月曜日, 2月 24, 2020


ストック-フロー一貫モデル(SFCモデル:Stock-Flow Consistent model)
亀﨑澄夫「ストックとフローの首尾一貫した資本の蓄積過程-Marxian stock-flow-consistent Model の構築-」2019/3


down from the central bank policy rate iP.

the nominal exchange rate eN, measured as domestic currency per unit of foreign currency, increases (decreases) with excess demand (supply): ˙ eN =eN ·βen ·DFX −SFX SFX 21

3.8 World trends and Portfolio Flows Real global GDP grows at a constant rate αgdpw and world inflation is constant at rate αinflw. Foreign financial flows entering the domestic economy (WFFD) is a share βWFF of world financial f lows (WFF): WFFD =βWFF ·WFF, where total global flows depend on world GDP: WFF =Φ·GDPW ·pW

interest rate. Daude and Fratzscher (2008) on the other hand finds that the flows also depend negatively on country risk. We assume that this country risk follows a sigmoid function which depends on
the net international investment position of the country (NIIP),
as well as a global risk aversion parameter (ν4) rsk = ν1 1 +eν2−ν3·NIIP +ν4 NIIP =−RFX ·eN −LFX B ·eN −BWG YP ·p−IM ·pW ·eN 3.9 Exchange Rate Dynamics (

With a lower inflation than the baseline, real expected profit rates (reF − ˙p/p) increase more than the baseline implying that investment as a % of GDP is higher than the baseline during the boom.

Steve Keen (@ProfSteveKeen)
While Neoclassicals stumble on with #DSGE models, ⁦‪@AFD_en‬⁩  ⁦‪@AFD_France‬⁩ is developing highly sophisticated non-equilibrium monetary models of developing economies. afd.fr/en/ressources/… ⁦‪@rethinkecon‬⁩ ⁦‪@PostCrashEcon‬⁩ ⁦‪@ysi_commons‬⁩ ⁦‪@StephanieKelton‬⁩ ⁦‪@stf18‬⁩ pic.twitter.com/7UiuOkSfSM

Modelling Small Open Developing Economies in a Financialized World: A Stock-Flow Consistent Prototype Growth Model∗ S. Devrim Yilmaz† Antoine Godin‡ This version: February 6, 2020


地域通貨花子1 (@TiikituukaHana)



MMTの源流にして基礎、ゴドリーのSFCモデルとは? | ナショナリズム・ルネサンス

7 Conclusion In the last two decades, mounting empirical evidence has demonstrated the strong link between monetary policy in global financial centres and small open developing economies, operating through portfolio and cross-border lending flows. Most developing countries still rely heavily on these flows to finance their current account deficits and experience high growth-low unemployment episodes during loose global monetary policy, only to be followed by busts as monetary policy tightens globally. As a result, the need for analytical tools to analyse the dynamics of these episodes is as great as ever. In this paper, we constructed a continuous time stock-flow consistent model to address several important issues in modelling small open economies, such as consistent stock-flow interactions, interconnected balance sheets, the role of disequilibria and adjustment speeds, and the monetary nature of these economies. We have shown that our model can generate the empirical regularities observed in developing economies in the aftermath of capital flows triggered by easing of global monetary conditions. Our results highlight the importance of the competitive structure of the domestic financial sector, formation of exchange rate expectations and the speed at which markets adjust in determining the magnitude of the boom-bust cycles. Crucially, although a rapid adjustment in exchange rate markets may mitigate the boom-bust dynamics, neither flexible exchange rates nor smoothly operating foreign exchange markets can totally eliminate these episodes, especially if risk perception is less dependent on country fundamentals and global capital is in search for yield via carry trade opportunities. The boom-bust dynamics are further amplified if exchange rate expectations are formed in acknowledgment of the forward premium puzzle with a high sensitivity to the policy-rate differential between the domestic economy and the financial centres, and if output and/or exchange rate expectations are updated more rapidly. Although our results provide useful insights with regards to appropriate monetary, fiscal and macroprudential policies to manage 
these capital inflow-outflow periods; a topic widely investigated both in theoretical and empirical literature (see Qureshi et al., 2011; Ostry et al., 2011; Hoggarth et al., 2016), such policy issues cannot be fully addressed without a model which accounts for the endogeneity of productivity growth and structural change in our opinion. As we mentioned above, sustained periods of appreciation may shrink the export sector, reducing the balance of paymentsconstrained growth rate of the economy and therefore increasing the level of external financing needed to keep unemployment stable. This strengthens the connection between the global financial cycle and the small open economy and undermines the impact of monetary policy. Further, once export markets are lost, it may be very difficult and/or a long process to re-enter global supply chains. Heavy import-dependence of investment and capital goods and large fixed investment/installation costs may also hamper the growth of export industries, even with a strong depreciation of the currency. These considerations call for a careful investigation of various issues we left out in this study (non-linear/non-symmetric pass-through effects, variable elasticities of trade shares, tariffs, import taxes and subsidies, capital controls, FDI, exchange rate policies, etc.) and provide blueprints for future research.

7結論過去20年間に、実証的な証拠が増えたことで、グローバルな金融センターの金融政策と、ポートフォリオや国境を越えた貸付フローを通じて運営されている小規模なオープン開発途上国との強いつながりが実証されました。ほとんどの発展途上国は、これらのフローに依拠して経常収支の赤字を賄い、緩やかな世界金融政策の際に高い成長率と低い失業率を経験しています。その結果、これらのエピソードのダイナミクスを分析するための分析ツールの必要性はこれまでになく高まっています。この論文では、一貫したストックフローの相互作用、相互接続されたバランスシート、不均衡と調整速度の役割、金融の性質など、小規模な開放経済のモデリングにおけるいくつかの重要な問題に対処するために、連続時間ストックフロー一貫モデルを構築しましたこれらの経済。私たちのモデルは、世界の金融状況の緩和によって引き起こされた資本フローの余波で、発展途上国で観察された経験的規則性を生成できることを示しました。私たちの結果は、国内金融部門の競争構造の重要性、為替レートの予想の形成、そして市場がブームとバストのサイクルの大きさを決定する際の調整の速度を強調しています。重要なのは、為替レート市場の急速な調整が好景気のダイナミクスを緩和する可能性があるが、特にリスク認識が国のファンダメンタルズに依存しておらず、グローバル資本が求められている場合、柔軟な為替レートも外国為替市場の円滑な運用もこれらのエピソードを完全に排除することはできないキャリートレードの機会を介した利回り。国内経済と金融センターとの間の政策金利の差に高い感度で先物プレミアムパズルを認めて為替レートの期待が形成され、出力および/または為替レートの期待がより迅速に更新されました。これらの資本流入・流出期間を管理するための適切な金融、財政、マクロプルーデンス政策に関する有益な洞察を提供しますが、理論的および経験的文献の両方で広く調査されたトピック(Qureshi et al。、2011; Ostry et al。、2011; Hoggarth et al。、2016を参照)、そのような政策問題は、内生を説明するモデルなしでは完全に対処することはできません私たちの意見では、生産性の成長と構造変化。上で述べたように、持続的な上昇期間は輸出部門を縮小させ、経済の成長率を制約する国際収支を低下させ、したがって失業を安定させるために必要な外部資金調達のレベルを高める可能性があります。これは、世界的な金融サイクルと小規模な開放経済との関係を強化し、金融政策の影響を弱めます。さらに、輸出市場が失われると、グローバルサプライチェーンに再参入することは非常に困難になり、および/または長いプロセスになる可能性があります。投資と資本財の重い輸入依存と大きな固定投資/設置費用は、通貨の大幅な下落でも、輸出産業の成長を妨げる可能性があります。これらの考慮事項は、本研究で除外したさまざまな問題(非線形/非対称パススルー効果、貿易シェアの変動弾力性、関税、輸入税と補助金、資本管理、FDI、為替政策など)、将来の研究のための青写真を提供します。



物価/通貨市場に出現する不均衡に対するポートフォリオ投資家、企業および実業界の共同動的応答が、期待の更新への影響を介して、その上でスパイラルを起こす減価償却プロセスを開始するため、バストは為替レートのオーバーシュートにつながります中程度の実行レベル。国が十分な外貨準備を経常収支の黒字で蓄積した後、資本流入が戻るという認識されるリスクを減らし、小規模で別の好況期を再開します。 26

26この突然の停止後の経常収支の黒字への行き過ぎは、カルボとラインハート(2000)のEMに文書化されている。 (2003)1998年ロシア危機後の中南米諸国向け。


経常収支赤字ゼロの持続的成長率。中期のダイナミクスが明らかにしているように、経済は非常に小さな貿易赤字といくつかのプラスながら非常に小さなレベルのポートフォリオ流入で安定しています。債券金利は当初の定常状態レベルを下回ったままであり、最終的にはより高い値で安定する前に、ブーム中の純対外債務の蓄積によりカントリーリスクが増加します。国は、調整後、負の純国際投資ポジションになります。これは、Thirlwall(1979)およびThirlwall and Hussain(1982)によって提唱されたBOP制約の成長ダイナミクスであり、長期的には、外資として、国際収支によって決定される成長率を超える国は成長できないと述べています。赤字を無期限に賄うことはありません。リスクの仕様により、このメカニズムは、純国際投資ポジションが悪化するにつれて、資本流入を減少/逆転させるように機能します。言い換えると、このモデルで資本フローと通貨減価の反転を引き起こすのは、国家のバランスシート効果です。
そして最後に、経済における実質為替レートの長期的なダイナミクスは、Boeroらによって示されているように、資本勘定効果とBalassa-Samuelson生産性効果の組み合わせに依存します。 (2015)。モデルの生産性の内生的成長(Boero et al。(2015)に見られるようなFDIに依存、または(Aw et al。、2000)に見られるような輸出強度に依存しない)本質的に、2セクターの世界では、ポートフォリオの資本/国境を越えた貸付の流入により、非貿易財の賃金が上昇し、貿易財の賃金が上昇し、輸出競争力が低下し、例えばギリシャで見られるように輸出シェアが減少する可能性があります( Belke et al。、2018)。これは実際に、モデル全体で機能する正確なメカニズムであり、経済全体で賃金が上昇し、価格に上向きの圧力をかけることにより輸出を削減するのに役立ちます。この輸出の減少とこの仮定は、リスクの定式化と相まって、経済が中期的には国際収支に制約された成長率に収束することを保証します。 n輸出部門では、連続した上昇エピソードにより、特に投資の設置費用の場合に、経済の長期的な産業脱工業化と新しい国際収支の制約と一致する失業率の増加につながる可能性があります。


為替レートの調整速度から感度分析を開始します。図5は、βen= 0.7(ベースライン、黒い点線)、βen= 2.7(青い破線)、およびβen= 4.7(赤い実線)の選択された変数のダイナミクスを示しています。パラメーターが増加すると、為替レートは需要が供給に等しい均衡レベルに向かって速く移動することに注意してください。
相場のオーバーシュートの予想と組み合わせて(eN、e + ėN、e> 1)、eN

          Figure 3: Causality graph showing how the foreign interest rate shock propagates in the economy.
On the other hand, the inflow of FX via portfolio investment and cross-border lending reduces the domestic currency funding needs of the banking sector as firms switch from domestic currency borrowing to FX borrowing. As the banks need less domestic currency financing from the central bank, the endogenous mark-down on domestic currency deposit rates (see 57) increases as cross- border FX borrowing jumps, and deposit rates fall rapidly following the shock (panel l). Coupled with the fall in policy rates due to lower inflation, the real interest rate on domestic currency deposits falls following the FX inflows (panel j). As a result, the marginal propensities to consume in (81- 83) increase, leading to higher target and actual consumption levels (panel e).
Therefore, on impact, there are several conflicting effects on total domestic demand, which 34

determines domestic production and employment levels. In our original calibration, the trade effect dominates in the very short run and appreciation leads to a drop on domestic demand and a slight increase in unemployment in the first months following the shock. In essence, the sign of the effect on domestic demand depends strongly on how much and how rapidly consumption and investment respond relative to the response of trade dynamics. A more rapid adjustment of consumption and/or a stronger surge in investment/consumption would reverse this initial response.
As consumption levels adjusts to the higher target levels (84) though and investment increases further with further appreciation, falling inflation and higher domestic demand, the overall impact of inflow-induced currency appreciation on aggregate demand turns positive very quickly and un- employment starts to fall, leading to increases in real wages and wage share. This process creates a multiplier effect; higher wages, coupled with higher marginal propensities to consume lead to higher profits for firms, higher dividends, and a self-sustaining increase in aggregate demand with a trade deficit financed by portfolio inflows and cross-border borrowing. As the currency keeps on appreciating due to excess supply of FX, the positive appreciation effect on import costs maintains its dominance over the real wage growth effect to cause the inflation to fall further, bringing down policy rates, deposit rates and lending rates further during the boom. With lower unemployment, lower spending on automatic stabilizers by the government, public debt as a ratio of GDP falls (panel g), dragging down government bond rates with it (see 69).24
Eventually, the unsustainable boom begins to create its own reversal dynamics. As policy rate, inflation and bond rates keep on falling and the country starts accumulating a negative net international investment position leading to an increase in country risk (panel o), the positive arbitrage for portfolio inflows eventually diminishes and inflows first fall and then turn to outflows. Similarly, as domestic lending rates fall, cross border lending demand increases further, lending rates on FX borrowing start increasing and the positive arbitrage for domestic firms is eliminated via these price movements. The boom-dynamics completely reverse, following the dynamics depicted in figure 4, the currency starts depreciating, unit costs increase leading to an increase in inflation despite increasing unemployment rates, followed by increases in policy rates, deposit rates and lending rates. As a result, real expected profit rates keep on falling and the real interest rate on deposits start increasing along with falling real incomes, consumption and investment fall. With a rapid nominal depreciation, the real exchange rate also depreciates, leading to a fall in the trade deficit. This is the reversal of the interest rates/inflation rate/real exchange rate dynamics and the bust phase of the economy.25
The bust leads to an overshooting of the exchange rate as the joint dynamic responses of portfolio investors, firms and the real sector to the disequilibria emerging in goods/currency markets starts a depreciation process which, via its impact on updating of expectations, spirals above its medium- run level. Only after the country has accumulated enough FX reserves with a current account surplus to reduce its perceived risk that capital inflows return, restarting another boom-bust phase at a smaller scale. 26
It is important to note that as adjustments take place, the economy gravitates towards its
24Note that wages act like a non-tradable input denominated in domestic currency in our model, pushing the price level up and the real exchange rate down as in two-sector small open economy models.
25Some of the contractionary effects of depreciation of the currency operating in our model such as balance sheet effects and falling real incomes of workers have been analysed in open economy models, as documented in Frankel (2010).
26This overshooting of the current account to a surplus after sudden stops is documented in Calvo and Reinhart (2000) for EMs, and in Calvo et al. (2003) for Latin American countries following the Russian 1998 crisis.


 Figure 4: Causality graph showing the reversal dynamics following a shock on the foreign interest rate.
sustainable growth rate with zero current account deficit. As the medium run dynamics reveal, the economy stabilizes with a very small trade deficit and some positive yet very small level of portfolio inflows. The bond rates stay below the initial steady state level and country risk increases due to the accumulation of net foreign liabilities during the boom before stabilizing at a higher value eventually. The country ends up with a negative net international investment position following the adjustment. This is the BOP-constrained growth dynamics put forward by Thirlwall (1979) and Thirlwall and Hussain (1982), which states that in the long-run, no country can grow beyond the growth rate dictated by its balance of payments, as foreign capital would not indefinitely finance deficits. Our specification of risk ensures that this mechanism operates to reduce/reverse capital inflows as net international investment position deteriorates. In other words, it is the national balance sheet effect which causes the reversal of capital flows and currency depreciation in our model.
And finally, the long-run dynamics of real exchange rate in an economy depends on the com- bination of the capital account effect and Balassa-Samuelson productivity effect, as also shown by Boero et al. (2015). Without an endogenous growth of productivity in our model (dependent on FDI for instance as found in Boero et al. (2015) or export intensity as in (Aw et al., 2000), we only partially demonstrate the dynamics of the capital account effect. In essence, in a two-sector world, portfolio capital/cross-border lending inflows might increase wages in non-tradables, driving up wages in tradable sectors, hampering export competitiveness and reducing export shares, as found for Greece for instance by (Belke et al., 2018). This is in fact the exact mechanism operating in our model, where wages rise across the economy and help reduce exports via exerting an upward pressure on prices. But we do not consider any structural changes in productivity due to this decline in exports and this assumption, combined with our formulation of risk, ensures that the economy converges towards its balance-of payments constrained growth rate in the medium-run. In fact, if productivity gains are mainly concentrated in export-sectors, successive appreciation episodes may lead to a long-run de-industrialization of the economy and an increase in the unemployment rate consistent with the new balance of payments constraint, especially if installation costs of invest-

ment is high and/or supply chains and therefore depreciation does not revive exports. This is an interesting avenue of research which we leave for future work in a two-sector framework.
6 Sensitivity Analysis
6.1 Exchange Rate Adjustment Speed
We start our sensitivity analysis with the exchange rate adjustment speed. Figure 5 presents the dynamics of selected variables for βen = 0.7 (the baseline, black dotted line), βen = 2.7 (blue dashed line) and βen = 4.7 (red solid line). Note that as the parameter increases, the exchange rate moves faster towards the equilibrium level where demand equals supply.27
The increase in the adjustment speed has significant effects on the model dynamics. If the financial markets adjust rapidly, nominal and real exchange rates fall sharply following the impact. The rapid appreciation of the nominal and real exchange rates increases real imports due to higher import shares (σM,i), reduces real exports due to lower export share (σX), and reduces the domestic currency value of exports. As a result, both nominal aggregate demand and real domestic production fall with respect to the baseline, leading to a larger increase in unemployment immediately following the shock.
With a faster adjustment speed, the larger nominal appreciation leads to lower inflation rate
than the baseline during the boom. Consequently, central bank policy rate, domestic currency
lending rates (iL,D,T ) and deposit interest rates all remain lower than the baseline during this
phase.Combinedwithanticipationsofovershootingofcurrencyappreciation(eN,e+e ̇N,e >1), eN
firms’ arbitrage drops rapidly to negative after the shock and the share of FX-borrowing starts falling as firms deleverage their FX-debt. On the other hand, due to the rapid fall in inflation, real interest rates on deposits stay higher than the baseline, leading to smaller increases in marginal propensities to consume and thus mitigating t


Blogger yoji said...


8:43 午後  
Blogger yoji said...

Figure 4: Causality graph showing the reversal dynamics following a shock on the foreign interest rate.

8:46 午後  
Blogger yoji said...


(5)式は「実質為替レートの定義式」であり,実質為替レートεと名目為替レートeの関係を表す。ここで,名目為替レートとは,自国通貨建て為替レート(たとえば,1ドル当たりの円の相場)のことである。この名目為替レートe に,外国と自国の物価水準の比率P*/Pを掛けた値が,実質為替レートである。したがって,実質為替レートとは,自国の財を基準とした外国の財の相対価格であり,外国の財1単位が何単位の自国の財と交換できるかを示す。


図5-5 貨幣・物価・利子率の間の連関関係

 貨幣需要➡︎━━━┛                  ┃
   ⬆︎                        ┃

名目利子率は貨幣需要に影響を及ぼしうる. この(点線で示された)最後の連関は,

名目為替レート         /
  e  |         /
     |        /| 
     |       / | 
     |      /実質為替レートの定義式ε=eP*/P
     |     /   | (P*/Pは外国と自国の物価水準の比率)
     |    /    |
     |   /     |
     |  /|     |
     | / |     |
     |/  |     |
     |   |     |

Y=Y¯+α(P-Pe) , α<0   [アメリカ式記載方?]
(6)式は物価水準Pと総生産Yの関係を表す「総供給関数」である。現実の物価水準が期待物価水準を上回るときには(P>Pe),総生産は自然水準より大きくなる(Y>Y¯)。反対に,現実の物価水準が期待物価水準を下回るときには(P<Pe),総生産は自然水準より小さくなる(Y<Y¯)。そして,現実の物価水準が期待物価水準に一致するとき(P=Pe),総生産は自然水準に等しくなる( Y=Y¯)。ここで,パラメーターαは,生産が物価水準の予想外の変化にどれだけ反応するかを示す係数である。また,(6)式は,
   P=Pe+1/α( Y-Y¯ )

3:36 午後  
Blogger yoji said...


4:39 午後  
Blogger yoji said...




4:15 午後 削除
Blogger yoji さんは書きました...



4:19 午後 削除
Blogger yoji さんは書きました...

4:39 午後 削除

4:44 午後  


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