2010 年 2010 巻 30 号 p. 10-38
In this paper, we take a closer look at the so-called “saving glut” and the role of the OPEC countries and China therein. For this purpose, we illustrate the mechanism by which higher oil prices might lead to lower interest rates if we take into account the global external savings equilibrium. This has interesting implications for how one views the huge US current account deficit and how the emergence of China's savings surplus and oil supply shocks impact the global economy. Moreover, we argue that the lower real interest rates resulting from excess OPEC savings have facilitated the adjustment to the subprime crisis. Finally, international liquidity spill-over effects may occur regardless of the exchange rate system. Hence, the need for more international policy coordination might arise.
In general, the savings glut in the emerging world was in large part a result of policies that emerging market economies put in place when the global economy started to recover from the 2000-01 recession. Since it was spurred by monetary and fiscal stimulus in the US, some call it the liquidity glut. The rise in the international supply of savings from emerging market economies combined with a fall in investment in OECD countries pushed real interest rates to record lows. The deflation scare that emerged from the combination of the bursting of the stock market bubble, the shocks that ensued from the corporate scandals and geopolitical events, combined with the entering of China and India into the world trading system, provoked in response a policy of aggressive lowering of nominal and real interest rates. An initial saving glut thus became a liquidity glut.
The governments of the oil-exporting economies opted to save most oil windfall—at least initially. Those policies intersected with distorted incentives in the US and European financial sector—the incentives that made private banks and shadow banks willing to take on the risk of lending to ever-more indebted households laid the foundation for trouble. In order to assess the impact of global liquidity on the emergence of the subprime crisis, we investigate the interactions between money and goods and asset prices at the global level. Using aggregated data for major OECD countries, our VAR results support a significant impact of the liquidity glut on asset prices such as house prices and, thus, on the trouble starting from the US housing sector.
JEL-codes : E31, E52, F32, F41