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减少高加索和中亚的美元化(英).pdf
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减少高加索和中亚的美元化(英).pdf
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Reducing Dollarization in
the Caucasus and Central
Asia
What Could Help Make Further Progress
Selim Cakir, Maria Atamanchuk, Mazin Al Riyami, Nia
Sharashidze, Nathalie Reyes
WP/22/154
IMF Working Papers describe research in
progress by the author(s) and are published to
elicit comments and to encourage debate.
The views expressed in IMF Working Papers are
those of the author(s) and do not necessarily
represent the views of the IMF, its Executive Board,
or IMF management.
2022
JUL
* “The author(s) would like to thank Nicolas Blancher for constructive comments and helpful guidance.
© 2022 International Monetary Fund WP/22/154
IMF Working Paper
Middle East and Central Asia Department
Reducing Dollarization in the Caucasus and Central Asia
What Could Help Make Further Progress
Prepared by Selim Cakir, Maria Atamanchuk, Mazin Al Riyami, Nia Sharashidze, Nathalie Reyes.
Authorized for distribution by Nicolas Blancher
July 2022
IMF Working Papers describe research in progress by the author(s) and are published to elicit
comments and to encourage debate. The views expressed in IMF Working Papers are those of the
author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
ABSTRACT: Declining but still high dollarization rates in the Caucasus and Central Asia (CCA) region affect
macroeconomic stability, monetary policy transmission, and financial sector development. Although several
studies have investigated the dynamics of dollarization in the CCA, the relative roles of macrofinancial policies
and financial market development in the de-dollarization process have not yet been assessed empirically. This
paper takes stock of de-dollarization efforts and explores the short-term drivers of financial de‐dollarization in
the CCA region. It highlights that there remains significant scope to further reduce dollarization through
continued progress in strengthening macroeconomic policy frameworks and in developing markets and
institutions.
JEL Classification Numbers:
E52, E58, F30, F31.
Keywords:
Dollarization; Foreign Currency; Foreign Exchange; FX; Monetary
Policy; Central Asia; Caucasus; CCA.
Author’s E-Mail Address:
scakir@imf.org; matamanchuk@imf.org; nrayes@imf.org;
nsharashidze@imf.org; almazinr@gmail.com;
IMF WORKING PAPERS
Reducing Dollarization in the Caucasus and Central Asia
INTERNATIONAL MONETARY FUND
3
WORKING PAPERS
Reducing Dollarization in the
Caucasus and Central Asia
What Could Help Make Further Progress
Prepared by Selim Cakir, Maria Atamanchuk, Mazin Al Riyami, Nia
Sharashidze, Nathalie Reyes.
1
1
We are grateful for insightful comments and suggestions from Nicolas Blancher.
IMF WORKING PAPERS
Reducing Dollarization in the Caucasus and Central Asia
INTERNATIONAL MONETARY FUND
4
Contents
Introduction......................................................................................................................................................................... 6
Stylized facts ...................................................................................................................................................................... 8
De-dollarization policies in the region ....................................................................................................................... 15
Empirical Approach ........................................................................................................................................................ 16
Methodology ............................................................................................................................................................... 16
Impulse Responses ................................................................................................................................................... 18
Forecast Error Variance Decomposition................................................................................................................. 23
Conclusion ........................................................................................................................................................................ 26
References ........................................................................................................................................................................ 28
Annex I. Surveys.............................................................................................................................................................. 31
Annex II. Impulse Response Functions ..................................................................................................................... 33
BOXES
Box 1. What is a Natural Level of Dollarization? ..................................................................................................... 10
FIGURES
Figure 1. Dollarization of Deposits and Credits in the CCA ................................................................................... 8
Figure 2. Dollarization of Deposits and Credits in other EMDEs .......................................................................... 9
Figure 3. Change in Dollarization 2010-2021 (At Constant Exchange Rates) .................................................. 10
Figure 4. Gross FX Debt and NIIP................................................................................................................................ 11
Figure 5. Financial Depth and Dollarization.............................................................................................................. 12
Figure 6. Evolution of the REER and Dollarization ................................................................................................. 14
Figure 7. Survey of De-dollarization Measures ........................................................................................................ 15
Figure 8. Response of Deposit Dollarization to a Shock to Differential Reserve Requirement .................. 19
Figure 9. Response of Credit Dollarization to a Shock to Differential Reserve Requirement ..................... 20
Figure 10. Response of Credit Dollarization to Introduction of Prudential Measures ................................... 21
Figure 11. Response of Deposit Dollarization to an Exchange Rate Shock..................................................... 22
Figure 12. Response of Deposit Dollarization to Shock to Spread Between Local and Foreign Currency
.............................................................................................................................................................................................. 23
Figure A1a. Response of Deposit Dollarization to a Shock to Differential Reserve Requirement ............. 33
Figure A1b. Response of Credit Dollarization to a Shock to Differential Reserve Requirement ................ 33
Figure A1c. Response of Deposit Dollarization to a Shock to Introduction of Various Prudential
Measures (Captured by a Dummy in the Analysis)................................................................................................. 34
IMF WORKING PAPERS
Reducing Dollarization in the Caucasus and Central Asia
INTERNATIONAL MONETARY FUND
5
Figure A1d. Response of Credit Dollarization to a Shock to Introduction of Various Prudential Measures
(Captured by a Dummy in the Analysis) .................................................................................................................... 34
Figure A1e. Response of Credit Dollarization to an Exchange Rate Shock ..................................................... 35
Figure A1f. Response of Deposit Dollarization to Issuance of Local Currency Long-term Bonds ............ 35
Figure A1g. Response of Credit Dollarization to Issuance of Local Currency Long-term Bonds .............. 36
Figure A1h. Responses of financial dollarization to change in spread between local and foreign
currency deposit rates ................................................................................................................................................... 36
Figure A1i. Response of Deposit Dollarization to an Exchange Rate Volatility Shock ................................. 37
Figure A1j. Response of Credit Dollarization to an Exchange Rate Volatility Shock .................................... 37
Figure A1k. Response of Credit Dollarization to a Shock in Deposit Dollarization........................................ 38
TABLES
Table 1: Definition of Variables in VAR...................................................................................................................... 18
Table 2. Variance Decomposition of Changes in Deposit Dollarization ............................................................ 24
Table 3. Variance Decomposition of Changes in Credit Dollarization ............................................................... 25
Table A1. Qualitative Survey ........................................................................................................................................ 31
Table A2. Quantitative Data .......................................................................................................................................... 32
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