资本账户、法定汇率制度与事实汇率制度

文章对资本账户开放程度以及法定与事实汇率制度之差异的共同决定过程进行了研究。文章以世界各国自布雷顿森林体系崩溃以来的相关数据为基础,利用离散变量联立方程模型进行计量经济学分析。经验分析的结果表明,资本账户的开放程度,对于法定与事实汇率制度的差异有显著影响,但后者对前者的影响并不显著。此外,无论是资本账户的开放程度,还是法定与事实汇率制度的差异,都存在显著的状态依赖性。     

Classifying exchange rate regimes: Deeds vs. words

Most of the empirical literature on exchange rate regimes uses the IMF de jure classification based on the regime announced by the governments, despite the recognized inconsistencies between reported and actual policies in many cases. To address this problem, we construct a de facto classification based on data on exchange rates and international reserves from all IMF-reporting countries over the period 1974-2000, which we believe provides a meaningful alternative for future empirical work on the topic. The classification sheds new light on several stylized facts previously reported in the literature. In particular, we find that the de facto pegs have remained stable throughout the last decade, although an increasing number of them shy away from an explicit commitment to a fixed regime (“hidden pegs”). We confirm the hollowing out hypothesis but show that it does not apply to countries with limited access to capital markets. We also find that pure floats are associated with only relatively minor nominal exchange rate volatility and that the recent increase in the number of de jure floats goes hand in hand with an increase in the number of de facto dirty floats (“fear of floating”).     

发展中国家汇率制度安排的名与实——对法定汇率制度与事实汇率制度之差异的经验分析

文章分析了发展中国家汇率制度安排名与实不符现象的分布与演变,并对其成因提出了一些假说。文章使用面板数据多元混合Logit模型的计量分析发现,较高的通货膨胀导致恐惧浮动现象,而较高外汇储备或严格的资本管制则导致恐惧固定现象,这在很大程度上支持了我们提出的关于发展中国家汇率制度安排名与实不符现象成因的假说。     

Capital Inflows,Exchange Rate Flexibility and Credit Booms

Historically, capital flow bonanzas have often fueled sharp credit expansions in advanced and emerging market economies alike. Focusing primarily on emerging markets, this paper analyzes the impact of exchange rate flexibility on credit markets during periods of large capital inflows. It is shown that bank credit is larger and its composition tilts to foreign currency in economies with less flexible exchange rate regimes, and that these results are not explained entirely by the fact that the latter attract more capital inflows than economies with more flexible regimes. The findings thus suggest countries with less flexible exchange rate regimes may stand to benefit the most from regulatory policies that reduce banks' incentives to tap external markets and to lend/borrow in foreign currency; these policies include marginal reserve requirements on foreign lending, currency‐dependent liquidity requirements and higher capital requirement and/or dynamic provisioning on foreign exchange loans.     

Verifying India’S Exchange Rate Regime in the Pre-Reforms Period (1975–91)

Verifiability of an announced exchange rate regime becomes important in the context of credibility and transparency of a regime. These latter ideas become especially significant in the context of the currently reigning hypothesis of the missing middle, which postulates that exchange rate regimes intermediate to the corner regimes of ‘free floating’ and ‘firm fixing’ are increasingly becoming nonviable in a world of greater international capital mobility as these intermediate regimes are more difficult to verify. This paper attempts to verify India’s exchange rate regime in the so-called basket arrangement period. Using auxiliary information about the regime, it estimates the confidential Indian basket and shows that the behaviour of India’s exchange rate was not exactly as per the announced regime.

     

Understanding the dynamics of the macroeconomic trilemma

This paper tests the autonomy of domestic monetary policy in the context of the macroeconomic policy trilemma for a large data-set of developing and developed countries covering three different time periods characterized with different exchange rate regimes and capital controls. The existing literature uses fixed coefficient methodologies to examine monetary policy independence; whereas we show that the coefficients of interest are unstable as countries switch between different exchange rate regimes and/or capital controls over time. The contribution is in using a time-varying parameter model that better captures the effects of the heterogeneity in different exchange rate regimes and capital mobility restrictions on monetary policy independence over time, allowing a more accurate test of the macroeconomic trilemma.     

Inflation,interest and exchange rates in the transition1

Central and Eastern European economies have made extraordinary progress in their trade and exchange regimes. Surprisingly, instant convertibility was established for a great variety of exchange rate regimes. In spite of diversity, all these countries have followed a common pattern: severe initial undervaluation - the cost of speed and unrestricted trade - followed by rapid real revaluation and incipient protectionism. Since 1994 in many cases an embarrass de richesse has appeared: high capital inflows which are either inflationary or costly to sterilize. A major cause of these flows - or at any rate of the high cost of sterilization - is the presence of significant interest rate differentials higher than required to cover the risk of devaluation. These are the necessary consequence of a policy of positive real interest rates and of real revaluation from excessively undervalued exchange rates. Lower interest rates are recommended, both to stem financial capital inflows and to reduce the cost of their sterilization.     

DEMOCRACY AND DE FACTO EXCHANGE RATE REGIMES

This paper explores the relationship between a country's political regime type and its de facto exchange rate fixity. It argues that more democratic regimes should be associated with less de facto fixity because the median voter is likely to be a domestically oriented producer with a monetary preference for domestic policy autonomy, requiring more a more flexible exchange rate regime. Focusing on a broad sample of country–years in the post‐Bretton Woods era defined by international capital mobility, the statistical results show that not only are more democratic regimes negatively associated with de facto fixity using three different operational measures for this dependent variable, but that this negative relationship gets stronger as the median voter is more likely to be a domestically oriented producer and as societal groups are more able to influence public policy.     

On the endogeneity of exchange rate regimes

The literature has identified three main approaches to account for the way exchange rate regimes are chosen: (i) the optimal currency area theory; (ii) the financial view, which highlights the consequences of international financial integration; and (iii) the political view, which stresses the use of exchange rate anchors as credibility enhancers in politically challenged economies. Using de facto and de jure regime classifications, we test the empirical relevance of these approaches separately and jointly. We find overall empirical support for all of them, although the incidence of financial and political aspects varies substantially between industrial and non-industrial economies. Furthermore, we find that the link between de facto regimes and their underlying fundamentals has been surprisingly stable over the years, suggesting that the global trends often highlighted in the literature can be traced back to the evolution of their natural determinants, and that actual policies have been less influenced by the frequent twist and turns in the exchange rate regime debate.     

Better Than the Euro? The European Monetary System (1979–1998)

ABSTRACT

The euro crisis has provoked a debate on the pros and cons of adjustable exchange rate regimes that enable their participants to negotiate nominal de- and revaluations. To evaluate the functioning of such regimes, we revisit the EMU’s predecessor, the European Monetary System (EMS). We show that in the EMS, devaluations did indeed help more than revaluations did hurt. Assuming that the political-economic heterogeneity of the Eurozone will not vanish in the foreseeable future, the move to a more flexible exchange rate regime might therefore be economically advantageous. However, a purely economic view ignores the huge political ‘maintenance costs’ of negotiable realignments, costs that the EMS members aimed at overcoming when they opted for the euro. The re-politicization of nominal exchange rate policy in today’s Eurozone would therefore not end transnational political conflicts in the Eurozone but fuel new ones.     

Currency Regime and Monetary Autonomy. Empirical Evidence Using Recent and Global Data from 1990 to 2007

This paper analyzes the exchange rate regimes from the perspective of monetary independence. To be specific, using recent and global data, we examine the sensitivity of domestic interest rates to the international interest rate, by conducting co-integration tests and by estimating the adjustment speeds through error-correction model, for different de facto currency regimes and for different types of capital markets. Our estimation results basically support the traditional views of ‘impossible trinity’, as far as the cases with open capital markets are concerned. The floating regime shows the less sensitivity of domestic interest rates to the international interest rate than the fixed regime does, which implies some capacity for domestic monetary autonomy under the floating regime. The cases with closed capital markets, on the other hand, include the cases showing high sensitivity of interest rates in some emerging market economies, which might imply the ‘fear of floating’ hypothesis.     

Real exchange rate volatility,financial crises and exchange rate regimes

This article examines real exchange rate (RER) volatility in 80 countries around the world, during the period 1970 to 2011. Two main questions are raised: are structural breaks in RER volatility related to changes in exchange rate regimes or financial crises? And do these two events affect the permanent and transitory components of RER volatility? To answer these, we employ two complementary procedures that consist in detecting structural breaks in the RER series and decomposing volatility into its permanent and transitory components. Our results suggest that structural breaks in RER volatility coincidence with financial crises and certain changes in nominal exchange rate regimes. Moreover, our findings confirm that RER volatility does increase with the global financial crises and detect that the more flexible the exchange rate regime, the higher the volatility of the RER using a de facto exchange rate classification.     

Capital flow reversals during the taper tantrum in 2013: causes and consequences

ABSTRACT

Quantitative easing (QE) conducted by the US Fed during 2009 Q1 to 2013 Q2 expanded capital flows into emerging economies. The possibility of tapering to reduce QE caused the taper tantrum in 2013 that was characterized by sudden capital reversals and drastic exchange rate depreciation in a subset of developing countries. In this paper we investigated factors that drove capital reversals and drastic exchange rate depreciation in the developing countries. We find that actual capital inflows during the QE periods were most responsible for capital reversals thereafter. However, we do not find evidence that capital flow reversals actually contributed to the drastic exchange rate depreciation during the taper tantrum or lowered real GDP growth afterwards. Consistent with previous studies Our findings suggest that pre-emptive measures to prevent excessive capital inflows are crucial to promote the resilience of the economy. The recent experience of Korea that introduced a series of macroprudential measures shows supporting evidence for this view.

Abbreviations: EG: Eichengreen and Gupta (2015); IFS: International Financial Statistics; PRS: Park, Ramayandi, and Shin (2016); US Fed: U.S. Federal Reserve System     

Beliefs about Exchange‐Rate Stability: Survey Evidence from the Currency Board in Bulgaria

Abstract

Currency pegs seldom achieve full credibility even after delivering low inflation and a stable exchange rate for many years. We use unique survey data from Bulgaria’s currency board to investigate the origins of incomplete credibility. We show that the limitations imposed by the currency board on output stabilization policies are a major source of concern. Many people view the financial stabilization policies as a reason for high unemployment and therefore as unsustainable. Another important factor for low credibility is the concern over potential international shocks. Conversely, past instability does not seem to translate strongly into expectations of future instability.     

The (Over)Cost of Capital: Financialization and Nonfinancial Corporations in France (1961–2011)

ABSTRACT

The term ‘financialization’ is often used to describe the major changes that occurred in the macroeconomic regimes of most developed and, to a lesser extent, emerging economies since the beginning of the 1980s. In the present paper, we propose a reappraisal of the notion of the cost of capital and subsequently argue that financialization in France has increased the cost of capital for nonfinancial corporations with new standards of financial profitability. We introduce a measurement for what could be called the over-cost of capital and describe how the evolution of this additional financial burden may explain the slowdown in the pace of capital accumulation, and thus the drop in French macroeconomic performance observed for the past 30 years.     

Effects of government spending shocks in China,Japan, and Korea

ABSTRACT

This study investigates the effects of government spending shocks on various key macro variables in China, Korea, and Japan using structural VAR models. The main empirical findings are as follows. Government spending multipliers of all three countries are far larger than 1 in recent years. The effectiveness of fiscal expansion has not changed markedly in China but substantially increased in Korea (after the Asian financial crisis) and Japan (during zero lower bound period). Increases in the effectiveness of fiscal expansion are associated with changes in the monetary and exchange rate policy regimes and institutions of these countries. Among the three countries, the government spending multiplier is relatively large in China but relatively small in Japan in recent years. Although the effects on exchange rate and trade balance vary across countries and sample periods, real exchange rate tends to depreciate, whereas trade balance tends to improve under flexible exchange rate regimes. Some empirical findings are consistent with standard theory, but others are not.

Abbreviations: NK: New Keynesian VAR: Vector Autoregressive ZLB: Zero Lower Bound     

Exchange rate regime classifications and exchange rate variability

It is well known that the exchange rate regime (ERR) declared to the IMF is often different from the actual regime. Several alternative schemes for de facto regime classification have been developed. In this article, we compare the ability of four popular schemes to track exchange rate variability (ERV). We find that the existing ERR classifications do not match well with the degree of ERV, especially for intermediate regimes. For instance, in the Levy-Yeyati and Sturzenegger (2003) coding, the intermediate regimes exhibit greater ERV than the floaters. On the other hand, for the Reinhart and Rogoff (2004) coding, the fixers show greater variability than some intermediates.     

Exchange Rate Regimes and Foreign Direct Investment Flows to Developing Countries

Drawing on recent advances in exchange rate regime classifications, the paper examines empirically the effect of exchange rate regimes on foreign direct investment (FDI) flows to developing countries. Using system generalized methods of moments estimation on a panel of 70 developing countries for the period 1985–2004, we find that developing countries adopting de facto fixed or intermediate regimes significantly outperform those opting for a flexible exchange rate system in attracting FDI flows. No statistically significant differences in the FDI‐inducing properties of fixes, intermediates and floats are found using the International Monetary Fund official classification.     

The persistent institutional effect of liberal colonialism: evidence from China’s financial policies

ABSTRACT

The effect of liberal colonialism on the allocation of capital persists to this day. We exploit the colonial history of China during 1896-1911 with qualitative evidence to measure liberal colonialism. We document that liberal colonialism promotes the subsequent efficiency of financial policies on the capital allocation in 2004 through the quality of economic institutions.     

The Long-Drawn Process of reform of the Exchange Rate Regime and the Evolution of China’s Exchange Rate Policy

ABSTRACT

An inflexible exchange rate not only brings the traditional problem of impossible trinity but also contributes to the formation of China’s irrational international balance of payments structure characterized by the so-called twin surpluses (current account and capital account surpluses). As a result, though China has some 2 trillion USD net foreign assets, it runs investment income deficits for more than a decade. Furthermore, when the RMB is under appreciation pressure, the inflexibility brings about inflows of hot money. When the RMB is under depreciation pressure, the inflexibility facilitates the unwinding of carry trade and capital flights. On the whole, China is too cautious in reforming its exchange rate regime. Instead of designing various cumbersome central parity rate-setting rules, China should make up its mind to float the RMB as soon as possible.