Review of Development Finance最新文献

This paper addresses the issue of the assessment of foreign exchange and capital controls in the context of the Southern African Development Community's goal of regional integration. It reviews the pros and cons of current and capital account liberalisation and argues that there is a lack of sufficiently refined de jure measures of capital account openness. A new index for measuring exchange control restrictiveness is created based on data from the International Monetary Fund's Annual Report on Exchange Arrangements and Exchange Restrictions (AREAER) for the 15 SADC member states. This index is unique in that it employs ordinal measures of exchange control restrictions rather than the binary measures used in previous measures. The new index illustrates the considerable range of variation of exchange restrictiveness within SADC, as well as illustrating SADC's relative exchange restrictiveness compared with other countries, inside and outside of Africa. The new index also correlates with several measures of financial development, certain balance of payment items, and some measures of institutional development, which makes it a useful measure for SADC integration. The paper highlights the challenges for SADC monetary union in the sphere of exchange control.

In light of Africa’s palpable deficit in public infrastructure, we use System GMM to estimate a model of economic growth augmented by an infrastructure variable, for a panel of 45 Sub-Saharan African countries, over the period 2000–2011. We find that it is the spending on infrastructure and increments in the access to infrastructure that influence economic growth and development in Sub-Saharan Africa. Interestingly, these significant associations, especially those of infrastructure spending, are more important for lesser developed economies of the region than for the relatively more developed economies, which uncommonly have better than near-zero access to infrastructure. In addition to these robust direct links between the target variables, we find importantly that infrastructure access, and quality, also relate to economic growth indirectly via export diversification (trade competitiveness), and cross-border capital flows and trade competitiveness, respectively. Among other important policy derivatives of our findings, we emphasize that efforts aimed at reversing Africa’s pervasive infrastructure deficit, in ways that enable economic growth and development, must be carefully nuanced.

We examine policy thresholds of information sharing for financial development in 53 African countries for the period 2004–2011. Public credit registries (PCRs) and private credit bureaus (PCBs) are used as proxies for reducing information asymmetry whereas financial development includes all financial dimensions identified by the financial development and structure database (FDSD) of the World Bank, namely: depth, efficiency, activity and size. The empirical evidence is based on interactive generalised methods of moments with forward orthogonal deviations. The following findings are established. First, PCRs and PCBs have negative effects on financial depth, with the magnitude of the former higher. Second, contrary to PCRs which have insignificant effects, PCBs have a negative impact on banking system efficiency. Third, PCRs and PCBs have negative impacts on financial activity, with the magnitude of the latter higher. Moreover, both of their marginal effects are negative. Fourth, PCRs and PCBs have positive effects on financial size, with the effect of the former higher. While marginal effects are positive, corresponding thresholds are not within range. Policy implications are discussed.

This paper examines the relationship between product market competition and intra-industry momentum returns. Based on 12,982 firm observations from 19 developed markets for the period of 1990–2010, I find that buying winners and selling losers in competitive industries generates significantly higher momentum profits than that in concentrated industries. The higher the intensity of product market competition, the larger are the intra-industry momentum returns. The results are robust to sub-samples (periods) of the U.S., non-U.S. countries, the G7 countries, 1990–2000, and 2001–2010. I further employ the nearness of a stock's price to the 52-week high to determine past winners and losers and find stronger results. I also compare intra-industry momentum returns with Jegadeesh and Titman (1993) individual stock momentum and Moskowitz and Grinblatt (1999) inter-industry momentum strategies. My results suggest that intra-industry momentum strategy outperforms the latter two strategies in most cases. The overall results are consistent with the notion that severe product market competition induces managers to improve financial performance.

This study investigates whether remittances entail extra risk for macroeconomic policy management and examines the role (if any) that the financial system can play in the interaction between remittances and monetary policy. Employing panel data for 106 developing countries from 1970 to 2013, the results from our panel vector autoregressive (PVAR) model reveal that remittance volatility reduces macroeconomic risk in developing countries while simultaneously stimulating a reduction in domestic interest rates. This finding remains robust to alternative specifications of remittance volatility and monetary policy risk and to variations in the degree of financial development. The key lesson from this study is that developing countries can leverage the positive impact of remittances in reducing macroeconomic instability by implementing policies that induce remittances.

Following Xu and Perron (2014), I applied the extended RLS model to the daily stock market returns of Argentina, Brazil, Chile, Mexico and Peru. This model replaces the constant probability of level shifts for the entire sample with varying probabilities that record periods with extremely negative returns. Furthermore, it incorporates a mean reversion mechanism with which the magnitude and the sign of the level shift component vary in accordance with past level shifts that deviate from the long-term mean. Therefore, four RLS models are estimated: the Basic RLS, the RLS with varying probabilities, the RLS with mean reversion, and a combined RLS model with mean reversion and varying probabilities. The results show that the estimated parameters are highly significant, especially that of the mean reversion model. An analysis of ARFIMA and GARCH models is also performed in the presence of level shifts, which shows that once these shifts are taken into account in the modeling, the long memory characteristics and GARCH effects disappear. Also, I find that the performance prediction of the RLS models is superior to the classic models involving long memory as the ARFIMA(p,d,q) models, the GARCH and the FIGARCH models. The evidence indicates that except in rare exceptions, the RLS models (in all its variants) are showing the best performance or belong to the 10% of the Model Confidence Set (MCS). On rare occasions the GARCH and the ARFIMA models appear to dominate but they are rare exceptions. When the volatility is measured by the squared returns, the great exception is Argentina where a dominance of GARCH and FIGARCH models is appreciated.

The objective of this paper is to examine the determinants of financial inclusion in Africa. We use the World Bank's Global Findex database on 37 African countries to perform probit estimations. We find that being a man, richer, more educated and older favor financial inclusion with a higher influence of education and income. Mobile banking is driven by the same determinants than traditional banking. We observe that the determinants of informal finance differ from those of formal finance. Our work therefore contains findings to design policies to foster financial inclusion in African countries.

We extend the conventional approach to the construction of financial stress indices (FSI) for emerging economies proposed by Balakrishnan et al. (2011). Based on the principal component analysis, our index accounts for developments in the residential real estate market, adopts distinctive indicators for the banking sector and sovereign debt risks, covering the period from February 2008 to September 2015 for 14 emerging economies. The FSIs accurately capture the periods of impaired financial intermediation. The hierarchical cluster analysis identifies five country groups, revealing similarities in the national structures of financial stress. We find an adverse impact of financial stress on economic activity in 9 countries. A Bayesian VAR model is also specified to test for cross-country spillovers of financial stress.

In the last decade there has been a new wave of sovereign bond issuances in Africa. What determines the ability of developing countries to issue bonds in international capital and what explains the spreads on these bonds? This paper examines these questions using a dataset that includes 105 developing countries during the period 1995–2014. We find that a country is more likely to issue a bond when, in comparison with non-issuing peers, it is larger in economic size, has higher per capita GDP, a lower public debt, and a more effective government. Spreads on sovereign bonds are lower for countries with strong external and fiscal positions, as well as robust economic growth and government effectiveness. We also find that primary spreads for the average Sub-Saharan African issuer are higher than in other regions. With regard to global factors, our results confirm the existing evidence that issuances are more likely during periods of global liquidity and high commodity prices, especially for Sub-Saharan African countries, and spreads are higher in periods of higher market volatility.

The literature on financial development and growth has received a lot of attention over the past two decades. Unlike growth, not much of consideration has been given to poverty reduction. Moreover, most of the past studies focus on bank and stock market development. The advent of microfinance institutions (MFIs) lets to think about the potential role MFIs can play in a countrywide economy. In this study, we consider to what extent banks and MFIs reduce poverty. We apply the instrumental variables approach, namely the fixed-effects two-stage least squares, to a panel of 71 developing countries over the period 2002–2011. Using credit to GDP as the main financial development indicator, the results indicate that banks reduce poverty when poverty is measured by the headcount ratio and poverty gap. As for the squared poverty gap, there is no significant effect of banks. On the other hand, MFIs do not appear to have any impact on poverty regardless of the measure of poverty employed. These results imply that while banks have some ability to reduce poverty, MFIs do not, at least at the aggregate level. Our results are robust to the use of assets to GDP as an alternative measure of financial development.