  c BFBi,t GIi,t W(rBi,t) Ei,t

CAi,t  c BFBi,t–1 GIi,t– W(rBi,t–) Ei,t

CAi,t  c BFBi,t– GIi,t– LREFi,t W(rBi,t–) Ei,t

OLSPCSE

FE

RE

OLSPCSE

FE

RE

OLSPCSE

FE

RE

&RQVWDQW>&@ 

  

  

  

  

  

  

  

  

 

)LVFDOEDODQFH *'3>)%@

   

           

   

           

,QYHVWPHQW *'3>,@

±  ±  ±  ±  ±

±  ±  ±                

Regressor/ PRGHO

  ± 

 ±  ±  ±  ±

±  ±

±

±  ±

'HEWVHUYLFH>U%@                  5HIRUPVLQGH[ >5()@

 

 

 

 

 

 

±

±    

± 

1RRIFRXQWULHV >SDQHOV@



















1RRIREVHUYDWLRQV 

















/0WHVW SURE &KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

+DXVPDQWHVW &KL‫ ޔ‬SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

6RXUFHDXWKRU¶VFDOFXODWLRQV 1RWHV





LQGLFDWHVLJQL¿FDQFHDWDQGUHVSHFWLYHO\ tVWDWLVWLFDEVROXWHYDOXHVDUHLQSDUHQWKHVHV

  2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV 7DEOH1HWLPSRUWHUVFRUHDQGH[WHQGHGPRGHOV¶HVWLPDWLRQUHVXOWV FULL SAMPLE–CORE, 1989–2008 Regressor/ PRGHO

CAi,t  c BFBi,t GIi,t Ei,t

CAi,t  c BFBi,t– GIi,t– Ei,t

OLSPCSE

FE

RE

OLSPCSE

&RQVWDQW>&@ 

±  

±  

± ±    

)LVFDOEDODQFH *'3>)%@

   

           

,QYHVWPHQW *'3>,@

  

  

  

CAi,t  c BFBi,t– GIi,t– LREFt Ei,t

FE

RE

OLSPCSE

FE

±  

± ± ±      

   

          

±  ±

 ±

± ±           



 ± 

 

 

 

 

 

 

1RRIFRXQWULHV >SDQHOV@

















1RRIREVHUYDWLRQV 















 

 

  

 

 

 

 

  

 

 

 

 

 

+DXVPDQWHVW &KL‫ ޔ‬SURE&KL‫ ޔ‬

 

 

    

  

   

± 

5HIRUPVLQGH[ >5()@

/0WHVW SURE &KL‫ ޔ‬

   

RE

   

FULL SAMPLE–EXTENDED, 1989–2008 CAi,t  c BFBi,t GIi,t W (rBi,t ) Ei,t

CAi,t  c BFBi,t– GIi,t– W(rBi,t–) Ei,t

OLSPCSE

FE

RE

OLSPCSE

&RQVWDQW>&@ 

±  

±  

± ±    

)LVFDOEDODQFH *'3>)%@

   

   

       

,QYHVWPHQW *'3>,@

±

     

'HEWVHUYLFH >U%@

±  

Regressor/ PRGHO

 

 

1RRIFRXQWULHV >SDQHOV@



 

1RRIREVHUYDWLRQV  /0WHVW SURE &KL‫ ޔ‬

 

 

+DXVPDQWHVW &KL‫ ޔ‬SURE &KL‫ ޔ‬

 

 

RE

OLSPCSE

FE

RE

± ±    

  

±  

 

       

   

     

± ±  ± ±

±

 ± ±

            



±       

5HIRUPVLQGH[ >5()@

FE

CAi,t  c BFBi,t- GIi,t– LREFi,t W(rBi,t–) Ei,t

 

±     

  

±    

±

  

± ±

  

 

 

 





























 

 

  

 

 

 

 

 

  



 

 

     



2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV   FULL SAMPLE–CORE, 1999–2008 Regressor/ PRGHO

CAi,t  c BFBi,t GIi,t Ei,t

CAi,t  c BFBi,t– GIi,t–1 Ei,t

CAi,t  c BFBi,t– GIi,t– LREFt Ei,t

OLSPCSE

FE

RE

OLSPCSE

FE

RE

OLSPCSE

&RQVWDQW>&@ 

  

±  

  

  

±  

  

 ±    

 

)LVFDOEDODQFH *'3>)%@



   

         

  

  

  

  

 

,QYHVWPHQW *'3>,@

±  ±    

±  

± 

  

± 

±  ±  ±      

±  ±     ±  

FE

RE

5HIRUPVLQGH[ >5()@

 

 

 

 

 

 

1RRIFRXQWULHV >SDQHOV@



















1RRIREVHUYDWLRQV 

















/0WHVW SURE &KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

+DXVPDQWHVW&KL‫ޔ‬ SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

FULL SAMPLE–EXTENDED, 1999–2008 CAi,t  c BFBi,t GIi,t W(rBi,t) Ei,t

CAi,t  c BFBi,t– GIi,t– W(rBi,t–) Ei,t

CAi,t  c BFBi,t– GIi,t– LREFi,t W(rBi,t–) Ei,t

OLSPCSE

FE

RE

OLSPCSE

RE

OLSPCSE

&RQVWDQW>&@ 

  

±  

  

 ±    

  

 ±    

 

)LVFDOEDODQFH *'3>)%@



  



 

 ±         

±  

±  

±  

± 

,QYHVWPHQW *'3>,@

±  ±    

±   

± ±    

±  ±    

±  

± 

'HEWVHUYLFH >U%@

±  

±  

± ±    

±  

±  

±  

± 

±  

  

± 

Regressor/ PRGHO

±  

FE

FE

RE

5HIRUPVLQGH[ >5()@

 

 

 

 

 

 

1RRIFRXQWULHV >SDQHOV@





































/0WHVW SURE &KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

+DXVPDQWHVW &KL‫ ޔ‬SURE &KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

1RRI REVHUYDWLRQV

6RXUFHDXWKRU¶VFDOFXODWLRQV 1RWHV





LQGLFDWHVLJQL¿FDQFHDWDQGUHVSHFWLYHO\ tVWDWLVWLFDEVROXWHYDOXHVDUHLQSDUHQWKHVHV

  2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV 7DEOH+RXVHKROGFRQVXPSWLRQWRFXUUHQWDFFRXQWVXUSOXVUHODWLRQHVWLPDWLRQUHVXOWV GLIIHUHQWFRXQWU\JURXSV ALL COUNTRIES: 1989–2008 5HJUHVVRUPRGHO

&RQVWDQW>&@  )LVFDOEDODQFH *'3>)%@

&$i,t  c BHCi,t Ei,t

CAi,t  c BHCi,t GFBi,t Ei,t

OLSPCSE

FE

RE

OLSPCSE

FE

RE

OLSPCSE

FE

RE

  

  

  

  

  

  

  

  

 

   

   

      

   

 

 

 

 

CAi,t  c BHCi,t– GFBi,t– Ei,t

+RXVHKROG &RQVXPSWLRQ *'3>+&@

±  ±  ±  ±  ±  ±  ±              

±

 ±   

1RRIFRXQWULHV >SDQHOV@



















1RRIREVHUYDWLRQV 

















/0WHVW SURE &KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

+DXVPDQWHVW&KL‫ޔ‬ SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

NET EXPORTERS: 1989–2008 Regressor/ PRGHO

&RQVWDQW>&@  )LVFDOEDODQFH *'3>)%@ +RXVHKROG &RQVXPSWLRQ *'3>+&@ 1RRIFRXQWULHV >SDQHOV@

CAi,t  c BHCi,t Ei,t 

CAi,t  c BHCi,t GFBi,t Ei,t

OLSPCSE

FE

RE

OLSPCSE

FE

RE

OLSPCSE

FE

RE

  

  

  

  

  

  

  

  

 

 

 

 

       

CAi,t  c BHCi,t– GFBi,t– Ei,t

    

        

±  ±  ±  ±  ±  ±  ±  ±                 

± 



















1RRIREVHUYDWLRQV 

















/0WHVW SURE &KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

+DXVPDQWHVW&KL‫ޔ‬ SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV   ALL COUNTRIES: 1999–2008 5HJUHVVRUPRGHO

&RQVWDQW>&@ 

&$i,t  c BHCi,t Ei,t

CAi,t  c BHCi,t GFBi,t Ei,t

CAi,t  c BHCi,t– GFBi,t– Ei,t

OLSPCSE

OLSPCSE

OLSPCSE

FE

RE

  

  

     

 

 

FE

RE

  

  

FE

     



 

 

         

 

)LVFDOEDODQFH *'3>)%@

 

+RXVHKROG &RQVXPSWLRQ *'3>+&@

±   

±  ± ±       

±  ±  ±  ±         

± 

1RRIFRXQWULHV >SDQHOV@







1RRIREVHUYDWLRQV 













  

RE

 

















/0WHVW SURE &KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

+DXVPDQWHVW&KL‫ޔ‬ SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

NET EXPORTERS: 1999–2008 5HJUHVVRUPRGHO

&RQVWDQW>&@  )LVFDOEDODQFH *'3>)%@ +RXVHKROG &RQVXPSWLRQ *'3>+&@ 1RRIFRXQWULHV >SDQHOV@

&$i,t  c BHCi,t Ei,t

CAi,t  c BHCi,t GFBi,t Ei,t

CAi,t  c BHCi,t– GFBi,t– Ei,t OLSPCSE

OLSPCSE

FE

RE

OLSPCSE

FE

RE

  

  

  

  

  

±  

 

 

±  ±     

 

FE

RE

     

  

 

±

 ± ±      

±  

± 

±  ±  ±       











1RRIREVHUYDWLRQV 









±  ±  ±       

± 

















/0WHVW SURE &KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

+DXVPDQWHVW&KL‫ޔ‬ SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

  2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV NET IMPORTERS: 1989–2008 5HJUHVVRUPRGHO

&RQVWDQW>&@  )LVFDOEDODQFH *'3>)%@ +RXVHKROG &RQVXPSWLRQ *'3>+&@ 1RRIFRXQWULHV >SDQHOV@

&$i,t  c BHCi,t Ei,t

CAi,t  c BHCi,t GFBi,t Ei,t

CAi,t  c BHCi,t- GFBi,t- Ei,t

OLSPCSE

FE

OLSPCSE

FE

RE

OLSPCSE

  

±     

  

  

  

± ±    

   

   

           

 

RE

 

 

±  ± ±

 ±  ±  ±  ±              

FE

  

RE

±    ± 



















1RRIREVHUYDWLRQV 

















/0WHVW SURE &KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

+DXVPDQWHVW &KL‫ ޔ‬SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

NET IMPORTERS: 1999–2008 5HJUHVVRUPRGHO

&RQVWDQW>&@  )LVFDOEDODQFH *'3>)%@ +RXVHKROG &RQVXPSWLRQ *'3>+&@ 1RRIFRXQWULHV >SDQHOV@

&$i,t  c BHCi,t Ei,t

CAi,t  c BHCi,t GFBi,t Ei,t

CAi,t  c BHCi,t– GFBi,t– Ei,t

OLSPCSE

FE

OLSPCSE

FE

RE

OLSPCSE

FE

RE

  

     

  

  

  

  

  

 

   

  

  

 

 

 

RE

 



      

±

±  ±

 ±

 ±  ±  ±  ±                  









1RRIREVHUYDWLRQV 













±  









/0WHVW SURE &KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

+DXVPDQWHVW&KL‫ޔ‬ SURE&KL‫ ޔ‬

 

 

  

 

 

  

 

 

 

6RXUFHDXWKRU¶VFDOFXODWLRQV 1RWHV





LQGLFDWHVLJQL¿FDQFHDWDQGUHVSHFWLYHO\ tVWDWLVWLFDEVROXWHYDOXHVDUHLQSDUHQWKHVHV



3

Fiscal policy sustainability in transition Is it there?

3.1 Introduction $QDO\VLV RI ¿VFDO SROLF\ DQG LWV VXVWDLQDELOLW\ LQ WKH IRUPHU VRFLDOLVW HFRQRPLHV SRVHV QR VLPSOH WDVN (YHQ PRUH FRPSOH[ LV WKH TXHVWLRQ RI SROLF\ LQQRYDWLRQ DGDSWHG WR WKH FKDQJLQJ HFRQRPLF HQYLURQPHQW 7KHUH DUH VHYHUDO REMHFWLYH UHDVRQVIRUWKLV7KHREYLRXVRQHLVWKHODFNRIUHOLDEOHGDWDWKDWZRXOGDOORZJUDQXODUGHFRPSRVLWLRQRIJRYHUQPHQW¿QDQFHV$QRWKHUSUREOHPFRPHVWKURXJKUHFRJQL]LQJ WKH IDFW WKDW WKH )68 HFRQRPLHV KDYH EHHQ JRLQJ WKURXJK SHULRGV RI WXUEXOHQWWUDQVIRUPDWLRQVWKDWSUHFOXGHVWDQGDUGGDWDDJJUHJDWLRQWKDW¿WVSRSXODU UREXVWUHJUHVVLRQPRGHOV7KLVLVGXHQRWWRPDOLFLRXVLQWHQWEXWGXHWRUXGLPHQWDO FRQGLWLRQVRIQDWLRQDODFFRXQWLQJLQWKRVHFRXQWULHV/HVWRQHIRUJHWVWKHLVVXHDW KDQG D VRFLDO DQG HFRQRPLF WUDQVIRUPDWLRQ RI WKH SRVWVRFLDOLVW SODQQHG HFRQRPLHVLQWRGLDOHFWLFDOO\QHZVRFLDOIRUPDWLRQV8QWLOUHFHQWO\WKHWZHOYHHFRQRPLHV LQTXHVWLRQZHUHSDUWRIDELJJHUFHQWUDOL]HGHFRQRP\ZLWKRXWHIIHFWLYHUHJLRQDOO\ LQGHSHQGHQW SROLF\ PHFKDQLVP 7KHUHIRUH DQ\ DQDO\VLV FDQ RQO\ EH VWUXFWXUHG DURXQG WKH SHULRG RI QRPLQDO SROLWLFDO DQG HFRQRPLF LQGHSHQGHQFH RI WKH HDUO\ VXQWLOPLGEHIRUHWKHODWHVWJOREDOFULVLVPDGHDODQGIDOOLQWKH&,6  7KH VRFLDO DQG HFRQRPLF WUDQVIRUPDWLRQ JLYHQ LWV WXUEXOHQW QDWXUH QHFHVVDULO\ FUHDWHV D JDS EHWZHHQ ZKDW RQFH ZDV ZKDW LV DQG VKRXOG EH LQ WKH IRUHVHHDEOHIXWXUH7KHPDWWHULVFRPSOLFDWHGJLYHQWKHXQFOHDUQDWXUHRIWKHGHVWLQDWLRQ SRLQW &RQFHUQV RYHU ¿VFDO SROLF\ LPSHUDWLYHV DUH DW WKH WRS RI WKH GHEDWH6SHFL¿FDOO\KRZGHWDFKHGVKRXOGWKHVWDWHEHIURPWKHHFRQRP\LQWKH FRQWH[WRIWKHSRVWVRFLDOWUDQVLWLRQ"  7KLVFKDSWHUDWWHPSWVWRGHULYHDQDQVZHUWRWKLVTXHVWLRQWKURXJKDQDO\VLVRI WKH &,6 HFRQRPLHV¶ ¿VFDO SROLF\ SHUIRUPDQFH DQG LWV VXVWDLQDELOLW\ ,W VKRXOG EH QRWHGDVVWDWHGHDUOLHULQWKLVVWXG\WKDWPXFKRIWKHZRUNRQWUDQVLWLRQH[SHULHQFH KDVEHHQIRFXVHGDURXQGWKHLVVXHVRIHFRQRPLFJURZWKDQGJURZWKVXVWDLQDELOLW\ $VSHFWVRI¿VFDOSROLF\HQWHUHGWKHPRGHOVDVFRPSOHPHQWDU\EXWQRWQHFHVVDULO\ WKH SULPDU\ IDFWRUV )ROORZLQJ PDFURHFRQRPLF VWDELOL]DWLRQ LQ PRVW RI WKH &,6 HFRQRPLHV ³0XVJUDYH¶V WULORJ\´ DV GHVFULEHG E\ 7DQ]L  ²WKH UHGLVWULEXWLYH VWDELOL]DWLRQ DQG HI¿FLHQF\ IXQFWLRQ RI WKH ¿VFDO SROLF\ DV GHVFULEHG LQ 0XVJUDYH  ²KDV PRYHG LQWR WKH IURQW SODFH )XUWKHU QHRFODVVLFDO WKHRU\ HJ%HUQKHLP%DUUR EDVHGRQ FRQVXPSWLRQPD[LPL]LQJXWLOLW\

70

Fiscal diamond and policy sustainability

SUREOHP RYHUODSSLQJJHQHUDWLRQVPRGHODQG PDUNHWFOHDULQJSRLQWVRXWWKH GLUHFWHIIHFWRISHUPDQHQWO\LQFUHDVHGJRYHUQPHQWVSHQGLQJRQLQFUHDVLQJLQWHUHVW UDWHV ZKLFK LQ WXUQ FRPSHOV KLJKHU VDYLQJV DQG ORZHU LQYHVWPHQW EXW WKDW DSSURDFKPD\QRWEHHQWLUHO\DSSOLFDEOHLQWKHWUDQVLWLRQFRQWH[W  7KLVVWXG\¶VDSSURDFKLVGLIIHUHQWLQWKDWLWUHYLHZV¿VFDOSROLF\VXVWDLQDELOLW\ ZLWKLQDPRUHJHQHUDODQGLQFOXVLYHFRQWH[WRIVRFLDODQGHFRQRPLFGHYHORSPHQW 7KH FRQFHSW RI WKH ³¿VFDO GLDPRQG´ 5DMDUDP   LV RI SDUWLFXODU LQWHUHVW KHUH 7KH RULJLQDO LGHD FRQYH\V D IRXUGLPHQVLRQDO VWRU\ RI SXEOLF H[SHQGLWXUH EDODQFHGE\JRYHUQPHQWWD[UHYHQXHIRUHLJQDLGDQGVRYHUHLJQERUURZLQJ2Q WKHLQQRYDWLYHVLGHZHUHYLHZLQGHWDLO¿VFDOH[SHQGLWXUHFKDQQHOVIRFXVLQJRQ WKRVHWKDWDFWDVDVWLPXOXVWRWKHHFRQRP\6XFKDSSURDFKWR¿VFDOSROLF\LVQHFHVVDU\ QRW RQO\ LQ WLPHV RI FRQWHPSRUDU\ ¿QDQFLDO DQG HFRQRPLF FULVLV EXW DV GH¿QLQJ D FRXQWU\¶V GHYHORSPHQW SDWK 7KLV FKDSWHU PDNHV WKH ¿UVW DWWHPSW LQWURGXFLQJ WKH FRUH FRQFHSWV LQYROYHG 7KH QH[W FKDSWHU ZLOO WDFNOH WKH ³¿VFDO GLDPRQG´ KHDG RQ ZLWK DQ LQWURGXFWLRQ RI LQQRYDWLYH DSSURDFKHV RQ UDLVLQJ VXI¿FLHQWUHYHQXHIRUSXEOLFLQYHVWPHQWDQGH[WHQGLQJWKHPRGHOIXUWKHU  7KHUHVWRIWKLVFKDSWHULVVWUXFWXUHGDVIROORZV7KHQH[WVHFWLRQRXWOLQHV¿VFDO SROLF\WUHQGVDFURVV&,66HFWLRQEULHÀ\GLVFXVVHVUHOHYDQWWKHRUHWLFDODVSHFWV RI ¿VFDO SROLF\ LQ WUDQVLWLRQ 6HFWLRQ  SUHVHQWV WKH WKHRUHWLFDO PRGHO DQG UHYLHZVDYDLODEOHGDWD(PSLULFDOUHVXOWVEDVHGRQWKHGHULYHGIRUPDOPRGHODUH DQDO\]HGLQ6HFWLRQ)LQDOO\FRQFOXVLRQVDQGSROLF\LPSOLFDWLRQVDUHVXPPDUL]HGLQ6HFWLRQ7KHFKDSWHUHQGVZLWKDGLVFXVVLRQRISROLF\LPSOLFDWLRQV

7UDQVLWLRQSHULRG¿VFDOSROLF\WUHQGV 7KHDERYHPHQWLRQHGDQDO\WLFDOVHSDUDWLRQEHWZHHQD WKH¿UVWSKDVHRIWKHWUDQVLWLRQSHULRG LHWKHV DQGWKHVHFRQGSKDVH XQWLO DQGE QHW H[SRUWHUVDQGQHWLPSRUWHUVDSSOLHVLQLWVIXOOH[WHQWLQWKHFXUUHQWGLVFXVVLRQRI ¿VFDOSROLF\WUHQGVLQWKH&,67KHIROORZLQJRIIHUVDEULHIRXWOLQHRIWKHJHQHUDO WUHQGVRIHDFKJURXSE\SHULRGLQWHUPVRI¿VFDOSROLF\SHUIRUPDQFH  $Q HDUOLHU TXDOLWDWLYH DQDO\VLV RI ¿VFDO SROLF\ SHUIRUPDQFH LQ WKH WUDQVLWLRQ HFRQRPLHV LV IRXQG LQ $ODP DQG 6XQGEHUJ   7KH DXWKRUV GUDZ VSHFLDO DWWHQWLRQ WR LVVXHV RI ¿VFDO HI¿FLHQF\ 7KLV PD\ EH DFKLHYHG LQ WKH DXWKRUV¶ YLHZYLDVWUHQJWKHQLQJRIWKHLQVWLWXWLRQDOFRPSRQHQWRI¿VFDOVWUXFWXUHLQWKH &,6HFRQRPLHVDVZHOODV¿VFDOGLVFLSOLQHDQGLPSURYHGUHVRXUFHDOORFDWLRQDQG XVH3UHOLPLQDU\¿QGLQJVUHSRUWHGLQ&KDSWHUVDQGLQGLFDWHG&,6FRXQWULHV¶ ¿VFDOLPSURYHPHQWRQDYHUDJHFRQVLGHULQJWKHRQJRLQJWUDQVIRUPDWLRQ