欧元体系财政与货币政策协调性分析

欧元区集中统一的货币政策和权力分散的财政政策 ,已有 4年多的实践历程 ,实践表明财政与货币政策协调性较差 ,欧盟的机构设置与政策结构的设计的确存在缺陷 ,采取扩张性货币政策缓解内部冲击与价格稳定首要目标已处于两难境地。实现统一的“大财政”,通过财政转移 ,重新配置资源 ,以帮助成员国吸收不对称冲击的影响 ,是提高欧元体系财政与货币政策协调性措施之一。     

发展中国家的货币错配与汇率制度选择困境

货币错配是诱发发展中国家货币金融危机的一个重要因素,也加大了危机的解决成本。货币错配问题的形成是内外因素双重作用的结果,长期实行的“软”钉住汇率制度是其中的一个重要原因。发展中国家普遍遇到了货币错配与汇率制度选择的两难困境,僵硬的汇率制度为货币错配风险的累积提供了正向激励,加深了货币错配,货币错配程度的加深强化了汇率制度的“浮动恐惧”,必须采取有效措施走出这个困境。     

Convertibility risk: the precautionary demand for foreign currency in a crisis

This paper presents theoretical work linking money demand to the perceptions of households about the risk that domestic currency may become inconvertible or that it may be devalued. An empirical investigation of the size of this effect is carried out using monthly data for Korea to estimate an augmented demand-for-money equation. It is found that the fear of inconvertibility arising from the 1997 Korean currency crisis may have caused broad money demand to fall by 4–5% points,equivalent to the loss of reserves of $6–7.5 billion (or about 30% of reserves as measured at end-November 1997). This is a revised version of IMF Working paper WP/2001/210; it was written while Professor Black was Senior Policy Advisor at the IMF Institute and Christofides and Mourmouras were staff members in the IMF’s Policy Development and Review Department. The views expressed are those of the authors and should not be attributed to the IMF, its Executive Board, or its management. For useful comments and suggestions we thank an anonymous referee, Tim Lane, Ydahlia Metzgen, Roberto Perelli, Tony Richards, Christian Mulder, Steve Russell, as well as seminar participants at the IMF Institute, the IMF’s Asia and Pacific Department, Federal Reserve Board, and Bank of Indonesia. We would also like to note similar (unpublished) empirical results using our approach by Dr. Rino Effendi for Indonesia and Angana Banerji for Russia     

Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises

This article examines the cointegration level, changes in the existence and directions of causality of the foreign exchange (FX) rates in the Asian and emerging markets during the 1990s financial crises. Engle and Granger's simple bivariate and Johansen's multivariate cointegrations are applied to the FX rates for the 1994 Mexican, 1997 Asian, 1998 Russian, and 1999 Brazilian crises. In addition, the article conducts the Granger causality test and impulse response analysis to examine the causality pattern in all the FX rates. The analysis shows most of the pre-Mexican causality disappears and significant numbers of new causality emerge in the 1994 Mexican crisis while the 1997 Asian crisis generates significant spillover effects into the later part of the 1998 Russian and 1999 Brazilian crises.     

Current account adjustment in industrial countries

This paper examines the dynamics of current account adjustment among industrial countries. The purpose is to evaluate whether there is a threshold level of a current account deficit at which it becomes unsustainable and whether it is possible to characterize episodes of adjustment. We identify 25 episodes in which there was a sustained improvement in the current account following a large deficit between 1980 and 1997. We find that a typical current account reversal begins when the current account deficit is about 5% of GDP. However, we also find considerable cross-country variation in the reversal threshold, consistent with a stock-adjustment model of current account sustainability. Reversals are associated with slowing income growth and a 10–20% real exchange rate depreciation. Real export growth, declining investment, and an eventual leveling off in the budget deficit–GDP ratio are also likely to be part of the adjustment. These results imply that current account reversals in industrialized countries are related to the business cycle.     

A LITERATURE SURVEY ON PROPOSED AFRICAN MONETARY UNIONS

This study provides a survey of recent advances in the literature on proposed African monetary unions. The survey comprises about 70 empirical papers published during the past 15 years. Four main strands are discussed individually and collectively. They comprise the proposed: (i) West African Monetary Zone (WAMZ), (ii) East African Monetary Union (EAMU), (iii) Southern African Monetary Union (SAMU) and (iv) African Monetary Union (AMU). We observe a number of issues with establishing the feasibility and/or desirability of potential monetary unions, inter alia, they are variations in: choice of variables, empirical strategies, sampled countries and considered periodicities. We address this ambiguity by reviewing studies with scenarios that are consistent with Hegelian dialectics and establish selective expansion as the predominant mode of monetary integration. Some proponents make cases for strong pegs and institutions as viable alternatives to currency unions. Using cluster analysis, disaggregating panels into sub-samples and distinguishing shocks from responses in the examination of business cycle synchronisation provide more subtle policy implications. We caution that for inquiries using the same theoretical underpinnings, variables and methods just by modifying the scope/context and periodicity may only contribute to increasing the number of conflicting findings. Authors should place more emphasis on new perspectives and approaches based on caveats of, and lessons from the European Monetary Union (EMU) and CFA zones.     

Examining dynamic currency linkages amongst South Asian economies: An empirical study

In this paper, we examine the currency market linkages of South Asian member countries using daily data from 6 January 2004 to 31st March 2016. Time invariant and varying Copula GARCH models show that South Asian countries, except for India and Nepal/Bhutan, have low levels of currency market linkages which can be ascribed to poor levels of intra-regional trade intensity and portfolio flows. We reconfirm the copula results through Diebold and Yilmaz methodology and document that currency market connectedness is very limited in the South Asian region. The trends of the fundamental determinants of currency co-movements for the South Asian member countries were compared with its neighbouring regional economic bloc in Asia which has a much longer history and a wider membership base i.e ASEAN + 6. From a comparative analysis, it was found that South Asia member states have to work on their governance parameters, improve on their trade linkages and trade tariffs and work towards greater degree of capital account convertibility with adequate safeguards to achieve higher levels of currency market linkages.     

Debt sustainability in emerging market countries: Some policy guidelines from a fan-chart approach

This paper uses a probabilistic approach to simulate the medium-term public debt trajectories of several major emerging market countries. We extend the standard debt sustainability analysis framework so as to more faithfully reproduce these countries’ economic reality in two aspects. First, we allow them to differ in the cyclical stance of their fiscal policy and in their degree of fiscal responsiveness to debt. Second, we explicitly integrate the specific risk premium paid by each country when borrowing in foreign currency. It allows us to evaluate the impact of alternative policies that the government may consider to improve sustainability. The results lead to three policy recommendations: i) a country should consider decreasing its exposure to currency risk only in extreme cases (like Argentina); ii) on the contrary, greater fiscal responsiveness (i.e. stronger fiscal tightening whenever there is a debt increase) could enhance sustainability to a much greater extent; iii) countries with low responsiveness to debt or a poor fiscal consolidation track record should be cautious with countercyclical fiscal policies, as they may trigger an unsustainable debt trajectory in the trough of the economic cycle.     

Currency substitution,risk premia and the Taylor principle

This paper studies the equilibrium determinacy properties of a simple interest rate rule in a small open economy subject to currency substitution (i.e., the use of a foreign currency for domestic transactions) and risk premia on foreign borrowing. It shows that if currencies are substitute in the provision of liquidity services the rule׳s response to inflation has to be sufficiently above unity for the equilibrium to be locally determinate. This reinforced Taylor principle requirement appears to be more binding in economies characterized by a larger elasticity of currency substitution, more debt-elastic country risk premia, and intermediate degrees of dollarization in transactions.     

Do currency undervaluations affect the impact of inflation on growth?

In this paper, we investigate how the level of currency undervaluations affects the effect of inflation on growth in a sample of 62 countries over the 1980–2015 period. While previous studies find a positive effect of an undervalued currency, we show that higher currency undervaluations reinforce the contractionary effect of inflation on growth. As an undervalued currency is associated with supplementary inflation pressures arising from a cost-push inflation phenomenon and economy overheating, growth is thus penalized. This result is shown to be robust to the exclusion of currency crises episodes from our sample, and dependent of the development level of countries. Specifically, it holds in the case of emerging countries, but not for developing economies. Consequently, policies based on undervaluations should not be encouraged for emerging economies as they tend to reinforce the contractionary effect of inflation on growth.