高利率能否捍卫汇率稳定：基于马尔科夫变换的世代交叠模型的分析

按照传统观点,在本国货币遭受投机攻击时,中央银行的典型做法是提高短期利率来捍卫货币和汇率制度。但批评者认为,提高利率会增加经济发展的成本,容易引发信用恐慌和产出减少。通过建立一个基于马尔科夫变换的世代交叠模型可以发现,利率被提的越高,汇率波动率也会随之相应增加。当高利率的货币政策使经济增长放缓甚至衰退,维持汇率稳定的可信度下降时,投机者就会发动对本币的投机攻击。最后在外汇储备耗尽的情况下,中央银行权衡得失后不得不实行浮动汇率制。

High Interest Rate Defense on Exchange Rate Stability :A Analysis of Markov Switching OLG Model

In convention wisdom,central bank’s typical response is to increase short interest rate to defend domestic currency and exchange rate regime under speculation attack.But criticism argues that it will increase the cost of economics development.accompanied by credit crunch and output loss.We present a Markov switching OLG model to prove that high interest rate defense induce high exchange rate volatility.When high interest rates slow down the economic growth and decrease the credibility of monetary policy and commitment of exchange rate stability,speculator will begin an attack on domestic currency.After a exhaust of foreign reserve,central bank will have to implement a float exchange regime after evaluating the cost and loss.