固定汇率制度与浮动汇率制度下经济的自动稳定性

本文运用规范的开放宏观模型和比较静态分析方法,讨论了固定汇率制度或浮动汇率制度下、如果没有政策的干预,面对真实或名义瞬时冲击时的产出和物价的自动稳定性。分析表明,两种汇率制度下经济稳定表现与经济系统的结构参数有密切的关系,没有一个汇率制度在所有情形下都表现得最好。但对特定的发展中国家经济结构特征和外生冲击来源的可能性来说,相对于浮动汇率制度,固定汇率制度更利于经济的自动稳定。     

Why is it so difficult to beat the random walk forecast of exchange rates?

Recent empirical evidence suggests that the time series behavior of the real exchange rate is well approximated by a nonlinear, exponential smooth transition autoregressive (ESTAR) model. This nonlinearity helps resolve a number of puzzles concerning the persistence and volatility of real exchange rates. In this paper, we explore whether it may also help resolve the well-known difficulties of exchange rate forecasting. We develop a bootstrap test of the random walk hypothesis of the nominal exchange rate, given ESTAR real exchange rate dynamics. We find strong evidence of predictability at horizons of 2 to 3 years, but not at shorter horizons.     

不完全汇率传递下的货币政策工具规则分析

本文尝试构建一个开放条件下的总供给-总需求模型,通过名义进口价格刚性在模型中引入汇率传递因素。模型对各种货币政策工具规则下社会福利损失函数进行比较,考察在不同的汇率传递程度下的各种货币政策工具规则。研究结果显示,社会福利水平随着汇率传递程度下降而提高;货币政策工具规则对消费者物价指数(CPI)上涨作出反应一定程度上优于对国内制造商品价格上涨作出反应,制定的货币政策工具规则应该以CPI为目标,以使社会福利损失最小。     

Real effects of collapsing exchange rate regimes: an application to Mexico

This paper examines the impact of collapsing fixed, permanently fixed, and flexible exchange rate regimes on real output. Much of the recent discussion of the causes of exchange rate regime collapses has focused on capital flows and export demands. In an environment in which such external shocks predominate, a flexible exchange rate is shown theoretically to produce lower output variability for a range of parameter values. A counterfactual exercise is performed using Mexican data. We find that had Mexico been on a flexible rate for the past two decades, the variance of real output would have been reduced by half.     

The exchange regime and trade balance in Turkey

Over the last 15 years, high trade deficits have become a source of external vulnerability for the relatively stabilized Turkish economy. This corresponds to the period where authorities have been following a floating exchange rate regime. Thus, this study aims to empirically show whether the adopted exchange rate regime has an impact on the trade balance for the period of 1987 Q1 to 2015 Q2. Estimation results indicate that there is a long-run relationship between the real effective exchange rate and trade balance under both fixed and floating regimes in Turkey, but there is no evidence for the J-curve hypothesis.     

Has exchange rate pass-through really declined? Evidence from Canada

Several empirical studies suggest that exchange rate pass-through has declined in recent years among industrialized countries. Results for Canada also indicate that import and consumer prices have become less responsive to exchange-rate movements in the 1990s. These findings are based on reduced-form regressions that are typically motivated by partial-equilibrium models of pricing. This paper uses instead a structural, general-equilibrium approach to test the premise that exchange rate pass-through has decreased in Canada. Our approach consists in estimating a dynamic stochastic general-equilibrium model for Canada over two sub-samples, which cover the periods before and after the adoption of inflation targeting by the Bank of Canada. We then use impulse-response analysis to assess the stability of exchange rate pass-through across the two sub-samples. Our results indicate that pass-through to Canadian import prices has been rather stable, while pass-through to Canadian consumer prices has declined in recent years. Counterfactual experiments reveal that the change in monetary policy regime is largely responsible for this decline.     

Does the exchange rate regime matter for real shocks? Evidence from windstorms and earthquakes

Does the choice of exchange rate regime affect an economy's adjustment to real shocks? Exploiting the unpredictability and economic exogeniety of windstorms-hurricanes and typhoons-and earthquakes this paper assesses the often contrasting answers found in the theoretical literature. There is robust evidence that exchange rate flexibility helps an economy better adjust to real shocks. And consistent with the channels emphasized in the classic literature on exchange rates and shocks, differences in the behavior of the export sector help explain the different reactions between the two regimes.     

Incomplete pass-through and the welfare effects of exchange rate variability

This paper considers the implications of incomplete exchange rate pass-through for optimal monetary and exchange rate policy. A two-country model is presented, which allows an explicit derivation of welfare functions in terms of a weighted sum of the second moments of producer prices and the nominal exchange rate. From a single country perspective, the optimal exchange rate variance depends on the degree of pass-through, the size and openness of the economy, the elasticity of labour supply and the volatility of foreign producer prices. Welfare may be decreasing or increasing in the volatility of the exchange rate.     

汇率变动对我国纺织品出口国际竞争力的影响

在我国目前汇率制度改革的背景下,本文试图从产业组织角度探讨人民币实际汇率变动对我国纺织品出口价格影响的汇率传递问题。采用Johansen协整技术,以美国市场为主要研究范围,以印度和韩国作为我国主要竞争对手,以人民币实际有效汇率变动对我国棉纱、棉机织物纺织品的国际竞争力影响程度及特征进行实证分析,并最终认为人民币汇率变动对纺织品出口价格没有明显的影响。     

Endogenous exchange rate pass-through when nominal prices are set in advance

This paper develops a model of endogenous exchange rate pass-through within an open economy macroeconomic framework, where both pass-through and the exchange rate are simultaneously determined, and interact with one another. Pass-through is endogenous because firms choose the currency in which they set their export prices. There is a unique equilibrium rate of pass-through under the condition that exchange rate volatility rises as the degree of pass-through falls. We show that the relationship between exchange rate volatility and economic structure may be substantially affected by the presence of endogenous pass-through. Our key results show that pass-through is related to the relative stability of monetary policy. Countries with relatively low volatility of money growth will have relatively low rates of exchange rate pass-through, while countries with relatively high volatility of money growth will have relatively high pass-through rates.     

The dynamics of exchange rate regimes: Fixes, floats, and flips

The impermanence of fixed exchange rates has become a stylized fact in international finance. The combination of the “mirage” view that pegs do not really peg with the “fear of floating” view that floats do not really float generates the conclusion that exchange rate regimes are, in practice, unimportant for the behavior of the exchange rate. This is consistent with evidence on the irrelevance of exchange rate regimes for general macroeconomic performance. Recent studies, however, show that the exchange rate regime matters. This can be understood by considering the dynamics of exchange rate regimes. We demonstrate that the “mirage” view is somewhat misleading and incomplete. Pegs frequently break, but many do last. Also, there is a high degree of flipping, that is, the re-formation of pegs that have broken. Thus, a fixed exchange rate today is a good predictor that one will exist in the future. We also investigate the quantitative effect of fixed exchange rates. While the “fear of floating” view suggests little actual difference in fixed and floating rates with respect to exchange rate volatility, we show that fixed exchange rates exhibit considerably greater bilateral exchange rate stability than flexible rates, both today and in the future.     

The welfare effect of international asset market integration under nominal rigidities

This paper assesses the impact of integrating international asset markets when segmented markets are not the only distortion. Using a two-country general equilibrium model with nominal rigidities and monetary shocks, we show that integration is not universally beneficial. Instead, the welfare impact depends on the degree to which exchange rate fluctuations are passed through to consumer prices. While the integration is welfare neutral in the polar cases of complete or zero pass-through, this is not the case when pass-through is partial. When shocks are equally volatile in both countries, integration can be detrimental or beneficial depending on the degree of pass-through. When shocks are more volatile in one country, it benefits from integration compared with the more stable country.     

The choice of exchange rate bands: balancing credibility and flexibility

This paper develops a framework for the optimal choice of exchange rate bands within an environment in which policymakers dislike nominal exchange rate variability, but value the flexibility to adjust the nominal exchange rate in response to shocks, in order to attain real exchange rate objectives. The paper provides an endogenous characterization of the optimal exchange rate band in terms of the underlying distribution of shocks to the current and capital accounts of the balance of payments and in terms of the commitment reputation of policymakers.     

Persistent real exchange rates

Three well known facts that characterize exchange rate data are: (a) the high correlation between bilateral nominal and real exchange rates; (b) the high degree of persistence in real exchange rate movements; and (c) the high volatility of real exchange rates. This paper attempts a joint, albeit partial, rationalization of these facts in an environment with no staggered contracts and where prices are preset for only one quarter. There are two key innovations in the paper. First, we augment a standard two-country open economy model with learning-by-doing in production at the firm level. This induces monopolistically competitive firms to endogeneize the productivity effect of their price setting behavior. Specifically, firms endogenously choose not to adjust prices by the full proportion of a positive monetary shock in order to take advantage of the productivity benefits of higher production. Second, we introduce habits in leisure. This makes the labor supply decision dynamic and adds an additional source of propagation. We show that the calibrated model can quantitatively reproduce significant fractions of the aforementioned facts. Moreover, as in the data, the model also produces a positive correlation between the terms of trade and the nominal exchange rate.     

Banking crises and exchange rate regimes: is there a link?

This paper investigates the linkages between banking crises and exchange rate regimes, using a comprehensive cross-country dataset for the last two decades. The paper examines whether the choice of exchange rate regime affects the likelihood, cost, and duration of banking crises. Empirical results seem to indicate that adopting a fixed exchange rate diminishes the likelihood of banking crises among developing countries. However, once crises occur, the real costs associated with them appear to be larger in countries with fixed exchange rates. The duration of crises does not seem to be robustly affected by the exchange rate policy.     

Balance sheet effects and the choice of exchange rate regime in developing countries

We investigate the choice of regime amongst hard pegs, soft pegs, managed floats and independent floats for a panel of developing countries. There is evidence of a matched ordering of regimes and country characteristics. We find some evidence for the ‘balance sheet' hypothesis that foreign liabilities in the banking system and foreign debt are associated with less exchange rate flexibility, particularly when a ‘de facto’ regime classification is used. Easily the best predictor of a country's current regime is its regime in the previous year.     

汇率传导效应的双重传导机制分析

采用2005年8月～2010年12月相关指标的月度数据,以协整方法、误差修正模型及VAR模型等计量方法对汇率传导效应进行了量化,研究结论显示,产品市场传导渠道的汇率传导效果较为显著,而资本市场传导渠道的汇率传导效应较为微弱,但传导速度较为迅速.     

Duopolists’ Retail Pricing Behavior in Multiple Markets

The law of one price asserts that, with costless trade, prices for identical goods in different countries should be equal after accounting for the exchange rate. The empirical literature suggests that exchange rate pass-through to prices is low and that the law of one price fails; instead, firms are more likely to price to market. This study adds to the literature by examining the pricing strategy of comic book firms within the context of the competition’s pricing behavior in a duopoly industry. Comic books, uniquely, display their retail prices in multiple countries on their cover giving us detailed information about the pricing behavior of each individual firm and their competition which allows us to test a pricing-to-market model. We find that an empirical model of an imperfectly applied law of one price outperforms a simple competitive, pricing-to-market model of pricing. Retail exchange rate pass-through rates between Canada and the United States average 76.8 %. This high exchange rate pass-through rate for comic books exists despite the existence of sticky prices and convenience pricing.     

Regime switching models for the Mexican peso

The Mexican peso has shown long periods of tranquility that suddenly give rise to short volatile periods. We characterize this exchange rate process by estimating a series of regime switching regressions and comparing the different specifications as pioneered by Meese and Rogoff [J. Int. Econ. 14 (1983) 3]. We find evidence for two clearly identified regimes: one with an appreciating trend and low volatility, and another with large depreciations and high volatility. We use the estimated model to explain the bias implied in the peso forward market. Finally, we show that duration dependence or fundamentally driven transition probabilities do not improve the model's forecasting power.     

Terms of trade and exchange rate regimes in developing countries

Since Friedman [Essays in Positive Economics, University of Chicago Press, Chicago (1953) 157-203] an advantage often attributed to flexible exchange rate regimes over fixed regimes is their ability to insulate more effectively the economy against real shocks. I use a post-Bretton Woods sample (1973-96) of 75 developing countries to assess whether the responses of real GDP, real exchange rates, and prices to terms-of-trade shocks differ systematically across exchange rate regimes. I find that responses are significantly different across regimes in a way that supports Friedman’s hypothesis. The paper also examines the importance of terms-of-trade shocks in explaining the overall variance of output and prices in developing countries.