국제금융연구회_5월 발표자료:

On the Determinants of Surges and Stops in Foreign Loans: 
An Empirical Investigation
 
 
Seung-Gwan Baek*
 
and Chi-Young Song**
 
 
 
May 2015
 
 
Abstract
This paper examines the determinants of surge and stop episodes in foreign loans using quarterly data
from 55 countries covering 1990Q1 to 2011Q4. The estimation results show that, first, global,
contagion and domestic factors are all significantly associated with both loan
-led surge and stop
episodes. Second, domestic factors are more relevant to stops than to surges and are associated more
strongly with episodes in emerging countries than with those in advanced countries. Third, global risk
and domestic growth shock are most consistent and important in predicting both types of episodes.
Fourth, financial linkage is the most important contagion channel in the occurrence of loan-led
episodes. Fifth, capital control is not a useful tool for avoiding either type of episode and may
actually increase their likelihood. Finally, stops in emerging countries are strongly related to
macroeconomic fundamentals such as inflation, current account balance, net foreign assets, real
exchange rate, and previous occurrence of surge episodes. O
ur results strongly suggest that emerging
countries with lower institutional quality levels are more likely to experience both surges and stops.
 
JEL Classification: F3, F41, F21
Keywords: Surge, Stop, Foreign loan, Global factor, Domestic factor, Contagion, Institutional quality