Capital Flows in the Euro Area: Some lessons from the last boom-bust cycle. Angel Gavilan, Martin Hillebrand December 2017
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1 Capital Flows in the Euro Area: Some lessons from the last boom-bust cycle Angel Gavilan, Martin Hillebrand December 217
2 The last boom in capital flows was largely a global phenomenon Sum of current account deficits and surpluses (USDbn) Standard deviation of current account balances as % GDP World (ex. EA-12) deficits World (ex. EA-12) surpluses World (ex. EA-12) EA-12 (rhs) EA-12 deficits (rhs) EA-12 surpluses (rhs) , 1,5 1, , , Source: ESM based on IMF WEO Source: ESM based on IMF WEO The size of current account imbalances and their dispersion sharply widened globally and in the EA during the boom 1
3 while the bust was particularly intense in the euro area Sum of current account deficits and surpluses (USDbn) Standard deviation of current account balances as % GDP 2, 1,5 1, , -1,5 World (ex. EA-12) deficits EA-12 deficits FROM (rhs) A REAL World (ex. EA-12) surpluses EA-12 surpluses (rhs) World (ex. EA-12) EA-12 (rhs) Source: ESM based on IMF WEO Source: ESM based on IMF WEO Since the bust, current account balances have improved more and become less dispersed in the EA than in the rest of the world 2
4 for various reasons Euro area exports: Intra- and extra-ea (% of GDP) 2% 19% 18% 17% 16% 15% 14% 13% 12% 11% 1% Intra-EA exports Extra-EA exports Cross-border bank claims vs. banks by region (1999=1) Dec-99 Dec- Dec-1 Dec-2 Dec-3 Euro area US Japan Dec-4 Dec-5 Dec-6 Dec-7 Dec-8 Dec-9 Dec-1 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Source: ESM based on Eurostat Source: ESM based on BIS Different degrees of economic adjustment required Different roles of the banking sector 3
5 Lesson #1: Aggregate/average dynamics may be highly misleading Current account balance in 27 (% GDP) Perfectly balanced external position at the EA aggregate in United States United Kingdom Mexico India Euro area Brazil Canada Chile Japan Russia China Source: ESM based on Bloomberg 4
6 Lesson #1: Aggregate/average dynamics may be highly misleading Current account balance in 27 (% GDP) Greece Portugal Spain Ireland United States United Kingdom Italy France Mexico India Euro area Brazil Canada Austria Chile Japan Russia Netherlands Germany China but masking large outliers and without immediate adjustment mechanisms Source: ESM based on Bloomberg 5
7 Lesson #2: The size of the flows matters, but also their resilience Spain: Breakdown of financial account flows (% GDP) % -2% -4% -6% FDI liabilities Foreign direct investment moves around, but it is always an inflow -8% Inflows -1% Sep-97 Sep-98 Sep-99 Sep- Sep-1 Sep-2 Sep-3 Sep-4 Sep-5 Sep-6 Sep-7 Sep-8 Sep-9 Sep-1 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Source: ESM based on Banco de España 6
8 Lesson #2: The size of the flows matters, but also their resilience Spain: Breakdown of financial account flows (% GDP) 5% % -5% FDI liabilities Portfolio investment: Equity liabilities Outflows Even at the peak of the EA debt crisis, equity investment meant foreign inflows to Spain -1% -15% Inflows Sep-97 Sep-98 Sep-99 Sep- Sep-1 Sep-2 Sep-3 Sep-4 Sep-5 Sep-6 Sep-7 Sep-8 Sep-9 Sep-1 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Source: ESM based on Banco de España 7
9 Lesson #2: The size of the flows matters, but also their resilience Spain: Breakdown of financial account flows (% GDP) 15% 1% 5% % -5% -1% -15% -2% -25% -3% FDI liabilities PI: Equity liabilities PI: Debt liabilities Outflows Inflows Sep-97 Sep-98 Sep-99 Sep- Sep-1 Sep-2 Sep-3 Sep-4 Sep-5 Sep-6 Sep-7 Sep-8 Sep-9 Sep-1 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Large swings in the debt liabilities explain most of the boom-bust dynamics in Spain Source: ESM based on Banco de España 8
10 Lesson #2: The size of the flows matters, but also their resilience Spain: Breakdown of financial account flows (% GDP) FDI liab. PI: Equity liab. PI: Debt liab. OI: OMFI liab. 3% 2% 1% % -1% Outflows together with the expansion and collapse of bank-related liabilities -2% -3% Inflows Sep-97 Sep-98 Sep-99 Sep- Sep-1 Sep-2 Sep-3 Sep-4 Sep-5 Sep-6 Sep-7 Sep-8 Sep-9 Sep-1 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Source: ESM based on Banco de España 9
11 Lesson #2: The size of the flows matters, but also their resilience Spain: Breakdown of financial account flows (% GDP) 3% 2% 1% % -1% -2% -3% -4% FDI liab. PI: Equity liab. PI: Debt liab. OI: OMFI liab. OI: BdE liab. Outflows Inflows Sep-97 Sep-98 Sep-99 Sep- Sep-1 Sep-2 Sep-3 Sep-4 Sep-5 Sep-6 Sep-7 Sep-8 Sep-9 Sep-1 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Target 2-channeled inflows helped to avoid a complete sudden stop Source: ESM based on Banco de España 1
12 Lesson #2: The size of the flows matters, but also their resilience Breakdown of net foreign assets: debt vs. equity in 1997 (% GDP) AT FI GE FR IT SP PT BE The debt/equity split of net foreign assets has largely changed over time & across countries -6-9 Germany Italy Spain Portugal Net equity (% GDP) 6 9 Net debt (% GDP) Source: ESM based on IMF 11
13 Lesson #2: The size of the flows matters, but also their resilience Breakdown of net foreign assets: debt vs. equity in 28 (% GDP) SP PT IT FR AT GE FI BE The debt/equity split of net foreign assets has largely changed over time & across countries -6-9 Germany Italy Spain Portugal Net equity (% GDP) 6 9 Net debt (% GDP) Source: ESM based on IMF 12
14 Lesson #2: The size of the flows matters, but also their resilience Breakdown of net foreign assets: debt vs. equity in 215 (% GDP) PT SP IT FI FR AT BE GE The debt/equity split of net foreign assets has largely changed over time & across countries -6-9 Germany Italy Spain Portugal Net equity (% GDP) 6 9 Net debt (% GDP) Source: ESM based on IMF 13
15 Lesson #3: One monetary union, but one financial sector? Banking sector s holdings of debt securities issued by domestic General Gov. (% total holdings of EA debt securities) Austria FROM Belgium A REAL Germany France Netherlands Source: ESM based on ECB Banking sector s holdings of debt securities issued by domestic General Gov. (% total assets) Netherlands France Germany Austria Belgium Portugal Spain Italy 216 Source: ESM based on ECB 27 Increased diversification in banks portfolios was an illusion Bank-sovereign link especially intense in the periphery 14
16 Lesson #4: Even if the move makes sense, be mindful of over-reactions 1-year sovereign bond yield spread vs. Germany (basis points) France Italy Spain Jan-95 Jul-95 Jan-96 Jul-96 Jan-97 Jul-97 Jan-98 Jul-98 Jan-99 Jul-99 Jan- Jul- Jan-1 Jul-1 Jan-2 Jul-2 Jan-3 Jul-3 Jan-4 Jul-4 Jan-5 Jul-5 Jan-6 Jul-6 Jan-7 Jul-7 Jan-8 Source: ESM based on Bloomberg The great compression made sense 15
17 Lesson #4: Even if the move makes sense, be mindful of over-reactions 1-year sovereign bond yield spread vs. Germany (basis points) Jan-95 Apr-96 Jul-97 Oct-98 France Italy Spain Jan- Apr-1 Jul-2 Oct-3 Jan-5 Apr-6 Jul-7 Oct-8 Jan-1 Apr-11 Jul-12 Oct-13 Jan-15 Apr-16 Jul-17 Source: ESM based on Bloomberg up to a point. What is the new normal? 16
18 Lesson #4: Even if the move makes sense, be mindful of over-reactions 1-year sovereign bond yield spread vs. Germany (basis points) Financial sector growth and productivity growth (198 29) Jan-95 Apr-96 Jul-97 Oct-98 France Italy Spain Jan- Apr-1 Jul-2 Oct-3 Jan-5 Apr-6 Jul-7 Oct-8 Jan-1 Apr-11 Jul-12 Oct-13 Jan-15 Apr-16 Jul-17 Source: ESM based on Bloomberg Source: Cecchetti and Kharroubi (212) up to a point. What is the new normal? Need to make the financial sector more growth enhancing 17
19 Markets have become more resilient Case Study Brexit: markets normalise after one week The week before Brexit: Investors fly to the save haven The Brexit week: Turbulence in the markets Source: ESM, FIRAMIS The financial networks can also be seen as a video under: ESM working paper: The week after Brexit: Markets are re-connecting Looking at bond market microstructure: Filtered correlation influences of hourly 1yr bond yield changes Blue arrows show reinforcing movements, red arrows show diverging forces between bond markets Past experience shows a predictive power of 1 week Networks can be used for hedging strategies 18 Collaboration with Frankfurt based Fintec Company FIRAMIS
20 which is also reflected in the secondary flows Case Study: Trump election Trump s election caused the highest weekly turnover since beginning 214 The solid home investor base absorbed net sell from UK/Switzerland investors 19
21 and primary market activity Case Study: French election In view of the French elections, pension funds and insurances were reducing spread risk by net selling long maturities (yellow line) EFSF/ESM Long Term Bonds EFSF 1.7% 2bn tap Feb 243 Source: ESM Two days after the first round of the French election, we tapped a 26yr EFSF bond With a solid 18% share, pensions funds and insurances came back through the primary market. Source: ESM 2
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