Financial openness and the incidence of the 2008-2009 Global financial crisis: a Bayesian approach
DOI:
https://doi.org/10.1590/1980-53575312moadKeywords:
Financial openness, Capital flows, Global financial crisisAbstract
The objective of this work is to conduct an econometric investigation on the role of financial openness in the incidence of the 2008-2009 global financial crisis. The empirical analysis will be carried out for a sample of 72 countries with data covering the period 1990-2009. The econometric methodology used is the Bayesian model averaging (BMA). The work contributes to the literature in two dimensions: i) the bayesian model averaging is used to deal with the problem of uncertainty regarding the set of explanatory variables in models of incidence of the 2008-2009 global financial crisis; ii) furthermore, it uses a broad set of financial openness indices (de jure and de facto) and a broad set of measures of the incidence of the 2008-2009 global financial crisis. The results suggest: i) there is no evidence that the level of financial openness of countries in the pre-crisis period is a robust determinant of the incidence of the 2008-2009 global financial crisis; ii) there is evidence that the 2008-2009 global financial crisis had a more severe impact on countries with higher GDP per capita, greater share of manufacturing production in GDP, higher credit growth and higher inflation rate, in the period before the crisis.
Downloads
References
Amini, S. e Christopher F. Parmeter. 2011. “Bayesian model averaging in R”. Journal of Economic and Social Measurement 36: 253-287.
Babecky, J., Tomas Havranek, Jakub Mateju, Marek Rusnak, Katerina Smidkova e Borek Vasicek. 2013. “Leading indicators of crisis incidence: evidence from developed countries”. Journal of International Money and Finance 35 (4): 1-19.
Berglof, E., Yevgeniya Korniyenko, Alexander Plekhanov e Jeromin Zettelmeyer. 2010. “Understanding the crisis in Emerging Europe”. Public Policy Review 6 (6): 985-1008.
Berkmen, S. P., Gaston Gelos, Robert Rennhack e James P. Walsh. 2012. “The global financial crisis: Explaining cross-country differences in the output impact”. Journal of International Money and Finance 31 (1): 42-59.
Bernanke, B. 2010. Statement by Ben Bernanke Chairman Board of Governors of the Federal Reserve System before the FCIC Washington. 2 de setembro.
Blanchard, O. J., Mitali Das e Hamid Faruqee. 2010. “The Initial Impact of the Crisis on Emerging Market Countries”. Brookings Papers on Economic Activity 41: 263-323.
Chinn, M. D. e Hiro Ito. 2008. “A New Measure of Financial Openness”. Journal of Comparative Policy Analysis 10 (3): 309-322. Versão atualizada do banco de dados.
Chipman, H. 1996. “Bayesian Variable Selection with Related Predictors”. Canadian Journal of Statistics 24: 17-36.
Claessens, S., Giovanni Dell’Ariccia, Deniz Igan e Luc Laeven. 2010a. “Cross-country experiences and policy implications from the global financial crisis”. Economic Policy 25 (62): 267–293.
Claessens, S., Giovanni Dell’Ariccia, Deniz Igan e Luc Laeven. 2010b. “Lessons and Policy Implications from the Global Financial Crisis”. IMF Working Papers, nº 2010/044. International Monetary Fund. 1º de fevereiro.
Cuaresma, J. C., Gernot Doppelhofer e Martin Feldkircher. 2014. “The Determinants of Economic Growth in European Regions”. Regional Studies 48 (1): 44-67.
Didier, T., Constantino Hevia e Sergio L. Schmukler. 2012. “How resilient and countercyclical were emerging economies during the global financial crisis?”. Journal of International Money and Finance 31 (8): 2052-2077.
Eichengreen, B. J., Michael Mussa, Giovanni Dell’Ariccia, Enrica Detragiache, Gian Maria Milesi-Ferretti e Andrew Tweedie. 1998. “Capital Account Liberalization: Theoretical and Practical Aspects”. IMF Occasional Papers, nº 1998/016. International Monetary Fund. 30 de setembro.
Eichengreen, B. J. 2007. “The Cautious Case for Capital Flows”. University of California, Berkeley. Julho.
Eicher, T. S., Chris Papageorgiou e Adrian E. Raftery. 2011. “Default priors and predictive performance in Bayesian model averaging, with application to growth determinants”. Journal of Applied Economics 26 (1): 30-55.
Feldkircher, M., Roman Horvath e Marek Rusnak. 2014. “Exchange market pressures during the financial crisis: A Bayesian model averaging evidence”. Journal of International Money and Finance 40: 21-41.
Feldkircher, M. e Stefan Zeugner. 2009. “Benchmark Priors Revisited: on Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging”. IMF Working Papers, nº 2009/202. International Monetary Fund. 1º de setembro.
Feldkircher, M. e Stefan Zeugner. 2012. “The impact of data revisions on the robustness of growth determinants – a note on determinants of economic growth: will data tell?’”. Journal of Applied Economics 27 (4): 686-694.
Fernández, A., Michael W. Klein, Alessandro Rebucci, Martin Schindler e Martín Uribe. 2016. “Capital Control Measures: A New Dataset”. IMF Economic Review 64 (3): 548-574.
Fernández, C., Eduardo Ley e Mark F. J. Steel. 2001. “Benchmark Priors for Bayesian Model Averaging”. Journal of Econometrics 100 (2): 381-427.
Frankel, J. e George Saravelos. 2012. “Can Leading Indicators Assess Country Vulnerability? Evidence from the 2008-09 Global Financial Crisis”. Journal of International Economics 87 (2): 216-231.
Gertler, M. e Simon Gilchrist. 2018. “What happened: Financial factors in the Great Recession”. Journal of Economic Perspectives 32 (3): 3-30.
Giannone, D., Michele Lenza e Lucrezia Reichlin. 2011. “Market Freedom and the Global Recession”. IMF Economic Review 59 (1): 111-135.
Gwartney, J., Joshua Hall, Robert Lawson e Ryan Murphy. 2018. “Economic Freedom of the World: 2018 Annual Report”. Fraser Institute.
Ho, T. K. 2015. “Looking for a Needle in a Haystack: Revisiting the Cross-country Causes of the 2008-9 Crisis by Bayesian Model Averaging”. Economia 82: 813-840.
Ilzetzki, E., Carmen M. Reinhart e Kenneth S. Rogoff. 2017. “Exchange Rate Arrangements Entering the 21st Century: Which Anchor Will Hold?”. NBER Working Papers, nº 23134. National Bureau of Economic Research Fevereiro.
International Monetary Fund. 2018a. “The Annual Report on Exchange Arrangements and Exchange Restrictions (AREAER)”. IMF: Washington.
International Monetary Fund. 2018b. “World Economic Outlook”. IMF: Washington.
International Monetary Fund. 2022. “World Economic Outlook”. IMF: Washington.
Jahan, S. e Daili Wang. 2016. “Capital account openness in low-income developing countries: Evidence from a new database”. IMF Working Paper, nº 2016/252. International Monetary Fund. 23 de dezembro.
Knyazeva, A., Diana Knyazeva e Joseph E. Stiglitz. 2012. “Crises and Contagion: A Survey”. Em What if Ireland Defaults, editado por Brian Lucey, Charles Larkin e Constantin Gurdgiev, 17-49. Dublin: Orpen Press.
Koop, G. 2003. Bayesian Econometrics. Chichester: Wiley-Interscience.
Kose, M. A., Eswar Prasad, Kenneth Rogoff e Shang-Jin Wei. 2009. “Financial Globalization: A Reappraisal”. IMF Staff Papers 56 (1): 8-62.
Lane, P. R. 2013. “Financial Globalization and the Crisis”. Open Economies Review 24 (3): 555-580.
Lane, P. R. e Gian Maria Milesi-Ferretti. 2007. “The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities, 1970-2004”. Journal of International Economics 73 (2): 263-294. Versão atualizada do banco de dados.
Lane, P. R. e Gian Maria Milesi-Ferretti. 2011. “The Cross-Country Incidence of the Global Crisis”. IMF Economic Review 59 (1): 77-110.
Liang, F., Rui Paulo, German Molina, Merlise A. Clyde e Jim O. Berger. 2008. “Mixtures of g-Priors for Bayesian Variable Selection”. Journal of the American Statistical Association 103: 410-423.
Madigan, D. e Jeremy York. 1995. “Bayesian graphical models for discrete data”. International Statistical Review 63 (2): 215-232.
Moral-Benito, E. 2015. “Model Averaging in Economics: An Overview”. Journal of Economic Surveys 29 (1): 46-75.
Moral-Benito, E. 2012. “Determinants of economic growth: a Bayesian panel data approach”. Review of Economics and Statistics 94 (2): 566-79.
Ostry, J. D., Atish R. Ghosh, Karl F. Habermeier, Marcos Chamon, Mahvash S. Qureshi e Dennis B. S. Reinhardt. 2010. “Capital Inflows: The Role of Controls”. IMF Staff Position Note, nº 2010/004. International Monetary Fund. 19 de fevereiro.
Rajan, G. R. 2009. “The Credit Crisis and Cycle-Proof. Regulation”. Federal Reserve Bank of St. Louis Review 91 (5): 397-402.
Rodrik, D. 2017. “The trouble with globalization”. Milken Institute Review. Acessado em 31 de dezembro de 2018. https://www.milkenreview.org/articles/the-trouble-with-globalization.
Rodrik, D. 2018. “Populism and the economics of globalization”. Journal of International Business Policy 1 (1): 12-33.
Rose, A. K. e Mark M. Spiegel. 2012. “Cross-Country Causes and Consequences of the 2008 Crisis: Early Warning”. Japan and the World Economy 24 (1): 1-16.
Rose, A. K. e Mark M. Spiegel. 2011. “Cross-country Causes and Consequences of the Crisis: An Update”. European Economic Review 55 (3): 309-324.
Schindler, M. 2009. “Measuring Financial Integration: A New Data Set”. IMF Staff Papers 56 (1): 222–238.
Stiglitz, J. E. 2010. “Contagion, Liberalization, and the Optimal Structure of Globalization”. Journal of Globalization and Development 1 (2): 1-45.
Stiglitz, J. E. 2004. “Capital-Market Liberalization, Globalization, and the IMF”. Oxford Review of Economic Policy 20 (1): 57-71.
Stiglitz, J. E. 2000. “Capital Market Liberalization, Economic Growth, and Instability”. World Development 28 (6): 1075-1086.
Thakor, A. V. 2015. “The Financial Crisis of 2007-09: Why Did It Happen and What Did We Learn?”. Review of Corporate Finance Studies 4 (2): 155-205.
World Bank. 2018. “World Development Indicators”. WB: Washington.
World Bank. 2017. “Financial Structure Database”. WB: Washington.
World Bank. 2019. “Financial Structure Database”. WB: Washington.
Zellner, A. 1986. “On Assessing Prior Distributions and Bayesian Regression Analysis with g-Prior Distributions”. Em Bayesian Inference and Decision Techniques: Essays in Honor of Bruno de Finetti, editado por Prem K. Goel e Arnold Zellner, 233-243. Amsterdam: NorthHolland/Elsevier.
Zeugner, S. e Martin Feldkircher. 2015. “Bayesian Model Averaging Employing Fixed and Flexible Priors: The BMS Package for R”. Journal of Statistical Software 68 (4): 1-37.
Downloads
Published
Issue
Section
License
Copyright (c) 2023 Marcos Santos de Oliveira Júnior, Aderbal Oliveira Damasceno
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
By submitting an article, the author authorizes its publication and attests that it has not been submitted to any other journal. The original article is considered final. Articles selected for publication are proofread for grammatical and orthographic errors. The journal does not pay rights for published articles. The Institute of Economic Research from the School of Economics, Business and Accounting of the University of São Paulo (Instituto de Pesquisas Econômicas da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo) owns the journal's copyright.
