放弃成本、政府偏好与资本控制:一个审慎的机会主义汇率制度选择模型

本文在Obstfeld(1 996)第二代货币危机模型的基础上 ,建立了一个考虑经济结构、供给冲击以及金融风险的多因素汇率制度选择模型 ,以成本分析为工具解释了资本控制、各类成本和政府偏好对均衡的影响以及对汇率制度选择的影响。研究表明 :(1 )资本控制可以通过多种途径对均衡产生影响 ,在一定条件下可以利用资本控制措施使经济避免多重均衡 ;(2 )放弃成本对汇率制度选择发挥关键作用 ;(3 )较大的政府偏好促使政府选择固定汇率制度 ,在放弃成本不足够大的条件下 ,决策者也可以通过提高政府偏好或者实施资本控制措施来保护本国固定汇率制度 ;(4)对人民币现行汇率制度的放弃成本的估计表明 ,当前人民币汇率制度放弃成本正处于中间水平 ,因此有必要增大政府对固定汇率制度的偏好并且对资本帐户实施适度管理以保持人民币汇率的稳定 ,防范金融风险。至于未来人民币汇率波动幅度的扩大、资本项目自由化的进程以及人民币汇率制度何时回归真正的“管理浮动” ,应主要取决于人民币汇率制度放弃成本的有效降低     

资本流动、货币政策与通货膨胀动态

本文建立了一个汇率对资本流动具有有限弹性的新开放宏观经济学模型.考虑到资本流动对供给面的影响,浮动汇率制度不再能完全隔离国外冲击,但是资本开放确实有助于降低国内冲击带来的经济波动.这为全球大温和提供了另一种解释.另外,本文的分析发现,一定程度的汇率干预在稳定国内冲击产生的经济波动方面比浮动汇率更优.     

Exchange rate volatility and capital inflows: role of financial development

There is vast literature examining the impact of exchange rate volatility on various macroeconomic aggregates such as economic growth, trade flows, domestic investment, and more recently capital flows. However, these studies have ignored the role of financial development while examining the impact of exchange rate volatility on capital flows. This study aims to analyze the impact of exchange rate volatility on capital inflows towards developing countries by incorporating the role of financial development over the time period 1980–2013. In this regard, the behavior of two types of capital flows is examined: physical capital inflows measured as foreign direct investment, and financial inflows quantified through remittance inflows. The empirical investigation comprises the direct as well as indirect effect of exchange rate volatility on capital inflows. The study employs dynamic system GMM estimation technique to empirically estimate the effect of exchange rate volatility on capital inflows. The empirical results of the study identify that exchange rate volatility dampens both physical and financial inflows towards developing countries. The indirect impact of exchange rate volatility through financial development, however, turns out positive and statistically significant. This finding reflects that financial development helps in reducing the harmful impact of exchange rate volatility on capital inflows. Hence, the study concludes that a developed financial system is an important channel through which developing countries may improve capital inflows in the long run.     

The impact of output and exchange rate volatility on fixed private investment: evidence from selected G7 countries

This study examines the impact of shocks to exchange rate and output uncertainty (volatility) on real private fixed investment (FI) in Canada, Germany, the United Kingdom and the United States. The analysis is conducted using vector autoregressive models that contain the price level, real output, the volatility of real output, the real exchange rate, the volatility of the real exchange rate, an interest rate and FI. The results yield important public policy implications with regard to the impact of output volatility of FI. Our analysis indicates that volatility shocks, measured as output volatility or exchange rate volatility, do not have a significant impact on FI for any country in our study.     

Trade Costs and the Open Macroeconomy

Trade costs are known to be a major obstacle to international economic integration. Following the approach of New Open Economy Macroeconomics, this paper explores the effects of international trade costs in a micro‐founded general equilibrium model that allows for different degrees of exchange rate pass‐through. Trade costs are shown to create an endogenous home bias in consumption and the model performs well in matching empirical trade shares for OECD countries. In addition, trade costs reduce cross‐country output and consumption correlations, and they magnify exchange rate volatility. Trade costs turn a monetary expansion into a beggar‐thy‐neighbor policy.     

Capital Flows and Exchange Rate Volatility in India: How Crucial Are Reserves?

This paper tests if the adequacy of reserves helps reduce exchange rate volatility in an environment of financial globalization, market‐determined exchange rate and macroeconomic imbalances. It exploits the difference in the period after 2010 when India did not accumulate reserves but faced higher capital flow pressures, relative to a previous managed‐float period marked by significant absorption of surplus capital flows. Along with other determinants, the sensitivity of rupee volatility is examined. The paper finds that adequate reserve holdings significantly reduce exchange rate volatility irrespective of the exchange rate regime; the effect is more through influence upon market sentiment and confidence than actual intervention. It contributes to existing evidence on the role of reserves in mitigating exchange rate volatility amid capital flow swings and offers insights into the policy environment depicted in the trilemma.     

Exchange Rate Volatility,Earnings Uncertainty and Bidirectional Trade Flows: Empirical Evidence on Ghana

Although the empirical findings on the impact of exchange rate volatility on trade is diverse, the growing consensus in the literature appears to suggest that for developing economies, the theoretically expected negative relationship almost always exists. The paper takes a different approach to empirically assess this relationship by analysing the impact of exchange rate volatility independently on total trade, imports and exports. The intuition behind this approach is to assess exactly how exporters and importers are incentivised (differently or similarly) by exchange rate volatility costs. Whereas adequately risk-aversed Ghanaian exporters in the presence of higher exchange rate volatility and the absence of hedging facilities effectively compensated against exchange rate risk by increasing volume of exports, import decisions were to some extent (although not effectively) negatively affected by exchange rate volatility. The different responses by Ghanaian exporters and importers to higher exchange rate volatility costs are reflected in the relationship between volatility and total trade. The useful policy lessons and the challenges that the empirical evidence present are discussed.     

中国的“三元悖论”政策目标组合选择及其影响

本文构建了"三元悖论"政策目标指数,并探讨了中国的宏观经济管理策略对经济稳定性的影响。研究发现,中国以汇率高度稳定作为首要目标,并追求适度的货币政策独立性,而谨慎追求金融开放,并积累了巨额外汇储备。这种策略的影响包括:(1)较高的货币政策独立性对降低产出波动率有积极作用,因持有外汇储备的间接影响使得汇率高度稳定政策也显著降低了产出波动率,金融开放同样也起到了降低产出波动率的作用;(2)积累巨额外汇储备与追求汇率高度稳定政策间的交互影响使得汇率稳定成为维持物价稳定的消极因素,货币政策独立性将降低国内通货膨胀波动率而积累过多的外汇储备却恶化这种影响,金融开放将增加物价波动性。文章凸显出过度追求人民币名义汇率稳定的弊端。     

Monetary policy volatility shocks in Brazil

This paper provides empirical evidence of the impact of changes in volatility of monetary policy in Brazil using a model where the time-varying volatility of shocks directly affects the level of observed variables. Contrary to the literature, an increase in monetary policy volatility results in higher inflation, combined with reduction in output. Qualitative differences of impulse responses functions are explained using a calibrated small-scale dynamic model, where the habit persistence in consumption, combined with the design of monetary policy, plays a key role in results. Firms tend to increase prices under higher volatility, in order to avoid costs of resetting over time. Working capital constraints amplify the effects of interest rate volatility shocks on prices.     

Exchange Rate Volatility and Output Volatility: A Theoretical Approach*

This paper makes an attempt to determine the factors influencing exchange rate and exchange rate uncertainty, as well as output and output variability. In the context of a small open economy under flexible exchange rates regime it is found that the level both of exchange rate and output is affected by monetary and inflationary shocks, as well as shocks in government spending, output, and trade balance. Further, the uncertainty of exchange rate and output is associated positively with the uncertainty of all shocks while the contemporaneous occurrence of selected shocks imposes either a positive or negative impact on exchange rate and output volatility. Finally, it is shown that the effect of the determinants either of exchange rate volatility or output volatility is very sensitive to the parameter values.     

理解人民币汇率的均衡、失调、波动与调整

本文区分产品市场和资产市场均衡汇率、失调和波动,得出了人民币实际汇率的短期和长期均衡值,发现人民币不存在严重高估和低估,只是产品市场上近期实际汇率低估且程度在加深,而资产市场上高估;产品市场上实际汇率长期波动主要源自相对供给冲击,资产市场上短期波动则主要来自自身调整机制和相对货币供给冲击。政策含义表明:资本账户保持一定管制降低了风险溢价,允许决策者调整短期实际汇率波动,扩大波动幅度减缓汇率升值预期,消除资产市场上短期失调;长期波动决定因素使得决策者只能以产品市场长期均衡汇率为升值目标汇率,在需求政策效果不明显的情况下,可以考虑供给管理政策实现内外经济均衡。     

Exchange rate volatility–economic growth nexus in Uganda

The global financial crisis has disrupted trade and capital flows in most developing economies, resulting in an increased volatility of exchange rates. We develop an autoregressive distributed lag model to investigate the effect of exchange rate volatility on economic growth in Uganda. Using data spanning the period 1960–2011, we find that exchange rate volatility positively affects economic growth in Uganda in both the short run and the long run. However, in the short run, political instability negatively moderates the exchange rate volatility–economic growth nexus. These results are robust to alternative specifications of the economic growth model.     

The Choice Between Flexible Exchange Rates, Capital Control and the Currency Board in Asian Countries: A Perspective from the "Impossible Trinity"

We attempt to compare adjustment costs under exchange rate regimes in East Asian economies during their recovery processes. The criteria are the degree of overshooting in exchange rates, the changes in country risks, and the severity and duration of the recovery processes. Linear ranking is difficult. Managed rates with capital control worked for macroeconomic performance despite the welfare loss due to blocking capital flows. The currency board system worked well for stability, but recent experiences of Argentina and Hong Kong were deflationary. Under flexible rates, many economies that received IMF grants suffered a drastic initial downturn but later recovered vigorously. JEL Classification Numbers: F31, F32, F33.     

弹性汇率制度下资本控制的经济效应——一个基于修正的Dornbusch“超调”模型的动态学分析

本文拓展了MichaelFrenkel和ChristianeNickel(2 0 0 1 )等人的研究 ,主要利用修正的Dornbusch“超调”模型 ,研究了一个具有微观结构的外汇市场在不同的资本控制及其不同的控制程度下系统的稳定性以及资本控制对主要宏观经济变量的影响 ;结果表明 :在一个投资者和投机者同时存在的外汇市场上 ,不同的资本控制以及不同的资本控制程度对系统稳定性的影响仅仅在于系统是鞍点稳定还是全局稳定 ;弹性汇率制度下放松对资本流动的限制将使经济由鞍点稳定转变为全局稳定 ,从而使系统变得更加稳定 ,这部分支持了 2 0世纪 90年代以来国际汇率制度“两极化”的发展趋势。     

INTEREST RATE VOLATILITY AND EXCHANGE RISK: NEW RULES FOR A COMMON MONETARY STANDARD

How does the choice of an exchange rate regime influence the volatility of interest rates? Are floating exchange rates useful “shock absorbers” that dampen fluctuations in domestic interest rates and prices or do they create additional risk that increases interest rate volatility and segments the international capital market? The answers are best seen in historical perspective.     

The timing Of Exchange Regime Collapse Under Capital Controls

This paper investigation the Nature of balance-of payments crises in regimes with capital controls. It extends earlier works on Capital controls by assuming that households manage their consumption and asset portfolios to maximize intertemporal utility. Our main result is that capital controls are effectives in delaying, but not preventing, a breakdown of a fixed exchange rate regime in the presence of money- financed deficits. [F31]     

Cyclical fiscal rules for oil-exporting countries

Budget-balance tax-gap rules are preferred to other fiscal policy rules to stabilize the macroeconomic volatility and welfare in oil-exporting countries. The output-inflation trade-off is of particular concern for oil exporters relative to non-oil commodity exporters due to the pass through of oil prices into headline inflation which warrants fiscal reaction to crude oil revenue. This result is robust to several instruments satisfying the rule but with reduced efficiency for those instruments that impact potential output such as government investment and capital taxes. These rules are desirable for fixed exchange rate regimes but are unable to achieve the same degree of stability as when coordinated with inflation-targeting monetary policy. Even under optimal inflation-targeting regimes, the adoption of budget-balance tax-gap rules can produce reductions in macroeconomic volatility and welfare gains.     

Nominal and real volatility as determinants of FDI

This article examines the role of country-specific sources of output and interest rate or exchange rate volatility in driving Foreign Direct Investment (FDI) activities. Building on a dataset with bilateral FDI flows among 24 Organization for Economic Co-operation and Development (OECD) economies over the period 1985–2007, we find that nominal and real volatility strongly deter foreign investments. Output and exchange rate volatility matter in particular for the decision whether to invest in a foreign country in the first place. Interest rate volatility mainly influences the amount of foreign investments.     

ADAPTIVE LEARNING AND MONETARY POLICY IN AN OPEN ECONOMY: LESSONS FROM JAPAN

Abstract. Motivated by Japan's economic experiences in recent decades, we incorporate adaptive learning into an open economy dynamic stochastic general equilibrium model to examine the volatility and welfare impact of alternative monetary policies. Comparing four Taylor‐styled policy rules that reflect Japan's monetary policy debates, we first show that imperfect knowledge and the associated learning process induce higher volatility in the economy and that explicit exchange rate stabilization is unwarranted. Moreover, contrary to results under the rational expectation paradigm, we find that while tight inflation controls raise output volatility, they can improve overall welfare under learning by smoothing inflation fluctuations.     

Exchange Rate Movements and Unemployment in the EU Accession Countries—A Panel Analysis

According to the traditional “optimum currency area” approach, not much will be lost from a very hard peg to a currency union if there has been little reason for variations in the exchange rate. This paper takes a different approach, and highlights the fact that high exchange rate volatility may as well signal high costs for labor markets. The impact of exchange rate volatility on labor markets in the CEECs is put to the test, finding that volatility vis‐à‐vis the euro significantly increases unemployment. Hence, the elimination of exchange rate volatility could be considered as a substitute for a removal of employment protection legislation. However, labor market reform could be argued to be an equally worthy strategy, backed up by central bank independence and the adoption of an anti‐inflation monetary policy rule.