سقوط نرخ ارز و بازده اوراق قرضه در کشورهای صنعتی

This paper examines episodes of sudden large exchange rate depreciations (currency crashes) in industrial countries and characterizes the behavior of government bond yields during and after these crashes. The most important determinant of changes in bond yields appears to be inflationary expectations. When inflation is high and rising at the time of a currency crash, bond yields tend to rise. Otherwise—and in every currency crash since 1985—bond yields tend to fall. Over the past 20 years, inflation rates have been remarkably stable in industrial countries after currency crashes.

In recent years, many commentators have voiced concerns that the large U.S. current account deficit could lead to a crash of the dollar and a hard landing for the U.S. economy. The link most often cited between a sharp dollar depreciation and a hard landing is a rise in long-term U.S. interest rates that chokes off consumption and investment.1 Such an outcome was highly visible in a number of emerging market crises in recent years, including Mexico in 1995 and East Asia in 1997 and 1998. There are three economic mechanisms that could link currency crashes to bond market crashes.2 First, exchange rate depreciations may be expected to push up domestic inflation through higher prices for imported goods and services. Investors are likely to demand a higher nominal rate of return to compensate for expected inflation. This is the “Fisher effect” or inflation expectations channel. Second, investors may expect that the monetary authority will raise short-term interest rates even more than the increase in inflation in order to prevent higher inflation from becoming entrenched. This is the “monetary reaction” channel. Finally, the currency crash could cause investors to demand a higher risk premium on bonds because of heightened uncertainty about future inflation, future real interest rates, or even the possibility of a future default.3 This is the “risk premium” channel. This paper shows that currency crashes do not generally lead to higher bond yields in industrial countries. Indeed, over the past 20 years, currency crashes in industrial countries have always been followed by falling bond yields. Why has the response to currency crashes been so different in industrial countries compared to that in emerging markets? The primary answer appears to be that industrial countries—especially since the mid-1980s—have more stable monetary frameworks with greater anti-inflationary credibility. 4 In particular, the change in the bond yield after a currency crash is strongly related to the level and change of the inflation rate after the crash. Since 1985, inflation rates have been low and stable after currency crashes, and these outcomes may help to explain the tendency of bond yields to decline or at least not to rise.5 Moreover, bond yields do not appear to be particularly sensitive to changes in net purchases of a country's bonds by foreigners. Current account deficits appear to be associated with the occurrence of currency crashes, but the size of the deficit has only a small effect on the change in bond yields after a crash. The next section presents a brief review of the literature on currency crises and crashes. Section 3 describes the data. Section 4 defines and identifies currency crashes. Section 5 introduces and estimates a simple model of bond yields, allowing for changes in behavior around currency crashes. Section 6 discusses interpretations, implications, and extensions of the empirical estimates. Section 7 offers some brief conclusions.

Sudden and large depreciations, sometimes referred to as currency crashes, have on occasion led to sharp rises in bond yields. Examination of the data for 20 industrial countries over the past 35 years reveals that these instances of rising bond yields are closely related to high and rising inflation rates. Rising bond yields presumably reflect market fears of future inflation and/or future tight monetary policy to combat inflation. However, since 1985, currency crashes in these industrial countries have never been followed by rising bond yields. This change in behavior reflects the anti-inflationary credibility earned by central banks in these countries. Indeed, since 1985, currency crashes in these countries have not led to higher inflation. In many cases, bond yields fell significantly after the onset of a crash. Declining bond yields may have reflected idiosyncratic factors such as ongoing declines in inflationary expectations or negative shocks to aggregate demand. Bond yields do not appear to be strongly affected by the composition of international financial flows. In particular, bond yields fell substantially even after the onset of currency crashes that were associated with sharp reductions in net foreign purchases of domestic bonds. Currency crashes also have not been associated with declining equity prices. Indeed, since 1985, real equity prices have generally risen in the aftermath of currency crashes. These results are at odds with the views expressed by some observers that a sharp decline in the exchange value of the dollar would likely lead to a significantly higher bond yield or other widespread financial distress in the United States.