انتقال بحران ارز از طریق تجارت بین المللی

The Eurozone recent crisis has shown how balance of payments problems in less developed European Monetary Union (EMU) member countries can affect EMU trading partners, spreading the crisis to a larger group of countries. This paper introduces a three-country dynamic general equilibrium model to analyze whether and how terms of trade effects can generate a spillover effect or a currency crisis transmission between countries. Specifically, using a two period model, it incorporates world market clearing conditions for tradables into a new theoretic model, analyzes net capital flow movements between countries, and establishes cross-border macroeconomic linkages. This paper shows how a currency crisis can transmit through the real (trade) sector channel of the economy.

Currency crises transmission is a recurring phenomenon with substantial empirical and potentially long lasting effects on (groups of countries in) the world economy. This paper presents a theory for analyzing whether inter-country trade can be responsible for the transmission of a currency crisis, which has important implications for understanding the empirical phenomenon in general and possibly also its regional dimensions. Specifically, it tries to (i) show how a currency crisis can transmit through the real (trade) sector channel; (ii) present how changes in a foreign country's capital flow condition can influence home country's exchange rate through the change in terms of trade; (iii) mathematically prove that the significance of the real sector channel between two countries is positively associated with their trade levels; (iv) offer a new trade-related explanation for the occurrence of currency crises between countries; and (v) describe how capital movement between two countries can lead to a currency crisis in one of these countries and in a third country. Key post-2008 developments in international macroeconomics motivate this research paper. The potential magnitudes and effects of currency crisis are getting more attention from policy makers across countries. The meltdown in Greece caused concerns for Spain and the whole Eurozone, for instance.1 Governments and international organizations are backing significant rescue packages across countries — i.e. the 2011 bailout for Greece.2 Among the reasoning behind these rescue packages is that, in their absence, other markets can experience serious repercussions. Indeed, a sign of default in a relatively small economy (i.e. compared to US or European Union) can push other markets into trouble, a run on the Euro, and questioning about the competence of the Eurozone establishment. Why should economic policy makers have a closer look at currency crisis in neighboring countries? First, by following up recent developments in Eurozone, an alert observer can notice that if a heavily-indebted economy defaults, currency crisis may take place in global markets and not be limited to the Eurozone. For instance, France holds 33% of Greece's debt, 20% of Spain's debt, and 17% of Portugal's debt. And, Germany is not in a much different position. Thus, a default in any of these heavily-indebted economies presents a threat to banks in the Eurozone and questions their survival potential.3 Second, a depreciation in the value of the Euro has implications on other markets given the Eurozone represents 7% of global consumption and 20% of international trade. In case the Euro does not recover, European markets would import less as domestic goods would be relatively cheaper, causing a competition challenge to exporters in other markets (mainly in United States and China). Comparatively, Russia was in Greece's current position 14 years ago. Ruble strived to rebound, and Russia sought monetary support from the IMF. Back then, Russia pegged the Ruble to the US dollar, as Greece is currently locked to the Euro. During the same period, demand on Russia's oil decreased because of the 1997 Asian economic contraction, causing Russian oil export prices to diminish as well and the Ruble to depreciate. However, Russia kept the currency peg in place as the US dollar was appreciating and investors found in it a safe harbor.4 The gap between low productivity and high wages in Greece today is similar to Russia's oil woes back then. Similary, a significant currency depreciation in Thailand, which preceded a severe trade outflow from Thailand, was a key reason behind the 1997 Asian currency crisis, which reached to neighboring Korea and Indonesia.5 These facts trigger questions related to whether trade relationship can transmit currency crisis. Literature on the circumstances that make currency crisis transmit contagiously across countries is present although it is relatively little. For instance, Neary (1988) attempted to provide a simple, compact derivation of the determinants of the real exchange rate in a multicommodity framework to show the importance of the equilibrium real exchange rate and the relative price of non-traded to traded goods consistent with balance-of-payments equilibrium. Moreover, Willman, 1988 and Goldberg, 1994 endogenized relative prices, allowing events abroad to influence the real exchange rate and domestic competitiveness. Flood and Garber, 1984 and Claessens, 1991 introduced uncertainty about the domestic policy process. Flood and Garber, followed by Obstfeld (1986), added the idea of a contingent policy process, in which one-time events could lead the authorities to substitute one policy for another, thereby introducing the possibility of self-fulfilling speculative attacks. Gerlach and Frank (1995)'s study was among the first studies that addressed our question of interest. The paper considered two economies (Finland and Sweden) with trade and financial linkages, especially when the value of Swedish Krona depreciated after the fall of the Finnish Markka in 1992. In their model, a successful attack on one exchange rate leads to its real depreciation which enhances the competitiveness of the country's merchandise exports. This produces a trade deficit in the second country, a gradual decline in the international reserves of its central bank and ultimately an attack on its currency. A second channel for currency crisis transmission is the impact of crisis and depreciation in the first country on the import prices and the overall price level in the second. As highlighted in Eichengreen, et al. (1996), post-crisis real depreciation in the first country reduces import prices in the second. In turn, this reduction decreases its consumer price index and the demand for money by its residents. Their efforts to swap domestic currency for foreign exchange, then, deplete the foreign reserves of the central bank. This depletion may shift the second economy from a no-attack equilibrium in which reserves more than suffice to absorb the volume of prospective speculative sales and in which there consequently exist no grounds for a speculative attack, to a second equilibrium in which an attack can succeed. The authors empirically revealed that a currency crisis in one country exerts a contagion effect on countries with which it has strong trade links. Similarly, Glick and Rose (1999) revealed that currency crises tend to be regional, claiming that trade links are the main reason for this phenomenon. When a currency crisis occurs in one country, international investors carry out speculative attacks on the currency of other countries with strong trade relationships. Buiter et al. (1996) use an escape-clause model of exchange rate policy to analyze the spread of currency crises in a system of N + 1 countries, N of which (denoted the “periphery”) peg to the remaining country (the “center”). The center is more risk averse than the others and is hence unwilling to pursue a cooperative monetary policy designed to stabilize exchange rates. A negative shock to the center which leads it to raise interest rates then induces the members of the peripheries to reconsider their currency-peg policy. If the members of the periphery cooperate, they may find it collectively optimal to leave the system — an extreme case of contagion. More generally, some subset of peripheral countries – those with the least tolerance for high interest rates – will find it optimal to leave the system under these circumstances, and contagion will be limited to this subset. Importantly, however, their decision to leave stabilizes the currency pegs of the remaining members of the system, because monetary expansion and currency depreciation by some members of the periphery provides an incentive for the center country, which then finds itself with an increasingly overvalued exchange rate, to relax its monetary stance, relieving the pressure on rest of the periphery. In this model, contagion is selective: the shock to the center spills over negatively to some members of the periphery but positively to others. Corsetti, et al. (1999) developed a model of financial and currency crises led by moral hazard. They showed that low foreign exchange reserves and high shares of non-performing loans were at the core of the 1997 Asian collapse. Their study assumes that the overvaluation of real exchange rates leads to the high possibility of a currency crisis. Such a currency crisis in a foreign country can cause the overvaluation of real exchange rates in the home country and so lead to the high possibility of a currency crisis being transmitted through both channels. The above models do not incorporate explicit microeconomic foundations with dynamic and inter-temporal effects. Between 1999 and today, however, the “New Open Economy Macroeconomics” evolved considerably and moved towards dynamic stochastic general equilibrium models. Corsetti, et al. (2000) used the three-country model with a nested consumption basket to distinguish between goods produced in two periphery countries and a core country. Such a setup allowed tracing shifts in consumption (and thus the transmission of a shock like a currency crisis) depending on substitutability and complementarity of the traded goods. Their paper studied the mechanism of international transmission of exchange rate shocks within a 3-country Center-Periphery model, providing a choice-theoretic framework for the policy analysis and empirical assessment of competitive devaluations. Later, Forbes (2001) measured whether trade linkages are important determinants of a country's vulnerability to crises that originate elsewhere in the world. Subsequently, Ito and Hashimoto (2005) used daily data during the period of Asian currency crises to examine high-frequency contagion effects among six Asian countries. By identifying the origin (of exchange rate depreciation, or decline in stock prices) and the affected (currencies, or stock prices) in spillover relationship, Indonesia and Korea were found to be the two main origin countries, affecting exchange rates and stock prices of other countries. Evidence of high-frequency crisis spillover from Thailand to other countries was weak at best. The authors found a positive relationship between trade link indices and the contagion coefficients, implying that the bilateral trade linkage is an important factor for currency market participants to expect which currency should be affected within days of an original a shock in the exchange rate of a particular country. In recent policy debates some have argued that expansionary monetary policy in Japan can increase real output in Japan and in Japan's neighbors, while others have warned that it is a beggar-thy-neighbor policy. Mackowiak (2006) estimated structural vector auto regressions to assess the effects of Japanese monetary policy shocks. He found that the effects of Japanese monetary policy shocks on macroeconomic variation in East Asia have been modest and difficult to reconcile with the beggar-thy-neighbor view. Existing studies have not taken into much consideration the real sector channel, so this study concentrates on the transmission of contagion effects through this medium. The present paper contributes to the literature in three ways. First, it builds a new dynamic general equilibrium three-country model to study international macroeconomic linkages related to currency crises transmission. Second, it develops a new misalignment method to study impacts of currency crisis transmission. Third, theoretically, it establishes existence of an international trade channel capable of transmitting a currency crisis and, thus, causing a regional currency crises. When capital moves to a trade partner from a trade competitor, for instance, the terms of trade change and lead to a currency depreciation at home and foreign countries. In addition, a misalignment between actual real exchange rate and equilibrium real exchange rate occurs when the latter decreases, causing a potential currency devaluation. Thus, to re-establish equilibrium, nominal exchange rates in foreign and home countries adjust, transmitting a currency crisis to home country from a foreign country. Mainly, this study dissects the mechanism of currency crisis transmission through international trade and presents a reasoning for its regional nature. This paper proceeds as follows. Section 2 develops a new three-country model to present how currency crisis can transmit across countries via the trade channel. Section 3 shows the mechanism for calculating the prices of nontradables, exportables, and importables. Section 4 demonstrates the connection between terms of trade real exchange rates. Section 5 analyzes the effect of capital movement from a trade competitor to a trade partner in the model. Section 6 concludes.

Using a new three-country model, this paper shows the mechanism of a currency crisis transmission through international trade. Unlike earlier studies that use financial integration to model currency crisis transmission, we consider the international trade perspective. Currency crises transmission is a recurring empirical phenomenon with substantial and potentially long lasting effects on (groups of countries in) the world economy. This paper presents a theory for analyzing whether inter-country trade can be responsible for the transmission of a currency crisis, which has important implications for understanding the empirical phenomenon in general and possibly also its regional dimensions. Specifically, we try to (i) show how a currency crisis can transmit through the real (trade) sector channel; (ii) present how changes in a foreign country's capital flow condition can influence home country's exchange rate through the change in terms of trade; (iii) mathematically prove that the significance of the real sector channel between two countries is positively associated with their trade levels; (iv) offer a new trade-related explanation for the occurrence of currency crises between countries; and (v) describe how capital movement between two countries can lead to a currency crisis in one of these countries and in a third country. This paper does not fully address the regional nature of currency crisis. It is true that many neighboring countries trade more with each other, and as such the terms of trade effect may be more pronounced between these countries. However, many countries have large trade relationships with the EU, the US, and also increasingly China. For instance, a currency crisis occurring in the US would affect many countries via contagion, as they have strong trade relationships with the US. The analysis in this paper focuses specifically on the question whether inter-country trade can be a channel that transmits currency crises. Further research can explore whether the financial sector channel alone is enough to transmit the currency crisis.