SimonȱGemenȱ
GraduateȱSS2ȱInternationalȱBusinessȱ
Theȱnexusȱbetweenȱtheȱfinancialȱsystemȱȱ
andȱeconomicȱgrowth:ȱGMMȱestimationȱwithȱpanelȱdataȱ
Introductionȱ
FinancialȱsystemsȱaroundȱtheȱworldȱhaveȱincreasedȱinȱbothȱsizeȱandȱcomplexȬ ityȱoverȱtimeȱandȱexertȱanȱeverȱgrowingȱinfluenceȱoverȱtheȱbusinessȱcycleȱandȱtheȱ realȱ economy.ȱ Inȱ thisȱ context,ȱ theȱ 1980sȱ markedȱ theȱ beginningȱ ofȱ aȱ newȱ era,ȱ asȱ aȱprocessȱcommonlyȱreferredȱtoȱasȱ‘financialisation’ȱbeganȱtoȱgatherȱmomentum.ȱ Financialisationȱisȱaȱprocessȱthatȱisȱcharacterisedȱbyȱchangesȱwithinȱtheȱfinancialȱ sectorȱitselfȱ(changeȱinȱtheȱnatureȱandȱoperationsȱofȱfinancialȱmarkets),ȱasȱwellȱasȱ byȱ changesȱ relativeȱ toȱ otherȱ sectorsȱ (financialȱ marketsȱ andȱ toolsȱ becomeȱ moreȱ powerfulȱandȱexertȱpowerȱonȱtheȱrealȱeconomy).ȱWhatȱresultedȱfromȱfinancialisaȬ tionȱisȱaȱcomplexȱyetȱfragileȱconstructionȱinȱwhichȱtheȱfinancialȱsystemȱandȱeconȬ omyȱ areȱ closelyȱ intertwined.ȱ Thisȱ forcedȱ economistsȱ andȱ politiciansȱ alikeȱ toȱ reȬ thinkȱtheȱnexusȱbetweenȱtheȱfinancialȱsystemȱandȱeconomicȱgrowthȱinȱorderȱtoȱbeȱ ableȱ toȱ draftȱ andȱ implementȱ newȱ andȱ effectiveȱ policyȱ measuresȱ thatȱ safeguardȱ economicȱprosperityȱonȱtheȱbasisȱofȱtheȱfinancialȱsystem.ȱ
Evenȱthoughȱmoreȱandȱmoreȱscholarsȱconductȱresearchȱinȱthisȱarea,ȱtheȱnexusȱ betweenȱtheȱfinancialȱsystemȱandȱ theȱ realȱeconomyȱremainsȱaȱmysteryȱinȱmanyȱ ways.ȱOnȱfirstȱsight,ȱitȱmayȱappearȱparadoxicalȱthatȱscholarsȱhaveȱputȱincreasingȱ effortsȱ intoȱ examiningȱ theȱ nexusȱ andȱ yet,ȱ itȱ isȱ stillȱ seenȱ asȱ insufficientlyȱ reȬ searched.ȱInȱspiteȱofȱtheȱlargeȱamountȱofȱresearch,ȱthereȱisȱaȱsubstantialȱamountȱofȱ unansweredȱ questionsȱ andȱ aȱ livelyȱ debateȱ withȱ contrastingȱ positionsȱ onȱ basicȱ processes.ȱ Importantly,ȱ thisȱ isȱ mainlyȱ dueȱ toȱ theȱ complexityȱ ofȱ theȱ relationshipȱ betweenȱtheȱfinancialȱsystemȱandȱtheȱrealȱeconomy.ȱThereȱareȱnumerousȱfactorsȱ thatȱinfluenceȱeitherȱsomeȱpartȱofȱtheȱfinancialȱsystemȱorȱeconomicȱgrowthȱ(ecoȬ nomicȱdevelopment),ȱorȱboth.ȱTheȱnexusȱcannotȱbeȱexplainedȱusingȱaȱsimpleȱbiȬ factorialȱmodel,ȱsinceȱmostȱofȱtheȱfactorsȱinteractȱwithȱeachȱotherȱandȱareȱbidirecȬ tional,ȱtimeȬvaryingȱandȱdependentȱonȱtheȱstageȱofȱdevelopment.ȱAtȱthisȱpointȱitȱ isȱimportantȱtoȱacknowledgeȱthatȱtheȱfinancialȱsystemȱisȱnotȱaȱdemonȱthatȱneedsȱ toȱbeȱliquidated,ȱbutȱaȱvitalȱsetȱofȱtoolsȱthatȱstimulatesȱeconomicȱgrowthȱandȱalȬ lowsȱeconomiesȱtoȱprosper.ȱHowever,ȱtheȱpositiveȱimpactȱofȱtheȱfinancialȱsystemȱ
canȱonlyȱbeȱfullyȱrealisedȱifȱthereȱareȱcertainȱrulesȱthatȱpreventȱfinancialȱmarketsȱ fromȱexertingȱnegativeȱinfluenceȱonȱtheȱeconomy.ȱ
Theȱpurposeȱofȱthisȱpaperȱisȱtoȱexplore,ȱidentifyȱandȱcharacteriseȱtheȱrelationȬ shipȱbetweenȱtheȱfinancialȱmarketȱandȱtheȱrealȱeconomy,ȱandȱtoȱamplifyȱitsȱunȬ derstanding.ȱ Inȱ orderȱ toȱ achieveȱ thisȱ goal,ȱ theȱ followingȱ researchȱ questionȱ hasȱ beenȱformulated:ȱWhatȱisȱtheȱrelationshipȱbetweenȱtheȱfinancialȱsystemȱandȱecoȬ nomicȱgrowth?ȱ
Theȱpaperȱisȱ organisedȱasȱfollows:ȱChapterȱ1ȱpresentsȱtheȱ theoreticalȱframeȬ workȱ ofȱ theȱ analysisȱ andȱ presentsȱ theȱ economicȱ andȱ financialȱ variablesȱ usedȱ inȱ thisȱpaper.ȱChapterȱ2ȱcomprisesȱtheȱmethodologyȱappliedȱtoȱconductȱtheȱanalysis,ȱ includingȱ modelȱ specificationȱ andȱ informationȱ onȱ theȱ datasetȱ andȱ researchȱ deȬ sign.ȱTheȱempiricalȱanalysisȱandȱresultsȱcanȱbeȱfoundȱinȱchapterȱ3,ȱwhichȱisȱfolȬ lowedȱbyȱconcludingȱremarks.ȱ
1.ȱTheoreticalȱframeworkȱ
Theȱmodelȱcomprisesȱoneȱdependentȱvariable,ȱasȱwellȱasȱaȱsetȱofȱindependentȱ variables.ȱTheȱdependentȱvariableȱtoȱmeasureȱeconomicȱgrowthȱisȱgrossȱdomesticȱ productȱ (GDP)ȱ perȱ capitaȱ basedȱ onȱ purchasingȱ powerȱ parityȱ (GDPCAP).ȱ GDPCAPȱrepresentsȱ“theȱsumȱofȱgrossȱvalueȱaddedȱbyȱallȱresidentȱproducersȱinȱ theȱeconomyȱplusȱanyȱproductȱtaxesȱandȱminusȱanyȱsubsidiesȱnotȱincludedȱinȱtheȱ valueȱofȱtheȱproducts”1ȱdividedȱbyȱmidyearȱpopulationȱofȱeachȱcountry.ȱȱ
Asȱregardsȱtheȱindependentȱvariables,ȱitȱisȱimportantȱtoȱdistinguishȱbetweenȱ twoȱtypesȱofȱvariablesȱthatȱareȱusedȱinȱtheȱmodelȱofȱthisȱpaper.ȱTheȱfirstȱtypeȱisȱaȱ setȱ ofȱ macroeconomicȱ variablesȱ thatȱ areȱ includedȱ asȱ controlȱ variablesȱ andȱ heldȱ constantȱforȱeachȱregressionȱofȱaȱgivenȱpanel.ȱTheȱsecondȱtypeȱcomprisesȱfinancialȱ variablesȱthatȱareȱutilisedȱtoȱmeasureȱtheȱimpactȱofȱtheȱfinancialȱsystemȱ onȱecoȬ nomicȱgrowth.ȱ
Theȱfirstȱcontrolȱvariableȱisȱtradeȱopennessȱ(OPEN),ȱwhichȱisȱdefinedȱasȱ“theȱ sumȱofȱexportsȱandȱimportsȱofȱgoodsȱandȱservices”2.Theȱnextȱcontrolȱvariableȱisȱ investmentȱ(INV),ȱalsoȱcalledȱgrossȱfixedȱcapitalȱformation.ȱItȱrefersȱtoȱchangesȱinȱ theȱ stockȱ ofȱ companies’ȱ fixedȱ capital,ȱ andȱ includesȱ “landȱ improvementsȱ [...];ȱ plant,ȱ machinery,ȱ andȱ equipmentȱ purchases”3,ȱ amongȱ others.ȱ Anotherȱ variableȱ theȱmodelȱcontrolsȱforȱisȱhumanȱcapitalȱ(HC).ȱTheȱmeasureȱofȱhumanȱcapitalȱusedȱ inȱthisȱpaperȱisȱanȱindexȱofȱhumanȱcapitalȱperȱperson,ȱbasedȱonȱyearsȱofȱschoolingȱ
1ȱȱ Worldȱ Bank,ȱ Worldȱ Developmentȱ Indicators,ȱ http://data.worldbank.org/dataȬcatalog/worldȬdeveȬȱ lopmentȬindicatorsȱ[access:ȱ27.12.2015].ȱ
2ȱȱ Ibidem.ȱ
3ȱȱ Ibidem.ȱ
BarroȱandȱLee4ȱandȱreturnsȱtoȱeducationȱPsacharopoulos5.Theȱlastȱcontrolȱvariableȱ thatȱwillȱbeȱincludedȱinȱtheȱmodelȱisȱregulatoryȱqualityȱ(REGQ).ȱRegulatoryȱqualiȬ tyȱisȱrepresentedȱbyȱanȱindexȱvariableȱandȱ“capturesȱperceptionsȱofȱtheȱabilityȱofȱ theȱgovernmentȱtoȱformulateȱandȱimplementȱsoundȱpoliciesȱandȱregulationsȱthatȱ permitȱandȱpromoteȱprivateȱsectorȱdevelopment”6.ȱ
Theȱsetȱofȱfinancialȱvariablesȱusedȱinȱthisȱpaperȱcanȱbeȱdividedȱintoȱtwoȱgroups:ȱ variablesȱinȱtheȱfirstȱgroupȱmeasureȱtheȱdepthȱofȱtheȱstockȱmarketȱandȱvariablesȱinȱ theȱsecondȱgroupȱmeasureȱtheȱdepthȱofȱtheȱbankingȱsystem.ȱImportantly,ȱaccordingȱ toȱeconomicȱtheory,ȱallȱsixȱfinancialȱvariablesȱareȱexpectedȱtoȱbeȱpositivelyȱrelatedȱtoȱ economicȱ growth.ȱ Theȱ analysisȱ willȱ showȱ toȱ whichȱ extentȱ thisȱ assumptionȱ holdsȱ trueȱforȱ theȱdatasetȱatȱ hand.ȱ Itȱhasȱalsoȱ beenȱ testedȱ thatȱ bothȱ theȱbankingȱsystemȱ andȱstockȱmarketsȱareȱindependentȱfactorsȱofȱeconomicȱgrowth.ȱ
Theȱ firstȱ stockȱ marketȱ variableȱ isȱ marketȱ capitalisationȱ (MKTCAP),ȱ alsoȱ knownȱ asȱ marketȱ value.ȱ Itȱ isȱ definedȱ asȱ theȱ “shareȱ priceȱ timesȱ theȱ numberȱ ofȱ sharesȱ outstandingȱ (includingȱ theirȱ severalȱ classes)ȱ forȱ listedȱ domesticȱ compaȬ nies”.ȱ Theȱ nextȱ variableȱ isȱ valueȱ ofȱ stocksȱ tradedȱ (VALST).ȱ Itȱ isȱ definedȱ asȱ theȱ
“totalȱ numberȱ ofȱ sharesȱ traded,ȱ bothȱ domesticȱ andȱ foreign,ȱ multipliedȱ byȱ theirȱ respectiveȱ matchingȱ prices”7,ȱ whereȱ matchingȱ priceȱ refersȱ toȱ theȱ priceȱ ofȱ eachȱ shareȱ whenȱ itȱ wasȱ traded.ȱ Theȱ lastȱ variableȱ thatȱ willȱ beȱ usedȱ toȱ measureȱ stockȱ marketȱperformanceȱisȱturnoverȱratioȱ(TRNOVR).ȱItȱrefersȱtoȱtheȱvalueȱofȱsharesȱ tradedȱperȱperiod,ȱasȱaȱpercentageȱofȱmarketȱcapitalisationȱforȱtheȱsameȱperiod.ȱItȱ isȱ aȱ measureȱ ofȱ bothȱ liquidityȱ andȱ transactionȱ costs.ȱ Theȱ firstȱ bankingȱ systemȱ variableȱisȱdomesticȱcreditȱprovidedȱbyȱfinancialȱsectorȱ(CREDFS),ȱwhichȱincludesȱ allȱcreditȱtoȱvariousȱsectorsȱonȱaȱgrossȱbasis,ȱasȱwellȱasȱcreditȱtoȱtheȱcentralȱgovȬ ernmentȱ onȱ aȱ netȱ basis,ȱ includingȱ byȱ monetaryȱ authoritiesȱ andȱ depositȱ moneyȱ banks,ȱ financeȱ andȱ leasingȱ companies,ȱ moneyȱ lenders,ȱ insuranceȱ corporations,ȱ pensionȱ funds,ȱ andȱ foreignȱ exchangeȱ companies”8.Domesticȱ creditȱ toȱ privateȱ sectorȱ byȱ banksȱ (CREDBS)ȱ refersȱ toȱ financialȱ resourcesȱ providedȱ toȱ theȱ privateȱ sectorȱ byȱ depositoryȱ corporationsȱ (whichȱ refersȱ toȱ commercialȱ banks,ȱ butȱ exȬ cludesȱcentralȱbanksȱ,“suchȱasȱthroughȱloans,ȱpurchasesȱofȱnonȬequityȱsecurities,ȱ andȱtradeȱcreditsȱandȱotherȱaccountsȱreceivable,ȱthatȱestablishȱaȱclaimȱforȱrepayȬ ment”9.Theȱ lastȱ bankingȱ systemȱ variableȱ isȱ domesticȱ creditȱ providedȱ toȱ theȱ priȬ vateȱsectorȱ(CREDPS).ȱItȱrefersȱtoȱfinancialȱresourcesȱprovidedȱtoȱtheȱprivateȱsecȬ
4ȱȱ R.ȱ Barro,ȱ J.ȬW.ȱ Lee,ȱ BarroȬLeeȱ Educationalȱ Attainmentȱ Dataset,ȱ http://www.barrolee.comȱ [access:ȱ 24.02.2016].ȱ
5ȱȱ G.ȱPsacharopoulos,ȱReturnsȱtoȱInvestmentȱinȱEducation:ȱAȱGlobalȱUpdate,ȱ“WorldȱDevelopment”ȱ1994,ȱ vol.ȱ22,ȱno.ȱ9,ȱpp.ȱ1325–1343.ȱ
6ȱȱ WorldȱBank,ȱRegulatoryȱQuality,ȱhttp://info.worldbank.org/governance/wgi/pdf/rq.pdfȱ[15.03.2016].ȱ
7ȱȱ WorldȱBank,ȱWorldȱDevelopmentȱIndicators...ȱ
8ȱȱ Ibidem.ȱ
ȱȱ Ibidem.ȱ
torȱ byȱ financialȱ corporations,ȱ suchȱ asȱ “monetaryȱ authoritiesȱ andȱ depositȱ moneyȱ banks,ȱasȱwellȱasȱfinanceȱandȱleasingȱcompanies,ȱmoneyȱlenders,ȱinsuranceȱcorpoȬ rations,ȱpensionȱfunds,ȱandȱforeignȱexchangeȱcompanies”.ȱ
2.ȱMethodologyȱ
TheȱmethodologyȱchapterȱbuildsȱuponȱandȱcomplementsȱtheȱprecedingȱtheoȬ ryȱ chapter,ȱ specifiesȱ theȱ centralȱ regressionȱ model,ȱ andȱ explainsȱ howȱ theȱ listȱ ofȱ variablesȱpresentedȱinȱtheȱtheoryȱchapterȱisȱusedȱinȱtheȱmodelȱandȱanalysis.ȱTheȱ analysisȱwillȱbeȱexecutedȱbyȱmeansȱofȱaȱpanelȱstudy,ȱaȱspecialȱtypeȱofȱlongitudinalȱ studyȱinȱwhichȱdataȱareȱcollectedȱfromȱtheȱsameȱunitsȱoverȱaȱgivenȱtimeȱperiod11.ȱ Theȱdatasetȱcomprisesȱdataȱonȱ11ȱvariablesȱfromȱ74ȱcountriesȱforȱtheȱtimeȱperiodȱ 1988Ȭ2014.ȱ Allȱ dataȱ areȱ extractedȱ fromȱ theȱ Worldȱ Developmentȱ Indicatorsȱ andȱ WorldwideȱGovernanceȱIndicators,ȱbothȱprovidedȱbyȱtheȱWorldȱBank,ȱasȱwellȱasȱ fromȱ theȱ Pennȱ Worldȱ Table.ȱ Theȱ datasetȱ coversȱ countriesȱ fromȱ virtuallyȱ allȱ reȬ gionsȱinȱtheȱworld,ȱasȱwellȱasȱfromȱdifferentȱstagesȱofȱdevelopment.ȱAȱtotalȱofȱtenȱ panelsȱ areȱ analysed:ȱ Main,ȱ Europeanȱ Unionȱ (EU),ȱ eurozoneȱ (EZ),ȱ highȱ incomeȱ countriesȱ (HIC),ȱ lowȱ andȱ middleȱ incomeȱ countriesȱ (LMI),ȱ Organisationȱ forȱ EcoȬ nomicȱ CoȬoperationȱ andȱ Developmentȱ (OECD),ȱ Latinȱ andȱ Middleȱ Americaȱ (LMA),ȱMiddleȱEastȱandȱNorthȱAfricaȱ(MENA),ȱSouthȱAsiaȱandȱEastȱAsiaȱ(SAEA)ȱ andȱ Brazil,ȱ Russia,ȱ India,ȱ Chinaȱ andȱ Southȱ Africaȱ (BRICS).ȱ Asȱ oneȱ canȱ see,ȱ theȱ individualȱ panelsȱ areȱ establishedȱ eitherȱ alongȱ geographicalȱ linesȱ (Middleȱ Eastȱ andȱNorthȱAfrica,ȱforȱexample),ȱorganisational/institutionalȱlinesȱ(OECD,ȱforȱexȬ ample)ȱ orȱ accordingȱ toȱ theȱ levelȱ ofȱ developmentȱ ofȱ aȱ particularȱ variableȱ (highȱ incomeȱcountries,ȱforȱexample).ȱ
Theȱanalysisȱisȱbasedȱonȱaȱdynamicȱmodel,ȱwhichȱincorporatesȱtemporalȱdeȬ pendencyȱ (lags)ȱ ofȱ theȱ dependentȱ variableȱ asȱ regressor.ȱ Thisȱ simplyȱ meansȱ thatȱ theȱdependentȱvariableȱinȱperiodȱtȱisȱinfluencedȱbyȱitsȱownȱpastȱperformance,ȱforȱ instanceȱinȱtȬ1.Inȱtheȱcontextȱofȱeconomicȱgrowthȱanalyses,ȱdynamicȱmodelsȱhaveȱ substantialȱadvantagesȱoverȱstaticȱmodels,ȱsuchȱasȱfixedȱeffectȱandȱrandomȱeffectȱ models.ȱ Thisȱ paperȱ estimatesȱ aȱ oneȬstepȱ dynamicȱ modelȱ fromȱ panelȱ dataȱ usingȱ theȱ dynamicȱ ArellanoȬBondȱ generalizedȱ methodȱ ofȱ momentsȱ (GMM)ȱ estimator.ȱ Theȱcentralȱregressionȱmodelȱtakesȱtheȱfollowingȱform:ȱ
ȱ
whereȱ asȱ dependentȱ variableȱ isȱ theȱ naturalȱ logarithmȱ ofȱ GDPȱ perȱ capitaȱinȱpanelȱ ȱinȱyear ,ȱ ȱisȱtheȱconstant,ȱ ȱandȱ ȱareȱparametersȱtoȱbeȱ
10ȱȱ Ibidem.ȱ
ȱȱ E.ȱBabbie,ȱTheȱPracticeȱofȱSocialȱResearch,ȱCengageȱLearning,ȱWadsworthȱ2010,ȱp.ȱ109.ȱ
estimatedȱ (regressionȱ coefficients),ȱ ȱ isȱ aȱ matrixȱ ofȱ controlȱ variablesȱ whereȱ allȱ variablesȱexceptȱforȱREGQȱareȱtransformedȱtoȱtheirȱnaturalȱlogarithms,ȱ ȱisȱtheȱ naturalȱ logarithmȱ ofȱ aȱ financialȱ variable,ȱ ȱ isȱ aȱ yearȬspecificȱ fixedȱ effect,ȱ ȱ isȱ aȱcountryȬspecificȱfixedȱeffect,ȱandȱ ȱisȱtheȱerrorȱterm.ȱTheȱmatrixȱofȱcontrolȱvariȬ ablesȱ(X)ȱcontainsȱINV,ȱOPEN,ȱHCȱandȱREGQ.ȱFSȱstandsȱforȱMKTCAP,ȱVALST,ȱ TRNOVR,ȱ CREDPS,ȱ CREDBSȱ orȱ CREDFS.ȱ Importantly,ȱ itȱ hasȱ beenȱ confirmedȱ thatȱthereȱisȱnoȱinterȬcorrelationȱbetweenȱtheȱvariablesȱthatȱenterȱtheȱmodelȱatȱtheȱ sameȱtime.ȱInȱotherȱwords,ȱthereȱisȱnoȱinterȬcorrelationȱbetweenȱtheȱcontrolȱvariaȬ blesȱorȱbetweenȱoneȱofȱtheȱcontrolȱvariablesȱandȱtheȱfinancialȱvariables.ȱTheȱfinanȬ cialȱvariablesȱareȱpositivelyȱcorrelatedȱwithȱeachȱother,ȱbutȱtheyȱenterȱtheȱmodelȱ separately.ȱ Theȱ modelȱ usedȱ inȱ thisȱ paperȱ accountsȱ forȱ timeȱ dependencyȱ andȱ isȱ specifiedȱ inȱ aȱ wayȱ thatȱ sixȱ regressionsȱ willȱ beȱ runȱ forȱ eachȱ panelȱ (oneȱ forȱ eachȱ financialȱsystemȱvariable).ȱTheȱnaturalȱlogarithmȱofȱvariablesȱisȱusedȱwhenȱfeasiȬ bleȱtoȱeliminateȱasȱmuchȱnoiseȱasȱpossibleȱfromȱtheȱdata.ȱTheȱregressionȱwillȱbeȱ runȱusingȱtheȱxtabondȱcommandȱ(ArellanoȬBondȱdynamicȱpanelȬdataȱestimation)ȱ withinȱtheȱdataȱanalysisȱandȱstatisticalȱsoftwareȱStata12.ȱ
3.ȱDataȱanalysisȱ
Thisȱ chapterȱ presentsȱ theȱ resultsȱ ofȱ theȱ analysis.ȱ Theȱ resultsȱ showȱ toȱ whichȱ extentȱdifferentȱpartsȱ(variables)ȱofȱtheȱfinancialȱsystemȱimpactȱeconomicȱgrowth.ȱ Moreover,ȱ theyȱ helpȱ toȱ identifyȱ possibleȱ patternsȱ betweenȱ panels.ȱ Thisȱ knowledgeȱ inȱ turnȱ helpsȱ inȱ understandingȱ economicȱ developmentȱ inȱ variousȱ groupsȱ ofȱ countriesȱ andȱ offersȱ valuableȱ insightsȱ intoȱ howȱ theȱ relationshipȱ beȬ tweenȱtheȱfinancialȱsystemȱandȱtheȱrealȱeconomyȱlooksȱlike.ȱ
Tablesȱ1ȱthroughȱ10ȱshowȱtheȱresultsȱofȱtheȱGMMȱestimationȱforȱallȱtenȱpanelsȱ underȱ analysis.ȱ Theȱ controlȱ variablesȱ areȱ notȱ presentedȱ inȱ detailȱ dueȱ toȱ spaceȱ constraints.ȱInȱshort,ȱitȱhasȱbeenȱfoundȱthatȱINVȱandȱOPENȱareȱsignificantȱatȱtheȱ 1%ȱlevelȱinȱallȱexceptȱthreeȱpanelsȱ(MENAȱpanel,ȱSAEAȱpanelȱandȱBRICSȱpanel).ȱ Byȱcontrast,ȱHCȱandȱREGQȱareȱsomewhatȱlessȱsignificantȱthroughoutȱtheȱmajorityȱ ofȱpanels.ȱȱ
Tableȱ1.ȱMainpanelȱ ȱ ȱ ȱȱȱȱTableȱ2.ȱEUpanelȱ
Inȱ theȱ mainȱ panelȱ (Tab.ȱ 1),ȱ MKTCAPȱ (significantȱ atȱ theȱ 1%ȱ level),ȱ VALSTȱ (significantȱ atȱ theȱ 5%ȱ level)ȱ andȱ TRNOVRȱ (insignificant)ȱ haveȱ positiveȱ coeffiȬ cients,ȱ whilstȱ CREDFS,ȱ CREDBSȱ andȱ CREDPSȱ exhibitȱ negativeȱ coefficientsȱ andȱ areȱsignificantȱatȱtheȱ1%ȱlevel.ȱInȱtheȱEUȱpanelȱ(Tab.ȱ2),ȱVALSTȱisȱinsignificantȱandȱ negative,ȱandȱTRNOVRȱisȱsignificantȱatȱtheȱ1%ȱlevelȱandȱnegative.ȱThisȱisȱinȱstarkȱ contrastȱtoȱMKTCAP,ȱwhichȱisȱpositiveȱandȱsignificantȱatȱtheȱ1%ȱlevel.ȱAllȱthreeȱ bankingȱvariablesȱareȱnegative,ȱbutȱCREDBSȱisȱinsignificant,ȱwhilstȱCREDFSȱandȱ CREDPSȱareȱsignificantȱatȱtheȱ10%ȱlevel.ȱ
Tableȱ3.ȱEZpanelȱ ȱ ȱ ȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱTableȱ4.ȱHICpanelȱ
InȱtheȱEZȱpanelȱ(Tab.ȱ3),ȱMKTCAPȱandȱVALSTȱareȱpositiveȱandȱsignificantȱatȱtheȱ 1%ȱlevelȱandȱTRNOVRȱisȱpositiveȱbutȱinsignificant.ȱTheȱthreeȱbankingȱvariablesȱareȱ negative,ȱbutȱinsignificant.ȱInȱtheȱHICȱpanelȱ(Tab.ȱ4),ȱCREDFSȱisȱnegativeȱandȱsignifiȬ cantȱatȱtheȱ5%ȱlevel,ȱwhilstȱCREDBSȱandȱCREDPSȱareȱnegativeȱandȱsignificantȱatȱtheȱ 1%ȱlevel.ȱTRNOVRȱisȱnegativeȱandȱsignificantȱatȱtheȱ5%ȱlevel,ȱVALSTȱisȱpositiveȱbutȱ insignificantȱandȱMKTCAPȱisȱpositiveȱandȱsignificantȱatȱtheȱ1%ȱlevel.ȱ
Tableȱ5.ȱLMIpanelȱ ȱ ȱ ȱȱȱȱTableȱ6.ȱLMAȱpanelȱ
InȱtheȱLMIȱpanelȱ(Tab.ȱ5),ȱCREDFSȱisȱnegativeȱandȱsignificantȱatȱtheȱ1%ȱlevel,ȱ andȱCREDBSȱandȱCREDPSȱareȱnegativeȱandȱsignificantȱatȱtheȱ5%ȱlevel.ȱMKTCAPȱ andȱVALSTȱareȱpositiveȱandȱsignificantȱatȱtheȱ5%ȱlevelȱandȱTRNOVRȱisȱpositiveȱ andȱsignificantȱatȱtheȱ1%ȱlevel.ȱTheȱresultsȱofȱtheȱLMAȱpanelȱ(Tab.ȱ6)ȱareȱremarkȬ ableȱinȱtwoȱways:ȱFirstly,ȱMKTCAPȱisȱnegativeȱthoughȱinsignificantȱandȱsecondȬ ly,ȱ CREDBSȱ isȱ positiveȱ andȱ insignificant.ȱ Inȱ theȱ majorityȱ ofȱ panels,ȱ MKTCAPȱ isȱ significantȱandȱpositiveȱandȱCREDBSȱhasȱaȱnegativeȱcoefficient.ȱVALSTȱisȱfoundȱ toȱbeȱpositiveȱbutȱinsignificantȱandȱTRNOVRȱisȱpositiveȱandȱsignificantȱatȱtheȱ5%ȱ level.ȱ CREDFS,ȱ (significantȱ atȱ theȱ 5%ȱ level)ȱ andȱ CREDPSȱ (insignificant)ȱ exhibitȱ negativeȱcoefficients.ȱ
Inȱ theȱ MENAȱ panel(Tab.ȱ 7),ȱ allȱ threeȱ bankingȱ systemȱ variablesȱ areȱ negativeȱ butȱinsignificant,ȱwhilstȱMKTCAPȱisȱpositiveȱandȱsignificantȱatȱtheȱ10%ȱlevel,ȱandȱ
VALSTȱ andȱ TRNOVRȱ areȱ positiveȱ andȱ significantȱ atȱ theȱ 5%ȱ level.ȱ Inȱ theȱ SAEAȱ panelȱ(Tab.ȱ8),ȱMKTCAPȱisȱpositiveȱandȱsignificantȱatȱtheȱ1%ȱlevel,ȱwhilstȱVALSTȱ isȱpositiveȱandȱinsignificantȱandȱTRNOVRȱisȱnegativeȱandȱinsignificant.ȱCREDFSȱ andȱCREDPSȱareȱnegativeȱandȱinsignificant,ȱwhilstȱCREDBSȱisȱpositiveȱandȱinsigȬ nificant.ȱ
Tableȱ7.ȱMENApanelȱ ȱ ȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱTableȱ8.ȱSAEApanelȱ
Tableȱ9.ȱBRICSpanelȱ ȱ ȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱȱTableȱ10.ȱOECDpanelȱ
Inȱ theȱ BRICSȱ panelȱ (Tab.ȱ 9),ȱ CREDFSȱ isȱ negativeȱ andȱ significantȱ atȱ theȱ 10%ȱ level.ȱ CREDBSȱ andȱ TRNOVRȱ areȱ negativeȱ butȱ insignificant,ȱ whilstȱ CREDPSȱ isȱ positiveȱbutȱinsignificant.ȱMKTCAPȱandȱVALSTȱareȱpositiveȱandȱinsignificant.ȱInȱ theȱ OECDȱ panelȱ (Tab.ȱ 10),ȱ MKTCAPȱ isȱ positiveȱ andȱ significantȱ atȱ theȱ 1%ȱ level,ȱ VALSTȱisȱnegativeȱbutȱinsignificant,ȱTRNOVRȱisȱnegativeȱandȱsignificantȱatȱ theȱ 1%ȱlevel,ȱandȱallȱthreeȱbankingȱvariablesȱareȱnegativeȱbutȱinsignificant.ȱ
Evenȱthoughȱtheȱresultsȱdifferȱfromȱpanelȱtoȱpanel,ȱsomeȱpatternsȱareȱidentifiȬ ableȱacrossȱaȱvastȱmajorityȱofȱpanels.ȱAsȱregardsȱtheȱfinancialȱvariables,ȱMKTCAPȱ isȱtheȱbestȱpredictorȱofȱeconomicȱgrowthȱamongȱtheȱ stockȱ marketȱ variables,ȱfolȬ lowedȱbyȱVALST.ȱTRNOVRȱisȱtheȱweakestȱpredictorȱofȱeconomicȱgrowth;ȱhowȬ ever,ȱtheȱresultsȱforȱbothȱVALSTȱandȱTRNOVRȱvaryȱsubstantiallyȱbetweenȱpanȬ els.ȱNonetheless,ȱtheȱstockȱmarketȱvariablesȱbehaveȱmoreȱorȱlessȱasȱexpected.ȱByȱ contrast,ȱtheȱbankingȱsystemȱvariablesȱexhibitȱnegativeȱcoefficientsȱinȱmostȱcases.ȱ Whatȱisȱmore,ȱtheȱnegativeȱrelationshipȱbetweenȱeconomicȱgrowthȱandȱtheȱbankȬ ingȱsystemȱvariablesȱisȱoftenȱsignificant.ȱTheȱnegativeȱroleȱofȱtheȱbankingȱsystemȱ isȱnotȱaȱuniqueȱfindingȱofȱthisȱanalysis,ȱbutȱratherȱaȱconclusionȱdrawnȱbyȱmanyȱ otherȱscholarsȱasȱwell12.ȱ
ȱȱ .ȱMishra,ȱP.K.ȱNarayan,ȱAȱNonparametricȱModelȱofȱFinancialȱSystemȱandȱEconomicȱGrowth,ȱ“InternatioȬ nalȱReviewȱofȱEconomicsȱandȱFinance”ȱ2015,ȱvol.ȱ39;ȱA.ȱDeȱlaȱTorre,ȱA.ȱIze,ȱS.ȱSchmukler,ȱFinancialȱ DevelopmentȱinȱLatinȱAmericaȱandȱtheȱCarribbean:ȱTheȱRoadȱAhead,ȱWorldȱBankȱPublications,ȱWashingȬ tonȱDCȱ2011;ȱJ.ȱArcand,ȱE.ȱBereks,ȱU.ȱPanizza,ȱTooȱMuchȱFinance?,ȱ“JournalȱofȱEconomicȱGrowth”ȱ 2015,ȱvol.ȱ20,ȱNo.ȱ2.ȱ
Basedȱonȱtheseȱfindings,ȱitȱcanȱbeȱclaimedȱthatȱtheȱtheoryȱdoesȱnotȱholdȱforȱallȱ countriesȱandȱunderȱallȱcircumstances.ȱ
Conclusionȱ
Thisȱ paperȱ hasȱ usedȱ theȱ ArellanoȬBondȱ generalizedȱ methodȱ ofȱ momentsȱ (GMM)ȱestimatorȱbasedȱonȱpanelȱdataȱtoȱilluminateȱtheȱrelationshipȱbetweenȱtheȱ financialȱsystemȱandȱeconomicȱgrowth.ȱTheȱGMMȱestimatorȱisȱaȱdynamicȱmodelȱ thatȱ incorporatesȱ temporalȱ dependencyȱ (lags)ȱ ofȱ theȱ dependentȱ variableȱ asȱ reȬ gressorȱintoȱtheȱmodel.ȱ
Inȱseveralȱpanels,ȱtheȱresultsȱofȱtheȱanalysisȱdeviateȱfromȱwhatȱoneȱwouldȱexȬ pectȱbasedȱonȱeconomicȱtheory.ȱAsȱregardsȱtheȱstockȱmarketȱvariables,ȱinȱaȱmajorȬ ityȱ ofȱ panelsȱ marketȱ capitalisationȱ isȱ theȱ mostȱ robustȱ contributorȱ toȱ economicȱ growth.ȱ However,ȱ thereȱ areȱ alsoȱ panelsȱ forȱ whichȱ theȱ valueȱ ofȱ stocksȱ tradedȱ orȱ theȱturnoverȱratioȱisȱaȱbetterȱpredictor.ȱAsȱregardsȱtheȱbankingȱvariables,ȱtheȱreȬ sultsȱareȱsurprisingȱonȱfirstȱsight,ȱandȱcontradictȱtheȱtheoryȱpresentedȱinȱthisȱpaȬ per.ȱ Whilstȱ theȱ theoryȱ presentedȱ assumedȱ aȱ positiveȱ relationship,ȱ theȱ bankingȱ variablesȱ exhibitȱ negativeȱ coefficientsȱ inȱ manyȱ cases.ȱ Importantly,ȱ theȱ resultsȱ ofȱ thisȱpaperȱareȱlargelyȱinȱlineȱwithȱfindingsȱofȱpreviousȱcontributions.ȱ
ItȱisȱimportantȱtoȱacknowledgeȱthatȱthereȱisȱnoȱuniversalȱanswerȱtoȱtheȱformulatȬ edȱresearchȱquestion.ȱInstead,ȱtheȱrelationshipȱbetweenȱtheȱfinancialȱsystemȱandȱecoȬ nomicȱ growthȱ isȱ veryȱ complexȱ andȱ dependentȱ onȱ multipleȱ factors,ȱ whichȱ interactȱ withȱeachȱotherȱandȱmayȱbeȱbidirectional,ȱtimeȬvaryingȱandȱdependentȱonȱtheȱstageȱ ofȱ developmentȱ orȱ geographicalȱ location,ȱ forȱ instance.ȱ Consequently,ȱ theȱ questionȱ wouldȱneedȱtoȱbeȱansweredȱindividuallyȱforȱdifferentȱpanelsȱorȱevenȱcountries.ȱ
Referencesȱ
ArcandȱJ.,ȱBereksȱE.,ȱPanizzaȱU.,ȱTooȱMuchȱFinance?,ȱ“JournalȱofȱEconomicȱGrowth”ȱ2015,ȱ vol.ȱ20,ȱno.ȱ2.ȱ
BabbieȱE.,ȱTheȱPracticeȱofȱSocialȱResearch,ȱCengageȱLearning,ȱWadsworthȱ2010.ȱ
BarroȱR.,ȱLeeȱJ.ȬW.,ȱBarroȬLeeȱEducationalȱAttainmentȱDataset,ȱhttp://www.barrolee.com.ȱ DeȱlaȱTorreȱA.,ȱIzeȱA.,ȱSchmuklerȱS.,ȱFinancialȱDevelopmentȱinȱLatinȱAmericaȱandȱtheȱCarribȬ
bean:ȱTheȱRoadȱAhead,ȱWorldȱBankȱPublications,ȱWashingtonȱDCȱ2011.ȱ
MishraȱS.,ȱNarayanȱP.ȱK.,ȱAȱNonparametricȱModelȱofȱFinancialȱSystemȱandȱEconomicȱGrowth,ȱ
“InternationalȱReviewȱofȱEconomicsȱandȱFinance”ȱ2015,ȱvol.ȱ39.ȱ
Psacharopoulosȱ G.,ȱ Returnsȱ toȱ Investmentȱ inȱ Education:ȱ Aȱ Globalȱ Update,ȱ “Worldȱ DeveȬ lopment”ȱ1994,ȱvol.ȱ22,ȱno.ȱ9.ȱ
WorldȱBank,ȱRegulatoryȱQuality,ȱhttp://info.worldbank.org/governance/wgi/pdf/rq.pdf.ȱ Worldȱ Bank,ȱ Worldȱ Developmentȱ Indicators,ȱ http://data.worldbank.org/dataȬcatalog/ȱ
worldȬdevelopmentȬindicators.ȱ
Summaryȱȱ
Thisȱ paperȱ investigatesȱ theȱ relationshipȱ betweenȱ theȱ financialȱ systemȱ andȱ economicȱ growth.ȱ Understandingȱ thisȱ nexusȱ isȱimportantȱ inȱ orderȱtoȱ draftȱ andȱ implementȱ policyȱ measuresȱthatȱsafeguardȱeconomicȱwelfareȱbasedȱonȱsoundȱfinancialȱmarkets.ȱInȱspiteȱofȱ theȱgrowingȱnumberȱofȱscholarsȱwhoȱresearchȱinȱthisȱarea,ȱthereȱisȱaȱsubstantialȱamountȱ ofȱ unansweredȱ questionsȱ andȱ aȱ livelyȱ debateȱ withȱ contrastingȱ viewsȱ onȱ basicȱ processȬ es.Theȱ mainȱ researchȱ questionȱ thatȱ willȱ beȱ answeredȱ inȱ thisȱ paperȱ is:ȱ Whatȱ isȱ theȱ relaȬ tionshipȱbetweenȱtheȱfinancialȱsystemȱandȱeconomicȱgrowth?ȱThisȱquestionȱalsoȱanswersȱ whichȱvariablesȱofȱtheȱfinancialȱsystemȱhaveȱanȱimpactȱonȱtheȱrealȱeconomy,ȱwhichȱvariȬ ablesȱ areȱ mostȱ relevantȱ contributorsȱ toȱ economicȱ growthȱ andȱ ifȱ differencesȱ betweenȱ differentȱgroupsȱofȱcountriesȱcanȱbeȱidentified.ȱTheȱanalysisȱisȱexecutedȱusingȱtheȱArellaȬ noȬBondȱ generalizedȱ methodȱ ofȱ momentsȱ (GMM)ȱ estimatorȱ basedȱ onȱ panelȱ data.ȱ Theȱ datasetȱ consistsȱ ofȱ macroeconomicȱ controlȱ variablesȱ andȱ financialȱ stockȱ marketȱ andȱ bankingȱsystemȱvariablesȱfromȱ74ȱcountriesȱoverȱtheȱtimeȱperiodȱ1988–2014.ȱTheȱresultsȱ varyȱ substantiallyȱ betweenȱ theȱ panelsȱ underȱ analysis.ȱ Atȱ theȱ sameȱ timeȱ itȱ canȱ beȱ said,ȱ thatȱ marketȱ capitalisationȱ isȱ theȱ strongestȱ predictorȱ ofȱ economicȱ growth.ȱ Theȱ analysisȱ furtherȱ showsȱ thatȱ theȱ bankingȱ systemȱ variablesȱ areȱ largelyȱ negativelyȱ correlatedȱ withȱ economicȱgrowth.ȱ
Keywords:ȱeconomicȱgrowth,ȱfinancialȱsystem,ȱfinancialisation,ȱGMMȱestimation,ȱpanelȱ analysisȱ
ZWI&ZEKȱPOMI9DZYȱSYSTEMEMȱFINANSOWYMȱIȱWZROSTEMȱȱ GOSPODARCZYM:ȱESTYMACJAȱGMMȱNAȱPODSTAWIEȱDANYCHȱȱ PANELOWYCHȱ
Streszczenieȱ
Wȱ artykuleȱ badanaȱ jestȱ relacjaȱ zachodzcaȱ mi¿dzyȱ systememȱ finansowymȱ aȱ wzrostemȱ gospodarczym.ȱZrozumienieȱtejȱrelacjiȱjestȱbardzoȱwaČneȱprzyȱopracowywaniuȱiȱwdraȬ Čaniuȱprogramówȱpolitycznych,ȱmajcychȱnaȱceluȱrozwójȱekonomicznyȱopartyȱnaȱsolidȬ nejȱbazieȱrynkówȱfinansowych.ȱMimoȱcorazȱwi¿kszejȱliczbyȱnaukowców,ȱktórzyȱbadajȱ t¿ȱdziedzin¿,ȱznacznaȱiloï°ȱpytaÚȱpozostajeȱbezȱodpowiedzi,ȱaȱoČywionaȱdebataȱuwypuȬ klaȱprzeciwstawneȱpogldyȱnaȱtematȱpodstawowychȱprocesów.ȱGÙówneȱpytanieȱbadawȬ czeȱbrzmi:ȱJakiȱzwizekȱwyst¿pujeȱpomi¿dzyȱsystememȱfinansowymȱaȱwzrostemȱgospoȬ darczym?ȱ Toȱ pytanieȱ pozwalaȱ udzieli°ȱ odpowiedziȱ takČeȱnaȱ to,ȱ jakieȱ zmienneȱ systemuȱ finansowegoȱwpÙywajȱnaȱrealnȱgospodark¿,ȱktóreȱzmienneȱuchodzȱzaȱnajistotniejszeȱ czynnikiȱ wzrostuȱ gospodarczego,ȱ orazȱ czyȱ moČnaȱ zidentyfikowa°ȱ róČniceȱ pomi¿dzyȱ róČnymiȱ grupamiȱ krajów.ȱ Analizaȱ zostaÙaȱ przeprowadzonaȱ zaȱ pomocȱ uogólnionejȱ metodyȱmomentówȱ(GMM)ȱArellanoȬBondaȱnaȱpodstawieȱdanychȱpanelowych.ȱZestawȱ danychȱ skÙadaȱ si¿ȱ zeȱ zmiennychȱ kontrolnychȱ gospodarkiȱ orazȱ zeȱ zmiennychȱ finansoȬ wychȱzȱ76ȱkrajówȱwȱokresieȱ1988–2014ȱr.ȱWynikiȱanalizyȱróČniȱsi¿ȱznacznieȱpomi¿dzyȱ panelami.ȱ Jednoczeïnieȱ moČnaȱ stwierdzi°,ȱ Čeȱ kapitalizacjaȱ gieÙdowaȱ jestȱ najsilniejszymȱ czynnikiemȱ wzrostuȱ gospodarczego.ȱ Analizaȱ pokazujeȱ ponadto,ȱ Čeȱ zmienneȱ systemuȱ bankowegoȱsȱnegatywnieȱskorelowaneȱzeȱwzrostemȱgospodarczym.ȱ
