Contenu du sommaire : Reconstruire l'architecture du système financier international

Why do governments hesitate to make more use of capital controls? In the wake of the Asian financial crisis of 1997-98, limitations on capital mobility appeared to gain a new legitimacy as an instrument of monetary governance. Once Malaysia imposed comprehensive restraints in 1998, it was clear that the option of controls could no longer be excluded from the policy agenda. At the same time, reconsiderations of both theory and history cast the case for restraints in a new and more positive light. Four possible explanations are explored. Little evidence exists to suggest that governments hesitate because of concerns for technical issues, lack of convincing evidence, or ideological principle. Most decisive appears to be the prominent role of the United States, which has actively used its international power to oppose any reintroduction of controls.

The effects of international coordination and cooperation on the triggering of speculative exchange rate crises We analyse the effects of international coordination and cooperation on the trigger action and the contagion of currency crises, in a three-country model built on the 'escape clause' approach of fixed exchange rate systems. We show that coordination decreases the possibility of self-fulfilling expectations of simultaneous speculative crises in the region and reduces the set of multiple equilibria, but that it may however induce more contagion. The effect of cooperation is qualitatively similar to that of coordination, but quantitatively still more important. However, in order to get credible vis-a-vis the private agents, cooperation requires the settlement of a heavy commitment technology, for example a supranational organization which enforces the agreement.

Speculative attacks and credibility of exchange rate regime: what policy-mix trade-off? Since the Asian and Brazilian exchange rate crises have occurred, the reaction of authorities has been the subject of an intense debate. Indeed, coping with a speculative attack, domestic authorities both increase interest rates and contract fiscal policy. It appears that such a combination of policy instruments is counter­productive. This paper analyses the credibility of the policy-mix used by authorities. But, opposite to traditional credibility models, fiscal policy is explicitly introduced in the loss function of the authorities. The model suggests that a restrictive fiscal policy is not necessary a credible decision to defence the exchange rate target.

Financial markets and bank risk assessment do rating agencies contribute to increase market discipline? This paper examines the role played by rating agencies in increasing market discipline for banks and other financial intermediaries. Using a standard event study methodology applied on a sample of European banks we first analyse the impact of rating changes on bank stock prices. Tests for the presence of abnormal returns do not always confirm that rating agencies convey unexpected information to the market. The estimation of a Logit model on individual bank data shows however that the market does react in the expected direction to increase discipline in the case of institutions for which modern intermediation theory outlines the sharpest asymmetric information problems.

Credibility of the Hong Kong currency board This paper uses over-the-counter currency options on the Hong Kong dollar to estimate the expected probability and intensity of a Hong Kong dollar devaluation over a one-month horizon, from February 1997 to the end of 1998. Addressing the issue of the determinants driving these anticipations, it tests both for contagion effects arising from the Asian crisis and the efficiency of the monetary authorities' responses to speculative attacks. The external effect captured by the dollar/yen and its implied volatility, the spillover effect via portfolio reallocations and the pure psychological contagion effect picked up by Asian devaluation announcements appear significant.

We build a model where one borrowing emerging country receives both public and private loans. If its economic situation worsens, the cancellation of a part of the public loans will enable it to avoid defaulting on its private loans, but the fact that the intervention of public lenders is expected leads to an excess of private lending compared to the socially optimal level. If there is no discrimination between private and public lenders, which means that the same proportion of private and public loans is cancelled, the moral hazard effect disappears, but the risk of default by lending banks appears. This paper examines a debt relief programme which may be implemented in the event of difficulty in the borrowing country and which does not lead to the two above-mentioned shortcomings.

Debt relief for developing countries, adjustment incentives, and intervention of international financial institutions This paper examines the conditions under which the debt reduction schemes lead debtor countries to increase their adjustment effort and their solvency. These conditions depend on the debtor's situation, and notably, on the cost of the requested adjustment. Nevertheless, the optimal agreement is imposed by the debt reduction mechanism. We compare direct forgiveness and buybacks on the secondary debt market, and we show that this two modes of debt relief are equivalent if buybacks are financed by loans of IFI that are seniors. If loans of IFI are juniors, these operations are inconsistent with the situation of the debtor and lead private creditors to refuse all financing to a country with an important cost of the adjustment.

This paper addresses the implications for monetary policies aimed at price stability in an international environment characterised by a high degree of interdependence among different economic areas. The paper argues that the optimal design of the monetary policy strategy has to combine rules with discretion so as to reflect both the characteristics of domestic economies in a globalised world and the need for efficient communication. The flexibility of the monetary policy strategy also has important implications for international monetary policy co-ordination. Recognising that, at least for large economic areas, "classic" monetary policy co­ordination is not feasible, the paper argues that, instead, monetary policy co­operation, i.e. the exchange of information and views without definite policy commitments, can significantly enhance the efficiency of monetary policy measures. In this respect, any system of co-operation between central banks, if it is to be efficient, requires the various international fora in which such co-operation takes place to be designed and function appropriately. It should be recognised, however, that smaller countries might welcome a "weaker" form of co-ordination consisting in pegging the exchange rate of their currency to the currency of a larger and more stable country.

The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility In this paper, we investigate the impact of monetary policy signals stemming from the Bundesbank Council and the FOMC on the intradaily Deutsche Mark-dollar volatility (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a polynomials structure depending on signal variables, on the deseasonalized exchange rate returns series. This structure allows us to test the signals persistence one hour after their occurrence and to reveal a dissymmetry between the effect of the Bundesbank and the Federal Reserve signals on the exchange rate volatility.

International liquidity generation and exchange rate stabilization in a bipolar international regime The upsurge of the euro opens the possibility that two international currencies coexist. This paper focuses on the potential discordance between the demand and supply structures of international liquidity within a bipolar monetary regime. We show that the adjustment process intended to stabilize exchange rates is never neutral with respect to international liquidity. Controlling the effects of such a process on the dynamics of liquidity requires a specific rule between international currency issuers to share the burden of adjustment.

Using a two-country model of monetary union where policymakers minimize the continuous-time equivalent of a Barro-Gordon-type loss function, we examine the value of the option of monetary disintegration when the national preference parameters associated with an inflationary surprise follow correlated geometric Brownian motions. We derive the critical level of the ratio of these parameters that triggers a move to monetary disintegration and find that a country will be willing to return to monetary independence only if the other country's relative inflation preferences are strictly, and potentially substantially, greater than a benchmark value depending on the cost of monetary disintegration alone.

Financial globalization and the autonomy of monetary policy: the role of capital controls This article analyzes the effects of various capital controls on the autonomy of national monetary policy when a country tries to obtain simultaneously real ex­change rate stability and price stability. First, we compare, on the basis of their effect on international returns equalization, the Chilean non-remunerated deposit requirement and the Tobin tax. We then analyze their impact on short term exchange rates dynamics in a traditional overshooting model where endogeneous money supply is allowed in order to take into account the possibility of sterilized intervention. Finally, we draw some conclusions on the relative desirability of these two measures on the basis of the theoretical implications of the model and of the Chilean experience of capital restrictions.

The foundations of the international lender of last resort function and its actors under the gold standard (1890-1914). A few lessons to be learnt from the past This article examines two dimensions of the international lender of last resort function under the gold standard. The first one deals with the macroeconomic foundations of the rise of cooperation associated with financial interdependence. They explain why cooperation stems from common interests and sometimes casual complementarities. The second one deals with the microeconomic reasons for the upshot of the management of crises and for the share of responsibilities by the interplay between various actors-states, central banks and commercial banks. These analyses are then related to the current debate around the organisation of International Lender of Last Resort arrangements to see if lessons can be learnt from the past.

Which alternatives to an international lender of last resort? As it appears neither desirable nor possible to set up an international lender of last resort, one should rather look for ways to improve the existing framework in order to overcome international capital market failures. Two complementary ways should be favoured: the involvement of the private sector and the reform of the International Monetary Fund. The IMF is the only institution in a position to build and implement a balanced system of incentives, conducive both to a reduction of the vulnerability of emerging economies to crises and to the involvement of the private sector. However, any ambiguity about the role of the IMF as an international lender of last resort should be cleared up, which implies a return to access limits to IMF resources.

Political economy of international financial architecture The objective of the new architecture of the international financial system is to master the international financial instability by improving the transparency and the supervision of markets, and by arousing a greatest sense of responsibility in the prevention and management of crises, of both private and public actors. But it is very improbable for the new architecture to take the form of rules of law whose combination would open on a new system forced upon the international community, to the image of the creation of the IMF in 1944. It is likely to be a pragmatic reply to the international financial instability rather than an institutional evolution of the modes of international monetary and financial governance. The ambition to consolidate the international financial architecture marks already a real change of doctrine, close to a new neoliberal compromise and partially nearing the postwar embedded liberalism recommended by Keynes. But this compromise appears all both ambiguous and unfinished, as much in its foundations that in its functioning. The object of this analysis is precisely to surround the political economy of this architecture. One examines first the official contours of the new architecture, by showing that this program is first a political reply, managed by the American diplomacy and piloted by the G 7, to the systemic contagion of the 90's. One shows then how the project of architecture, considering the theoretical underlying foundations as well as the adopted method, can be analyzed as a pragmatic compromise whose application remains at present unfulfilled, and which cannot be considered as a full reply to the challenges of systemic risk. embedded liberalism recommended by Keynes. But this compromise appears all both ambiguous and unfinished, as much in its foundations that in its functioning. The object of this analysis is precisely to surround the political economy of this architecture. One examines first the official contours of the new architecture, by showing that this program is first a political reply, managed by the American diplomacy and piloted by the G 7, to the systemic contagion of the 90's. One shows then how the project of architecture, considering the theoretical underlying foundations as well as the adopted method, can be analyzed as a pragmatic compromise whose application remains at present unfulfilled, and which cannot be considered as a full reply to the challenges of systemic risk.