12 publications classées par:
type de publication
: Revue avec comité de lecture
Articles Bacchetta P. & Benhima K. (in press). The Demand for Liquid Assets, Corporate Saving, and Global Imbalances. Journal of the European Economic Association. [doi] [pdf] [abstract]
In the recent decade, capital outflows from emerging economies, in the form of a demand for liquid assets, have played a key role in the context of global imbalances. In this paper, we model the demand for liquid assets by firms in a dynamic open-economy macroeconomic model. We find that the implications of this model are very different from standard models, because the demand for foreign bonds is a complement to domestic investment rather than a substitute. We show that this complementarity is at work when an emerging economy is on its convergence path or when it has a higher TFP growth rate. This framework is consistent with global imbalances and with a number of stylized facts such as high corporate saving rates in high-growth, high-investment, emerging countries.
Bacchetta P., Benhima K & Kalantzis Y. (2014). Optimal Exchange Rate Policy in a Growing Semi-Open Economy. IMF Economic Review, 62(1), 48-76. [doi] [pdf] [url] [abstract]
This paper considers an alternative perspective to China's exchange rate policy. It studies a semi-open economy where the private sector has no access to international capital markets but the central bank has full access. Moreover, it assumes limited financial development generating a large demand for saving instruments by the private sector. The paper analyzes the optimal exchange rate policy by modeling the central bank as a Ramsey planner. Its main result is that in a growth acceleration episode it is optimal to have an initial real depreciation of the currency combined with an accumulation of reserves, which is consistent with the Chinese experience. This depreciation is followed by an appreciation in the long run. The paper also shows that the optimal exchange rate path is close to the one that would result in an economy with full capital mobility and no central bank intervention.
Bacchetta P., Benhima K. & Kalantzis Y. (2013). Capital Controls with International Reserve Accumulation: Can this Be Optimal ?. American Economic Journal: Macroeconomics, 5(3), 229-62. [doi] [pdf] [abstract]
Motivated by the Chinese experience, we analyze a semi-open economy where the central bank has access to international capital markets, but the private sector has not. This enables the central bank to choose an interest rate different from the international rate. We examine the optimal policy of the central bank by modelling it as a Ramsey planner who can choose the level of domestic public debt and of international reserves. The central bank can improve savings opportunities of credit-constrained consumers modelled as in Woodford (1990). We find that in a steady state it is optimal for the central bank to replicate the open economy, i.e., to issue debt financed by the accumulation of reserves so that the domestic interest rate equals the foreign rate. When the economy is in transition, however, a rapidly growing economy has a higher welfare without capital mobility and the optimal interest rate differs from the international rate. We argue that the domestic interest rate should be temporarily above the international rate. We also find that capital controls can still help reach the first best when the planner has more fiscal instruments.
Benhima K. (2013). Financial integration, capital misallocation and global imbalances. Journal of International Money and Finance, 324-340. [doi] [pdf] [url] [abstract]
This paper shows that in a stylized model with two countries, characterized by different levels of financial development, the following facts can be replicated: 1) persistent current account surpluses and 2) high TFP growth in China. Under autarky, entrepreneurs in the emerging country overinvest in short-term projects and underinvest in long-term projects because short-term assets help them secure long-term investments in the presence of credit constraints. This creates an aggregate misallocation of capital. When financial markets integrate, entrepreneurs with long-term projects can have access to cheaper short-term assets abroad, which leaves them more resources to invest in their projects. This both reduces capital misallocations and generates capital outflows.
Benhima K. (2013). A Reappraisal of the Allocation Puzzle through the Portfolio Approach. Journal of International Economics, 89(2), 331-346. [doi] [pdf] [url] [abstract]
Paradoxically, high-growth, high-investment developing countries tend to experience capital outflows. This paper shows that this allocation puzzle can be explained simply by introducing uninsurable idiosyncratic investment risk in the neoclassical growth model with international trade in bonds, and by taking into account not only TFP catch-up, but also the capital wedge, that is, the distortions on the return to capital. The model fits the two following facts, documented on a sample of 67 countries between 1980 and 2003: (i) TFP growth is positively correlated with capital outflows in a sample including creditor countries; (ii) the long-run level of capital per efficient unit of labor is positively correlated with capital outflows. Consistently, we show that the capital flows predicted by the model are positively correlated with the actual ones in this sample once the capital wedge is accounted for. The fact that Asia dominates global imbalances can be explained by its relatively low capital wedge.
Benhima K. & Massenot B. (2013). Safety Traps. American Economic Journal. Macroeconomics, 5(4), 68-106. [doi] [pdf] [url] [abstract]
Fear of risk provides a rationale for protracted economic downturns. We develop a real business cycle model where investors with decreasing relative risk aversion choose between a risky and a safe technology that exhibit decreasing returns. Because of a feedback effect from the interest rate to risk aversion, two equilibria can emerge: a standard equilibrium and a "safe" one in which investors invest in safer assets. We refer to the dynamics of this second equilibrium as a safety trap because it is self-reinforcing as investors accumulate more wealth and show it to be consistent with Japan's lost decade.
Benhima K. (2012). Exchange Rate Volatility and Productivity Growth: The Role of Liability Dollarization. Open Economies Review, 23(3), 501-529. [doi] [pdf] [url]
Benhima K. & Havrylchyk O. (2010). When Do Long-term Imbalances Lead to Current Account Reversals?. World Economy, 33(1), 107-128. [doi] [pdf] [url]
Benhima K. (2009). Déséquilibres Globaux et Croissance des Pays Emergents dans une Economie Mondiale. La Revue Economique, 60(3), 9.
Cahiers de recherche Bacchetta Ph., Benhima K. & Poilly C. (2014). Corporate Cash and Employment. Université de Lausanne - HEC - DEEP. [pdf]
Benhima K. (2013). Booms and Busts with dispersed information (13.11). Université de Lausanne - HEC - DEEP. [pdf] [url] [abstract]
This paper lays down a model where dispersed information generates booms and busts in economic activity. Boom-and-bust dynamics start when firms are initially over-optimistic about demand due to an aggregate noise shock in their signals. Consequently, they over-produce, which generates a boom. This however also depresses their mark-ups, which, to firms, signals low demand and overturns their expectations, generating a bust. This emphasizes a novel role for imperfect common knowledge: dispersed information makes firms ignorant about their competitors' actions, which makes them confuse high noise-driven supply with low fundamental demand. Boom-and-bust episodes are more dramatic when the aggregate noise shocks are more unlikely and when congestion effects are stronger.
Benhima K. (2010). Financial Development, Technological Change in Emerging Countries and Global Imbalances (10.10). Université de Lausanne - HEC - DEEP. [url] [abstract]
The paper shows that in a general equilibrium model with two countries, characterized by different levels of financial development, and two technologies, one more productive and more financially demanding than the other, the following stylized facts can be replicated: 1) the persistent US current account deficits since the beginning of the 90's; 2) growth of output per worker in developing countries in relative terms with the US during the same period; 3) relative capital accumulation and 4) TFP growth in these countries, also relative to the US. The more productive technology takes more time to implement and is subject to liquidity shocks, while the less productive one, along with external bond assets, can be used as a hoard to finance those liquidity shocks. As a result, after financial globalization, if the emerging economy is capital scarce and if its financial market is sufficiently incomplete, it experiences an increase in net foreign assets that coincides with a fall in the less productive investment and a rise in the more productive one. Convergence towards the steady state implies then both a better allocation of capital that generates endogenous aggregate TFP gains and a rise in aggregate investment that translates into higher growth.