مقایسه قوانین سیاست های پولی در اقتصاد CEE: یک رویکرد تجاری
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|27895||2013||14 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Economic Modelling, Volume 32, May 2013, Pages 233–246
Using the Bayesian approach, a small open economy DSGE model was estimated using a sample of quarterly data for three Central and Eastern Europe economies, Czech Republic, Hungary and Poland. The hypothesis that central banks react to exchange rate movements was tested using posterior odds ratio. For these economies, evidence was found that central banks reacted to exchange rate changes. Evidence of similar monetary policy characterized by moderate or low gradualism as well as an active and conservative monetary policy was also found, for the selected countries. When a richer DSGE model featuring habit formation and imperfect pass-through is estimated, the results are generally similar. The inclusion of exchange rate in Taylor rule can also drastically change the dynamics of inflation and output following certain shocks.
Whether central banks react or not to exchange rates debate may be traced back to the 2001 contribution of Taylor. He showed that a successful monetary policy should be based on a mix of flexible exchange rate, inflation target and monetary policy rule. The debate followed two main directions. The first direction focused on the benefits brought by a monetary policy responsive to exchange rate, while the second direction focused on how central banks actually behave. This paper follows the second approach, testing whether central banks in several Central and Eastern European (CEE, hereafter) economies responded to exchange rate movements. Univariate approaches were initially used to address the question. Clarida et al. (1998) found, for some industrialized countries, that monetary policy responded to exchange rate fluctuations. Additional evidence was found by Calvo and Reinhart (2002) for the case of emerging economies. According to them, central banks reacted to exchange rate fluctuations through monetary policy in order to smooth the exchange rate variation. More recently, the same topic was studied from a structural perspective within the dynamic stochastic general equilibrium approach. In one of the first studies, Lubik and Schorfheide (2007) estimated a small open economy New Keynesian (NK) model using a Bayesian approach for a selection of developed small open economies (Australia, Canada, New Zealand and UK). They tested based on posterior odds ratios if central banks reacted to exchange rate movements. According to their results, evidence was found that central banks reacted to exchange rate fluctuations only for Canada and United Kingdom. This approach was also applied by Eschenhof (2009b) for the Euro Area viewed as a small open economy. The paper employs Lubik and Schorfheide (2007) model with additional specifications for monetary policy rule. The results indicated that the best monetary policy was based on the expected inflation rate and on the output gap. Also, it was found that ECB reacted to exchange rate movements. Dong (2008) offers further evidence for a more elaborate two sectors DSGE model. The most important features of the model were sticky prices and wages, partial indexation on lagged inflation, combined producer currency pricing and local currency pricing and distributions services. Based on this estimation, it was found that, in the past, central banks in Australia, Canada and England paid attention to real exchange rates, while New Zealand's central bank did not react to exchange rate changes. This paper supplements the literature testing whether central banks in selected CEE economies reacted to exchange rate movements. There are theoretical arguments on why the central banks in CEE area may and should react to exchange rate movements. As Egert et al. (2003) observed in an analysis regarding what was at that moment the accession in the near future to the EU of the 10 new member states, a sample in which the three countries in our analysis are included, it might be necessary for central banks in these economies to react to exchange rate movements in order to adjust their possible current account deteriorations or other departures from economic fundamentals, although, at the same time, a too great flexibility is to be avoided (a thing which might again justify reactions to exchange rate movements). Based on these arguments, Egert et al. (2003) argued for a ‘double role for interest policy’, which would take into account both price stabilization and exchange rate management. Most of the research for the case of monetary policy rules in CEE economies focused until now on using either instrumental variables, as in Maria-Dolores (2005), or cointegration as in Frommel et al. (2009). While Maria-Dolores' studies have focused on the relevance of the Taylor rule for selected CEE economies, Frommel et al. (2009) were interested not only if Taylor rule is significant for CEE economies, but also if the Taylor rule should include the exchange rate. They found a different behavior for the Taylor rule: for rigid exchange rate regimes there is a predominant role for exchange rate, while for more flexible exchange rate regimes the focus is more on inflation. Also, Caraiani (2011a) offers an example of structural approach based on a New Keynesian model, showing that in the past Romanian national bank reacted to exchange rate fluctuations. The rest of the paper estimates two different small open economy models for Czech Republic, Hungary and Poland featuring different specifications for monetary policy rules. Several specifications are compared using the Bayesian framework and they test whether, using posterior odds ratio, a better explanation of real data is given with or without the inclusion of exchange rate in the monetary policy rule. Changes in the impulse response functions are also analyzed when the exchange rate is or is not considered in the monetary policy rule.
نتیجه گیری انگلیسی
Our results indicate in a consistent manner, based on estimation of both models under different specifications, posterior odds comparison as well as impulse response functions, that central banks in our sample of CEE economies reacted to exchange rates. We also found evidence of a similar behavior of central banks in the selected countries, which is understandable since they form a rather compact group from the perspective of many criteria. Monetary policy was found to be conservative, which was expected in the light of the disinflationary process at work in these economies, following the high inflation rates in the 90's as well as the need to have convergent inflation rates. However, since inflation has essentially dropped to comparable levels to those in the Euro Area, monetary authorities in the selected economies might switch to less conservative monetary policies. At the same time, monetary policies were found to be characterized by a moderate (in the Czech case) or low gradualism (for Hungary and Poland), as implied by the smoothing parameter corresponding to the interest rate, ρr, although the second estimated model indicates moderate gradualism for all three economies. In the perspective of the Euro adoption, central banks could improve their gradualism in monetary policy making. A monetary policy carried in a similar way to the ECB, would ease the integration of these economies into the Euro Area.