The Effects of Liquidity and Capital Controls
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1 International Financial Integration The Effects of Liquidity and Capital Controls Sergio Schmukler World Bank (joint with Eduardo Levy Yeyati and Neeltje Van Horen) 2nd Research Meeting of the NIPFP-DEA Program New Delhi March 28
2 Outline. What we do in the paper 2. Cross-market premium 3. Liquidity 4. Capital controls 5. Conclusion 2
3 Outline What we do in the paper Cross-market premium Liquidity Capital controls Conclusion 3
4 . What we do Take advantage of migration of stocks abroad Two identical assets with many advantages Price divergence from LOOP as new measure of IFI Under full integration LOOP should hold Extent of integration Effects of liquidity Trading frequency and trading activity Effects of capital controls Controls on outflows Controls on inflows 4
5 . What we do Structure of the paper. Introduction 2. Data 3. Methodology 4. The Cross-Market Premium and Financial Integration AR and TAR Estimates Integration and Liquidity 5. Time-Varying Financial Integration: Capital Controls Capital Controls and the Cross-Market Premium Capital Controls: What and When? Summary Statistics Case Study: Argentina Conclusions 5
6 Outline What we do in the paper Cross-market premium Liquidity Capital controls Conclusion 6
7 2. Cross-market premium: Definition Cross-market premium Measure of international financial integration Law of One Price needs to hold when markets are integrated % price difference between their (underlying) shares at home and DRs in NY Underlying stock can be transformed into DR and vice versa so arbitrage pressure when prices diverge 7
8 2. Cross-market premium: Definition Cross-market premium: Difference between the home market price of the stock and its NY price:! t = S t rp und dr t P t P t dr! t =premium at time t S t = spot exchange rate r = number of underlying stocks per DR P t und=price of underlying stock in local currency P t dr=price of the DR in NY in U. S. dollars 8
9 2. Cross-market premium: Some advantages Two truly identical assets avoiding index composition Free from the idiosyncratic risk related to default risk Same issuer same legal rights Market-based measure no empirical model imposed Continuous measure between complete segmentation and complete integration Amenable to the use of TAR models; linear models understate convergence speed Avoids potential aggregation bias 9
10 2. Cross-market premium: Data Analysis 98 stocks 2. Argentina 3. Brazil 4. Chile 5. Indonesia 6. Mexico 7. Russia 8. South Africa 9. South Korea. Venezuela
11 2. Cross-market premium: Methodology. Summary statistics Mean Median Standard deviation 2. AR estimates Convergence speed 3. TAR estimates No-arbitrage bands Convergence speed
12 2 2. Cross-market premium: Methodology TAR estimates ) * ) * ) * ) * ) * zero otherwise. ; if zero otherwise ; or x if and if if up t low in low t up t out low up low t low t low t up t up t up t q j j t j p j j t j t t j t k j j t out out t in in t c x c I c x c I c c c x c x c x c x c x c x x c x I x I x /. - / - +. Φ /. Φ Δ + Φ +. Δ... σ λ ε α α σ ε ϕ β β
13 2. Cross-market premium Argentina No controls -4 Jan-94 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan- Jan- 3
14 Outline What we do in the paper Cross-market premium Liquidity Capital controls Conclusion 4
15 3. Liquidity Fomento Economico Mexicano (Mexico) May-98 Jul-98 Oct-98 Dec-98 Feb-99 May-99 Jul-99 Oct-99 Dec-99 Feb- May- Jul- Sep- Dec- Feb- May- Jul- Sep- Dec- Feb-2 May-2 Jul-2 Sep-2 Dec-2 Feb-3 May-3 Jul-3 Sep-3 Dec-3 Feb-4 May-4 5
16 3. Liquidity Ambev (Brazil) Feb-97 May-97 Aug-97 Nov-97 Jan-98 Apr-98 Jul-98 Oct-98 Jan-99 Apr-99 Jul-99 Sep-99 Dec-99 Mar- Jun- Sep- Dec- Mar- May- Aug- Nov- Feb-2 May-2 Aug-2 Nov-2 Jan-3 Apr-3 Jul-3 Oct-3 Jan-4 Apr-4 6
17 3. Liquidity Summary statistics All Days Country Mean Median Std. Dev. 5th Pctile 95th Pctile Obs. Argentina Brazil Chile Indonesia Korea Mexico Russia South Africa Venezuela All Stocks
18 3. Liquidity Summary statistics Contemporaneous Tradi ng Days Country Mean Median Std. Dev. 5th Pctile 95th Pctile Obs. Argentina Brazil Chile Indonesia Korea Mexico Russia South Africa Venezuela All Stocks
19 3. Liquidity AR estimates AR Half-Life Country All Days Contemporaneous Trading Days Argentina Brazil Chile.55.7 Indonesia Korea Mexico Russia.8.89 South Africa.67.6 Venezuela All Stocks
20 3. Liquidity: Liquidity proxies All days AR estimates 6 5 e(ha lf-life X) y = -.27x (-4.74) e(tradi n g Val u e X) 2
21 3. Liquidity: Liquidity proxies Contemporaneous trading days AR estimates e(ha lf-life X) y = -.x ( ) e(tradi n g Val u e X) 2
22 3. Liquidity: Liquidity proxies 6 5 All days AR estimates e(ha lf-life X) y = -2.55x (-5.3) e(tradi n g Fre qu en cy X) 22
23 3. Liquidity: Liquidity proxies Contemporaneous trading days AR estimates e(ha lf-life X) y = -.53x (-2.9) e(tradi n g Fre qu en cy X) 23
24 3. Liquidity: AR vs. TAR AR and TAR Contemporaneous trading AR TAR TAR Country Half-Life Thres Half-Life Argentina Brazil Chile Indonesia Korea Mexico Russia South Africa Venezuela All Stocks
25 3. Liquidity: AR vs. TAR Non-linearities in the premium Correlat ion:.36 [.] Threshold AR Ha lf-life 25
26 2. Liquidity: AR vs. TAR Non-linearities in the premium Correlat ion:.26 [.2] Reductio n in Ha lf-life AR Ha lf-life 26
27 3. Liquidity: Liquidity proxies All days TAR estimates Threshold 2 e(threshol d X) y = -.9x (-3.2 7) e(tradi n g Val u e X) 27
28 3. Liquidity: Liquidity proxies Contemporaneous trading days TAR estimates Half-life.5 e(ha lf-life X) y = -.5x (-.82 ) e(tradi n g Val u e X) 28
29 3. Liquidity: Liquidity proxies All days TAR estimates Threshold 2.5 e(threshol d X).5 y = -2.2x (-2.36) e(tradi n g Fre qu en cy X) 29
30 3. Liquidity: Liquidity proxies Contemporaneous trading days TAR estimates Half-life.5 e(ha lf-life X) y = -.6x (-.2 ) e(tradi n g Fre qu en cy X) 3
31 Outline What we do in the paper Cross-market premium Liquidity Capital controls Conclusion 3
32 4. Capital controls Capital controls increase transaction costs Controls on outflows: positive premium Arbitrage not possible when local price > NY price Arbitrage possible when NY price > local price Controls on inflows: negative premium Arbitrage not possible when NY price > local price Arbitrage possible when local price > NY price Cross-market premium measures effective intensity of controls More capital flows larger premium 32
33 4. Capital controls 2 Control on outflows Venezuela
34 4. Capital controls Control on outflows Sou th Afri ca 34
35 4. Capital controls Control on inflows Chile - Oct-94 Oct-95 Oct-96 Oct-97 Oct-98 Oct-99 Oct- Oct- Oct-2 Oct-3 35
36 4. Capital controls Controls on inflows Kore a (Sou th ) - Re stri cte d Sto ck s Me dium Low 36
37 4. Capital controls Controls on inflows South Korea Unrestricted stocks Oct-94 Mar-95 Sep-95 Feb-96 Jul-96 Dec-96 Jun-97 Nov-97 Apr-98 Oct-98 Mar-99 Aug-99 Jan- Jul- Dec- May- Nov- Apr-2 Sep-2 Feb-3 Aug-3 Jan-4 37
38 4. Capital controls 6 Controls on outflows Arge nti na
39 4. Capital controls 5 Controls on foreign ownership Indonesia
40 4. Capital controls 5 No controls Brazil
41 4. Capital controls No controls Mexico 4
42 4. Capital controls No controls Russia
43 43 AR estimates 4. Capital controls ) * exp) * Δ + Δ q j j t j p j j t j cont t t k j cont j t j cont j t j cont t cont t cont t D D x x D x x D x λ σ α ε λ α σ ε ϕ ϕ β β α α
44 4. Capital controls Summary statistics is statisically different from the mean in the tranqui l period at one five or ten percent significance level respectively. Pooled data Period Mean Median Std. Dev. 5th Pctile 95th Pctile Obs. No Control Control Inflows -.94 *** Control Outflows 3.6 ***
45 4. Capital controls Summary statistics By Country Country Period Mean Median Std. Dev. 5th Pctile 95th Pctile Obs. Argentina No Control Control Outflows 6.35 *** Chile No Control Control Inflows -2.7 *** Indonesia No Control Control Inflows Korea No Control Control Inflows - High -3.8 *** Control Inflows - Medium *** Control Inflows - Low -3.6 *** South Africa No Control Control Outflows *** Venezuela No Control Control Outflows 5.5 ***
46 4. Capital controls AR and TAR estimates Country Period AR AR T AR T AR T AR Aver age Avg. V olatility Aver age Aver age Aver age Half-Life Increase Thres-Up Thres-Low Half-Life Argentina No Control Control Outflows Chile No Control Control Inflows Indonesia No Control Control Inflows South Africa No Control Control Outflows V enezuela No Control Control Outflows
47 4. Capital controls 2 Controls on outflows and inflows Argentina Jan- May- Sep- Jan- May- Sep- Jan-2 Jun-2 Oct-2 Feb-3 Jun-3 Oct-3 Feb-4 Jun-4 Nov-4 Mar-5 Jul-5 Nov-5 Mar-6 Jul-6 Nov-6 Apr-7 47
48 4. Capital controls 6% 5% 4% 3% 2% % % -% -2% -3% -4% Controls on outflows and inflows Argentina Sovereign government bond market Mar 5 Sep 5 Mar 6 Sep 6 Mar 7 Sep 7 48
49 4. Capital controls Argentina Summary Statistics Country Mean Median Std. Dev. 5th Pctile 95th Pctile Obs. No Control Control Outflows Control Inflows
50 4. Capital controls Period No Control Control Outflows Control Inflows Argentina AR and TAR Results AR TAR TAR TAR Average Average Average Average Half-Life Thres-Up Thres-Low Half-Life
51 Outline What we do in the paper Cross-market premium Liquidity Capital controls Conclusion 5
52 5. Conclusion: Summary of results Strong financial integration: cross-market premium close to with rapid convergence and narrow bands Non-linear models capture well the premium consistent a no-arbitrage band due to transaction costs Convergence speeds slower under ARs and the difference in speed proportional to the band-width Convergence speed more rapid and no-arbitrage bands narrower the more liquid a stock is Large companies (liquid stocks) well financially integrated 52
53 5. Conclusion: Summary of results Capital controls effectively segment stock markets weakening arbitrage across markets Controls lead to wider bands and more persistent deviations In sum arbitrage works well for liquid companies fully integrated with the international financial system but integration disrupted as stocks become less liquid or governments introduce capital controls 53
54 5. Conclusion: Policy implications Cross-market premium useful measure of IFI Capital controls directly reflected in the premium The more binding the constraint the larger the premium Stricter controls More capital flows (given controls) Premium shows actual effectiveness of controls Controls that don t segment markets are not reflected Foreign/domestic resident partition immaterial No evasion but tax paid to financial market participants No welfare analysis 54
55 Thank you! 55
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