Expenditure switching versus real exchange rate stabilization: Competing objectives for exchange rate policy

This paper develops a view of exchange rate policy as a trade-off between the desire to smooth fluctuations in real exchange rates so as to reduce distortions in consumption allocations, and the need to allow flexibility in the nominal exchange rate so as to facilitate terms of trade adjustment. We show that optimal nominal exchange rate volatility will reflect these competing objectives. The key determinants of how much the exchange rate should respond to shocks will depend on the extent and source of price stickiness, the elasticity of substitution between home and foreign goods, and the amount of home bias in production. Quantitatively, we find the optimal exchange rate volatility should be significantly less than would be inferred based solely on terms of trade considerations. Moreover, we find that the relationship between price stickiness and optimal exchange rate volatility may be non-monotonic.     

Exchange rate pass-through in emerging countries: Do the inflation environment,monetary policy regime and central bank behavior matter?

In this paper, we estimate the exchange rate pass-through (ERPT) to import and consumer prices for a sample of 14 emerging countries over the 1994Q1-2015Q3 period. To this end, we augment the traditional bivariate relationship between the nominal effective exchange rate and inflation by accounting for monetary stability proxied by the inflation environment, monetary policy regime and central bank behavior. We show that both the level and volatility of inflation, as well as adopting an inflation target or the transparency of monetary policy decisions clearly reduce ERPT to consumer prices. However, uncertainty about domestic monetary policy seems less relevant in explaining the pass-through to the price of imports.     

World food prices and monetary policy

How should monetary policy respond to large fluctuations in world food prices? We study this question in an open economy model in which imported food has a larger weight in domestic consumption than abroad and international risk sharing can be imperfect. A key novelty is that the real exchange rate and the terms of trade can move in opposite directions in response to world food price shocks. This exacerbates the policy trade-off between stabilizing output prices vis a vis the real exchange rate, to an extent that depends on risk sharing and the price elasticity of exports. We characterize implications for dynamics, optimal monetary policy, and the relative performance of practical monetary rules. While CPI targeting and expected CPI targeting can dominate PPI targeting if international risk sharing is perfect, even seemingly mild departures from the latter make PPI targeting a winner.     

General equilibrium real and nominal interest rates

We derive the general equilibrium short-term real and nominal interest rates in a monetary economy affected by technological and monetary shocks and where the price level dynamics is endogenous. Assuming fairly general processes for technology and money supply, we show that an inherent feature of our equilibrium is that any real variable dynamics, in particular that of the short-term real interest rate, is driven by both monetary and real factors. This money non-neutrality is generic, as it does not stem from any friction such as price stickiness, or from a particular utility function. Non-neutrality obtains because the ex ante cost of real money holdings is random due to inflation uncertainty. We then analyze in depth a specialized version of this economy in which the state variables follow square root processes, and the representative investor has a log separable utility function. The short-term nominal rate dynamics we obtain encompasses most of the dynamics present in the literature, from Vasicek and CIR to recent quadratic and, more generally, non-linear interest rate models. Moreover, our results pave the way to several new nominal term structures.     

International dimensions of optimal monetary policy

This paper provides a baseline general equilibrium model of optimal monetary policy among interdependent economies with monopolistic firms and nominal rigidities. An inward-looking policy of domestic price stabilization is not optimal when firms’ markups are exposed to currency fluctuations. Such a policy raises exchange rate volatility, leading foreign exporters to charge higher prices vis-à-vis increased uncertainty in the export market. As higher import prices reduce the purchasing power of domestic consumers, optimal monetary rules trade off a larger domestic output gap against lower consumer prices. Optimal rules in a world Nash equilibrium lead to less exchange rate volatility relative to both inward-looking rules and discretionary policies, even when the latter do not suffer from any inflationary (or deflationary) bias. Gains from international monetary cooperation are related in a non-monotonic way to the degree of exchange rate pass-through.     

Optimal monetary policy with international trade in intermediate inputs

This paper examines optimal monetary policy in a two-country New Keynesian model with international trade in intermediate inputs. We derive the loss function of a cooperative monetary policymaker and find that the optimal monetary policy must target intermediate-goods price inflation rates, final-goods price inflation rates, final-goods output gaps, and relative-price gaps. We use the welfare loss under the optimal monetary policy as a benchmark to evaluate the welfare implications of three Taylor-type monetary policy rules. A main finding is that the degree of price stickiness at the stage of intermediate-goods production is a key factor to determine which policy rule should be followed. Specifically, when the degree of price stickiness at the stage of intermediate-goods production is high, the policymaker should follow intermediate-goods PPI-based Taylor rule, whereas CPI-based Taylor rule should be followed when the degree of price stickiness at the stage of intermediate-goods production is intermediate or low.     

Optimal monetary policy with imperfect common knowledge

This paper determines optimal nominal demand policy in a flexible price economy in which firms pay limited attention to aggregate variables. Firms’ inattentiveness gives rise to idiosyncratic information errors and imperfect common knowledge about the shocks hitting the economy. This is shown to have strong implications for optimal nominal demand policy. In particular, if firms’ prices are strategic complements and economic shocks display little persistence, monetary policy has strong real effects, making it optimal to stabilize the output gap. Weak complementarities or sufficient shock persistence, however, cause price level stabilization to become increasingly optimal. With persistent shocks, optimal monetary policy shifts from output gap stabilization in initial periods following the shock to price level stabilization in later periods, potentially rationalizing the medium-term approach to price stability adopted by some central banks.     

Consumer Search,Incomplete Exchange Rate Pass‐Through,and Optimal Interest Rate Policy

This paper studies utility‐maximizing monetary policy in a two‐country economy with consumer search frictions. Search frictions provide a microfoundation for incomplete exchange rate pass‐through and international deviations from the law of one price (LOP). I show that optimal interest rate policy targets deviations from the LOP and acts to mitigate the effect of search frictions. In a quantitative setting, with internationally correlated technology and preference shocks, optimal policy generates positive cross‐country correlation of nominal interest rates.     

Exchange volatility and trade performance in Morocco and Tunisia: what have we learned so far?

This paper attempts to assess two interesting issues for two small open economies (Morocco and Tunisia). First, it analyses the historical behaviour of nominal exchange rate, differential price and real exchange rate uncertainties. Second, it investigates the stability of the interaction between exchange volatility and exports in nominal and real terms. Our main results reveal that the effect of differential price volatility on exports exceeds that of nominal exchange rate by a large margin in terms of duration of persistence, ARCH and GARCH effects and intensity of shock. The relationship appears complex. In Morocco, it is negative and significant in 75.82% (as average) of cases in nominal terms and in 77.22% in real terms. This link is stronger in Tunisia with averages, respectively, equal to 85.88% and 89.99%. We associate the apparently mixed results to the differential price uncertainty itself sensitive to ups and down oil price movements, switching regime and leverage effects.     

通货膨胀的惯性特征及其货币政策启示

通货膨胀惯性是指通货膨胀在受到随机扰动因素冲击后偏离其长期均衡水平的趋势会持续很久,通常用通胀自回归模型中滞后项系数之和来度量。混合的新凯恩斯主义菲利普斯曲线令人信服地解释了通货膨胀惯性的微观基础,即价格粘性和经济参与人的后视行为。高通货膨胀惯性会削弱货币政策调控的效果,提高中央银行反通胀的社会成本。中央银行承诺在较长时期内钉住一个稳定的名义锚(例如明确或隐性的通货膨胀目标制)则是降低通货膨胀惯性的有效途径。     

Mussa redux and conditional PPP

The extreme persistence of real exchange rates found commonly in post-Bretton Woods data does not hold in the preceding fixed exchange rate period, when the half-life was roughly half as large in our sample. This finding supports sticky price models as an explanation for real exchange rate behavior, extending the classic argument of Mussa (1986) from a focus on short-run volatility to long-run dynamics. Two thirds of the rise in real exchange rate variance observed across exchange rate regimes is attributable to greater persistence of responses to shocks, including greater price stickiness, rather than to greater variance of shocks themselves.     

基于ERPT效应的我国货币政策与汇率政策协调性研究

通过ARDL模型对我国名义有效汇率对物价水平的ERPT效应进行了测度,发现现阶段我国货币政策与汇率政策各自都较合乎情理,但是二者并没有达成一种相互协调的整体。在目前ERPT效应相对较低（货币政策的稳定情况影响效应的大小）和支出转换效应效果不明显的现实情况下,保证货币政策稳健、及时、有效,并对货币供给的自主控制将成为我国央行的首要目标,而适度的放开名义汇率的浮动范围将成为实现这一目标的有效途径。     

居民风险偏好与中国货币政策的宏观经济效应——基于DSGE模型的数量分析

当前,我国宏观经济形势复杂多变,货币政策实施效果的影响因素随之呈现多样化特征。在此背景下,本文试图以风险偏好为研究视角,对我国居民风险偏好水平变动与货币政策宏观经济效应之间的关系进行分析。本文以标准新凯恩斯模型为基础,构造符合我国宏观经济现实特征的DSGE(动态随机一般均衡)模型,并对转型时期的最优混合型货币政策规则进行研究;为进一步强调货币在中国宏观经济波动中所扮演的重要角色,模型中引入消费和实际货币余额不可分的跨期效用函数形式。研究结果表明:(1)包含名义货币增长的混合型泰勒规则拟合我国转型时期的货币政策规则效果最佳,因此货币供应量仍是重要的政策工具;(2)与可分性模型相比,不可分模型拟合我国宏观经济现实特征的效果更优。在不可分效用函数下,与货币供应量相关的实际货币余额将影响经济的产出缺口和通货膨胀,使得居民风险偏好成为决定货币政策效果的重要因素。具体而言,当居民风险偏好水平上升时,货币政策对我国宏观经济波动的影响随之增强。因此,在选择货币政策实施时点上,应充分考虑市场中的风险偏好情况,从而更好地发挥货币政策调控宏观经济的职能。     

居民风险偏好与中国货币政策的宏观经济效应——基于DSGE模型的数量分析

当前,我国宏观经济形势复杂多变,货币政策实施效果的影响因素随之呈现多样化特征。在此背景下,本文试图以风险偏好为研究视角,对我国居民风险偏好水平变动与货币政策宏观经济效应之间的关系进行分析。本文以标准新凯恩斯模型为基础,构造符合我国宏观经济现实特征的DSGE(动态随机一般均衡)模型,并对转型时期的最优混合型货币政策规则进行研究;为进一步强调货币在中国宏观经济波动中所扮演的重要角色,模型中引入消费和实际货币余额不可分的跨期效用函数形式。研究结果表明:(1)包含名义货币增长的混合型泰勒规则拟合我国转型时期的货币政策规则效果最佳,因此货币供应量仍是重要的政策工具;(2)与可分性模型相比,不可分模型拟合我国宏观经济现实特征的效果更优。在不可分效用函数下,与货币供应量相关的实际货币余额将影响经济的产出缺口和通货膨胀,使得居民风险偏好成为决定货币政策效果的重要因素。具体而言,当居民风险偏好水平上升时,货币政策对我国宏观经济波动的影响随之增强。因此,在选择货币政策实施时点上,应充分考虑市场中的风险偏好情况,从而更好地发挥货币政策调控宏观经济的职能。     

数量规则还是利率规则？——我国转型时期量价混合型货币规则的理论基础

本文对我国货币政策转型时期兼顾数量和价格的货币政策调控实践进行了深入的分析。在货币数量论和货币效用模型的基础上,从理论上阐明了货币数量规则与利率价格规则的等价关系,并构建了符合中国货币政策实践的数量与价格混合型货币政策规则。这对于更好地理解我国货币政策转型时期的量价混合型货币政策操作具有重要的理论和现实意义。相关推论表明,正是由于数量和价格混合型货币规则,在利率低于均衡水平的情形下,中国的货币增速并未引发恶性通胀;修正的物价稳定泰勒原理表明,利率调整幅度小于通胀变化仍能够实现物价稳定。对中国的经验分析支持了理论和推论结果。在利率市场化基本完成和流动性格局逆转的当下,货币政策价格调控方式转型的必要性和迫切性日益上升,转型的条件日趋成熟。     

Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules

Using BoC-GEM-Fin, a large-scale dynamic stochastic general equilibrium (DSGE) model with real, nominal, and financial frictions featuring a banking sector, we explore the macroeconomic implications of various types of countercyclical bank capital regulations. Results suggest that countercyclical capital requirements have a significant stabilizing effect on key macroeconomic variables, but mostly after financial shocks. Moreover, the bank capital regulatory policy and monetary policy interact, and this interaction is contingent on the type of shocks that drive the economic cycle. Finally, we analyze loss functions based on macroeconomic and financial variables to arrive at an optimal countercyclical regulatory policy in a class of simple implementable Taylor-type rules. Compared to bank capital regulatory policy, monetary policy is able to stabilize the economy more efficiently after real shocks. On the other hand, financial shocks require the regulator to be more aggressive in loosening/tightening capital requirements for banks, even as monetary policy works to counter the deviations of inflation from the target.     

Real Sector Shocks and Monetary Policy Responses in a Financially Vulnerable Emerging Economy

When analyzing the appropriate response for monetary policy during a currency crisis, it is important to keep in mind two distinct channels: the effect of raising interest rates on exchange rates and the direct effect of exchange rate changes on output. The first pertains to the monetary side of the economy as given by the interest parity condition. The second pertains to the real side of the economy. The interaction between these two parts of the economy derives the equilibrium output and exchange rate in the economy. This paper expands on the Aghion et al. (2000) monetary model with nominal rigidities and foreign currency debt, to examine the interaction between the real and monetary sides of the economy and to analyze the effect of monetary policy on the real economy. We find that the effect of monetary policy on exchange rate and output is theoretically ambiguous. This in turn suggests that the appropriate monetary policy response could vary among countries at any point in time, or for a particular country between two different periods.     

Intermediate inputs and international trade: An analysis of the real and monetary aspects of a change in the price of oil

This paper studies the effects of a change in the price of a traded intermediate input on the real and monetary sectors of a fully-employed small open economy. The real side of the model examines the relationship between the pricee of the input and relative factor and commodity prices, the pattern of trade and the levels of production in various industries. The monetary side focuses on the dynamics of the nominal exchange rate and the stock of traded assets, with particular emphasis on the role of changes in real income and asset values that result from this disturbance.     

Determinacy and Learnability of Monetary Policy Rules in Small Open Economies

This paper evaluates under which conditions different Taylor-type rules lead to determinacy and expectational stability (E-stability) of rational expectations equilibrium in a simple "New Keynesian" small open economy model, developed by Gali and Monacelli (2005) . In particular, we extend Bullard and Mitra (2002) results of determinacy and E-stability in a closed economy to this small open economy framework. Our results highlight an important link between the Taylor principle and both determinacy and learnability of equilibrium in small open economies. More importantly, the degree of openness coupled with the nature of the policy rule adopted by the monetary authorities might change this link in important ways. A key finding is that, contrary to Bullard and Mitra, expectations-based rules that involve the consumer price inflation and/or the nominal exchange rate limit the region of E-stability and the Taylor Principle does not guarantee E-stability. We also show that some forms of managed exchange rate rules can help to alleviate problems of both indeterminacy and expectational instability, yet these rules might not be desirable since they can promote greater volatility in the economy.     

利率政策环境与央行货币政策选择

央行的货币政策实施受货币政策环境制约,特别是实施价格型货币政策时,在不同的利率环境下央行可能选择不同的利率调控模式。为此,通过构建门限回归模型对货币政策调控模式与利率区制的相依性进行实证检验,结果发现：在不同的利率区制内中央银行的政策偏好和利率调控模式存在显著差异。在高利率区制,中央银行存在针对产出缺口调整名义利率的政策偏好;在低利率区制,中央银行则不存在这种政策偏好,低利率环境下货币政策效应弱化甚至失效是导致此区制中央银行不针对产出缺口调整利率的主要原因。