A fellendülésből fakadó kockázat: Eurodollár-piac és feltörekvő országok

Vivien Czeczeli; Gábor Kutasi

doi:10.35551/PFQ_2025_1_2

Szerzők

Vivien Czeczeli
Gábor Kutasi

DOI:

https://doi.org/10.35551/PFQ_2025_1_2

Kulcsszavak:

eurodollár piac, külső adósság, VEC modell, feltörekvő országok, C30, F34, G15

Absztrakt

Az eurodollárpiac az amerikai monetáris célokon kívül esik, de a feltörekvő piacok kedvelt ﬁnanszírozási tétele. A világgazdasági prosperitás növeli az eurodollárhitelek iránti keresletet, de a Fed dollárkínálata nem kötődik az euro-dollárpiachoz. Ez növekvő kockázatot jelent a feltörekvő piacokon az eurodollár-ﬁ-nanszírozás iránti keresletükkel arányosan. Mindez a feltörekvő piaci kockázati prémiumokra is nemkívánatos visszacsatolást eredményezhet. A kockázati mecha-nizmus átfogó magyarázata után a tanulmány VEC modellel, napi bázisokon elemzi az amerikai kamatlábak mint az üzleti ciklus helyettesítője és a feltörekvő országok CDS-felárának kapcsolatát 2008 és 2024 között. Az eredmények megerősítik, hogy az alacsonyabb amerikai kamatlábak által jelzett globális jólétben a nagyobb külső adósságkitettséggel rendelkező feltörekvő országok kockázati mutatója, a CDS-feláruk nagyobb mértékben emelkedik. A magasabb költségük miatt ezek az országok kevésbé tudnak proﬁtálni a globális konjunktúraciklus növekedési pályájából, és megnő a nemteljesítési kockázatuk.

Hivatkozások

Arslanalp, S., Eichengreen, B., Simpson-Bell, C. (2022). The stealth erosion of dol-lar dominance and the rise ofnontraditional reserve currencies. Journal of Inter-national Economics Volume 138. doi:https://doi.org/10.1016/j.jinteco.2022.103656

Bánkuty-Balogh, L., Lehmann, K., Szalai, Z. (2023). A dollárdominancia fenntart-hatósága endogén pénzelméleti és geopolitikai megközelítésben. In H. P. (szerk.), Fenntarthatóság a közgazdaságtudományban. Budapest: Akadémiai Kiadó.

Bems, R., Moussa, R. (2023). Emerging Market Economies Bear the Brunt of a Stronger Dollar. IMF Blog. Forrás: https://www.imf.org/en/Blogs/Artic-les/2023/07/19/emerging-market-economies-bear-the-brunt-of-a-stron-ger-dollar

Berg, A. (1999). The Asia Crises: Causes, Policy Responses, and Outcomes. In-ternational Monetary Fund. WP/99/138. https://www.imf.org/external/pubs/ft/wp/1999/wp99138.pdf

Berthou, A., Guillaume, H., Mésonnier, J.-S. (2022). The real eﬀects of invoicing exports in dollars. Journal of International Economics Volume 135. doi:https://doi. org/10.1016/j.jinteco.2022.103569

Boz, E., Casas, C., Georgiadis, G., Gopinath, G., Le Mezo, H., Mehl, A., Nguyen, T., 2020. Invoicing Currency Patterns in Global Trade. IMF Working Paper 20/126.

Braun, B., Koddenbrock, K. (2023). Capital Claims: Power and Global Finance. Routledge.

Chen, S., Yin, L. (2022). Why do ﬁrms issue U.S. dollar bond abroad? Evidence fromChinese non-ﬁnancial listed corporations. Research in International Business and Finance Volume 60. doi:https://doi.org/10.1016/j.ribaf.2021.101600

Coppola, A., Lewis, A., Maggiori, M., Schreger, J., Sun, Z., Tinda, S. (2023). Dy-namics of global ﬁnance: The US dollar’s grip and China’s oﬀshore ascent. Stanford Institute for Economic Research (SIEPR).

Czeczeli, V. (2023). Az államadósság fenntarthatósága alacsony kamatkörnyezet-ben. Közgazdasági Szemle 70 (12). pp. 1361-1388. ISSN 1588-113X. doi: https://doi. org/10.18414/KSZ.2023.12.1361

Deﬁse, A.N., Barton, M.T. (2023). Turkey: a canary in the emerging market co-almine?. Pictet Asset Management. https://am.pictet/en/us/global-articles/2018/insights/ﬁxed-income/turkey-currency-crisis

Dickens, E. (2005). The Eurodollar Market and the New Era of Global Financiali-zation. In G. A. Epstein, Financialization and the World Economy.

Dwyer, G. P. (2015): The Johansen Test for Cointegration. Source: http://www. jerrydwyer.com/pdf/Clemson/Cointegration.pdf.

Engle, R., Granger, C. (1987). Co-Integration and Error Correction: Representa-tion, Estimation, and Testing. Econometrica Vol. 55, No. 2 pp. 251-276. doi:https://doi.org/10.2307/1913236

Eren, E., Malamud , S. (2021). Dominant currency debt. Journal of Financial Eco-nomics Volume 144, Issue 2, May 2022, Pages 571-589. doi:https://doi.org/10.1016/j. jﬁneco.2021.06.023

Eren, E., Schrimpf, A., Sushko, V. (2020). US dollar funding markets during the Co-vid-19 crisis – the international dimension. BIS Bulletin.

Ferrari, M. (2019). Emerging market currencies: the role of global risk, the US dollar and domestic forces. ECB Economic Bulletin, Issue 3/2019. Forrás: htt-ps://www.ecb.europa.eu/press/economic-bulletin/focus/2019/html/ecb.eb-box201903_02~29b4722819.en.html

FocusEconomics. (dátum nélk.). External Debt (% of GDP). Forrás: https://www. focus-economics.com/economic-indicator/external-debt/

Fowler , S. (2021). The Monetary Fifth Column: The Monetary Fifth Column: The Eurodollar Threat to Financial Stability and Economic Sovereignty. 47 Vanderbilt Law Review 825 (2021). Forrás: https://scholarship.law.vanderbilt.edu/vjtl/vol47/iss3/5

FSB. (2022). US Dollar Funding and Emerging Market Economy Vulnerabilities. Fi-nancial Stability Board. Forrás: https://www.fsb.org/wp-content/uploads/P260422.pdf

Furman, J., Stiglitz, J. (1998). Economic Crises: Evidence and Insights from East Asia. Brookings Papers on Economic Activity 2:1-1

Goodfriend, M. (1998). Eurodollars. Federal Reserve Bank of Richmond. Forrás: htt-ps://econpapers.repec.org/bookchap/ﬁpfedrmo/1998.htm

Guiterrez, B., Ivashina, V., Salomao, J. (2023). Why is dollar debt Cheaper? Eviden-ce from Peru. Journal of Financial Economics Volume 148, Issue 3, Pages 245-272. doi:https://doi.org/10.1016/j.jﬁ neco.2023.04.003

Hayali, A. S. (2019). Looking Back Again to the Brazilian Crises of the 1990s: The Role of Financial Derivatives. Journal of Innovation Economics & Management.

p. 95-131. https://doi.org/10.3917/jie.029.0095

Harvey, C., Roper, A.H. (1999). The Asian Bet.” In Alison Harwood, Robert E. Li-tan, and Michael Pomerleano, eds., Financial Markets and Development: Preven-ting Crises in Emerging Markets. Washington, D.C.: Brookings Institution Press

Heyneke, N., & Daya, M. (2016). The rise and fall of the eurodollar system. NED-BANK, CIB. Forrás: https://www.nedbank.co.za/content/dam/nedbank-crp/reports/Strategy/NeelsAndMehul/2016/September/TheRiseAndFallOfTheEuro-dollarSystem_160907.pdf

IMF. (1998). The Asian Crisis: Causes and Cures. Finance and Development, Volu-me 35, Number 2.

Jiang, Z. (2021). US Fiscal cycle and the dollar. Journal of Monetary Economics Volu-me 124 Pages 91-106. doi:https://doi.org/10.1016/j.jmoneco.2021.10.002

Jiang, Z., Krishnamurthy, A., Lustig, H. (2023). Dollar Safety and the Global Finan-cial Cycle. The Review of Economic Studies. doi:https://doi.org/10.1093/restud/rdad108

Johansen, S. – Juselius, K. (1990): Maximum Likelihood Estimation and Inferen-ces on Cointegration—with applications to the demand for money. Oxford Bul-letin of Economics and Statistics, 52, 169–210.

Johnson, B. (2023). The Dollar is Not Done. MacroVoices. Forrás: https://www.mac-rovoices.com/podcast-transcripts/1234-brent-johnson-the-dollar-is-not-done

Kilian, L., - Lütkepohl, H. (2017): Vector Error Correction Models. In Structural Vector Autoregressive Analysis. Themes in Modern Econometrics, pp. 75-108. DOI: 10.1017/9781108164818.004

Kose, M.A., Nagle, P., Ohnsorge, F., Sugawara, N. (2020) Global Waves of Debt. Causes and Consequences. World Bank Group. https://thedocs.worldbank.org/en/doc/279031577823091771-0050022019/original/GlobalWavesofDebtfullre-port.pdf

Krugman, P., (1999). Balance Sheets, the Transfer Problem, and Financial Crises. International Tax and Public Finance, 6, 459–472.

Larosiere, J de (2005). From Mexico to Argentina: What have we learned from two decades of debt crises. Princeton Institute for International and Regional Studies, Monograph Series, (3).

Lustig, H., Roussanov, N., Verdelhan, A. (2014). Countercyclical currency risk premia. Journal of Financial Economics, 527-553.

Manik, N. (2016). Causal Nexus between Public Debt and Economic Growth: The Case of India, International Aﬀairs and Global Strategy, Vol. 46. pp. 36-46.

McGuire, P. (2022). FX swaps and forwards in global dollar debt: “Known knowns” and “known unknowns”. Japan and the World Economy Volume 64. doi:https://doi. org/10.1016/j.japwor.2022.101160

Murau, S., Rini, J., & Haas, A. (2020). The evolution of the Oﬀshore US-Dollar System: past, present and four possible futures. Journal of Institutional Economics 16(6):1-17. doi:10.1017/S1744137420000168

Neufeld, D. (2023). The global ﬁnancial system is facing $65 trillion in hidden dol-lar debt. World Economic Forum. Forrás: https://www.weforum.org/agen-da/2023/01/65-trillion-debt-bank-financial-system-economic/

Oddone, G., Marandino, J. (2019). The Case of Uruguay. Macro Finance Research Program. Working Paper. Source: https://bﬁ.uchicago.edu/wp-content/uploads/The-Case-of-Uruguay.pdf

Rey, Helene (2013). Dilemma not trilemma: the global cycle and monetary policy independence. Proceedings - Economic Policy Symposium - Jackson Hole, pp. 1–2.

Restrepo-Echavarría, P., & Grittayaphong, P. (2021). Dollar-Denominated Pub-lic Debt in Asia and Latin America. Federal Reserve Bank of Saint Louis. Forrás: https://www.stlouisfed.org/on-the-economy/2021/august/dollar-exposure-pub-lic-debt-asia-latin-america

Restrepo-Echavarría, P., & Grittayaphong, P. (2022). Bretton Woods and the Growth of the Eurodollar Market. Federal Reserve Bank of Saint Louis. Forrás: https://www. stlouisfed.org/on-the-economy/2022/january/bretton-woods-growth-eurodol-lar-market#authorbox

Rich, Georg, 1972. A Theoretical and Empirical Analysis of the Eurodollar Market. Journal of Money, Credit and Banking, Blackwell Publishing, vol. 4(3), pages 616-635, August.

Sester, B.W., (2023). Turkey’s Increasing Balance Sheet Risks. Council on Foreign Relations. https://www.cfr.org/blog/turkeys-increasing-balance-sheet-risks

Tiftik, E., Mahmood, K., Aycock, R., Gibbs, S. (2024). Global Debt Monitor, Poli-tics, Policy, and Debt Markets – What to Watch in 2024. Institute of International Finance.

Verdelhan, Adrien. “The share of systematic variation in bilateral exchange ra-tes.” The Journal of Finance 73, no. 1 (2018): 375-418.