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.     

Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics

When the exchange rate is priced by uncovered interest parity and central banks set nominal interest rates according to a reaction function such as the Taylor rule, the real exchange rate will be determined by expected inflation and the output gap or the unemployment gap of the home and foreign countries. This paper examines the implications of these Taylor rule fundamentals for real exchange rate determination. Because the true parameters in central bank policy rules are unknown to the public and change over time, the model is presented in the context of a least squares learning environment. This simple learning model captures the volatility and the major swings in the real deutschemark/euro–dollar exchange rate from 1976 to 2007.     

Real Wage Rigidities and the New Keynesian Model

Most central banks perceive a trade‐off between stabilizing inflation and stabilizing the gap between output and desired output. However, the standard new Keynesian framework implies no such trade‐off. In that framework, stabilizing inflation is equivalent to stabilizing the welfare‐relevant output gap. In this paper, we argue that this property of the new Keynesian framework, which we call the divine coincidence, is due to a special feature of the model: the absence of nontrivial real imperfections. We focus on one such real imperfection, namely, real wage rigidities. When the baseline new Keynesian model is extended to allow for real wage rigidities, the divine coincidence disappears, and central banks indeed face a trade‐off between stabilizing inflation and stabilizing the welfare‐relevant output gap. We show that not only does the extended model have more realistic normative implications, but it also has appealing positive properties. In particular, it provides a natural interpretation for the dynamic inflation–unemployment relation found in the data.     

Inflation Targeting and Exchange Rate Pass-Through: The Turkish Experience

Using a vector autoregression model, we show that the pass-through from imported inflation to domestic inflation has weakened substantially and slowed after the adoption of inflation targeting in Turkey. We argue that this finding is due mainly to several features—such as enhanced credibility of the central bank, changing behavior of the exchange rate, and a shift in expectation formation—possibly acquired by the implementation of a successful inflation-targeting regime. These observations suggest that adopting an inflation-targeting regime in itself may help to reduce exchange rate pass-through.     

Exchange Rate Changes and Inflation in Post‐Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass‐Through

Macro‐economic consequences of large currency depreciations among the crisis‐hit Asian economies varied from one country to another. Inflation did not soar after the Asian currency crisis of 1997–98 in most crisis‐hit countries except Indonesia where high inflation followed a very large nominal depreciation of the rupiah. The high inflation meant a loss of price competitive advantage, a key for economic recovery from a crisis. This paper examines the pass‐through effects of exchange rate changes on the domestic prices in the East Asian economies using a vector autoregression analysis. The main results are as follows: (i) the degree of exchange rate pass‐through to import prices was quite high in the crisis‐hit economies; (ii) the pass‐through to Consumer Price Index (CPI) was generally low, with a notable exception of Indonesia; and (iii) in Indonesia, both the impulse response of monetary policy variables to exchange rate shocks and that of CPI to monetary policy shocks were positive, large, and statistically significant. Thus, Indonesia's accommodative monetary policy, coupled with the high degree of CPI responsiveness to exchange rate changes was an important factor in the inflation‐depreciation spiral in the wake of the currency crisis.     

Real Exchange Rates and Fundamentals: A Cross‐Country Perspective

This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets. It finds evidence of a strong positive relation between the consumer price index‐based real exchange rate and commodity terms of trade. The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small. Increases in net foreign assets, government consumption, and trade restrictions tend to be associated with appreciating real exchange rates.     

匈牙利汇率制度改革与启示

2001年10月以来匈牙利福林汇率先后实行水平区间盯住和自由浮动制度。通过分析此间货币政策执行情况和汇率走势,发现实行浮动汇率制度有助于通胀目标制在匈牙利的实施,但自由浮动制可能并不是最优的选择,改善经济基本面是防范汇率冲击的根本。这为中国当前的经济发展政策和人民币汇率制度改革提供了借鉴。     

人民币汇率波动与中日贸易

金融危机使人民币汇率存在着较大的不确定性和波动性,对中日贸易产生着重要影响。通过建立中日贸易模型的实证研究,结果表明中国对日出口收入效应较强,从日进口收入效应较弱;对日出口价格效应极强,从日进口价格效应较弱;对日出口汇率波动效应较强,从日进口汇率波动效应不存在。因此,若人民币持续升值,汇率波动日益增强,中国经济将会受到严重冲击。故中国政府应暂缓人民币升值,放缓人民币汇率形成机制改革的步伐。     

House Price Booms,Current Account Deficits,and Low Interest Rates

Domestic factors, such as credit and preference shocks, can explain the negative correlation between house prices and the current account in the U.S. and several other countries before the recent crisis. These shocks, however, cannot account for the fall of world real interest rates observed in the data. Expansionary monetary policy shocks in the U.S., coupled with exchange rate pegs to the dollar in emerging economies, are crucial to understanding the evolution of the real interest rate. Yet, monetary policy factors play virtually no role for house prices and the current account.     

汇率风险与中国出口贸易的动态关系

应用GARCH模型、自回归分布滞后模型和Johansen协整检验,实证分析汇率风险与中国出口贸易的动态关系。结果显示:中国实际有效汇率变动率存在着异方差;实际有效汇率的变动对出口存在较明显的J曲线效应;GARCH模型估计的随时间变动的汇率风险对出口的影响存在着滞后效应;汇率风险在短期内对出口的影响不确定,长期的影响为负。因此,中国在制定出口贸易政策时,应考虑到J曲线效应并保持汇率的稳定性。     

Central Bank Independence,Political Regimes,and the Sacrifice Ratio: A Replication Study of Caporale and Caporale (2008)

A recent article by Caporale and Caporale (2008, this Journal) provides an important finding on the determinants of the sacrifice ratio: central bank independence is not a determining factor for the sacrifice ratio when political regimes and other factors are controlled for. Our replication study shows that their result is driven by errors in the data. With correct data, it can be found that central bank independence is positively and significantly correlated with the sacrifice ratio, even when the nature of the political regime is controlled for.     

Exchange Rate Changes and the Operating Performance of Multinationals

Using a sample of 261 US multinationals over the period 1984–2002, we examine the relation between exchange rate changes and the profitability of foreign operations. We find that the impact of exchange rate changes on foreign operations’ profitability is not statistically significant in the majority of industries. Furthermore, according to our variance components analysis, exchange rate changes explain less than 2% of the variation in foreign operations’ profitability for most industries. We also find that the impact of exchange rate changes on foreign operations’ profitability is generally weak for non‐US multinationals from Australia, Canada, Japan and the UK. Our evidence is consistent with the finding of prior studies that the impact of exchange rate changes on firm value is not significant for most multinationals.     

Monetary shocks,exchange rates,and the extensive margin of exports

This paper develops a two-country Dynamic General Equilibrium model to assess the relationship between the real exchange rate and the extensive margin of exports. Exchange rate pass-through to consumer prices governs the relative strength of a demand channel onto the exporting decision of a firm. With incomplete pass-through, a favorable movement in the real exchange rate generates increased export participation and an expansion in the extensive margin of exports. This result is consistent with firm-level studies, and contributes to an ongoing empirical debate as to the importance of changes in export participation over the business cycle.     

跨境贸易人民币结算量与货币供应量、汇率波动互动关系

通过构建向量自回归模型（VAR）的方法,对我国跨境贸易人民币结算波动、进出口贸易总额波动、汇率波动之间的动态关系进行研究,试图揭示其三者之间存在的相互关系。研究结果显示：货币供应量波动、汇率波动于跨境贸易人民币结算量波动之间存在长期稳定均衡关系。长期内,汇率波动对跨境贸易人民币结算量波动具有正向促进作用;货币供应量波动对其具有反向促进作用。格兰杰因果关系显示跨境贸易人民币结算量波动是汇率波动的单向Granger原因,同时也是货币供应量波动单向Granger原因;汇率波动在是货币供应量波动的单向Granger原因。脉冲响应函数结果显示：跨境贸易人民币结算量波动对来自其自身冲击的响应在三种变量冲击中最为明显;货币供应量对来自其自身及其他变量的脉冲均有较为明显的响应;汇率对来自其自身冲击的响应在三种变量冲击中最为明显。     

Separation of Unit of Account from Medium of Exchange

The separation of a unit of account (UoA) from a medium of exchange (MoE) in the commodity–money system is investigated by considering explicitly a seller's choice of UoA in terms of either an MoE or a unit of metal weight. If the likelihood of debasement of an MoE and its rate are high enough, the price is posted in terms of a unit of metal weight rather than an MoE. Interestingly, this MoE–UoA separated equilibrium yields the flexible nominal price, whereas an MoE–UoA integrated equilibrium yields the sticky one. This implies the nominal price rigidity in the fiat‐money system where MoE and UoA are integrated.     

Exchange Rate Crises and Fiscal Solvency

This paper combines insights from generation one currency crisis models and the fiscal theory of the price level (FTPL) to create a dynamic FTPL model of currency crises. The initial fixed‐exchange‐rate policy entails risks due to an upper bound on government debt and stochastic surplus shocks. Agents refuse to lend into a position for which the value of debt exceeds the present value of expected future surpluses. Policy switching, usually combined with currency depreciation, restores fiscal solvency and lending. This model can explain a wide variety of crises, including those involving sovereign default. We illustrate by explaining the crisis in Argentina (2001).     

中国与"一带一路"沿线国家出口贸易研究——基于汇率变动、外贸依存度的视角

引入汇率变动引力模型,采用“一带一路”沿线64个国家2002-2015年面板数据,研究汇率变动和外贸依存度对出口贸易的影响,结果显示：汇率变动不是影响中国对“一带一路”沿线国家出口贸易的最重要因素,人民币升值促进了出口贸易,原因在于中国“一带一路”沿线国家的汇率变动不是很大;外贸依存度对出口贸易影响显著且存在双重门槛效应,外贸依存度越小,出口潜力越大;两国之间距离对出口贸易有显著负向影响;缔结自由贸易协定对出口贸易的影响尚未显现。因此,我国应保持人民币汇率基本稳定,以外贸依存度大小分类实施不同贸易政策,继续推进“一带一路”国家基础设施建设,并细化自由贸易协定。     

人民币汇率波动对我国与东亚地区双边贸易影响的实证研究

国际金融危机过程中,东亚部分国家和地区货币竞相贬值以促进出口的做法使得国内要求人民币贬值的呼声甚高。实证结果表明,中国与东亚地区收入水平差距、市场经济化程度以及商品价格水平拉大将导致双边贸易收支的扩大,而人民币相对汇率的升值将缩小中国与东亚地区的双边贸易收支。与此同时．人民币汇率波动对中国与东亚地区贸易收支的影响还存在着国别（地区）效应。对于中国而言,在努力扩大出口的同时应兼顾国家发展战略,坚持产业升级、慎用货币贬值措施,并应通过多次、小幅升值的方式保持人民币的强势地位。     

Exchange Rate Pass‐Through,Domestic Competition,and Inflation: Evidence from the 2005–08 Revaluation of the Renminbi

Import competition from China is pervasive in the sense that for many good categories, the competitive environment that U.S. firms face in these markets is strongly driven by the prices of Chinese imports, and so is their pricing decision. This paper quantifies the effect of the government‐controlled appreciation of the Chinese renminbi vis‐à‐vis the USD from 2005 to 2008 on the prices charged by U.S. domestic producers. In a panel spanning the period from 1994 to 2010 and including up to 519 manufacturing sectors, import price changes of Chinese goods pass into U.S. producer prices at an average rate of 0.7, while import price changes that can be traced back to exchange rate movements of other trade partners only have mild effects on U.S. prices. Further analysis points to the importance of trade integration, variable markups, and demand complementarities on the one side, and to the importance of imported intermediate goods on the other side as drivers of these patterns. Simulations incorporating these microeconomic findings reveal that a substantial revaluation of the renminbi would result in a pronounced increase in aggregate U.S. producer price inflation.     

The Role of Financial Market Structure and the Trade Elasticity for Monetary Policy in Open Economies

Imperfect international risk sharing and exchange rate volatility matter for how monetary policy should optimally be conducted in an open economy through affecting policymakers’ terms of trade considerations. I study these motives for a classical and long‐standing question in international monetary economics: the size of potential gains from international policy coordination. In a relatively standard model I allow for various degrees of risk sharing by considering different assumptions on international financial markets, and a large region for the crucial parameter of the trade elasticity. When incomplete markets give rise to high volatility of international prices and poor risk sharing—such as in Corsetti, Dedola, and Leduc (2008) —gains from policy coordination are an order of magnitude larger than previous studies, working under the assumptions of complete markets, suggest.