مداخله ارز و نرخ واقعی ارز تعادلی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|14914||2008||14 صفحه PDF||سفارش دهید||7135 کلمه|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Financial Markets, Institutions and Money, Volume 18, Issue 4, October 2008, Pages 344–357
Monetary authorities intervene in the currency markets in order to pursue a monetary rule and/or to smooth exchange rate volatility caused by speculative attacks. In the present paper we investigate for possible intervention effects on the volatility of nominal exchange rates and the estimated equilibrium behaviour of real exchange rates. The main argument of the paper is that omission of intervention effects – when they are significant – would bias the ability to detect any PPP-based behaviour of the real exchange rates in the long run. Positive evidence for this argument comes from the experience of six Central and Eastern European economies, whose exchange markets are characterised by frequent interventions.
Official intervention in the foreign exchange market is defined as official purchases and sales of foreign exchange by the monetary authorities in order to affect the exchange rate. The literature on intervention states that central banks intervene in order (i) to correct misalignments or to stabilise the exchange rate at predetermined targeted levels or within targeted rates of change (when, for example, they pursue a monetary policy rule) and (ii) to address disorderly market conditions—mainly high exchange rate volatility and/or sharp exchange rate fluctuations caused by speculative bubbles phenomena.1 As a result, in the first case, interventions may cause the real exchange rate to move in a target rate for long periods of time – and this can be interpreted as equilibrium values which shift from time to time – whereas in the second case, interventions may lead the exchange rate to move back to fundamental-based levels and/or to adjust faster to its long-run equilibrium level (for similar arguments see, inter alia, Sweeney, 1999).2 Whether or not intervention has an impact on exchange rates, offering the authorities an independent policy tool for influencing the foreign exchange market is an issue of great policy importance. As a consequence, intervention and its effects has been the subject of a large number of empirical articles in the international economics literature (see, inter alia, Baillie, 2000). The relevant empirical articles provide mixed evidence on the effectiveness of official interventions in the currency markets. Early empirical studies using data from the 1970s suggest that intervention operations have, at most, a short-lived influence on exchange rates (see the survey in Dominguez and Frankel, 1993a), whereas more recent studies indicate that the intervention operations influence both the level and variance of exchange rates (for a survey of the articles written till the mid 1990s, see Sarno and Taylor, 2002a). Most recent empirical studies (written from the mid 1990s on) tend to agree that there exists a significant effect of the monetary authorities’ intervention at least on the short-run dynamics of the exchange rates. Empirical evidence is based on advanced country experience, mainly the US, Germany (and the EU), Japan and Australia, given that data on central bank operations are available for these countries.3 Alongside the studies on intervention, a vast empirical literature on the behaviour of the real exchange rates and the validity of purchasing power parity (PPP) has grown up during the last three decades or so and by now constitutes a great body of the international finance literature. Most recent studies use the concept of stationarity and cointegration to test for PPP. They raise the low power problem of the early studies, which is attributed to short sample sizes and the low statistical power of the early tests, and advocate the use of advanced econometric techniques (for a survey, see, inter alia, Sarno and Taylor, 2002b). Within this strand of the empirical literature, two recent studies raise the argument that the empirical inability to detect stationarity of the real exchange rate or some version of PPP may be due to the effects of interventions by the monetary authorities in the currency markets.4 In particular, Taylor (2004) argues that intervention operations result in non-linear dynamics for the real exchange rate. He develops a regime switching model, in which the transition probabilities of switching between stable and unstable regimes depend upon intervention activity, the extent of exchange rate misalignment and the duration of the regime. The estimation of a Markov-switching model for the real DM/US$ rate provides results favourable to his arguments. Based on a somewhat similar idea, Brissimis et al. (2005) argue that long-run PPP is not likely to be evidenced for economies in which the monetary authorities intervene in the exchange rate market to support a certain exchange rate rule. They claim that policy behaviour affects the short-run adjustment to PPP and the ability to uncover long-run PPP empirically, even when PPP holds. Their analysis is based on a simple theoretical model in which short-run intervention strategies target a particular value for the real exchange rate which does not necessarily equal the PPP rate. Positive evidence for their arguments comes mainly from the experience of the Greek economy. In a paper belonging to a related strand of the literature, which investigates the source of shocks to real and nominal exchange rates (see, inter alia, Clarida and Gali, 1994), Kim (2003) comes up with similar suggestions. Kim analyses jointly the effects of foreign exchange intervention strategies – pursued by setting exchange reserves – and monetary policy on the exchange rate. He finds that foreign exchange policy shocks have substantial effects on the exchange rate, which are even more important sources of the exchange rate fluctuations than conventional monetary policy shocks. He argues that it is important to model foreign exchange intervention explicitly in the study of exchange rate behaviour. In the present paper, we extend this nascent literature by investigating possible intervention effects on the volatility of the exchange rates and the estimated long-run behaviour of the exchange rates with respect to that of domestic and foreign prices, using data from six Central and Eastern European Countries (CEEC) in transition. We first examine the importance of intervention policies on the dynamics of the exchange rates, and secondly, once the significance of these policies is indicated, we investigate whether the omission of intervention effects biases our ability to detect any fundamental-based behaviour of the exchange rates in the long run. When monetary authorities intervene in the foreign exchange markets, influence the behaviour of the exchange rates; the exchange rates thus reach levels that would not reach if left to be influenced by goods market forces alone. Central banks may intervene to stabilise the exchange rate at a targeted level, which does not necessarily equal the PPP level, when they support a certain exchange rate rule. They may also intervene in order to make the exchange rate to revert to an assumed equilibrium – ‘mean’ – level, which, nevertheless, may not equal the equilibrium level implied by the effects of market forces. Thus, we advocate that in order to detect any equilibrium relationship connecting prices and exchange rates, as formed by market forces alone, we should first identify and isolate effects exerted from intervention operations – which are exogenous to the goods market arbitrage – on the short-run dynamics of the exchange rates.5 This idea is in turn based on the well-known argument in the empirical economics literature using cointegration techniques, which states that the explicit specification of the short-run dynamics is crucial for a successful estimation of the long-run relations of the variables of interest (see, inter alia, Juselius, 1995). The rest of the paper is organised as follows: Section 2 presents the specification of the theoretical arguments of the present study whereas section 3 provides information on the exchange rate policies pursued in the economies under consideration. Section 4 presents the econometric methodology used. Section 5 reports the empirical analysis and the obtained results. The final section summarises and concludes.
نتیجه گیری انگلیسی
In the present paper we examine the effects of official intervention on: (i) the short-run dynamics of the nominal exchange rates and (ii) the estimated long-run behaviour of the real exchange rates (more precisely, the long-run behaviour of nominal exchange rates in relation to the behaviour of relative prices). Our main argument is that, by identifying and “isolating” the effects coming from intervention operations on the short-run exchange rate dynamics (which can also be considered as nominal shocks), we can then detect any long-run equilibrium relationship connecting domestic and foreign prices and exchange rates, as formed by market forces alone. The paper presents empirical findings for the validity of the above argument by drawing on the experience of six CEEC economies in transition. These economies seem ideal candidates to evaluate the above argument as they share a number of common features: they all adopted flexible or managed floating exchange rate regimes, whereas their monetary authorities intervened often in the foreign markets in order to smooth exchange rate volatility or to pursue various monetary targets. The results confirm our theoretical postulate: effects due to authorities’ interventions in the foreign market turn out to be significant for the dynamic behaviour of all nominal exchange rates under consideration. The results related to the behaviour of exchange rates and relative prices in equilibrium change dramatically once intervention effects are taken into account in the empirical modelling of the short-run dynamics and indicate that omission of intervention effects would lead to mistakenly rejecting a long-run exchange rate pattern based on PPP. In other words, allowing for intervention effects, we indicate that PPP has enough content about the behaviour of the real exchange rates in equilibrium. In addition, the estimated equilibrium relationships indicate that the nominal exchange rates moved toward their equilibrium values in a constant pattern, which nevertheless implied a constant appreciation of the real exchange rates. This finding indicates the presence of strong Balassa–Samuelson effects which have operated for long periods of time. Nevertheless, stationarity of the real exchange rates is not accepted in five out of the six economies, and this may also be due to productivity shocks and the impact that productivity has on the pricing of the traded and non-traded goods and services sectors.