TOWARD A REGIONAL EXCHANGE RATE REGIME IN EAST ASIA

Abstract.  Deepening market-driven economic integration in East Asia makes intraregional exchange rate across the region increasingly desirable and necessary. The paper suggests that East Asia's emerging economies begin to choose a currency basket as a monetary policy anchor to enable all East Asian currencies to collectively appreciate vis-à-vis the US dollar, while maintaining intraregional rate stability, in the event of surges of capital inflows or a rapid unwinding of global payments imbalances. Following this initial step, East Asia may agree on more rigid intraregional exchange rate stabilization schemes through, for example, an Asian Snake or an Asian Exchange Rate Mechanism.     

EXCHANGE RATE REGIMES AND MONETARY COOPERATION: LESSONS FROM EAST ASIA AND LATIN AMERICA*

This paper analyses the mechanisms of, and draws lessons from, currency crises in Asian and Latin American countries in the 1990s and 2000s. In Asian countries fiscal deficits were insignificant in size, and were not part of a crisis trigger, while in Latin America they played a major role in the crisis story. Crisis management by international financial institutions has been evolving over the last 10 years, and private‐sector involvement (PSI) has occupied centre‐stage in efforts to reform the international financial architecture. Sovereign debts, a focus of PSI discussions, were neither a cause nor a propagation of the Asian crises.     

货币政策冲击、外汇干预与汇率变动的同期与动态关联研究

本文采用SVAR模型以及2005年7月至2011年12月的月度数据,研究了2005年的新汇率改革之后,我国货币政策冲击、外汇干预与汇率间的动态关联。主要发现与结论如下：在货币政策冲击、外汇干预与汇率三者的同期博弈中,外汇干预不能即刻影响同期汇率。利率的上升及广义货币供应量的变动均会对同期名义有效汇率造成一定影响,但不太显著。在三者的动态博弈中,外汇干预是非冲销和有效性得到验证,外汇干预信号的假设可以成立。此外,即使利率的变动并不针对汇率,却带来汇率的大幅波动。名义有效汇率的上升可以有效抑制消费价格指数（CPI）的提高,并且数量型货币政策容易造成CPI的反弹。本文针对研究结论提出了一些政策建议。     

BUBBLES IN EXCHANGE RATES AND MONETARY POLICY

We evaluate the macroeconomic performance of different monetary policy rules when there are bubbles in the exchange rate. We do this in the context of a non‐linear rational expectations model. The exchange rate is allowed to deviate from its fundamental value and the persistence of the deviation is modeled as a Markov switching process. Our results suggest that reacting to exchange rate movements does not significantly improve welfare. However, taking into account the switching nature of the economy may be more beneficial.     

NEAR‐TERM EXCHANGE RATE FLEXIBILITY IN EAST ASIA: PRECURSOR TO REGIONAL MONETARY UNION?

Abstract.  Trade integration has advanced far in East Asia whereas financial integration has been lagging. Important policy initiatives have, however, been taken. This process will eventually require further relaxation of cross-border capital controls, which in turn will make exchange rate stabilisation schemes more difficult to operate. These developments seem to run counter to the perceived need to promote intra-regional exchange rate stability in order to maintain trade integration. However, it would be risky to impose regional exchange rate stabilisation schemes over an indefinite period. Monetary union could still be a worthy objective, but near-term exchange rate stabilisation should not be part of the road map.     

开放进程中的货币政策目标和汇率制度选择

20世纪80年代以后,理论研究对货币政策目标和汇率制度选择问题进行了新的诠释,国际经验为此提供了实证支持。应用于中国的现实情况,在开放和发展进程中,不完全的资本流动性、现实经济中的多重政策目标以及宏观经济内外失衡之间的传导机制,使得中国在实施货币政策的同时,应该而且能够维持汇率的相对稳定性。     

关于汇率理论与汇率政策研究的思考

汇率的决定与外汇市场供求、经常账户平衡、央行货币政策、相关资产价格、经济基本面、国民收入及国际收支账户等有着直接的或间接的关系。完善人民币汇率形成机制,要从外汇市场拓展到本外币政策深层次协调,从涉外经济拓展到内外经济协调发展,同时在新的汇率形成机制下对国际货币体系和主要货币的变化趋势进行系统的监测预测和分析研究。     

MONETARY POLICY REGIME SWITCHES AND MACROECONOMIC DYNAMICS*

This article considers the determinacy and distributional consequences of regime switching in monetary policy. Although switching in the inflation target does not affect determinacy, switches in the inflation response can cause indeterminacy. Satisfying the Taylor principle period by period is neither necessary nor sufficient for determinacy when inflation responses switch; indeterminacy can arise if monetary policy responds too aggressively to inflation in the active regime. Inflation target switches primarily impact the level of inflation, whereas inflation response switches primarily impact the volatility. Expecting an inflation target switch has minor effects on volatility, whereas expecting an inflation response switch raises volatility more substantially.     

THE COMPLEX RESPONSE OF MONETARY POLICY TO THE EXCHANGE RATE

We estimate a flexible non‐linear monetary policy rule for the United Kingdom to examine the response of policymakers to the real exchange rate. We have three main findings. First, policymakers respond to real exchange rate misalignment rather than to the real exchange rate itself. Second, policymakers ignore small deviations of the exchange rate; they only respond to real exchange under‐valuations of more than 4% and over‐valuations of more than 5%. Third, the response of policymakers to inflation is smaller when the exchange rate is over‐valued and larger when it is under‐valued. None of these responses is allowed for in the widely used linear Taylor‐type rules, suggesting that monetary policy is better analysed using a more sophisticated model, such as the one suggested in this paper.     

REVALUATION PRESSURE AND NEW EXCHANGE RATE ARRANGEMENTS FOR EAST ASIA: A SYMPOSIUM

Abstract.  This symposium offers a selection of significant research on the renminbi and broader East Asian exchange rate policy pressures and options first presented at a 22–27 May 2006 conference in Bellagio, Italy. Its venue, Villa Serbelloni, was made available by the Rockefeller Foundation. Reforms of the international monetary and financial system have been discussed there since the 1960s. As was the case then, the focus of the conference was once again on the declining international anchor functions and relations with the US dollar, but this time in and with continental East Asia, rather than Europe and Japan.     

ELECTIONS AND EXCHANGE RATE POLICY CYCLES

This paper presents a theoretical model based on the distributive effects of real exchange rate (RER) changes that generates RER electoral cycles of the type identified in Latin American countries: more appreciated RER before elections and more depreciated after elections. Typically, a RER depreciation favors exporters and import-competing domestic industries, to the detriment of consumers. These RER cycles are generated by imperfect information on policy-makers' preferences, which are concealed from voters with the help of an unstable macroeconomic environment. Exchange rate cycles result from the interplay between the electoral power of the non-tradable sector and the tradable sector's ability to lobby the government.     

LINKAGES BETWEEN EXCHANGE RATE POLICY AND MACROECONOMIC PERFORMANCE

Using a sample of 104 countries, we study macroeconomic performance from 1973 to 2007. We examine GDP growth, inflation rate, growth volatility and inflation volatility, and their response to a ‘words versus deeds’ measure of exchange‐rate policy, which is obtained by interacting a country's de jure and its de facto policy. For non‐industrialized countries, the highest growth rates and the lowest inflation volatility are associated with countries that pursue fear of floating policy, whereas countries that pursue a matched float policy (de jure and de facto floating) have the highest inflation rates but the lowest GDP volatility.     

NEW ESTIMATION OF CHINA'S EXCHANGE RATE REGIME

Abstract. The present paper updates the question: what precisely is the exchange rate regime that China has put into place since 2005, when it announced a move away from the US dollar peg? Is it a basket anchor with the possibility of cumulatable daily appreciations, as was announced at the time? We apply to this question a new approach of estimating countries’ de facto exchange rate regimes, a synthesis of two techniques. One is a technique that has been used in the past to estimate implicit de facto currency weights when the hypothesis is a basket peg with little flexibility. The second is a technique used to estimate the de facto degree of exchange rate flexibility when the hypothesis is an anchor to the US dollar or some other single major currency. Because the RMB and many other currencies today purportedly follow variants of band‐basket‐crawl, it is important to have available a technique that can cover both dimensions, inferring weights and inferring flexibility. The synthesis adds a variable representing ‘exchange market pressure’ to the currency basket equation, whereby the degree of flexibility is estimated at the same time as the currency weights. This approach reveals that by mid‐2007, the RMB basket had switched a substantial part of the US dollar's weight onto the euro. The implication is that the appreciation of the RMB against the US dollar during this period was due to the appreciation of the euro against the dollar, not to any upward trend in the RMB relative to its basket.     

渐进资本开放下中国货币政策的独立性

对中国资本流动程度和中国货币政策独立性的回归检验结果表明:中国的经济实践是符合不可能三角命题的。在1980—2003年间,在事实上钉住美元的固定汇率制度下,中国实行着较为严格的资本管制政策和享有独立的货币政策,但货币政策主要依赖于数量调控工具,汇率和利率的价格调控微乎其微,货币政策的独立性受到极大的挑战。     

ASYMMETRIC PREFERENCES FOR INTEREST RATE VARIABILITY AND NON-LINEAR MONETARY POLICY INERTIA

Introducing in a central bank loss function asymmetric preferences for interest rate stabilization together with a (symmetric) smoothing goal could lead to asymmetric interest rate smoothing. An empirical analysis supports this theoretical result and finds for the disinflation (Volcker) period a more cautious adjustment of interest rates downwards than upwards, and for the 'price stability' (Greenspan) period a more inertial behaviour in the opposite direction.     

人民币汇率制度选择的政治经济学

本文探究了人民币汇率制度选择的政治经济学。人民币汇率制度的选择首先必须要服务于中国出口导向型的经济增长模式。其次,这种模式推动了中国经济发展的内外部不平衡,但不需要通过汇率来逆向调节或大幅度校正这种不平衡,削弱中国经济的比较优势。再次,人民币汇率制度的选择要有助于人民币国际化。人民币国际化要坚持自我,不搞亚元。对于“汇率操纵”之类的非议,理性对待。未来人民币要继续加大防御性汇率政策的力度,防止汇率出现大幅度的波动。     

FLOATING WITH A LARGE LIFE JACKET: MONETARY AND EXCHANGE RATE POLICIES IN CROATIA UNDER DOLLARIZATION

Even after more than a decade of low inflation, Croatia remains highly dollarized. Commercial banks avoid currency mismatch by indexing loans to the exchange rate. Although this eliminates direct currency risk, it creates credit risk, because any larger depreciation might induce borrower defaults. Monetary and exchange rate policies focus on exchange rate smoothing to safeguard financial stability. Dollarization has prevented the use of monetary policy to stabilize output. Given Croatia's likely entry into the EU and adoption of the Euro, dedollarization seems unfeasible. Rather than attempting to reverse dollarization, the central bank has taken measures to make the banking system more robust to shocks. (JEL E52, E58, F31, G21, P24 )     

THE INSTABILITY IN THE MONETARY POLICY REACTION FUNCTION AND THE ESTIMATION OF MONETARY POLICY SHOCKS

We extend Romer and Romer's (2004) analysis of the estimation and the effects of monetary policy shocks by controlling for (1) changes in the monetary policy reaction function and (2) changes in the response of output and prices over time with an extended data set. The results suggest that the post 1979 responses of output and prices to a monetary policy shock are significantly different from what has been reported for the whole sample: While output and prices respond significantly and negatively if their response is estimated for the whole sample period (1969–2005), the response of output is insignificant for the period of 1979–2005, and the response of prices is much weaker. The analysis of the changes in the monetary policy conducted over time allows us to partly attribute the diminished price and output responses to a successful monetary policy which led to a less volatile economy during the great moderation. (JEL E52, E32, C50)