COMMODITY PRICE SHOCKS AND FINANCIAL SECTOR FRAGILITY NHNG C SC GI C HNG HểA V S BT N CA H THNG TI CHNH ABTRACT This paper investigates the impact of commodity price shocks on financial sector fragility Using a large sample of 71 commodity exporters among emerging and developing economies, it shows that negative shocks to commodity prices tend to weaken the financial sector, with larger shocks having more pronounced impacts More specifically, negative commodity price shocks are associated with higher nonperforming loans, bank costs and banking crises, while they reduce bank profits, liquidity, and provisions to nonperforming loans These adverse effects tend to occur in countries with poor quality of governance, weak fiscal space, as well as those that not have a sovereign wealth fund, not implement macro-prudential policies and not have a diversified export base TểM TT Nghiờn cu ny xem xột tỏc ng ca cỏc cỳ sc giỏ c hng húa n s bt n ca h thng ti chớnh S dng mt mu ln ca 71 doanh nghip xut khu hng húa nn kinh t mi ni v ang phỏt trin, nú cho thy rng cỏc cỳ sc õm giỏ hng húa cú xu hng lm suy yu khu vc ti chớnh , vi nhng cỳ sc cng ln cú tỏc ng cng rừ rng hn C th hn , cỏc cỳ sc õm cú liờn h n s gia tng n xu , chi phớ ngõn hng v khng hong ngõn hng , ng thi chỳng lm gim li nhun ngõn hng , khon, v d phũng cho cỏc khon n xu Nhng nh hng xu ny cú xu hng xy cỏc nc cú cht lng kộm v qun tr, khụng gian ti khúa yu kộm, cng nh nhng quc gia khụng cú mt qu u t quc gia , khụng thc hin cỏc chớnh sỏch an ton v mụ, khụng cú mt nn tng xut khu a dng INTRODUCTION The recent decline in commodity prices, especially for oil, has revived once again interest in their economic impact Most commodities prices have declined by about 50 percent between mid-2014 and mid-2015, leading to significant losses in export earnings for commodity exporters (Figure 1) GII THIU S suy gim gn õy ca giỏ c hng húa , c bit l du m, ó lm sng dy mt ln na mi quan tõm n tỏc ng kinh t ca chỳng Hu ht giỏ mt hng ny ó gim khong 50 % t gia nm 2014 v gia nm 2015 , dn n thit hi ỏng k kim ngch xut khu cho doanh nghip xut khu hng húa ( Hỡnh ) The large occurrence of commodity price shocks has led to a large number of studies analyzing the impact of lower commodity prices on various variables such as economic growth (Deaton and Miller 1995, Dehn 2000), debt (Arezki and Brỹckner 2000, Arezki and Ismail 2013), conflict (Brỹckner and Ciccone 2009), etc S xut hin nhiu cỏc cỳ sc giỏ hng húa ó dn n mt s lng ln cỏc nghiờn cu phõn tớch cỏc tỏc ng ca giỏ hng húa thp trờn nhiu bin s nh tng trng kinh t ( Deaton v Miller 1995, Dehn 2000) , n ( Arezki v Bruckner 2000, Arezki v Ismail 2013 ) , xung t ( Bruckner v Ciccone 2009) , vv Adverse commodity price shocks can also contribute to financial fragility through various channels First, a decline in commodity prices in commoditydependent countries results in reduced export income, which could adversely impact economic activity and agents (including governments) ability to meet their debt obligations, thereby potentially weakening banks balance sheets Cỳ sc õm cng gúp phn vo s bt n ti chớnh thụng qua cỏc kờnh khỏc u tiờn, mt s suy gim giỏ c hng húa cỏc nc ph thuc hng húa dn n s suy gim thu nhp t xut khu, cú th nh hng xu n hot ng kinh t v kh nng ca cỏc i lý (bao gm c cỏc chớnh ph) ỏp ng cỏc ngha v n ca h, ú cú kh nng lm suy yu bng cõn i ca cỏc ngõn hng Th hai, mt s t bin vic rỳt tin ngõn hng sau s st gim giỏ hng húa cú th lm gim ỏng k tớnh khon ca cỏc ngõn hng v cú kh nng dn n mt cõn bng khon Nu ln , cỏc cỳ sc giỏ c hng húa cng cú th nh hng xu n bng cõn i ca ngõn hng khon mc d tr ngoi t v lm tng ri ro mt cõn bng t giỏ Th ba, mt s suy gim giỏ c hng húa cú th lm gim nng lc ti chớnh ca cỏc nh xut khu (gim doanh thu) , ú cú th y Second, a surge in bank withdrawals following a drop in commodity prices may significantly reduce banks liquidity and potentially lead to a liquidity mismatch If large enough, commodity price shocks can also adversely affect bank balance sheets by weighing on international reserves and increasing the risk of currency mismatches Third, a decline in commodity prices can reduce commodity exporters fiscal performance (by lowering revenue), which in turn may push government to adjust their budgets to accommodate revenue shortfalls Often this can happen in a disorderly manner through the accumulation of payment arrears to suppliers and contractors, who in turn are unable to adequately service their bank loans chớnh ph phi iu chnh ngõn sỏch thớch nghi vi s thõm ht thu nhp t cỏc nh xut khu Thng thỡ iu ny cú th xy thụng qua vic tớch ly n phi tr cho nh cung cp v nh thu , lm cho h khụng th thc hin y ngha v vi cỏc khon vay ngõn hng ca h Tuy nhiờn, cỏc ti liu cũn thiu mt phõn tớch thc nghim cú h thng v tỏc ng ca cỏc cỳ sc õm trờn cỏc lnh vc ti chớnh Vic thiu cỏc bng chng cú th l s thiu d liu v cỏc nc ang phỏt trin (Navajas v Thegeya, 2013) v nh ngha m h v s bt n ti chớnh, ú l khú khn cho vic nh lng (Francis, 2003) Bt n ti chớnh cú th c nh ngha l s gia tng kh nng sp mang tớnh h thng h thng ti chớnh, m du hiu rừ rng nht s l mt cuc khng hong ngõn hng mang tớnh h thng Mt nh ngha ớt n tng hn l bt n ti chớnh cú th c hiu nh l s nhy cm ca h thng ti chớnh vi cỏc cỳ sc tng i nh iu ú núi rng, vic xõy dng cỏc ch bỏo tng ng s l tng i phc v khụng rừ rng ó cú cỏc phõn tớch gn õy nht cỏc ti liu nghiờn cu thc nghim v tỏc ng ca cỏc cỳ sc thng mi lờn s xut hin ca cỏc cuc khng hong ngõn hng (Demirgỹỗ- Kunt v Detragiache, 2000) Vic thiu cỏc bng chng thc nghim khỏ l ỏng ngc nhiờn vỡ nhn thc ngy cng tng ca cỏc n nh ti chớnh nhiu quc gia, v liờn kt cht ch gia cỏc th trng hng húa v khu vc ti chớnh However, the literature lacks a systematic empirical analysis of the impact of negative commodity price shocks on the financial sector The lack of evidence could be due to the lack of data on developing countries (Navajas and Thegeya, 2013) and the imprecise definition of the financial fragility, which is difficult to quantify (Francis, 2003) Financial fragility can be defined as the increased likelihood of a systemic failure in the financial system, for which the most obvious indicator would be a systemic banking crisis A less dramatic definition of financial fragility could capture the sensitivity of the financial system to relatively small shocks That said, the corresponding indicator(s) would be relatively more complex and not obvious to construct The closest existing empirical analysis in the literature examines the impact of terms of trade shocks on the occurrence of banking crises (Demirgỹỗ- Kunt and Detragiache, 2000) The lack of empirical evidence is rather surprising given the S dng mt mu ln cỏc doanh nghip xut khu hng húa cỏc growing awareness of financial stability issues in many countries, and the nn kinh t ang phỏt trin, nghiờn cu ny nhn mnh rng cỏc cỳ sc õm cú xu hng lm suy yu cỏc lnh vc ti chớnh v cú th dn n cỏc close link between commodity markets and the financial sector cuc khng hong ngõn hng Bi vit c gng lp y mt khong Using a large sample of commodity exporters among developing trng nghiờn cu thc nghim bng cỏch phõn tớch tỏc ng ca economies, this paper highlights that negative commodity price shocks cỏc cỳ sc õm lờn s bt n ca khu vc ti chớnh v nú cú ba tend to weaken the financial sector and can lead to banking crises The chớnh paper attempts to fill a gap in the empirical literature by analyzing the u tiờn, cỏc cỳ sc õm cú xu hng lm suy yu cỏc lnh vc ti chớnh impact of adverse commodity price shocks on the fragility of the v tng xỏc sut ca cỏc cuc khng hong ngõn hng, vi nhng cỳ sc ln cú tỏc ng rừ rt hn C th hn, cỏc cỳ sc õm lm gia tng n financial sector and has three main findings First, negative shocks to commodity prices tend to weaken the financial xu v chi phớ ngõn hng, lm gim cỏc khon d phũng n xu v li sector and increase the probability of banking crises, with larger shocks nhun ngõn hng (li nhun trờn ti sn v li nhun trờn ch s having more pronounced impact More specifically, negative commodity price shocks increase nonperforming loans and bank costs, reduce the provisions to non-performing loans and bank profits (return on assets and return on equity) Second, these detrimental effects are more common in countries with poor quality of governance, high public debt, and low financial development but are less common in countries under IMF-supported programs, holding sovereign wealth funds (SWF), implementing macroprudential policies, and with a diversified export base Third, GDP growth, fiscal performance (fiscal deficit and government revenue), savings, and debt in foreign currency are the main transmission channels of commodity price shocks to the financial sector hu) Th hai, nhng tỏc ng cú hi l ph bin hn cỏc nc cú cht lng kộm v qun tr, n cụng cao, v chm phỏt trin v ti chớnh nhng ớt ph bin hn cỏc nc nm di s h tr ca IMF, nm gi cỏc qu u t quc gia (SWF), thc hin cỏc chớnh sỏch an ton v mụ v vi mt nn múng xut khu a dng Th ba, tng trng GDP, nng lc ti chớnh (thõm ht ti chớnh v doanh thu ca chớnh ph), tit kim, v n bng ngoi t l cỏc kờnh truyn ti chớnh ca cỏc cỳ sc giỏ hng húa cho khu vc ti chớnh FROM COMMODITY PRICE SHOCKS TO FINANCIAL FRAGILITY 3.1 Túm lc v cỏc ti liu cú liờn quan Cỏc ti liu phõn tớch tỏc ng ca cỏc cỳ sc giỏ c hng húa n s bt n ti chớnh l khỏ hn ch ú phn ny trung vo cỏc nghiờn cu liờn quan n hai thnh phn chớnh ca cõu hi thc nghim ca chỳng tụi, c th l (i) tỏc ng ca cỏc cỳ sc giỏ c hng húa; (ii) cỏc yu t quyt nh ca s bt n ti chớnh v khng hong ngõn hng S st gim giỏ hng húa cú xu hng lm suy yu nng lc nn kinh t T nghiờn cu ca mỡnh, Deaton v Miller (1995), v Deaton (1999) cho thy suy thoỏi giỏ hng húa quc t dn n tng trng kinh t thp hn 35 doanh nghip xut khu hng húa tiu vựng Sahara Phn cũn li ca bi bỏo c t chc nh sau Phn trỡnh by cỏc nghiờn cu ti liu Phn trung vo o lng ca cỏc cỳ sc giỏ c hng húa v mụ t mt s s kin The rest of the paper is organized as follows Phn tho lun v cỏc mụ hỡnh kinh t Section presents the literature review Phn trỡnh by cỏc phõn tớch thc nghim v kt qu Section focuses on measurement issues of commodity price shocks and Phn cung cp kt lun nhn xột, ch nhng h qu quan trng t cỏc describes some stylized facts phỏt hin ny Section discusses the econometric model while Section presents the empirical analysis and the results Section provides concluding remarks, pointing out key policy T NHNG C SHOCK GI HNG HO N S BT N TI CHNH implications of the findings 3.1 A Brief Review of Related Literature The literature analyzing the impact of commodity price shocks on financial fragility is rather limited This section therefore focuses on studies related to the two main components of our empirical question, namely (i) the effects of commodity price shocks; (ii) the determinants of financial fragility and banking crises Commodity price slumps tend to undermine economic performance From their seminal papers, Deaton and Miller (1995), and Deaton (1999) show that downturns in international commodity prices led to lower economic growth in 35 Sub-Saharan African commodity exporters In the same vein, Dehn (2000) found that per capita growth rates were significantly reduced by large negative commodity price shocks in 113 developing countries over the period 1957-1997 The author also highlighted that ex-ante price uncertainty does not affect growth What matters for growth is the actual realization of negative shocks, not the prospect of volatile world prices Bruckner and Ciccone (2010) found that not only were commodity price shocks negatively associated with GDP growth, but they also increased the probability of civil war outbreak in 39 Sub-Saharan African countries during the period 1980-2006 Villafuerte and Lopez-Murphy (2010) show that countries responses to the 2009 decline in commodity prices illustrated pro-cyclical fiscal policies, with most of the fiscal adjustment coming from reduction in current expenditures Macroeconomic factors matter for financial fragility Somewhat closer to our empirical questions, Babihuga (2007) highlighted that macroeconomic factors and banking supervision and regulation matter for financial stability Using a sample of 96 countries over the period 1998-2005, the author showed that economic growth is negatively correlated with capital adequacy and non-performing loans (NPLs), while higher inflation, unemployment, and real interest rates as well as real exchange rate appreciation reduce bank profits and worsen asset quality Financial development and better quality of regulatory frameworks and supervision tend to dampen these adverse effects De Bock and Demyanets (2012) also analyzed the determinants of nonperforming loans in 25 emerging countries during 1996-2010 The authors found that GDP growth rates, exchange rates, portfolio and bank flows, and changes in terms of trade are the main determinants of nonperforming loans In 2014, H, Triep and Diep studied the macrodeterminants of non-performing loans and stress testing of Vietnamese Chõu phi Trong bi cnh ú, Dehn (2000) nhn thy rng bỡnh quõn u tc tng trng ó gim ỏng k bi cỏc cỳ sc õm ln ti 113 quc gia ang phỏt trin giai on 1957-1997 Tỏc gi cng nhn mnh rng giỏ d kin chc chn khụng nh hng n tng trng iu quan trng cho s tng trng l din bin thc t ca nhng cỳ sc õm, ch khụng phi l vin cnh bin ng giỏ th gii Bruckner v Ciccone (2010) thy rng khụng ch l cỳ sc giỏ c hng húa liờn quan n vi tc tng trng GDP, m chỳng cng lm tng kh nng bựng n cuc ni chin 39 quc gia tiu cựng Sahara Chõu phi thi k 1980-2006 Villafuerte v Lopez-Murphy (2010) cho thy rng phn ng ca cỏc quc gia vi s suy gim giỏ hng húa nm 2009 minh cỏc chớnh sỏch ti khúa ng chu kỡ, vi hu ht cỏc iu chnh ti khúa n t vic gim chi tiờu hin ti Cỏc yu t kinh t v mụ l nguyờn nhõn ca s bt n ti chớnh Hi gn hn vi cõu hi thc nghim ca chỳng tụi, Babihuga (2007) nhn mnh rng cỏc yu t kinh t v mụ, giỏm sỏt ngõn hng v s iu tit l ct yu s n nh ti chớnh S dng mt mu ca 96 quc gia giai on 1998-2005, cỏc tỏc gi cho thy tng trng kinh t l tng quan õm vi an ton v n xu (NPL), lm phỏt cao, tht nghip v lói sut thc cng nh t giỏ hi oỏi thc cao lm gim li nhun ca ngõn hng v xu i cht lng ti sn Phỏt trin ti chớnh , khung qun lý v giỏm sỏt tt hn lm gim cỏc tỏc ng bt li De Bock v Demyanets (2012) cng phõn tớch cỏc yu t quyt nh cỏc khon n xu ti 25 quc gia mi ni thi gian 1996-2010 Cỏc tỏc gi thy rng t l tng trng GDP, t giỏ, danh mc u t v dũng vn, v nhng thay i v mt thng mi l nhng yu t quyt nh chớnh ca n xu Trong nm 2014, H, Triep v Dip ó nghiờn cu cỏc yu t v mụ ca cỏc khon n xu v kim tra ri ro tớn dng ngõn hng thng mi Vit Nam s dng cỏch tip cn VAR(value at risk) H nhn thy rng tc tng trng GDP l tng quan õm vi n xu, lói sut cho vay l tng quan dng Ngc li, khụng tỡm nhng thng kờ ỏng k v tỏc ng ca lm phỏt v t giỏ lờn n xu commercial banks credit risk using a value-at-risk (VaR) approach They found that GDP growth rate is negatively related to nonperforming loans while lending rate is positively related to them In contrast, inflation and exchange rate were not found to have a statistically significant impact on nonperforming loans Nghiờn cu trc õy trung vo vai trũ ca cỏc yu t kinh t v mụ s xut hin ca cỏc cuc khng hong ngõn hng Trờn mt mu ca 105 quc gia ang phỏt trin 1975-1992, Eichengreen v Rose (1998) nhn thy rng cuc khng hong ngõn hng ti cỏc th trng mi ni c gn lin vi cỏc tỏc ng xu t bờn ngoi DemirgỹỗKunt v Detragiache (2000) cho thy cuc khng hong ngõn hng cú tng quan nghch vi tc tng trng GDP v GDP thc bỡnh quõn u ngi, lói sut thc t, lm phỏt, M2 / d tr, v tng trng tớn dng tng quan cựng chiu vi s xut hin ca cỏc khng hong ngõn hng Cỏc tỏc gi khụng phõn bit nhng cỳ sc dng hay õm v thy rng cỏc thut ng ú ca cỳ sc thng mi khụng phi l mt yu t quyt nh quan trng ca cuc khng hong ngõn hng Trong cỏc nghiờn cu tip theo, Demirgỹỗ- Kunt v Detragiache (2005) ó xỏc nhn kt qu trc ú ca h Earlier studies focused on the role of macroeconomic factors in the occurrence of banking crises On a sample of 105 developing countries over 1975-1992, Eichengreen and Rose (1998) found that banking crises in emerging markets are strongly associated with adverse external conditions Demirgỹỗ-Kunt and Detragiache (2000) showed that banking crisis are negatively associated with GDP growth and real GDP per capita, while real interest rate, inflation, M2/reserves, and credit growth positively affect the occurrence of banking crises.The authors did not distinguish positive and negative shocks and found that terms of trade shocks were not a significant determinant of banking crises In a follow- Kaminsky v Reinhart (1999) c s dng mt cỏch tip cn tớn hiu up study, Demirgỹỗ- Kunt and Detragiache (2005) confirmed their trờn mt mu ca 20 quc gia mi ni v cụng nghip giai on previous results 1970-1995 cho thy tc tng trng tin t, lói sut (c lói sut huy ng cho vay v), xut khu suy gim v tng t giỏ hi oỏi thc t l tớn hiu hng u ca mt cuc khng hong ngõn hng S dng mt mu ca 100 quc gia giai on 1994-2004, ihỏk v Schaeck (2007) nhn mnh rng u t cao vo ti sn ó iu chnh ri ro Kaminsky and Reinhart(1999) used a signal approach on a sample of 20 v li nhun trờn ch s hu cng nh GDP bỡnh quõn u ngi industrial and emerging countries during the period 1970-95 to show that cao hn lm gim xỏc sut xy khng hong ngõn hng cú h thng monetary growth, interest rates (both lending and deposit rates),export Ngc li, s gia tng cỏc khon n xu trờn tng d n v t l M2 / d downturn and the real exchange rate appreciation are leading signals of a tr dn n tỡnh trng hn lon ngõn hng banking crisis Using a sample of 100 countries over the period 19942004, ihỏk and Schaeck (2007) highlighted that high capital to risk- Tt c cỏc nghiờn cu núi trờn khụng trung vo nhng quc gia giu weighted assets and return on equity as well as higher GDP per capita ti nguyờn Hn na, h khụng liờn kt mt cỏch rừ rng suy gim giỏ reduce the probability of occurrence of systemic banking crisis In hng húa vi s bt n ti chớnh Mt s cỏc nghiờn cu ny ch trung contrast,an increase in non-performing loans to total loans and the ratio cỏc yu t kinh t v mụ ch yờu ca s bt n ngnh ngõn hng, bao of M2/reserve is conductiveto banking turmoil gm cỏc cỳ sc thng mi Nhng nghiờn cu ny khụng thc s ch nhng cỳ sc giỏ hng húa xut khu bi vỡ thng mi bao gm giỏ c nhp khu v xut khu Hn na, thng mi bao gm c c sn xut v All the aforementioned studies not focus on resource rich-countries hng húa Trong mt s nghiờn cu trờn khỏm phỏ nhng hu qu Moreover, they not explicitly link commodity price downturns to ca nhng cỳ sc giỏ c hng húa, h khụng trung vo lnh vc ti financial sector fragility A number of these studies only focus on the macroeconomics determinants of banking fragility, including the terms of trade shocks Such studies not really capture commodity exports price shocks since a terms of trade index takes into account both import and export prices Furthermore, the terms of trade index includes both manufacturing and commodity goods While some of papers above explore the consequences of commodity price shocks, they not focus on the financial sector This paper fills this gap by focusing on the effects of commodity price downturns on financial sector fragility The impact of commodity price shocks on the financial sector could be either directly or through a number of transmission channels The next section reviews several of these transmission channels 3.2 Transmission Channels Economic growth and unemployment Economic growth and unemployment tend to transmit commodity price shocks A number of papers have found that there is a negative relationship between commodity price shocks and GDP growth (Deaton and Miller 1995, Deaton 1999, Brỹckner and Antonio Ciccone 2010, Dehn 2000) This is particularly the case for negative price shocks Dehn (2000) shows that growth rates are significantly reduced by large negative commodity price shocks For instance, economic activity dropped by percent in Venezuela during the 1998 oil price decline.2 Demirguc-Kunt and Detragiache (2000), Kaminsky and Reinhart (1999) also showed that higher GDP growth is negatively correlated with the occurrence of banking crises Blanchard and Gali (2010) found that negative commodity price shocks result in a large rise of the unemployment rate Makri, Tsagkanos and Bellas, (2014) found that a higher unemployment rate could increase non-performing loans, thereby jeopardizing the health of the banking sector For instance, unemployment rate increased from 27.7 to 29.3 percent in Algeria during the 1998 oil price decline Savings and deposits withdrawals A fall in export revenues following a price decline may lead to a significant withdrawal of deposits from domestic banks, jeopardizing financial stability Cherif and Hasanov (2012) show that if productivity of the tradable sector is low, oil chớnh Bi vit ny lp y khong trng ny bng cỏch trung vo nhng nh hng ca suy thoỏi giỏ hng húa lờn s bt n ti chớnh Cỏc tỏc ng ca cỏc cỳ sc giỏ c hng húa trờn lnh vc ti chớnh cú th l trc tip hoc giỏn tip thụng qua mt s kờnh truyn Phn tip theo s xem xột mt s cỏc kờnh truyn dn 3.2 Mt s kờnh truyn dn Tng trng kinh t v tht nghip Tng trng kinh t v t l tht nghip cú xu hng truyn ti nhng cỳ sc giỏ c hng húa Mt s nghiờn cu ó phỏt hin rng cú mt mi tng quan nghch gia cỏc cỳ sc giỏ c hng húa v tng trng GDP (Deaton v Miller 1995, Deaton 1999, Bruckner v Antonio Ciccone 2010, Dehn 2000) iu ny c bit ỳng i vi cỏc cỳ sc giỏ õm Dehn (2000) cho thy rng tc tng trng ang gim ỏng k bi cỏc cỳ sc õm ln Vớ d, hot ng kinh t gim % ti Venezuela sut thi kỡ giỏ du suy gim nm 1998 Demirguc-Kunt v Detragiache (2000), Kaminsky v Reinhart (1999) cng cho thy tng trng GDP l tng quan nghch vi s xut hin ca cỏc cuc khng hong ngõn hng Blanchard v Gali (2010) thy rng cỳ sc õm dn n mt s gia tng ln v t l tht nghip Makri, Tsaganos v Bella, (2014) cho thy t l tht nghip cao hn cú th lm tng cỏc khon n xu, ú gõy nguy him cho sc khe ca ngnh ngõn hng Vớ d, t l tht nghip tng 27,7-29,3 % ti Algeria s suy gim giỏ du nm 1998 Tit kim v tin gi Mt s st gim doanh thu xut khu theo sau s gim giỏ cú th dn n vic mt lng tin gi khỏ ln b rỳt cỏc ngõn hng nc, gõy nguy him cho s n nh ti chớnh Cherif v Hasanov (2012) cho thy rng nu nng lc ca khu vc thng mi mc thp, cỏc nh sn xut du s tớch ly tit kim v u t tng i ớt bo v chng li bin ng doanh thu quỏ mc Bems v Carvalho (2011) thờm rng li gii thớch chớnh l xut khu hng húa xem nh tng giỏ ch l tm thi, v nờn xõy dng khon tit kim d phũng gii quyt s khụng chc chn tng lai ny Nu cú s c bt ng xy cỏc NH nc, iu ny cú th e da ngnh ti chớnh trng hp ca nhng cỳ sc õm cú th dn n vic rỳt tin producers would optimally accumulate high levels of savings and invest relatively little in order to protect against excessive revenue volatility Bems and Carvalho (2011) add that the main explanation is that commodity exporters consider price increases as temporary, and should then build up precautionary savings to address this future uncertainty If the windfalls are saved in domestic banks, this could threaten the financial sector in case of negative shocks that could lead to sizeable withdrawals For instance, savings were down from 42.6 to 27 percent of GDP between 1997 and 1998 in Kuwait due to the 1998 price bust, and from 56.6 to 51.9 percent of GDP between 2013 and 2014 because of the recent price decline Fiscal performance It is well-known that changes in commodity prices translate into shifts in fiscal performance (Alesina and others 2008) In other words, fiscal performance in commodity exporting countries depends significantly on commodity prices A decline in international commodity prices reduces tax revenue and worsens the terms of trade A negative price shock translates directly into lower revenues, and if there is no fiscal adjustment (e.g., through cutting of non-essential expenditures), it increases fiscal deficits However, a fiscal adjustment forced by a commodity bust can reduce the incomes of companies that depend on government contracts, and their ability to service their loans, and thereby weakening banks balance sheets Governments with weak fiscal space often implement disorderly fiscal adjustments through the accumulation of payment arrears to suppliers and contractors The combination of loss of tax revenues and competiveness as well as fiscal deficits poses a threat to the financial sector For instance, government revenue dropped from 40.4 to 34.2 percent of GDP in Angola between 2013 As a consequence, the overall fiscal balance worsened from a surplus of 0.3 percent of GDP in 2013 to a deficit of 4.8 percent of GDP in 2014 Exchange rate and foreign currency debt As outlined above, a significant decline in commodity price could result in increasing fiscal deficits and a decline of international reserves In such a vulnerable fiscal position the government as well as domestic banks may be tempted to borrow in international markets, increasing foreign currency- khỏ ln Vớ d, tit kim gim 42,6% xung 27 % ca GDP t nm 1997 n nm 1998 ti Kuwait s phỏ giỏ nm 1998, v 56,6% xung 51,9 % ca GDP t nm 2013 v nm 2014 s suy gim giỏ gn õy Nng lc ti khúa Nú c bit n nhng thay i giỏ c hng húa a n thay i hot ng ti khúa (Alesina v nhng ngi khỏc 2008) Núi cỏch khỏc, nng lc ti khúa cỏc nc xut khu hng húa ph thuc ỏng k vo giỏ hng húa Mt s suy gim giỏ hng húa quc t lm doanh t thu thu v thng mi ti t hn Mt cỳ sc giỏ õm th hin trc tip thụng qua thu nhp thp hn, v nu khụng cú s iu chnh chớnh sỏch ti khúa (vớ d, thụng qua vic ct gim cỏc khon chi khụng cn thit), nú lm tng thõm ht ngõn sỏch Tuy nhiờn, mt iu chnh ti khúa gõy bi mt s suy thoỏi hng húa cú th lm gim thu nhp ca cụng ty ph thuc vo hp ng chớnh ph, v kh nng ỏp ng cỏc khon vay, v ú lm suy yu bng cõn i ca cỏc ngõn hng Chớnh ph vi khụng gian ti khúa yu kộm thng xuyờn thc hin cỏc iu chnh ti khúa mt cỏch vụ trt t thụng qua vic tớch ly n phi tr cho nh cung cp v nh thu S kt hp ca tht thu thu v kh nng cnh tranh cng nh thõm ht ti chớnh t mt mi e da cho khu vc ti chớnh Vớ d, thu ngõn sỏch gim 40,4% cũn 34,2 % ca GDP Angola gia nm 2013 Kt qu l, cỏc cõn i ti khúa tng th tr nờn ti t , t thng d 0,3 % GDP nm 2013 thõm ht 4,8 % GDP nm 2014 T giỏ hi oỏi v n ngoi t Nh ó nờu trờn, mt s suy gim ỏng k giỏ hng húa cú th dn n tng thõm ht ti khúa v s suy gim ca d tr ngoi hi Nu ngõn sỏch d b tn thng , cỏc chớnh ph cng nh cỏc ngõn hng nc cú th b cỏm d vay ti cỏc th trng quc t, tng cỏc khon n ngoi t.Cỏc yu im cng s tng cỏc i lý nc cú mc giao dch ngoi t cao, vớ d, cỏc hỡnh thc n Nu cỏc ngõn hng nc cú s lng ln cỏc khon n ngoi t khụng c bo v, mt s mt giỏ t ngt s lao dc giỏ hng húa cú th gõy s st gim mnh giỏ tr thc ca cỏc ngõn hng, ú lm tng yu im ca khu vc ngõn hng nc Vớ d, n bng ngoi t tng 23,3% lờn 33,7 % so vi GDP gia nm 2013 v 2014 ti Ghana ca s suy gim gn õy ca giỏ du denominated debt Vulnerabilities also increase when domestic agents have high levels of foreign currency exposures, e.g., in the form of debt If domestic banks have large amounts of unhedged foreign currency debt, a sudden depreciation due to a commodity price bust may cause a sharp fall in the net worth of banks, thereby increasing the vulnerability of the domestic banking sector For instance, debt in foreign currency increased from 23.3 to 33.7 percent over GDP between 2013 and 2014 in Ghana during of the recent decline in oil prices THE IDENTIFICATION STRATEGY In order to estimate the effect of commodity price shocks on financial sector fragility, we specify two econometric models This is largely because of the nature of our data which are binary variables for banking crisis data and continuous variables for financial soundness indicators We use the panel fixed effects method to estimate the effect of commodity price busts on financial soundness indicators More specifically, we estimate the following equation: CHIN LC XC NH c tớnh tỏc ng ca cỏc cỳ sc giỏ c hng húa lờn s bt n ca lnh vc ti chớnh, chỳng tụi xỏc nh hai mụ hỡnh kinh t lng iu ny phn ln l vỡ bn cht ca d liu ca chỳng tụi l cỏc bin nh phõn cho cỏc d liu cuc khng hong ngõn hng v cỏc bin liờn tc cho cỏc ch s an ton ti chớnh Chỳng tụi s dng phng phỏp mng c nh a nhõn t c tớnh nh hng ca s suy thoỏi giỏ hng húa lờn cỏc ch s an ton ti chớnh C th hn, chỳng tụi c tớnh cỏc phng trỡnh sau õy: Trong ú FSIi,t l ch s lnh mnh ti chớnh v PriceShocksi,t mụ t cho cỏc cỳ sc giỏ c hng húa Xmi,t-1 biu th cỏc bin kim soỏt lói sut ti mt thi im, v it i din cho sai s bao gm nhõn t c nh c thự quc gia v mt thut ng c thự Mi nc mu kho sỏt cú c im kinh t, chớnh tr v th ch riờng ca mỡnh m chỳng cú mi tng quan vi cỏc bin gii thớch, mụ hỡnh mng a nhõn t c nh l thớch hp ỏnh giỏ tỏc ng ca cỏc cỳ sc giỏ c hng húa lờn cỏc bin s lnh mnh ti chớnh Nhng k thut ny cho phộp chỳng ta kim soỏt s hin din ca cỏc nh hng mang tớnh c thự quc gia v ngn chn cỏc c lng chch Phõn tớch khng hong ngõn hng c da trờn mt bin ph thuc l mt bin gi ly giỏ tr ca nu cú mt cuc khng hong ngõn hng v nu ngc li Vic xỏc nh cỏc tỏc ng nhõn qu ca cỳ sc giỏ c hng húa trờn cỏc cuc khng hong ngõn hng l khú khn Nhiu, sai s o lng, la chn lch, v cỏc li ngu nhiờn l nhng chớnh Mụ hỡnh xỏc sut thng kờ l mt nhng mụ hỡnh c s dng rng rói nht nhúm cỏc mụ hỡnh tuyn tớnh tng quỏt trng hp ca cỏc bin nh phõn phc thuc Chỳng tụi c tớnh cỏc phng trỡnh sau õy: Where FSIi,t is the financial soundness indicator and PriceShocksi,t represents commodity price shocks Xmi,t1 denotes control variables of interest at time, and it stands for the error term including a countryspecific fixed effect and an idiosyncratic term Given that each country in the sample has its own economic, political, and institutional characteristics that are likely to be correlated with the explanatory variables, panel fixed-effects models are more appropriate to estimate the effects of commodity price shocks on financial soundness variables These techniques allow us to control for the presence of country-specific effects and prevent biased estimates Banking crisis analysis is based on a dependent variable that is a dummy taking the value of if there is a banking crisis and otherwise The identification of the causal effect of commodity price shocks on banking crises is difficult Confounding, measurement errors, selection bias, and Mụ hỡnh thng kờ cỏc nhõn t c nh cú iu kin l phự hp hn cho random errors are the main issues Probit and logit models are among the vic phõn tớch cuc khng hong ngõn hng Bi vỡ mụ hỡnh xỏc sut most widely used members of the family of generalized linear models in khụng cho phộp kim soỏt cỏc tỏc nhõn c nh, m chỳng rt quan trng the case of binary dependent variables We estimate the following cho phõn tớch ca chỳng tụi nh ó gii thớch trờn, bi vit s da trờn equations: mụ hỡnh thng kờ Mụ hỡnh khụng iu kin s dng bỡnh phng ti thiu bin c tớnh gi (nh mng tuyn tớnh) c lng phng trỡnh (2) iu ny cú th dn n c lng khụng nht quỏn ca y mụ hỡnh thng kờ vỡ chỳng ta cú mt bin ph thuc gi Vn ú The conditional fixed effects logit model is more suitable for the banking ó c bit n vi thut ng "vn i s ngu nhiờn" Tuy nhiờn, crisis analysis Because probit models not allow controlling for fixed Andersen (1970) v Chamberlain (1980) cung cp mt c lng cỏc effects, which are important for our analysis as explained above, the tham s cu trỳc m nú nht quỏn c cú s hin hin ca cỏc i paper will rely on logit model Unconditional models use the least s ngu nhiờn This estimator is obtained by conditioning the likelihood squares dummy variable estimator (as in a linear panel) to estimate function on minimal sufficient statistics for the incidental parameters and equation (2) This could lead to inconsistent estimation of y in the logit then maximizing the conditional likelihood function This is the model since we have a dummy dependent variable Such issue is known conditional fixed effects estimator, which is used in this paper The on the terms incidental parameters problem However, Andersen conditional fixed effects logit model focuses on the variation in the data (1970) and Chamberlain (1980) offer an estimator of the structural observed within countries To employ the conditional fixed effects logit parameters that is consistent even in the presence of incidental model, two conditions should be met: parameters This estimator is obtained by conditioning the likelihood The dependent variable must be measured on at least two function on minimal sufficient statistics for the incidental parameters and then maximizing the conditional likelihood function This is the occasions for each country conditional fixed effects estimator, which is used in this paper The The independent variables must change across time for some conditional fixed effects logit model focuses on the variation in the data observed within countries To employ the conditional fixed effects logit substantial portion of the countries model, two conditions should be met: Both these two conditions are met in the present paper since our study The dependent variable must be measured on at least two period is 1997-2013 and our control variables are not constant over time Fixed effects estimates use only within- individual differences, occasions for each country essentially discarding any information about differences between The independent variables must change across time for some individuals substantial portion of the countries Mt s bin gii thớch cú phng trỡnh trờn Theo cỏc ti liu Both these two conditions are met in the present paper since our study trc õy v cỏc yu t quyt nh chớnh ca cỏc cuc khng hong ngõn period is 1997-2013 and our control variables are not constant over time hng, chỳng ta xem xột cỏc bin i din cho chớnh sỏch tin t , chớnh Fixed effects estimates use only within- individual differences, sỏch ti chớnh , cỏc mi lo ngi v s bn vng v n nh chớnh sỏch essentially discarding any information about differences between kinh t v mụ, v v th ca ngnh ti chớnh C th hn , chỳng tụi bao hm s thay i t giỏ, lói sut thc, t l lm phỏt , M2 thụng qua individuals d tr ngoi hi , tng trng tớn dng , GDP thc bỡnh quõn u ngi, independent finance company Two banks deemed insolvent accounting for 14 percent of financial system assetswere merged with other banks Nonperforming loans peaked to 25-35 percent of banking system assets and fell to 10.8 percent by March 2002 Nigeria Twenty eight banks were closed and bank non-performing loans reached 43 percent While the oil price shock was a catalyst to the closure of the banks, there were a number of existing major banking sector weaknesses such as poor governance, low capitalization, non-observance of prudential regulations, etc At the same time these bank heavily relied public sector funds as well as foreign exchange trading c tip qun bi cỏc ngõn hng trung ng, bao gm c cụng ty ti chớnh c lp ln nht nc Hai ngõn hng c coi l mt kh nng toỏn - chim 14 phn trm ca h thng ti sn ti chớnh, c sỏp nhp vi ngõn hng khỏc N xu lờn n nh im vi 25-35 % tng ti sn h thng ti ngõn hng v gim xung cũn 10,8 % vo thỏng nm 2002 Nigeria 28 ngõn hng b úng ca v cỏc khon n xu lờn n 43 phn trm Trong cỳ sc giỏ du l mt cht xỳc tỏc cho s úng ca cỏc ngõn hng, ó tn ti mt s im yu ln ngnh ngõn hng nh qun tr kộm, húa thp, khụng tuõn th cỏc quy nh bo m an ton, vv ng thi cỏc ngõn hng ch yu da qu ca khu vc cụng cng nh thng mi quc t Philippines After January 1998 one commercial bank, of 88 thrifts, and 40 of 750 rural banks were placed under receivership The banking system Philippines nonperforming loans reached 12 percent by November 1998, and 14 Sau thỏng nm 1998, mt ngõn hng thng mi, s 88 qu tit percent in 1999 kim, v 40 s 750 ngõn hng nụng thụn c t di s tip qun N xu h thng ngõn hng t 12% vo thỏng 11/1998, v 14% Russia vo nm 1999 Nearly 720 bank were deemed insolvent These banks accounted for percent of sector assets and 32 percent of retail deposits According to Nga the central bank, 18 banks holding 40 percent of sector assets and 41 Gn 720 ngõn hng c coi l mt kh nng toỏn Nhng ngõn percent of household deposits were in serious difficulties and required hng ny chim 4% ti sn ca ngnh v 32% d n thng mi Theo rescue by the state cỏc ngõn hng trung ng, 18 ngõn hng chim khong 40 phn trm ti sn ca ngnh v 41 phn trm tin gi h gia ỡnh ó gp khú khn Vietnam nghiờm trng v yờu cu s gii cu ca nh nc Two of four large state-owned commercial banks-accounting for 51 percent of banking system loans- were deemed insolvent; the other two Vit Nam experience significant solvency problems Several joint stocks banks Hai bn ngõn hng thng mi nh nc -chim 51% d n ca h were in severe financial distress The banking system nonperforming thng ngõn hng- tng chng nh l v n, hai ngõn hng khỏc gp loans reached 18 percent in late 1998 phi cỏc v kh nng toỏn Mt s ngõn hng c phn ri vo tỡnh trng khng hong ti chớnh nghiờm trng N xu h thng EMPIRICAL RESULTS ngõn hng lờn n hn 18% vo cui nm 1998 6.1 Baseline Results Overview There is strong evidence that negative commodity price shocks weaken the financial sector (Table 2).21 More specifically, provisions to nonperforming loans, return on assets (ROA) and return on equity (ROE) are negatively associated with negative commodity price shocks, while nonperforming loans are positively associated with adverse commodity price shocks Furthermore, the composite index measuring the stability of the financial sector declines following negative commodity price shocks CC KT QU THC NGHIM 6.1 Cỏc kt qu c s Tng quan Cú bng chng mnh m rng cỏc cỳ sc giỏ õm lm suy yu cỏc lnh vc ti chớnh (Bng ) 21 C th hn , d phũng cho cỏc khon n xu , li nhun trờn ti sn ( ROA ) v li nhun trờn ch s hu ( ROE ) cú tng quan õm vi cỏc cỳ sc giỏ õm , cỏc khon n xu tng quan dng vi nhng cỳ sc bt li Hn na, ch s tng As a result of this fragility, negative shocks to commodity prices increase hp o lng s n nh ca khu vc ti chớnh st gim sau cỳ sc õm the probability of banking crises occurring The coefficients associated to non-performing loans and provisions to non-performing loans significant at percent level (Table 2, columns and 2, respectively) More Nh mt kt qu ca s bt n ny , cỏc cỳ sc õm tng xỏc sut xy specifically, a fall of 3.6 standard deviations in commodity prices, which ca cỏc cuc khng hong ngõn hng Cỏc h s liờn quan n n xu v correspond to a fall of 50 percent in commodity prices similarly to the d phũng n xu phn ln mc 1%( bng 2, ct v 2, tng ng ) current prices decline, results in an increase of non-performing loans of C th hn , s st gim 3,6 lch chun ca giỏ hng hoỏ , tng ng 3.5 percentage points and a fall of provisions to NPLs by 41 percentage vi mc gim 50 phn trm giỏ hng húa tng t nh giỏ suy points.22 A negative shock in commodity prices reduces economic gim hin ,kt qu l s gia tng 3,5 im phn trm ca n xu l v activity and creates unemployment, which in turn deteriorate the ability lm gim khon d phũng n xu 41 im phn trm Mt cỳ sc õm of borrowers to service their debts, thereby increasing NPLs giỏ hng húa gim hot ng kinh t v to tỡnh trng tht nghip Furthermore the drop in income following adverse commodity price , ú lm mt kh nng ca cỏc cn n ỏp ng cỏc ngha v n ca h shocks reduces the extent of provisions available to cover non- , ú lm tng n xu Hn na s st gim thu nhp sau cỳ sc bt li lm gim mc d phũng cho n xu performing loans Regarding bank profitability, we find that ROA and ROE are negatively correlated with negative commodity price shocks ((Table 2, columns and 4, respectively) The coefficients associated with the two variables are statistically significant at percent level A decline by 50 percent in commodity prices pushes ROA down by 0.4 percentage points and ROE down by 3.7 percentage points This could be explained by the fact that the fall in economic activities following negative shocks to commodity prices reduces the net income of the banks Also, the inability of some V li nhun ngõn hng , chỳng tụi thy rng ch s ROA v ROE l t l nghch vi nhng cỳ sc õm ( ( bng 2, ct v 4, tng ng ) Cỏc h s kt hp vi hai bin s cú ý ngha thng kờ mc phn trm Mt s suy gim ca 50 phn trm giỏ c hng húa y ROA gim 0,4 im phn trm v ROE gim 3,7 im phn trm iu ny cú th c gii thớch bi thc t rng s st gim hot ng kinh t sau cỳ sc borrowers to pay back loans cuts banks profits This combination of increasing NPLs, decreasing provisions to NPLs and declining profits raises the fragility of the financial sector and often leads to banking crises Indeed, the coefficient associated with the composite index is negative and statistically significant at percent level (see Table 2, column 8), while the one associated with banking crises is positive and significant at percent level (see Table 2, column 9) In other words, a one standard deviation increase in commodity price reduces the aggregate index of the stability of the financial sector by 0.34 standard deviation and increases the probability of banking crises occurring by 0.8 standard deviation However, negative commodity price shocks not seem to affect bank costs, regulatory capital to risk-weighted assets, and liquid assets to deposits and short-term funding The coefficients associated to these variables are statistically insignificant Negative commodity price shocks have a limited lasting impact on financial fragility The coefficient associated with commodity price shocks in t is only significant and negative for provisions to NPLs (Table 2, column 2), while the t one is significant and positive for NPLs and bank costs to income ratio (see Table 2, columns and 5, respectively) This said, the lasting effects of adverse commodity price shocks are a decline of provisions to NPLs and an increase of NPLs and bank costs These results are consistent with the current effects of negative commodity price shocks, except bank costs A fall of 50 percent in commodity price at t drives up bank costs by 11.7 percent points This is largely due to the fact that the banks have to manage higher bad loans without necessarily recovering a lot of them õm gim thu nhp rũng ca ngõn hng Ngoi , mt s cn n mt kh nng tr n lm mt i cỏc khon li nhun ca cỏc ngõn hng S kt hp ny lm tng n xu , gim d phũng n xu v gim li nhun, tng s bt n ca khu vc ti chớnh v thng dn n cuc khng hong ngõn hng Tht vy , cỏc h s tng ng vi cỏc ch s tng hp l õm v phn ln mc phn trm ( xem bng , ct ) , h s tng ng vi khng hong ngõn hng l dng v phn ln mc phn trm ( xem bng , ct ) Núi cỏch khỏc , mt s gia tng lch chun ca giỏ c hng húa lm gim ch s tng hp ca s n nh ca khu vc ti chớnh 0,34 lch chun v tng xỏc sut ca cỏc cuc khng hong ngõn hng xy 0,8 lch chun Tuy nhiờn , cỳ sc õm dng nh khụng nh hng n chi phớ ngõn hng , t l phỏp nh/iu l so vi ti sn iu chnh theo trng s ri ro, v ti sn khon cho cỏc khon n v khon phi tr ngn hn Cỳ sc giỏ c hng húa cú mt tỏc ng hn ch lờn s s bt n ti chớnh h s tng ng vi nhng cỳ sc giỏ c hng húa t - l ỏng k v nghch chiu i vi cỏc khon d phũng n xu ( bng 2, ct ) , t - l cú ỏng k v cựng chiu i vi n xu v chi phớ ngõn hng lờn t l thu nhp ( xem Bng , ct v 5, tng ng ) iu ny cho bit , nhng tỏc ng lõu di ca nhng cỳ sc bt li l mt s suy gim ca cỏc khon d phũng n xu v tng n xu cng nh chi phớ ngõn hng Cỏc kt qu ny phự hp vi cỏc hiu ng hin ti ca cỏc cỳ sc õm , tr chi phớ ngõn hng Mt s st gim ca 50 phn trm giỏ c hng húa ti t lm tng chi phớ ngõn hng 11,7 im phn trm iu ny phn ln l thc t l cỏc ngõn hng phi qun lý cỏc khon n xu cao hn m khụng nht thit phi phc hi a Control variables Other control variables are in line with our expectations An appreciation s chỳng of the exchange rate results in an increase of NPLs and a fall in provisions in provisions to NPLs (Table 2) The appreciation of the real Cỏc bin iu khin exchange rate decreases the competiveness of the economy, causing a Cỏc bin iu khin khỏc l phự hp vi mong i ca chỳng tụi Vic loss of income for producers of tradable goods including commodities, nh giỏ cao t giỏ dn n s gia tng n xu v mt s st gim which in turn weaken their ability to service their debts This is in line d phũng n xu (Bng 2) nh giỏ cao t giỏ hi oỏi thc lm gim with previous literature (Klein 2013) The real interest rate appears as an important factor for the financial factor Indeed, it is positively associated with NPLs, bank costs, and bank crises; and negatively correlated with provisions to NPLs and bank profits This is consistent with DemirgỹỗKunt and Detragiache (2000) An increase in the real interest rate imposes a burden on debt services which is weighing heavily on the ability of banks borrowers to service their debt This also holds for inflation rate and the ratio of M2 to foreign exchange reserves As expected, the richer the country, the lower the probability of occurrence of banking crises (Demirgỹỗ-Kunt and Detragiache 2000) Furthermore, we found that public debt is positively associated with NPLs and bank costs and negatively correlated with bank crises, and high credit growth tends to reduce financial stability Income groups and regions The effects of adverse commodity price shocks differ across regions and income groups Table reports results by region and Table by income group.23 The results are consistent with those presented in Table Negative commodity price shocks affect NPLs (level or provisions to) in Europe and Central Asia, Middle East and North Africa; while they impact bank profits and capital in Asia and Pacific In Latin America and the Caribbean, negative commodity price shocks affect financial sector health in general, and in particular NPLs (level and provisions to bad loans) and bank liquidity Adverse commodity price shocks tend to cause banking crises in Sub-Saharan Africa and Latin America and Caribbean, two regions which depend strongly on commodity exports and revenues Sub-Saharan African countries also suffer from bad loans (high NPLs and low provisions to) following unfavorable commodity price evolution Table shows that adverse commodity price shocks increase NPLs and bank costs and push down provisions to NPLs and bank profits in both developing countries and high-income non-OECD countries While negative commodity price shocks increase NPLs and reduce provisions to NPLs in upper middle- and lower middle-income developing countries, they increase bank costs only in upper middle income countries kh nng cnh tranh ca nn kinh t, gõy mt ngun thu nhp cho ngi sn xut hng húa thng mi, t ú lm suy yu kh nng ỏp ng cỏc ngha v n ca h iu ny phự hp vi nghiờn cu trc õy (Klein 2013) Lói sut thc xut hin nh l mt yu t quan trng cho yu t ti chớnh Tht vy, nú tng quan thun vi n xu, chi phớ ngõn hng, v cỏc cuc khng hong ngõn hng v tng quan nghch vi cỏc khon d phũng n xu v li nhun ngõn hng iu ny phự hp vi Demirgỹỗ-Kunt v Detragiache (2000) S gia tng lói sut thc ỏp t mt gỏnh nng cho cỏc dch v tớn dng, ú l gỏnh nng lờn kh nng ca cỏc n ca ngõn hng thc hin ngha v n ca h iu ny cng cú ý ngha i vi t l lm phỏt v t l M2 / d tr ngoi hi Nh mong i , nc giu hn, xỏc sut xy cỏc cuc khng hong ngõn hng thp hn (Demirgỹỗ-Kunt v Detragiache 2000) Hn na, chỳng tụi thy rng n cụng tng quan thun vi n xu v chi phớ ngõn hng v tng quan nghch vi khng hong ngõn hng, v tng trng tớn dng cao cú xu hng lm gim s n nh ti chớnh Nhúm thu nhp v khu vc Nhng tỏc ng ca cỏc cỳ sc bt khỏc gia cỏc vựng v cỏc nhúm thu nhp Bng bỏo cỏo kt qu theo tng khu vc v Bng bi nhúm thu nhp 23 Kt qu ny phự hp vi nhng gỡ ó trỡnh by Bng cỳ sc õm nh hng n n xu (mc hay cỏc khon d phũng) chõu u v Trung , Trung ụng v Bc Phi; chỳng nh hng n li nhun ngõn hng v chõu v Thỏi Bỡnh Dng chõu M Latinh v vựng Caribờ, cỏc cỳ sc õm nh hng n sc khe ngnh ti chớnh núi chung v n xu núi riờng (mc v d phũng khon n xu) v khon ngõn hng Cỳ sc bt li cú xu hng gõy khng hong ngõn hng tiu vựng Sahara chõu Phi v M Latin v Caribbean, hai khu vc m ph thuc nhiu vo xut khu hng húa v doanh thu Cỏc nc tiu vựng Sahara chõu Phi cng b n xu (n xu cao v d phũng thp) sau s bựng phỏt giỏ hng húa bt li Bng cho thy rng nhng cỳ sc bt li lm tng n xu v chi phớ ngõn hng v y cỏc khon d phũng n xu i xung v li nhun ngõn hng c nc ang phỏt trin v cỏc nc thu nhp cao khụng thuc OECD Trong cỏc cỳ sc õm lm tng n xu v gim cỏc khon d phũng n xu cỏc nc ang phỏt trin cú thu nhp trờn v di mc trung Moreover, in emerging markets, negative shocks to commodity prices bỡnh, chỳng ch lm tng chi phớ ngõn hng cỏc nc thu nhp trờn result in an increase of NPLs and a decline of ROA and provisions to trung bỡnh NPLs Hn na, ti cỏc th trng mi ni, cỏc cỳ sc õm dn n s gia tng ca n xu v s suy gim ca ROA v khon d phũng n xu 6.2 Transmission Channels This section explores the main channels through which adverse commodity price shocks affect the financial sector As outlined above, we assess the channels of GDP growth, government revenue, fiscal deficits, savings, unemployment and debt in foreign currency Since these transmission channels could be direct or indirect, we first estimate the effects of negative shocks to commodity prices on each variable and then we estimate the effects of each variable on the financial sector Results are reported in Table and Table 6.2 Cỏc kờnh truyn dn Phn ny khỏm phỏ nhng kờnh chớnh m qua ú nhng cỳ sc bt li nh hng n khu vc ti chớnh Nh ó nờu trờn, chỳng tụi ỏnh giỏ cỏc kờnh ca tng trng GDP, thu ngõn sỏch, thõm ht ngõn sỏch, tit kim, t l tht nghip v n bng ngoi t Vỡ cỏc kờnh truyn dn cú th l trc tip hay giỏn tip, u tiờn chỳng tụi c tớnh cỏc tỏc ng ca cỏc cỳ sc õm trờn mi bin v sau ú chỳng tụi c tớnh nh hng ca mi bin trờn cỏc lnh vc ti chớnh Kt qu c bỏo cỏo bng Adverse commodity price shocks are conducive to financial sector v fragility through the transmission channels aforementioned Table shows that negative shocks to commodity prices lower GDP growth, Cỳ sc bt li dn n s bt n ca ngnh ti chớnh thụng qua cỏc kờnh government revenues, and savings (columns 1, and 6, respectively), truyn núi trờn Bng cho thy rng cỏc cỳ sc õm n giỏ hng húa while they increase debt in foreign currency and unemployment lm gim tc tng trng GDP, thu ngõn sỏch, v tit kim (ct 1, 2, (columns and 4).24 As highlighted in Section 2, economic slowdown 6, tng ng), chỳng lm tng n bng ngoi t v t l tht and unemployment, combined with savings withdrawal, and loss of nghip (ct v 4) Nh ó nhn mnh phn 2, suy thoỏi kinh t revenue jeopardize the financial sector Moreover, Table illustrates that v tht nghip, kt hp vi rỳt tit kim, v tht thu gõy nguy him cho the above-mentioned variables affect the financial sector as expected and khu vc ti chớnh Hn na, Bng cho thy rng cỏc bin núi trờn nh that the transmission channels vary depending on the financial sector hng n lnh vc ti chớnh nh mong i v rng cỏc kờnh truyn khỏc indicator tựy thuc vo cỏc ch tiờu ngnh ti chớnh Indeed, GDP growth and savings seem to be the transmission channels for NPLs and banking crises occurring since the two variables are negatively and significantly associated with NPLs and banking crises (columns and 9, respectively) In other words, a commodity price bust that reduces GDP growth and savings results in an increase of NPLs leading to a banking crisis Beyond GDP growth and savings, unemployment, government revenues and debt in foreign currency are additional transmission channels for provisions to NPLs (Table 6, column 2) With respect to banks profitability, we find that GDP growth Tht vy, s tng trng GDP v tit kim dng nh l kờnh truyn dn cho n xu v khng hong ngõn hng vỡ hai bin tng quan nghch vi n xu v khng hong ngõn hng (ct v 9, tng ng) Núi cỏch khỏc, mt s tan v giỏ hng húa lm gim tc tng trng GDP v tit kim a n mt gia tng ca n xu dn n mt cuc khng hong ngõn hng Ngoi tc tng trng GDP v tit kim, t l tht is the main transmission channel (Table 6, column and 4), while unemployment is the main one for bank costs (column 5) Government revenues and debt in foreign currency are the main transmission channels for liquid assets to deposits and short-term funding SENSITIVITY ANALYSIS AND ROBUSTNESS CHECKS 7.1 Sensitivity Analysis Overall approach Existing policy framework influence how countries absorb commodity price shocks The recognition that commodity price shocks are an important source of financial fragility raises questions about the appropriate framework to ensure financial stability in face of these shocks While there is not much that macroeconomic policy can to prevent commodity price shocks, the impact of these shocks on the banking system will depend upon the economic, financial and political conditions in place when the shocks occur We follow previous literature by focusing on what matters for a couple of conditional factors and a given financial soundness indicator For instance, there is a vast literature on the relationship between banking crises and exchange rate regimes, but not yet on the relationship between NPLs and exchange rate regime Thus, we prefer estimating whether the effect of commodity price shocks on banking crises is different given the exchange rate regime, rather than estimating for NPLs This rule holds for the other estimates of this section This helps us to save space and be in line with previous literature Then, macro- prudential policies and export diversification are tested for the financial soundness indicators, while all the other variables are estimated for banking crisis We first focus on the conditional factors for banking crises More precisely, we estimate equation (2) for several groups of countries according to their economic policy and institutional setting, such as the presence of IMF programs, sovereign wealth fund, the quality of governance, the level of financial development and debt, and the nghip, thu ngõn sỏch v n bng ngoi t l kờnh truyn dn b sung cho cỏc khon d phũng n xu (Bng 6, ct 2) i vi kh nng sinh li ca cỏc ngõn hng, chỳng tụi cho thy rng tc tng trng GDP l kờnh truyn ti chớnh (Bng 6, ct v 4), t l tht nghip l mt nhng kờnh chớnh cho cỏc chi phớ ngõn hng (ct 5) thu ngõn sỏch ca chớnh ph v n bng ngoi t l cỏc kờnh truyn ti chớnh cho ti sn khon PHN TCH NHY CM V CC KIM TRA TNH BN VNG 7.1 Phõn tớch nhy cm Tip cn tng quan Khung chớnh sỏch hin cú chi phi cỏc quc gia hp th nhng cỳ sc giỏ c hng húa nh th no Vic nhn thc rng cỏc cỳ sc giỏ c hng húa l mt ngun gc quan trng ca s bt n ti chớnh t cõu hi v mt khung phỏp lý phự hp m bo s n nh ti chớnh i mt vi nhng cỳ sc ny Trong khụng cú nhiu chớnh sỏch kinh t v mụ cú th ngn chn cỏc cỳ sc giỏ c hng húa , tỏc ng ca cỏc cỳ sc cho h thng ngõn hng s ph thuc vo iu kin kinh t , ti chớnh v chớnh tr ti quc gia cú nhng cỳ sc xy Chỳng tụi bỏm theo cỏc ti liu trc ú bng cỏch trung vo nhng gỡ quan trng i vi mt vi yu t iu kin v mt ch s lnh mnh ti chớnh nht nh Vớ d , cú vụ ti liu v mi quan h gia cỏc cuc khng hong ngõn hng v c ch t giỏ hi oỏi, nhng cha xem xột mi quan h gia n xu v c ch t giỏ hi oỏi Do ú , chỳng tụi thớch vic c tớnh xem tỏc ng ca cỏc cỳ sc giỏ c hng húa trờn cỏc cuc khng hong ngõn hng l khỏc cho ch t giỏ hi oỏi nht nh , hn l c tớnh n xu Quy tc ny cng ỏp dng cho cỏc c tớnh khỏc ca phn ny iu ny giỳp chỳng ta tit kim khụng gian v phự hp vi nghiờn cu trc õy Sau ú , cỏc chớnh sỏch an ton v mụ v a dng húa xut khu c kim nghim cho cỏc ch s lnh mnh ti chớnh , tt c cỏc bin khỏc c c tớnh cho cuc khng hong ngõn hng exchange rate regime For each variable we estimate equation (2) for countries with strong versus a weak score First, we divide the initial sample into two subsamples in function of the median score: high-score countries, which have scores above the median and low-score countries, which have scores below the median Second, we estimate the model in equation (2) for each of the resulting groups of countries, i.e., two subgroups for each variable considered u tiờn chỳng tụi trung vo cỏc yu t iu kin cho cỏc cuc khng hong ngõn hng Chớnh xỏc hn , chỳng tụi c tớnh phng trỡnh ( ) cho mt vi nhúm cỏc nc theo chớnh sỏch kinh t v thit lp th ch ca h, chng hn nh s hin din ca cỏc chng trỡnh ca IMF , qu u t quc gia, cht lng qun tr , trỡnh phỏt trin ti chớnh v n, v c ch t giỏ i vi mi bin chỳng tụi c tớnh phng trỡnh ( ) cho cỏc nc cú im cao vi cỏc nc cú im thp u tiờn , chỳng tụi chia cỏc mu ban u thnh hai mu : cỏc nc cú im s cao cú Presence of sovereign wealth funds and IMF-supported programs The results highlight that countries under IMF-supported programs or im trờn mc trung bỡnh v quc gia cú im di trung bỡnh Th hai, holding a SWF (or a similar arrangement) are better able to cope with chỳng tụi c lng mụ hỡnh phng trỡnh ( ) cho tng nhúm kt adverse commodity price shocks (Table 7, columns 1-4) IMF-supported qu ca cỏc quc gia , tc l, hai phõn nhúm cho mi bin c xem xột programs are typically accompanied by macroeconomic reforms which are likely to improve the performance of public finances as well as the S hin din ca cỏc qu u t quc gia v cỏc chng trỡnh h tr effectiveness of policies necessary to strengthen financial stability These ca IMF programs could also stabilize the banking sector through credit Nhng kt qu ch rng cỏc nc nm di chng trỡnh h tr ca availability and the implementation of macroeconomic policies and IMF hoc nm gi mt qu u t quc gia ( hoc tng t ) cú th i reforms To address commodity prices shocks, many resource- rich phú vi cỏc cỳ sc giỏ hng húa bt li ( Bng , ct 1-4 ) tt hn countries have set up fiscal institutions over the past decade in the forms Chng trỡnh h tr ca IMF thng c i kốm vi ci cỏch kinh t v of stabilization funds, which seem to help absorb shocks mụ , cú kh nng ci thin hiu sut ca ti chớnh cụng cng nh hiu qu ca cỏc chớnh sỏch cn thit tng cng s n nh ti chớnh Cỏc chng trỡnh ny cng cú th n nh khu vc ngõn hng thụng qua cỏc ngun tớn dng v vic thc hin cỏc chớnh sỏch kinh t v mụ v ci Quality of governance A better the quality of governance helps contain the negative effects of cỏch gii quyt nhng cỳ sc giỏ c hng húa , nhiu nc giu ti commodity price shocks on banking crises (See bottom Table 7, columns nguyờn ó thnh lp t chc ti chớnh sut thp k qua di hỡnh 1-10) Adverse commodity price shocks tend to result in banking crises thc qu bỡnh n , m dng nh giỳp hp th nhng cỳ sc in countries with high levels of corruption, autocracy, low government effectiveness, low investment profile, and low regulatory quality In Cht lng qun tr these countries, rent-seeking behavior and the ineffectiveness of the Cht lng qun tr tt hn giỳp hn ch tỏc ng tiờu cc ca cỏc cỳ sc government increases the probability of banking crises in the aftermath giỏ c hng húa lờn cỏc cuc khng hong ngõn hng (Xem phớa di of negative shocks to commodity prices In countries with weak bng 7, ct 1-10) Cỳ sc bt li cú xu hng dn n cỏc cuc khng governance, financial fraud and excessive risk-taking may prosper during hong ngõn hng nhng nc cú mc tham nhng cao, ch good times and only become evident when adverse states of nature chuyờn ch, hiu qu ca chớnh ph thp, h s u t thp, v cht materialize For instance, Francis (2003) stressed that good governance lng iu hnh thp nhng nc ny, hnh vi tỡm kim c quyn plays an important role in promoting financial stability as it affects the (chy cht) v s kộm hiu qu ca cỏc chớnh ph lm tng xỏc sut ca performance of the state in executing its core functions and through this, cỏc cuc khng hong ngõn hng sau hu qu ca nhng cỳ sc õm the performance of countries in meeting their main economic and cỏc nc cú qun lý yu kộm, gian ln ti chớnh v ri ro quỏ mc cú l financial goals phỏt trin thnh vng thi gian tt v ch tr nờn rừ rng cỏc bt li tr thnh hin thc.Vớ d, Francis (2003) nhn mnh rng qun tr tt úng mt vai trũ quan trng vic thỳc y s n nh ti chớnh vỡ nú nh hng n hiu qu hot ng ca nh nc vic thc Public debt and exchange rate regime Negative shocks to commodity prices tend to lead to banking crises in hin cỏc chc nng ct lừi ca nú v thụng qua ú, nh hng lờn nng countries with high public debt (Table 7, columns 9-10), while the level lc ca cỏc nc vic ỏp ng cỏc mc tiờu kinh t v ti chớnh ch of financial development does not seem to matter As outlined by Ayala yu ca h and others (2015), financial development per se may not ensure financial stability because financial development may increase economic and N cụng v ch t giỏ hi oỏi financial volatility and the probability of a crisis, by promoting greater Nhng cỳ sc õm cú xu hng dn n cỏc cuc khng hong ngõn hng risk-taking and leverage On the other hand, higher public debt reduces cỏc nc cú n cụng cao (Bng 7, ct 9-10), mc phỏt fiscal space and limits the ability of the government to intervene in the trin ti chớnh dng nh khụng thnh Nh ó nờu bi Ayala v financial sector in order to avoid banking crises occurring in the nhng ngi khỏc (2015), phỏt trin ti chớnh thc cht cú th khụng aftermath of adverse commodity price shocks m bo s n nh ti chớnh vỡ s phỏt trin ti chớnh cú th lm tng bt n kinh t v ti chớnh v xỏc sut ca mt cuc khng hong, bng cỏch Banking crises are more common in countries with floating exchange thỳc y ri ro v ũn by ln hn Mt khỏc, n cụng cao hn lm gim rate regime (Table 7, columns 5-6) This is at variance with orthodox khụng gian ti khúa v hn ch kh nng ca chớnh ph can thip vo theory according to which flexible exchange rates typically have a lnh vc ti chớnh trỏnh khng hong ngõn hng xy hu qu ca stabilizing effect on the financial system since the exchange rate can nhng cỳ sc bt li absorb some of the real shocks to the economy (Mundell, 1961) However, as outlined by Demirgỹỗ-Kunt and Detragiache (2005), Khng hong ngõn hng l ph bin hn cỏc nc cú ch t giỏ th commodity producers could suffer from more pronounced effects of ni (Bng 7, ct 5-6) õy l khụng ỳng vi lý thuyt chớnh thng, theo exchange rate volatility due to their high liability dollarization In ú t giỏ hi oỏi linh hot thng cú tỏc dng n nh h thng ti chớnh contrast, the lack of an effective lender of last resort may discourage risk- vỡ t giỏ hi oỏi cú th hp th mt s cỳ sc thc s cho nn kinh t taking by bankers, decreasing the probability of a banking crisis when (Mundell, 1961) Tuy nhiờn, nh ó trỡnh by bi Demirgỹỗ-Kunt v the country is under a peg exchange rate regime (Eichengreen and Rose Detragiache (2005), nh sn xut hng húa cú th b nh hng rừ rt 1998) hn ca bin ng t giỏ hi oỏi n ngoi t cao Ngc li, vic thiu mt ngi cho vay cui cựng cú th lm gim s ỏnh i ri ro ca ngõn hng, gim xỏc sut ca mt cuc khng hong ngõn hng Macro-prudential policies and exports diversification Macro-prudential policies are gaining attention internationally as a useful t nc di mt ch t giỏ hi oỏi c nh (Eichengreen v Rose tool to address system-wide risks in the financial sector.26 Macro- 1998) prudential policies act as an important factor for the stability of the financial sector Macro-prudential instruments cover policies related to borrowers, loans, banks assets or liabilities, foreign currency credit, reserve requirements and policies that encourage counter-cyclical buffers (capital, dynamic provisioning and profits distribution restrictions).27 They may act as a tool to monitor the financial sector, therefore reducing the risk-taking and allowing the government to intervene on time Chớnh sỏch an ton v mụ v a dng xut khu Cỏc chớnh sỏch an ton v mụ, ang c s chỳ ý ca quc t vỡ nú l mt cụng c hu ớch gii quyt cỏc ri ro mang tớnh h thng h thng ti chớnh Chớnh sỏch an ton v mụ l yu t quan trng cho s n nh ca khu vc ti chớnh Cụng c an ton v mụ bao gm cỏc chớnh sỏch liờn quan n ngi i vay , cho vay, ti sn ca cỏc ngõn hng hoc n phi tr, tớn dng ngoi t , d tr bt buc v chớnh sỏch khuyn khớch cỏc b m phn chu k (vn, trớch lp d phũng nng ng v hn ch phõn phi li nhun) Chỳng hot ng nh mt cụng c giỏm sỏt khu vc ti chớnh , ú lm gim cỏc ri ro v cho phộp chớnh ph can thip kp thi The results show that negative commodity price shocks increase NPLs and bank costs, and decrease bank profits only in countries without macro-prudential policies (Tables 8) In contrast, countries with macroprudential instruments are better able to cope with the detrimental impacts of adverse commodity price shocks The implementation of macro- prudential policy does not matter when it comes to provisions to NPLs as commodity price slumps lower provisions to NPLs in countries Kt qu cho thy nhng cỳ sc õm lm tng n xu v chi phớ ngõn with or without macro-prudential policy hng , v lm gim li nhun ca ngõn hng ch cỏc nc khụng thc hin cỏc chớnh sỏch an ton v mụ (Bng ) Ngc li , cỏc nc cú Adverse commodity price shocks tend to lead to financial problems in cụng c an ton v mụ cú th i phú tt hn vi nhng tỏc ng ca non-diversified economies The results also highlight (that the nhng cỳ sc bt li Viờc thc hin chớnh sỏch an ton v mụ khụng cũn detrimental effects of commodity price shocks are more common in quan trng mc d phũng n thp hn s h giỏ cỏc quc gia cú countries with a low diversification of their export base Table 9) A lack hoc khụng cú chớnh sỏch an ton v mụ of diversification may increase exposure to adverse external shocks and vulnerability to macroeconomic instability (IMF, 2012) While a Cỳ sc bt li cú xu hng dn n cỏc ti chớnh nn kinh t diversified export base may allow countries to better handle declines in khụng a dng Cỏc kt qu ny cng lm ni bt ( m tỏc ng cú hi commodity related revenues with alternative sources ca cỏc cỳ sc giỏ c hng húa ph bin hn cỏc nc a dng xut khu thp Bng ) S thiu a dng húa cú th lm gia tng nguy c tn 7.2 Robustness Checks tht i vi cỳ sc bt li bờn ngoi v d tn thng bi s bt n kinh Our main finding that financial sector fragility increases as a result of t v mụ ( IMF , 2012) Trong a dng húa xut khu cú th cho adverse commodity price shocks is robust to a battery of robustness phộp cỏc quc gia x lý tt hn s st gim doanh thu hng húa checks We primarily focus on the use of alternative measures of bng cỏc ngun thay th commodity price shocks, subcategories of commodities, and the occurrence, duration, intensity, and instability of commodity price 7.2 KIM TRA S BN VNG shocks Phỏt hin chớnh ca chỳng tụi l s gia tng s bt n ti chớnh, kt qu ca nhng cỳ sc bt li giỏ hng húa l bn vng Chỳng tụi ch yu Alternative measure of commodity price shocks We test whether our trung vo vic s dng cỏc thc o thay th ca cỳ sc giỏ c hng húa , findings are robust to an alternative measure of commodity price shocks cỏc nhúm hng húa , s xut hin , di (thi gian), cng , v s bt We use the first approach outlined in Section In this case, commodity n ca cỏc cỳ sc giỏ c hng húa price shocks are measured as the change in price weighted by the values of the commodities in the GDP of the given country The results (Table 10) show that our findings are robust Furthermore, the coefficients associated with commodity price shocks are higher than those of Table 2, except for provisions to NPLs and banking crises This reflects that the simple measure of shock used tends to capture more variability in commodity prices Table 10 also highlights that adverse commodity price shocks reduce regulatory capital to risk-weighted assets, and liquid assets to deposits and short-term funding Commodity subcategories We test whether our conclusions depend on the type of the commodity We choose the dichotomy hydrocarbons and other commodities Indeed, unlike other commodities which are diverse and produced by many countries, hydrocarbons are produced by fewer countries and they typically play a bigger role in these economies, especially with regard to government revenues Table 11 shows that our findings remains robust Adverse commodity price shocks jeopardize the financial sector in both hydrocarbons and non-hydrocarbon producing countries However, the coefficients seem to be higher in nonhydrocarbon producing countries Beyond the adverse effects on NPLs and bank profits like in non-hydrocarbon producing countries, negative shocks to commodity prices reduce bank liquidity in hydrocarbons producing countries Occurrence of the shocks We focus on the occurrence of adverse commodity price shocks by generating a dummy variable that takes the value of one if there is negative commodity price shock and zero otherwise The results (Table 12) confirm that adverse commodity price shocks negatively affect the financial sector Furthermore, the coefficients associated with commodity price shocks are smaller than when the magnitude of shocks is accounted for (Table 2) Thc o thay th ca cỏc cỳ sc giỏ c hng húa Chỳng tụi kim tra liu rng cỏc phỏt hin ca chỳng tụi cú vng chc i mt thc o thay th cho cỏc cỳ sc giỏ c hng húa Chỳng tụi s dng cỏc phng phỏp tip cn u tiờn c nờu Mc Trong trng hp ny , cỏc cỳ sc giỏ c hng húa c o lng bng s thay i giỏ ca r hng húa GDP ca cỏc quc gia Cỏc kt qu ( Bng 10 ) cho thy rng nhng phỏt hin ca chỳng tụi l vng chc Hn na , cỏc h s tng ng vi nhng cỳ sc giỏ c hng húa cao hn so vi ca bng , ngoi tr d phũng n xu v khng hong ngõn hng iu ny phn ỏnh thc o cỳ sc giỏ c s dng cú xu hng phn ỏnh rừ nột hn d bin ng giỏ c hng húa Bng 10 cng nhn mnh rng cỏc cỳ sc bt li gim t l phỏp nh/iu l so vi ti sn iu chnh theo trng s ri ro, v ti sn khon cho n vay v ti tr ngn hn Cỏc nhúm hng húa Chỳng tụi kim tra xem liu rng kt lun ca chỳng tụi cú ph thuc vo loi hng húa Chỳng tụi la chn hng húa nhúm hydrocacbon (du m,gas, ) v cỏc hng húa khỏc Tht vy , khụng ging nh cỏc hng húa khỏc m rt a dng v sn xut bi nhiu quc gia , cỏc hydrocacbon c sn xut bi mt vi nc v chỳng thng úng mt vai trũ rt ln cỏc nn kinh t , c bit l liờn quan n thu ngõn sỏch Bng 11 cho thy rng nhng phỏt hin ca chỳng tụi cũn bn vng Cỳ sc giỏ bt li gõy nguy him cho khu vc ti chớnh c hai nhúm nc cú sn xut hydrocarbon v phi hydrocacbon Tuy nhiờn , cỏc h s cú v cao hn cỏc nc khụng sn xut hydrocarbon Ngoi nhng tỏc ng xu n n xu v li nhun ngõn hng nh cỏc nc khụng sn xut hydrocarbon, cỏc cỳ sc õm cũn lm gim khon ngõn hng nhng nc sn xut hydrocarbon S xut hin ca cỏc cỳ sc Chỳng tụi trung v s xut hin ca Duration of shocks So far, we measured the shock on an annual basis nhng cỳ sc bt li bng cỏch to mt bin gi m nhn giỏ tr nu Here, we focus on the long-lasting shocks, i.e., situations where adverse cú cỳ sc bt li v , ngc li Cỏc kt qu ( Bng 12 ) xỏc nhn rng commodity price shocks last more than one year We aim to isolate nhng cỳ sc bt li giỏ hng húa nh hng tiờu cc n khu vc ti temporary shocks and focus on lasting ones which may create tighter chớnh Hn na , cỏc h s tng ng vi nhng cỳ sc giỏ c hng húa economic and financial conditions for commodity exporters.29 Table 13 nh hn ln ca nhng cỳ sc c tớnh toỏn (Bng ) shows that long- lasting adverse commodity price shocks also weaken the financial sector The detrimental effects on banking crises and liquid assets are higher when price busts last at least two years di ca cỏc cỳ sc Cho n , chỳng tụi o lng cỏc cỳ sc trờn c s hng nm õy, chỳng tụi trung vo nhng cỳ sc lõu di , tc l tỡnh m nhng cỳ sc bt li kộo di hn mt nm Chỳng Intensity of shocks Until now, we have considered all adverse tụi mong mun cụ lp cỳ sc tm thi v trung vo nhng cỳ sc lõu commodity price shocks However, one can assume that their effects di m cú th to cỏc iu kin kinh t v ti chớnh cng thng hn cho could differ depending on whether the shock is small or large We define cỏc nh xut khu Bng 13 cho thy rng nhng cỳ sc bt li kộo di different subsamples of extreme observations which give the idea of cng lm suy yu khu vc ti chớnh Nhng tỏc ng bt li lờn cỏc cuc extreme shocks To this end, we compute deciles associated with the khng hong ngõn hng v ti sn khon cao hn hn lon giỏ negative shocks Then, for instance, the 50 percent most extreme shocks kộo di ớt nht hai nm are those negative observations which exceed the median value of the negative tail While the results (Table 14) confirm our previous findings, Cng ca nhng cỳ sc Cho n bõy gi, chỳng tụi ó xem xột tt they also highlight that the bigger the shocks, the higher the adverse c nhng cỳ sc bt li Tuy nhiờn , ngi ta cú th gi nh rng tỏc effects on the financial sector (except provisions to NPLs and bank ng ca chỳng cú th khỏc tựy thuc vo vic cỏc cỳ sc l nh liquidity) hay ln We define different subsamples of extreme observations which give the idea of extreme shocks To this end, we compute deciles associated with the negative shocks Then, for instance, the 50 percent Instability of commodity price shocks Here, we assess the effect of price most extreme shocks are those negative observations which exceed the unpredictability on the financial sector We then use the logarithm of the median value of the negative tail Trong cỏc kt qu ( Bng 14 ) xỏc standard deviation of the residuals series obtained in equation (7) as a nhn nhng phỏt hin ca chỳng tụi , Chỳng cng nhn mnh rng cỏc cỳ measure of price instability The results (Table 15) confirm our previous sc ln hn ,cú nhng tỏc ng tiờu cc hn i vi khu vc ti findings (except bank costs and liquidity), but illustrate that the level of chớnh( ngoi tr d phũng n xu v thnh khon ngõn hng) commodity price shocks matters than its unpredictability This is consistent with Dehn (2000) who showed that what reduces growth is not S bt n ca cỏc cỳ sc giỏ c hng húa õy, chỳng tụi ỏnh giỏ the prospect of volatile world prices, but the actual realizations of nh hng ca vic khụng th d oỏn giỏ lờn lnh vc ti chớnh We negative shocks then use the logarithm of the standard deviation of the residuals series obtained in equation (7) as a measure of price instability Cỏc kt qu ( Bng 15 ) xỏc nhn nhng phỏt hin ca chỳng tụi ( ngoi tr chi phớ Positive commodity price shocks So far, we have focused on negative ngõn hng v khon) , nhng cho thy rng mc ca nhng cỳ commodity price shocks Here we investigate the effects of positive sc giỏ c hng húa quan trng hn kh nng tiờn oỏn ca nú iu ny commodity price shocks on the financial sector To this end, we redefine phự hp vi Dehn (2000 ), ngi ó cho thy rng nhng gỡ lm gim tc commodity price shock indices by setting up negative shocks to zero and tng trng khụng phi l vin cnh ca s bin ng giỏ th gii, then normalizing positive shocks between and so that the new nhng ú l nhng th hin ca nhng cỳ sc õm variable increases with the importance of the shock We then estimate the equations (1) and (2) by using the panel fixed effects model and the Cỳ sc dng Cho n , chỳng tụi ó trung vo nhng cỳ sc conditional panel fixed effects, respectively õm õy chỳng ta tỡm hiu nh hng ca cỏc cỳ sc dng trờn cỏc lnh vc ti chớnh lm iu ny , chỳng tụi nh ngha li nhng ch s cho cỳ shock giỏ vi cỳ shock õm l v dng l t gia v Table 16 shows that positive commodity price shocks improve the bin mi ny tng tng ng vi s quan trng ca cỳ shock Sau ú performance of the financial sector More precisely, price increases result chỳng tụi c lng phng trỡnh ( ) v ( ) bng cỏch s dng bng in a decline of bank non-performing loans and the probability of banking mụ hỡnh a nhõn t c nh v mụ hỡnh mng a nhõn t c nh cú iu crises occurring while they raise bank profitability (ROA and ROE) and kin tng ng provisions to bank non-performing loans Quantitatively, an increase of 50 percent in commodity prices results in a decline of bank nonperforming loans by percentage points, and an increase of provisions to bank-performing loans by 18.3 percentage points, ROA by 0.3 Bng 16 cho thy rng cỏc cỳ sc dng nõng cao hiu qu hot ng percentage points and ROE by 2.4 percentage points Through a ca khu vc ti chớnh Chớnh xỏc hn , tng giỏ dn n mt s suy gim comparison with the case of a fall of prices by 50 percent, we can ca cỏc khon n xu ngõn hng v xỏc sut ca cỏc cuc khng hong conclude that negative commodity price shocks hurt more the financial ngõn hng xy ú chỳng nõng cao li nhun ngõn hng sector than the positive ones improve ( ROA v ROE ) v d phũng n xu V mt nh lng , tng 50 % giỏ c hng húa dn n mt s suy gim n xu im phn trm, CONCLUSION v tang d phũng n xu18,3 im phn trm, ROA 0,3 im phn trm This paper has investigated the impact of commodity price shocks on v ROE 2,4 im phn trm Thụng qua s so sỏnh vi trng hp giỏ financial sector fragility, an important issue given recent sharp declines gim 50 phn trm, chỳng ta cú th kt lun rng cỏc cỳ sc õm lm tn in commodity price The paper presents a more comprehensive analysis hi nhiu hn khu vc ti chớnh hn so vi ci thin t cỳ sc dng of the issue from multiple angles than done so far in the existing literature KT LUN Using a sample of 71 commodity exporters among emerging and Bi vit ny ó iu tra tỏc ng ca cỏc cỳ sc giỏ c hng húa ti s bt developing countries over the period 1997-2013, we show that negative n ca khu vc ti chớnh, mt quan trng cho s st gim mnh shocks to commodity prices are associated with higher financial sector gn õy giỏ c hng húa Bi vit trỡnh by mt phõn tớch ton din fragility, as measured by a wide range of indicators This adverse effect hn v ny t nhiu gúc hn cỏc ti liu hin cú is more evident in countries which are not under IMF programs, not have sovereign wealth funds (or similar arrangements), and have poor S dng mt mu ca 71 doanh nghip xut khu hng húa gia nc governance and high debt At the same time, commodity price shocks mi ni v ang phỏt trin giai on 1997-2013 , chỳng tụi cho increase the probability of systemic banking crises thy rng cỏc cỳ sc õm cú tng quan vi s bt n khu vc ti chớnh, c o bng mt lot cỏc ch s nh hng bt li ny l rừ rng hn The paper also highlights the importance of macro-prudential policies cỏc nc khụng thuc chng trỡnh bo tr ca IMF , khụng cú qu u Indeed, we found that countries implementing macro-prudential policies t quc gia ( hoc tng t ) , qun tr kộm v n cao ng thi , cỏc cỳ are better able to cope with the detrimental effects of negative shocks to sc giỏ c hng húa tng xỏc sut ca cỏc cuc khng hong h thng commodity prices The paper also puts forward the benefits of economic diversification as it shows that the detrimental effects of adverse commodity price shocks occur in countries with low diversification of their export base Finally, we found that negative price shocks affect the financial sector through lower economic activity (low growth rate and high unemployment), worse fiscal performance (low government revenue), saving withdrawals and increasing debt in foreign currency Our findings are robust to alternative measures of commodity price shocks, commodity subcategories, and the occurrence of the shocks They are also consistent for long-lasting shocks and extreme ones ngõn hng Bi vit cng nhn mnh tm quan trng ca cỏc chớnh sỏch an ton v mụ Tht vy , chỳng tụi thy rng cỏc nc thc hin cỏc chớnh sỏch an ton v mụ, cú th i phú tt hn vi cỏc tỏc ng cú hi ca cỏc cỳ sc õm Nghiờn cu cng cho thy nhng li ớch ca a dng húa kinh t vỡ nú cho thy rng nhng tỏc ng bt li ca nhng cỳ sc bt li giỏ hng húa xy cỏc nc a dng húa xut khu thp Cui cựng , chỳng tụi thy rng cỏc cỳ sc giỏ õm nh hng n ngnh ti chớnh thụng qua hot ng kinh t mc thp hn ( tc tng trng thp v tht nghip cao) , nng lc ti chớnh ti t hn ( doanh thu chớnh ph thp In terms of policy implications, the findings underscore the necessity of ), rỳt tin gi v gia tng n bng ngoi t Nhng phỏt hin ca chỳng adopting policies to increase the resilience of resource rich-countries tụi l bn vng vi cỏc thc o khỏc ca cỏc cỳ sc giỏ c hng First, developing countries should promote sound economic policies and húa , cỏc nhúm hng húa , v s xut hin ca cỏc cỳ sc Chỳng cng good governance that will ensure the effective use of natural resource phự hp cho nhng cỳ sc kộo di v t cc im windfalls and build fiscal buffers, including through sovereign wealth funds or similar arrangement The presence of a sovereign wealth fund Xột v mt chớnh sỏch, nhng phỏt hin ny nhn mnh s cn thit ca can effectively mitigate the impact of commodity price shocks and vic ỏp dng cỏc chớnh sỏch tng kh nng phc hi cỏc quc gia giu stabilize the economy More generally, sound fiscal policy, characterized ti nguyờn u tiờn , cỏc nc ang phỏt trin nờn thỳc y cỏc chớnh by low debt levels is an important buffer against exogenous shocks sỏch kinh t bn vng v qun tr tt s m bo s dng hiu qu ti nguyờn thiờn nhiờn v xõy dng b m ti chớnh , bao gm thụng qua Second, countries should implement macro-prudential policies in order to cỏc qu du t quc gia hoc tng t S hin din ca mt qu u t limit or mitigate systemic risk Finally, countries should diversify their quc hiu qu cú th gim thiu nhng tỏc ng ca cỏc cỳ sc giỏ c production and exports base in order to have more alternative sources of hng húa v n nh nn kinh t Tng quỏt hn , chớnh sỏch ti khúa bn revenues allowing them to deal with the volatility of commodity exports vng , c trng bi mc n thp l mt b m quan trng chng li related revenues nhng cỳ sc ngoi sinh Th hai , cỏc nc cn thc hin cỏc chớnh sỏch an ton v mụ nhm hn ch hoc gim thiu ri ro h thng Cui cựng , cỏc nc cn a dng húa nn sn xut v c s xut khu ca h cú ngun doanh thu thay th hn cho phộp h i phú vi s bin ng ca kim ngch xut khu hng húa THUT NG Financial Sector Fragility ( S bt n ti chớnh ) Kh nng xy khng hong ti chớnh Adverse commodity price shocks (cỳ sc giỏ c hng húa bt li ) Giỏ hng húa st gim nh hng xu n nn kinh t Fiscal space ( Khụng gian ti khúa) L t c dựng ch s linh hot ca chớnh sỏch ti khúa m mt chớnh ph cú th s dng kớch thớch, h tr, n nh kinh t (chi tiờu chớnh ph , thu ) Sovereign wealth fund (qu u t quc gia) L mt qu u t nh nc vi nhng ti sn cú giỏ tr nh c phiu, trỏi phiu, ti sn, kim loi quý, v thng rt ln Macro-prudential policies (chớnh sỏch an ton v mụ) Chớnh sỏch s dng cỏc cụng c an ton hn ch ri ro h thng v/hoc ri ro i vi tng th h thng ti chớnh thụng qua ngn nga cỏc dch v ti chớnh cú th gõy hu qu nghiờm trng i vi nn kinh t Khuụn kh chớnh sỏch an ton v mụ bao gm cỏc yu t phỏp lý, cỏc hot ng phc v giỏm sỏt an ton v mụ (thu thp s liu , kin nh , ỏnh giỏ sc chu ng , ỏnh giỏ ri ro, ) , cỏc cụng c chớnh sỏch , ngun nhõn lc , v nhiu nhõn t khỏc nhm mc ớch cui cựng l n nh ti chớnh cng nh kinh t v mụ Commodity-dependent countries - cỏc nc ph thuc hng húa Nn kinh t ph thuc ch yu vo xut khu hng húa Liquidity mismatch : Mt cõn bng khon : Cung khon != cu khon Pro-cyclical: ng chu kỡ Trong lý thuyt chu k kinh doanh, mt bin kinh t tng quan dng v tng trng ng thi vi ton b nn kinh t c gi l ng/cựng chu k Nhng bin tng ton b nn kinh t gim c gi l phn chu k Currency mismatches - mt cõn bng t giỏ (bt i xng ng tin , chờnh lch tin t) Financial soundness indicator: Cỏc ch s lnh mnh ti chớnh (FSIs) L cỏc ch s ỏnh giỏ s lnh mnh v tỡnh trng ti chớnh hin ti ca cỏc t chc ti chớnh nn kinh t cng nh cỏc khỏch hng cỏ nhõn v t chc ca h 40 ch s B ch s lnh mnh ti chớnh theo chun IMF : Vớ d T l phỏp nh/iu l so vi ti sn iu chnh theo trng s ri ro (Regulatory capital to risk- weighted assets) N xu rũng trờn (Nonperforming loans net of provisions to capital) N xu trờn tng d n (Nonperforming loans to total gross loans) Explanatory variable : Bin gii thớch + L bin s úng vai trũ vic gii thớch s bin i ca mt bin c lp phõn tớch hi quy, bin s gii thớch xut hin bờn phi ca phng trỡnh hi quy Panel fixed effects method : Mụ hỡnh bng cỏc tỏc nhõn c nh Ex ante (Ex-ante / ex ante): Trc xy , nh d kin Regulatory capital to risk- weighted assets: T l phỏp nh/iu l so vi ti sn iu chnh theo trng s ri ro : Ch s ny o lng t l an ton ti thiu ca t chc nhn tin gi hay chớnh l o lng kh nng ỏp ng ca t chc ny Ch s ny cng cho bit kh nng i phú ca t chc nhn tin gi trc cỏc cỳ sc OECD countries : OECD l tờn vit tt ca T chc Hp tỏc v Phỏt trin Kinh t (Organization for Economic Cooperation and Development), thnh lp nm 1961 trờn c s T chc Hp tỏc Kinh t Chõu u (OEEC) vi 20 thnh viờn sỏng lp gm cỏc nc cú nn kinh t phỏt trin trờn th gii nh M, Canada v cỏc nc Tõy u Hin nay, s thnh viờn ca OECD l >30 quc gia, gm M, Canada, o, B, an Mch, Phỏp, c, Hy Lp, Iceland, Ireland, í, Luxembourg, H Lan, Na Uy, B o Nha, Tõy Ban Nha, Thy in, Thy S, Th Nh K, Anh, Nht Bn, Phn Lan, c, New Zealand, Hn Quc, Mexico, Cng hũa Sộc, Hungary, Ba Lan, Cng hũa Slovakia Mc tiờu ban u ca OECD l xõy dng cỏc nn kinh t mnh cỏc nc thnh viờn, thỳc y v nõng cao hiu qu kinh t th trng, m rng thng mi t v gúp phn phỏt trin kinh t cỏc nc cụng nghip Nhng nm gn õy, OECD ó m rng phm vi hot ng, chia s kt qu nghiờn cu v kinh nghim phỏt trin cho cỏc nc ang phỏt trin v cỏc nn kinh t ang chuyn i sang kinh t th trng Binary variable : bin nh phõn (nhp giỏ tr hoc 1) Continuous variable : bin liờn tc (vd : 1,25634) [...]... với những cú sốc này Trong khi không có nhiều chính sách kinh tế vĩ mô có thể ngăn chặn các cú sốc giá cả hàng hóa , tác động của các cú sốc cho hệ thống ngân hàng sẽ phụ thuộc vào điều kiện kinh tế , tài chính và chính trị tại quốc gia có những cú sốc xảy ra Chúng tôi bám theo các tài liệu trước đó bằng cách tập trung vào những gì quan trọng đối với một vài yếu tố điều kiện và một chỉ số lành mạnh tài. .. chính cho tài sản thanh khoản 7 PHÂN TÍCH ĐỘ NHẠY CẢM VÀ CÁC KIỂM TRA TÍNH BỀN VỮNG 7.1 Phân tích độ nhạy cảm Tiếp cận tổng quan Khung chính sách hiện có chi phối các quốc gia hấp thụ những cú sốc giá cả hàng hóa như thế nào Việc nhận thức rằng các cú sốc giá cả hàng hóa là một nguồn gốc quan trọng của sự bất ổn tài chính đặt ra câu hỏi về một khung pháp lý phù hợp để đảm bảo sự ổn định tài chính khi... TRA SỰ BỀN VỮNG shocks Phát hiện chính của chúng tôi là sự gia tăng sự bất ổn tài chính, kết quả của những cú sốc bất lợi giá hàng hóa là bền vững Chúng tôi chủ yếu tập Alternative measure of commodity price shocks We test whether our trung vào việc sử dụng các thước đo thay thế của cú sốc giá cả hàng hóa , findings are robust to an alternative measure of commodity price shocks các nhóm hàng hóa , sự. .. theo trọng số rủi ro, và tài sản thanh khoản cho các khoản nợ và khoản phải trả ngắn hạn Cú sốc giá cả hàng hóa có một tác động hạn chế lên sự sự bất ổn tài chính hệ số tương ứng với những cú sốc giá cả hàng hóa trong t - 1 là đáng kể và nghịch chiều đối với các khoản dự phòng nợ xấu ( bảng 2, cột 2 ) , trong khi t - 2 là có đáng kể và cùng chiều đối với nợ xấu và chi phí ngân hàng lên tỷ lệ thu nhập... declines và 693 trường hợp suy thoái giá hàng hóa tại các quốc gia Điều đó nói rằng cú sốc giá âm xảy ra thường xuyên hơn so với những đợt gia tăng giá Chỉ số lành mạnh tài chính phản ứng khác nhau với những cú sốc giá dương và âm không? Bằng chứng sơ bộ cho thấy rằng những cú sốc âm có xu hướng làm gia tăng sự bất ổn ngành tài chính Hình 3 trình bày trung bình của các chỉ số lành mạnh tài chính được... (Table 2) Thước đo thay thế của các cú sốc giá cả hàng hóa Chúng tôi kiểm tra liệu rằng các phát hiện của chúng tôi có vững chắc đối một thước đo thay thế cho các cú sốc giá cả hàng hóa Chúng tôi sử dụng các phương pháp tiếp cận đầu tiên được nêu trong Mục 3 Trong trường hợp này , các cú sốc giá cả hàng hóa được đo lường bằng sự thay đổi trong giá của rổ hàng hóa trong GDP của các quốc gia Các kết... thể thực hiện một số dự báo về sự tăng trưởng giá hàng hóa giá và sau đó tự hành động với cú shock giá Điều này có nghĩa rằng nếu họ dự đoán rằng giá cả hàng hóa sẽ giảm, họ phù hợp có thể điều chỉnh chính sách của họ và do đó giải quyết được sự đổ vỡ giá được dự đoán trước Những chính sách như vậy có thể làm tăng biến nội sinh của các chỉ số đo lường cú sốc giá hàng hóa Cách tiếp cận thứ hai sử dụng... nền sản xuất và cơ sở xuất khẩu của họ để có nguồn doanh thu thay thế hơn cho phép họ đối phó với sự biến động của kim ngạch xuất khẩu hàng hóa THUẬT NGỮ Financial Sector Fragility ( Sự bất ổn tài chính ) Khả năng xảy ra khủng hoảng tài chính Adverse commodity price shocks (cú sốc giá cả hàng hóa bất lợi ) Giá hàng hóa sụt giảm ảnh hưởng xấu đến nền kinh tế Fiscal space ( Không gian tài khóa) Là từ... Combes Trong tiểu mục này , chúng tôi mô tả ngắn gọn một số kết quả về mối and others (2014) quan hệ giữa các cú sốc giá cả hàng hóa và sự bất ổn của khu vực tài chính 5.2 Stylized Facts Cú sốc giá cả hàng hóa là khá phổ biến ở các nước đang phát triển Từ năm 1997 đến năm 2013, đã có 562 trường hợp của những cú sốc dương In this sub-section, we briefly describe some stylized facts on the relationship between... ra cú sốc giá âm và dương Nó minh họa cho một sự gia tăng đột biến về nợ xấu và khủng hoảng ngân hàng trong những cú sốc bất lợi, trái ngược với các cú sốc dương Một sự khác biệt tương tự có thể được quan sát ở lợi nhuận ngân hàng với sự suy giảm lợi nhuận trên tài sản (ROA) và lợi nhuận trên vốn chủ sở hữu (ROE) là lớn hơn nhiều trong thời kì suy giảm giá Cú sốc bất lợi tác động đến lĩnh vực tài chính