رویکرد ترازنامه شرکت های بزرگ به بحران های ارز

This paper presents a general equilibrium currency crisis model of the ‘third generation’, in which the possibility of currency crises is driven by the interplay between private firms’ credit-constraints and nominal price rigidities. Despite our emphasis on microfoundations, the model remains sufficiently simple that the policy analysis can be conducted graphically. The analysis hinges on four main features (i) ex post deviations from purchasing power parity; (ii) credit constraints a la Bernanke–Gertler; (iii) foreign currency borrowing by domestic firms; (iv) a competitive banking sector lending to firms and holding reserves and a monetary policy conducted either through open market operations or short-term lending facilities. We derive sufficient conditions for the existence of a sunspot equilibrium with currency crises. We show that an interest rate increase intended to support the currency in a crisis may not be effective, but that a relaxation of short-term lending facilities can make this policy effective by attenuating the rise in interest rates relevant to firms.

Thispap er hasconcentra ted on developing a full-fledged ‘‘third generation’’ model of currency crises. Whilst we have focused our attention on microfoundations, we have left out a number of interesting implications and extensions of this type of model. A first extension is to analyze the post-crisis dynamics of output. In the simple benchmark case considered in the above graphical analysis, there is a progressive recovery after a crisis, as firms build up their net worth. While the recovery is influenced by the policy at the time of the crisis, it is also influenced by monetary policy in the aftermath of the crisis. Thus, it would be of interest to examine the dynamics of output under various policy rules, such as inflation, monetary or exchange rate targeting. Longer lags of price stickiness and issues of credibility could also be introduced in the analysis. The precise mechanics of exchange rate policy have also been left out from the analysis, but in Aghion et al. [5] we show that assuming a fixed exchange rate does not affect the analysis in any substantial way. If the nominal exchange rate is fixed, the central bank hasto change itsmoney supply, e.g., through interventionsin the foreign exchange market. If we assume that there is a lower limit to money supply, e.g., through a lower limit on international reserves as in Krugman [28], the central bank will not be able to defend the currency when large shocks occur. Alternatively, the nominal exchange rate described in this paper can then be reinterpreted as the ‘shadow’ exchange rate typically used in the currency crisis literature. If the shadow exchange rate isdeprecia ted enough, the fixed exchange rate hasto be abandoned and a large depreciation occurs. In that case, the analysis derived from the IPLM-W graph in the above policy section, carries through at the ‘good’ equilibrium the fixed exchange rate is sustained, while at the ‘crisis’ equilibrium the fixed rate is abandoned. While the mechanism leading to a crisis is similar under a floating or fixed exchange rate, there may be differencesbetween the two regimes that are not considered in the model. For example, a fixed exchange rate could lead to a stronger ARTICLE IN PRESS P. Aghion et al. / Journal of Economic Theory 119 (2004) 6–30 27 real appreciation which makesmore likely that a large depreciation with default can happen. This result stresses the central role played by corporate balance sheets and the potentially minor role played by exchange rate policies. Obviously, a deterioration of public finance can also contribute to a financial crisis (as argued in first and second generation modelsof currency crises), in particular through potential crowding-out effects on the balance sheet of private firms. The role of public finance and public debt and its interaction with the private sector are examined in some detail in Aghion et al. [5]. In particular, a public debt in foreign currency can increase the likelihood of a currency crisis as the public sector’s loss from a devaluation may increase the interest payment and/or tax burden of firms. A critical simplification has been to assume a constant credit multiplier m: This assumption simplifies the analysis and allows a better exposition of the main mechanisms at work. However, in a more general framework, the credit multiplier is influenced by other variables such as the real interest rate (see Aghion et al. [5,6] for a model where m; depends negatively on the real interest rate). In this case, output may be more sensitive to monetary policy and the W curve is more likely to shift downward with a restrictive monetary policy. Thus, a currency crisis may be more difficult to avoid. Moreover, we should also try to understand better how the credit multiplier evolvesduring crises. The paper has focused on the foreign currency exposure of firms, but the exposure of banks is also an important characteristic of recent financial crises. In the current setting, banks fully lend in foreign currency, but have enough assets not to go bankrupt after a depreciation. An interesting extension of the analysis is to incorporate explicitly currency exposure at the banking level. If currency depreciations entail significant losses for banks, the lending process may be disrupted (the credit-multiplier m may be reduced) so that firms will again suffer from a currency depreciation. Introducing the possibility of a currency mismatch at both the bank and the firm levels, can provide new interesting insights. Finally, we have focused attention on currency crises induced by expectational shocks, that is on the existence of non-degenerate sunspot equilibria. A natural extension is to introduce exogenous shocks, for example on firms’ productivity. In particular, a (small) negative shock on productivity may have substantial effects on output and the nominal exchange rate if firmsare highly indebted in foreign currency, to the extent that such a shock may result in the IPLM and W curves intersecting more than once.