6 - MNB

0 downloads 0 Views 502KB Size Report
Csermely Ágnes: A vállalkozások banki finanszírozása Magyarországon. 1991-1994. 1996/7. (szeptember). Dr. Balassa Ákos: A vállalkozói szektor hosszú távú ...
Economics and Research Department

NBH WORKING PAPER 2000/6 Zsófia Árvai – János Vincze:

FINANCIAL CRISES IN TRANSITION COUNTRIES: MODELS AND FACTS

August, 2000.

Online ISSN: 1585 5600 ISSN 1419 5178 ISBN 963 9057 78 9

Zsófia Árvai: Economist, Economics and Research Department, E-mail: [email protected] János Vincze: Senior Economist, Economics and Research Department E-mail: [email protected] The purpose of publishing the Working Paper series is to stimulate comments and suggestions to the work prepared within the National Bank of Hungary. Citations should refer to a National Bank of Hungary Working paper. The views expressed are those of the authors and do not necessarily reflect the official view of the Bank. National Bank of Hungary H-1850 Budapest Szabadság tér 8-9. http://www.mnb.hu



6XPPDU \

Yxoqhudelolw| wr qdqfldo fulvhv lv dq lpsruwdqw frqfhuq iru wudqvlwlrq hfrqrplhv/ vlqfh suhfrqglwlrqv ri fdqglgdwxuh h{solflwo| uhtxluh wkdw ylrohqw pryhphqwv lq fhuwdlq qdqfldo yduldeohv/ vxfk dv h{fkdqjh udwhv gr qrw rffxu1 Lq wklv vwxg| zh dqdo|}h wkh qdqfldo fulvlv h{shulhqfh ri 44 wudqvlwlrq frxqwulhv lq wkh oljkw ri h{lvwlqj fulvlv prghov1 Wr dfklhyh wklv jrdo d vkruw vxppdu| ri wkh wkhruhwlfdo olwhudwxuh lv rhuhg/ wkhq zh surfhhg yld fdvh vwxglhv wr hyhqwxdoo| pdwfk idfwv wr prghov1 D wkhruhwlfdo iudphzrun doorzlqj xv wr dgguhvv d klwkhuwr qhjohfwhg dvshfw ri prqhwdu| dqg h{fkdqjh udwh srolflhv lv dovr ghyhorshg1 Frqfhuqlqj wkh hpslulfdo sduw frqfoxvlrqv fdq eh vxppdul}hg dv iroorzv1 Sdwhqwo| zhdn plfurhfrqrplf irxqgdwlrqv dqg lqfrqvlvwhqw srolflhv fkdudfwhu0 l}hg Uxvvld/ Exojduld/ dqg Urpdqld1 Lq wkh F}hfk Uhsxeolf dqg Vorydnld pdfurhfrqrplf lqglfdwruv sdlqwhg d udwkhu idyrudeoh slfwxuh ri wkh hfrqrp|/ exw wkh| frqfhdohg yhu| vhulrxv plfurhfrqrplf sureohpv1 Wkh Edowlf frxqwulhv lq jhqhudo vxffhhghg e| lqwurgxflqj uljlg h{fkdqjh udwh v|vwhpv lq rughu wr id0 flolwdwh pdfurhfrqrplf vwdelol}dwlrq dqg wr lqfuhdvh wkh fuhglelolw| ri h{fkdqjh udwh v|vwhp1 Voryhqld dqg Srodqg/ lq glhuhqw zd|v/ wulhg wr uhwdlq vrph h{0 lelolw| lq lq xhqflqj wkh h{fkdqjh udwh lq rughu wr uhvsrqg wr pdfurhfrqrplf ghyhorsphqwv1 Kxqjdu|*v vxffhvvixo vwlfnlqj wr d fudzolqj v|vwhp zlwk d udwkhu qduurz edqg/ sxwv lwv pruh uhfhqw h{shulhqfh forvhu wr wkh Edowlf frxqwulhv1 Wkh wkhruhwlfdo sduw ri wkh sdshu vwduwv zlwk wkh revhuydwlrq wkdw lq vhyhudo fdvhv srolf| pdnhuv kdyh ehhq lqwhqw wr jkw lq dwlrq zlwk kljk lqwhuhvw udwhv/ dqg wklv/ wrjhwkhu zlwk jrrg ixqgdphqwdov/ ohg wr fdslwdo lq rzv/ dqg wr uhyhuvh dwwdfnv1 Dffruglqjo| zh dvn zkhq lw lv uhdvrqdeoh wr xvh lqwhuhvw udwh srolf| iru uhgxflqj lq dwlrq lq d shjjhg/ exw dgmxvwdeoh/ h{fkdqjh udwh uhjlph xqghu wkh frqglwlrq ri shuihfw fdslwdo prelolw|1 Xqghu rxu dvvxpswlrqv rq sulfh iru0 pdwlrq lw pd| pdnh vhqvh wr lqfuhdvh wkh krph qrplqdo lqwhuhvw udwh deryh wkh h{rjhqrxv iruhljq udwh lq rughu wr uhgxfh h{shfwhg lq dwlrq rqo| li wkh frxqwu| lq txhvwlrq lv uhodwlyho| odujh dqg forvhg lq d vhqvh suhflvho| ghqhg e| prgho sdudphwhuv1 Fdslwdo prelolw| lpsolhv wkdw udlvlqj lqwhuhvw udwhv zloo uhvxow lq kljkhu ghydoxdwlrq/ dqg wkhuhiruh d kljkhu exuvw ri lq dwlrq/ zkhqhyhu lw rf0 fxuv1 Lq rwkhu zrugv/ hyhq li kljkhu lqwhuhvw udwhv fdq ex| vrph uhgxfwlrq lq h{shfwhg lq dwlrq lw lv dfklhyhg dw wkh frvw ri lqfuhdvlqj wkh yduldelolw| ri lq0 dwlrq1 Wkhq zh orrn iru vrph prwlyh wkdw pdnhv ghydoxdwlrq h{ srvw udwlrqdo lq vrph vwdwh ri wkh zruog/ pdnlqj lqwhuhvw udwh suhpld vhqvleoh iru vpdoo rshq hfrqrplhv/ wrr1 Lw lv dvvxphg wkdw lq dgglwlrq wr fdxvlqj dq dgyhuvh hhfw e| lqfuhdvlqj lq dwlrq/ d ghydoxdwlrq kdv d ehqhfldo hhfw e| uhgxflqj wkh iruhljq fxuuhqf| ydoxh ri wkh krph jryhuqphqw*v iruhljq ghew1 Dq lqwhuhvwlqj ihdwxuh ri rxu prgho lv wkdw wkh sruwirolr fkrlfh ri iruhljq lqyhvwruv lv ghwhuplqdwh/ ghvslwh xqfryhuhg lqwhuhvw sdulw|1

4



, QW U RGXFW LRQ 4

Ilqdqfldo yxoqhudelolw| kdv ehfrph d pxfk0vwxglhg wrslf lq uhfhqw |hduv1 Wkh Ph{lfdq fulvlv ri 4 "l > ' duh qrqghfuhdvlqj/ M lv dq lqglfdwru wdnlqj wkh ydoxh ri 4 zkhq hl 9@ 4/ dqg 3 rwkhuzlvh/ zkhuhdv N lv wkh rswlqj0rxw frvw/ d srvlwlyh qxpehu1 Lw lv dvvxphg wkdw "j ? "e / l1h1 wkh edg vwdwh lv ghqhg e| wkh surshuw| wkdw lq d edg vwdwh kdylqj iruhljq ghew lv pruh rqhurxv/ wkdq lq d jrrg vwdwh1 Wkh dxwkrulwlhv plqlpl}h O e| vhwwlqj wkh qrplqdo h{fkdqjh udwh lq shulrg 5/ jlyhq wkh qrplqdo lqwhuhvw udwh/ sruwirolr ghflvlrqv/ dqg lq dwlrq h{shfwdwlrqv +l1h1 zdjhv,,1 Wkh uhvxowlqj uvw rughu frqglwlrq fdq eh vroyhg iru dq| jlyhq L/ wr surylgh xv zlwk d frqwlqxdwlrq htxloleulxp ydoxh iru E1 Wkhq wkh qrplqdo lqwhuhvw udwh lv vhw vr dv wr plqlpl}h h{shfwhg orvvhv dv ri shulrg 4 wdnlqj lqwr dffrxqw rswlpdo ehkdylru dorqj wkh htxloleulxp sdwk1 Dvvxplqj vshflf suhihu0 hqfhv Dsshqgl{ 4 ghprqvwudwhv iru wkh vpdoo rshq hfrqrp| fdvh wkdw lqwhulru htxloleuld fdq h{lvw1 Dq lqwhuhvwlqj ihdwxuh ri wklv prgho lv wkdw wkh sruwirolr fkrlfh ri iruhljq lqyhvwruv lv ghwhuplqdwh/ ghvslwh XLS1 Zkdw ghwhuplqhv wkhlu fkrlfh ehwzhhq erqgv ri glhuhqw fxuuhqf| ghqrplqdwlrq lv wkh h{shfwdwlrq wkdw d fkdqjh lq wkhlu sruwirolrv zloo uhvxow lq d fkdqjh lq wkh vl}h ri ghydoxdwlrq1 Wrr pxfk h{srvxuh wr krph fxuuhqf| erqgv zrxog jlyh d kljk lqfhqwlyh wr ghydoxh/ dqg 5:

wkhuhe| d orzhu |lhog1 Kroglqj wrr olwwoh ri wkhvh dvvhwv fdq ohdg wr olwwoh ghydo0 xdwlrq/ dqg d kljkhu |lhog1 Xqghu wkh frqglwlrq ri 4     A 3 wkh E+L, ixqfwlrq h{klelwv vlplodu txdolwdwlyh surshuwlhv dv he +L,1 Wklv phdqv wkdw vpdoo lqfuhdvhv lq wkh qrplqdo lqwhuhvw udwh fdq ohdg wr lqfuhdvlqj fdslwdo lq rzv gh0 qrplqdwhg lq wkh krph fxuuhqf|/ h{huwlqj dq xszdug suhvvxuh rq wkh qrplqdo h{fkdqjh udwh1 Zlwk d yhu| odujh E lq wkh edg vwdwh wkh srolf| pdnhu frxog dfklhyh d vxevwdqwldo +qhw, ghew uhgxfwlrq/ e| hurglqj wkh iruhljq fxuuhqf| ydoxh ri iruhljq ghew1 Rq wkh rwkhu kdqg lq wkh jrrg vwdwh kljk E dw d kljkhu qrplqdo udwh wkdq wkh iruhljq fxuuhqf| udwh +L A L  , zlwk qr ghydoxdwlrq zrxog phdq dq lqfuhdvlqj ghew exughq1 Rq wkh rwkhu kdqg/ lqfuhdvlqj wkh krph lqwhuhvw udwh kdv dq dgyhuvh hhfw e| lqfuhdvlqj xqkhgjhg sulydwh iruhljq ghew/ zkrvh frvwv duh uhlqirufhg e| wkh hyhqwxdoo| kljkhu ghydoxdwlrq1 Dovr d glvsuhihuhqfh iru lq dwlrq yduldelolw| khosv lq uhvwudlqlqj wkh prqhwdu| dxwkrulwlhv* dsshwlwh iru djjuhvvlyho| xvlqj lqwhuhvw udwhv1 Zkdw lv d fulvlv lq wklv frqwh{wB Li wkh rswlpdo vroxwlrq zrxog lpso| rqo| d vx!flhqwo| vpdoo lpsuryhphqw ryhu wkh { udwh/ l1h1 wkh rswlpdo he zhuh forvh wr 4 wkhq wkh {hg rsw rxw frvw dujxphqw zrxog phdq wkdw wkh vhfrqg shulrg h{fkdqjh udwh zrxog eh xqfkdqjhg1 Wkxv/ d fkdqjh lq wkh h{fkdqjh udwh fdq eh frqvwuxhg dv d fulvlv1 Dq dowhuqdwlyh lghd lv wkdw wkrxjk vpdoo fkdqjhv lq h{rjh0 qrxv sdudphwhuv fdq ohdg wr vpdoo fkdqjhv lq L/ li wkh ghe @gL ghulydwlyh lv odujh/ wkhq d vpdoo vkliw lq ixqgdphqwdov fdq uhvxow lq d vxevwdqwldo ghydoxdwlrq1



7 KH PRGHOV DQG W KH IDFW V

Zh kdyh wulhg wr lghqwli| wkh fdxvhv zk| fhuwdlq frxqwulhv h{shulhqfhg d fxu0 uhqf| fulvlv/ zkloh rwkhuv glg qrw1 Lq wkh wlph shulrg xqghu lqyhvwljdwlrq/ vl{ frxqwulhv zhuh klw e| vshfxodwlyh dwwdfnv dqg kdg wr qdoo| jlyh xs wkh iruphu h{fkdqjh udwh v|vwhp +Uxvvld/ Exojduld/ Urpdqld/ wkh F}hfk Uhsxeolf/ wkh Vor0 ydn Uhsxeolf/ Kxqjdu|,1 Lw zdv d frpprq ihdwxuh lq doo vl{ fdvhv wkdw wkhvh hfrqrplhv kdg pdmru pdfur0 dqg2ru plfurhfrqrplf sureohpv/ zklfk qdoo| ohg wr wkh froodsvh ri wkh h{fkdqjh udwh/ vr qrqh ri wkhp fdq eh frqvlghuhg dv d vhf0 rqg jhqhudwlrq fxuuhqf| dwwdfn w|sh fulvlv/ l1h1 d vhoi0ixooolqj surskhv|1 Wkhuh zhuh/ krzhyhu/ vljqlfdqw glhuhqfhv lq wkh fdxvhv ri dqg uhdfwlrqv wr wkh vshf0 xodwlyh dwwdfnv dv wkhvh frxqwulhv zhuh dw glhuhqw vwdjhv ri wudqvlwlrq/ dqg wkh ghjuhh ri fdslwdo dffrxqw olehudol}dwlrq zdv dovr glhuhqw1 Sdwhqwo| zhdn plfurhfrqrplf irxqgdwlrqv dqg lqfrqvlvwhqw srolflhv fkdu0 dfwhul}hg Uxvvld/ Exojduld/ dqg Urpdqld1 Wkhvh wkuhh frxqwulhv kdg vhyhudo hohphqwv lq frpprq lq wkh |hduv suhfhglqj wkh fulvlv= vriw exgjhw frqvwudlqwv/ dvvhw vwulsslqj/ zhdn vxshuylvlrq ri qdqfldo pdunhwv/ odfn ri h!flhqw sulydwl0 }dwlrq/ vfdo lpedodqfhv/ kljk lq dwlrq/ uhdo dssuhfldwlrq ri wkh h{fkdqjh udwh/ lqfuhdvlqj iruhljq ghew1 Wkh Uxvvldq fxuuhqf| fulvlv fdq eh fohduo| fodvvlhg dv d fxuuhqf| dwwdfn fulvlv1 Urpdqld dqg Exojduld kdg rdwlqj h{fkdqjh udwh v|vwhpv/ vr fxuuhqf| fulvhv rffxuuhg lq wkh irup ri vkdus ghsuhfldwlrqv/ vr wklv w|sh fdq ehvw eh ghvfulehg dv d *zrxog0kdyh0ehhq fxuuhqf| dwwdfn fulvlv*1 Ri wkh uhpdlqlqj wkuhh frxqwulhv wkdw zhuh dwwdfnhg/ wkh F}hfk Uhsxeolf 5;

dqg Vorydnld srvvhvv d orw ri vlplodulwlhv1 Lq wkhvh wzr frxqwulhv pdfurhfrqrplf lqglfdwruv sdlqwhg d udwkhu idyrudeoh slfwxuh ri wkh hfrqrp|/ exw wkh| frqfhdohg yhu| vhulrxv plfurhfrqrplf sureohpv1 Wkh vorz sdfh ri uhvwuxfwxulqj dqg sul0 ydwl}dwlrq/ wrjhwkhu zlwk wkh ryhuydoxhg h{fkdqjh udwh/ ohg wr d ghwhulrudwlrq lq h{whuqdo frpshwlwlyhqhvv/ dqg wkh uhvxowlqj kljk fxuuhqw dffrxqw ghflw pdgh wkh wzr frxqwulhv yhu| yxoqhudeoh wr vshfxodwlyh dwwdfnv1 Wkh F}hfk dqg Vorydn fulvhv zhuh pruh ri wkh hvfdsh fodxvh prgho w|sh/ dv wkh ghflvlrq derxw wkh idwh ri wkh h{fkdqjh udwh zdv wkh uhvxow ri d frvw0ehqhw dqdo|vlv1 Wkh frpsdulvrq ri wkh uvw dqg vhfrqg vshfxodwlyh dwwdfnv rq wkh Vorydn furzq lv dq hvshfldoo| jrrg h{dpsoh iru looxvwudwlqj wkh hvfdsh fodxvh prgho/ dv wkh frvwv ri pdlq0 wdlqlqj wkh shj zhuh ydoxhg glhuhqwo| lq wkh 4

Suggest Documents