Yuanyan Sophia Zhang's Books

Macroprudential Policies and House Prices in Europe

By: Mr.Marco Arena,Tingyun Chen,Mr.Seung M Choi,Ms.Nan Geng,Cheikh A. Gueye,Mr.Tonny Lybek,Mr.Evan Papageorgiou,Yuanyan Sophia Zhang

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Macroprudential Policies and House Prices in Europe

By: Mr.Marco Arena,Tingyun Chen,Mr.Seung M Choi,Ms.Nan Geng,Cheikh A. Gueye,Mr.Tonny Lybek,Mr.Evan Papageorgiou,Yuanyan Sophia Zhang

Macroprudential policy in Europe aligns with the objective of limiting systemic risk, namely the risk of widespread disruption to the provision of financial services that is caused by an impairment of all or parts of the financial system and that can cause serious negative consequences for the real economy.

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International Monetary Fund

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ISBN 10

1513512250

ISBN 13

9781513512259

Fiscal Vulnerabilities and Risks from Local Government Finance in China

By: Ms.Yuanyan Sophia Zhang,Mr.Steven Barnett

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Fiscal Vulnerabilities and Risks from Local Government Finance in China

By: Ms.Yuanyan Sophia Zhang,Mr.Steven Barnett

China weathered the global financial crisis better than most, thanks to a large and timely stimulus. This stimulus, however, was mainly in the form of off-budget infrastructure spending and thus not visible in the headline fiscal data. We construct a time series for the augmented fiscal deficit and debt—augmented to include off-budget activity—that better illustrates the counter-cyclical role of fiscal policy. The results also show that the augmented fiscal deficit and debt are both considerably higher than the headline government data suggest. Nonetheless, at around 45 percent of GDP, the augmented debt is still at a manageable level.

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International Monetary Fund

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ISBN 10

1484350561

ISBN 13

9781484350560

A New Wave of ECB’s Unconventional Monetary Policies: Domestic Impact and Spillovers

By: Richard Varghese,Yuanyan Sophia Zhang

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A New Wave of ECB’s Unconventional Monetary Policies: Domestic Impact and Spillovers

By: Richard Varghese,Yuanyan Sophia Zhang

ECB President Draghi’s Jackson Hole speech in August 2014 arguably marked a new phase of unconventional monetary policies (UMPs) in the euro area. This paper examines the market impact and tranmission channels of this new wave of UMPs using a modified event study framework. They are found to have a more prominent impact on inflation expectations and exchange rates compared to the earlier UMP announcements. The impact on bank equity, however, is less significant in part due to narrowing profit margin in a low interest rate environment; and the marginal effect on sovereign spread compression has diminished. By extracting components of monetary policy shocks from the yield curve, we find that the traditional signaling channel of the monetary policy transmission continued to play an important role, but the portfolio rebalancing channel became more important in the new phase. Spillovers to non-euro area EU countries (the Czech Republic, Denmark, Poland, and Sweden) are transmitted mainly through the portfolio rebalancing channel, largely affecting sovereign yields and exchange rates.

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International Monetary Fund

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ISBN 10

1484338545

ISBN 13

9781484338544

Distributional Consequences of Fiscal Consolidation and the Role of Fiscal Policy

What Do the Data Say?

By: Jaejoon Woo,Ms.Elva Bova,Mr.Tidiane Kinda,Ms.Yuanyan Sophia Zhang

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Distributional Consequences of Fiscal Consolidation and the Role of Fiscal Policy

What Do the Data Say?

By: Jaejoon Woo,Ms.Elva Bova,Mr.Tidiane Kinda,Ms.Yuanyan Sophia Zhang

The 2007-09 Great Recession has led to an unprecedented increase in public debt in many countries, triggering substantial fiscal adjustments. What are the distributional consequences of fiscal austerity measures? This is an important policy question. This paper analyzes the effects of fiscal policies on income inequality in a panel of advanced and emerging market economies over the last three decades, complemented by a case study of selected consolidation episodes. The paper shows that fiscal consolidations are likely to raise inequality through various channels including their effects on unemployment. Spending-based consolidations tend to worsen inequality more significantly, relative to tax-based consolidations. The composition of austerity measures also matters: progressive taxation and targeted social benefits and subsidies introduced in the context of a broader decline in spending can help offset some of the adverse distributional impact of consolidation. In addition, fiscal policy can favorably influence long-term trends in both inequality and growth by promoting education and training among low- and middle-income workers.

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International Monetary Fund

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ISBN 10

1475536305

ISBN 13

9781475536300

Effectiveness and Channels of Macroprudential Instruments

Lessons from the Euro Area

By: Mr.Thierry Tressel,Ms.Yuanyan Sophia Zhang

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Effectiveness and Channels of Macroprudential Instruments

Lessons from the Euro Area

By: Mr.Thierry Tressel,Ms.Yuanyan Sophia Zhang

The crisis has highlighted the importance of setting up macro-prudential oversight frameworks, having effective macro-prudential instruments in place to be called upon to mitigate growing financial imbalances as needed. We develop a new approach using the euro area Bank Lending Survey to assess the effectiveness of macro-prudential policies in containing credit growth and house price appreciation in mortgage markets. We find instruments targeting the cost of bank capital most effective in slowing down mortgage credit growth, and that the impact is transmitted mainly through price margins, the same banking channel as monetary policy. Limits on loan-to-value ratios are also effective, especially when monetary policy is excessively loose.

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International Monetary Fund

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ISBN 10

1513547402

ISBN 13

9781513547404

Real Money Investors and Sovereign Bond Yields

By: Laura Jaramillo,Ms.Yuanyan Sophia Zhang

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Real Money Investors and Sovereign Bond Yields

By: Laura Jaramillo,Ms.Yuanyan Sophia Zhang

Experience from the global financial crisis suggests that countries’ borrowing costs are not solely determined by macro and fiscal fundamentals. Factors such as ownership structures of government securities, among others, also play a significant role. This paper investigates the effect of “real money investors”—domestic nonbanks and national and foreign central banks—on bond yields for a sample of 45 advanced and emerging market economies. The results show that, while bond yields rise with the debt to GDP ratio, this increase is partly offset if this debt falls in the hands of real money investors. Nonetheless, for some countries there is the risk that such ownership structure could change over the long run, which would impose upward pressure on borrowing costs, especially where fiscal positions are weak.

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International Monetary Fund

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ISBN 10

1475541546

ISBN 13

9781475541540

European Wage Dynamics and Spillovers

By: Yuanyan Sophia Zhang

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European Wage Dynamics and Spillovers

By: Yuanyan Sophia Zhang

Wage rises have remained stubbornly low in advanced Europe in recent years, but, at the same time, newer EU members are experiencing rapid wage acceleration. This paper investigates the drivers of this wage divergence. Econometric analysis using error correction models suggests that wage growth responds more quickly to changes in unemployment in the newer EU members than in advanced Europe, where wages are more closely related to inflation and inflation expectations in the short run, implying greater inertia in nominal wage rises in advanced Europe. In the years after the global crisis, this inertia contributed to the build up of a real wage overhang relative to sharply slowing labor productivity, which subsequently dragged on nominal wage rises even as unemployment began to decline. Spillovers of subdued wage growth between euro area countries also weighed on wage rises in advanced Europe.

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International Monetary Fund

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ISBN 10

1513508628

ISBN 13

9781513508627

Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices

By: Ms.Franziska Ohnsorge,Marcin Wolski,Ms.Yuanyan Sophia Zhang

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Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices

By: Ms.Franziska Ohnsorge,Marcin Wolski,Ms.Yuanyan Sophia Zhang

We create a network of bilateral correlations of changes in sovereign bond yields and individual bank equity price changes since 2000. We extract some stylized facts from this network of asset price correlations and document the clear differences in asset price correlations between safe havens and non-safe havens: safe havens, as commonly defined, have higher sovereign-sovereign, bank-bank, and bank-sovereign correlations than nonsafe havens. In a simple shock propagation model, we illustrate how these higher correlations may turn safe havens into shock propagators. While we discuss safe havens as a group, we document how the US is in a category of its own, differing significantly from the other countries including Switzerland or Japan. Separately, we find that feedback loops amplify shocks, and those emanating from bank stress more than those emanating from sovereign stress.

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International Monetary Fund

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ISBN 10

1484381580

ISBN 13

9781484381588

Spillovers from Dollar Appreciation

By: Mr.Julian T Chow,Ms.Florence Jaumotte,Mr.Seok G Park,Ms.Yuanyan S Zhang

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Spillovers from Dollar Appreciation

By: Mr.Julian T Chow,Ms.Florence Jaumotte,Mr.Seok G Park,Ms.Yuanyan S Zhang

The recent strong, sustained appreciation of the U.S. dollar raises questions about possible financial spillover effects for emerging markets and developing countries. This report finds that, unlike past episodes, emerging markets’ vulnerability has improved along a number of dimensions, though some risks persist (as identified in this report).

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International Monetary Fund

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ISBN 10

1475541422

ISBN 13

9781475541427

Unpacking Impact of COVID-19 on Vietnamese Firms: Evidence from a Novel Survey

By: Ms. Era Dabla-Norris,Anh Thi Ngoc Nguyen,Ms. Yuanyan S Zhang,Thuy Dinh Pham,Nga Huong Phi,Duong Thuy Nguyen,Tuan Danh Duong

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Unpacking Impact of COVID-19 on Vietnamese Firms: Evidence from a Novel Survey

By: Ms. Era Dabla-Norris,Anh Thi Ngoc Nguyen,Ms. Yuanyan S Zhang,Thuy Dinh Pham,Nga Huong Phi,Duong Thuy Nguyen,Tuan Danh Duong

Using a unique representative panel survey of Vietnamese enterprises in 2020, we find that the pandemic and associated government support package had a heterogenous impact across firms. The government support package, particularly tax cuts and deferrals, helped alleviate short term stress, but tight ineligibility criteria and cumbersome procedures impacted take-up. Econometric analysis suggests that the likelihood of accessing support was associated with firm size, with larger firms more likely to receive support compared to smaller firms, even after controlling for sector, firm ownership and financial health. Credit support was effective in alleviating liquidity constraints and allaying firm pessimism only for large firms. Interestingly, firms experiencing sales losses and those with lower pre-crisis productivity were more likely to resort to digitalization, suggesting that the pandemic could help narrow productivity gaps.

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