مفاهیم ERM2 برای سیاست های پولی در لهستان

We propose an extension to the inflation targeting regime currently pursued by Poland. It incorporates the exchange rate stability constraints as imposed by the obligatory participation in the ERM2 that Poland needs to satisfy prior to adopting the euro. The modified policy is based on the forward-looking inflation targeting supplemented with the exchange rate stability objective. Its effective implementation depends on the determined long-term equilibrium exchange rate and the observed degree of exchange rate volatility. Both are empirically estimated by employing the Johansen cointegration tests and the threshold generalized autoregressive heteroscedasticity model with the in-mean extension and generalized error distribution (TGARCH-M-GED)

This study aims at devising a monetary policy framework that is conducive to monetary convergence in Poland; particularly under the exchange rate stability constraints imposed by the obligatory participation in the ERM2 that Poland needs to satisfy prior to adopting the euro. We consider a proper transition from the current framework of direct inflation targeting (DIT) via ERM2 to the actual euro adoption. Our underlying assumption is that a strict variant of DIT is not suitable for convergence to the euro since some attention shall now be paid to the exchange rate stability objective. This necessitates a more flexible DIT policy that combines achieving price convergence with exchange rate stability. Therefore, an accurate determination of the long-term market equilibrium exchange rate as well as the knowledge of prevalent exchange rate volatility is critical for designing the optimal policy framework. We model and empirically assess both the exchange rate equilibrium and volatility. We identify two crucial convergence tasks for monetary authorities: (1) reducing the (forward-looking) differential between the domestic and the eurozone inflation and (2) lowering the exchange rate volatility. These objectives are treated in the following way. The differential between the domestic and the implicit eurozone inflation forecast enters the central bank reaction function as proposed by Orlowski (2005b) in his framework based on relative inflation forecast targeting (RIFT). In such a dual target-dual instrument framework, a central bank adjusts interest rates in response to changes in the relative inflation forecast. Exchange rate smoothing is viewed as a policy indicator variable and is carried primarily through foreign exchange (FX) market interventions. We further analyze repercussions and policy responses to the official reference exchange rate set within the ERM2 mechanism, which may differ from the dynamic equilibrium exchange rate as perceived by financial markets. In general terms, an official rate perceived by the market as suboptimal is likely to exacerbate exchange rate volatility. A rate viewed as too weak may jeopardize the inflation target while one which is perceived as too strong may contribute to real currency appreciation and the deterioration of balance of payments. We estimate the dynamic equilibrium exchange rate by employing the Johansen trace cointegration test and the threshold generalized autoregressive heteroscedasticity model with the in-mean extension and generalized error distribution (TGARCH-M-GED). The paper is organized as follows. Section 2 elaborates choices of parameters for a central bank loss function with respect to constraints imposed by the euro-convergence and ERM2. Different venues of expanding policy flexibility are overviewed in Section 3. A model outlining a central bank reaction function and instrument rules under the proposed policy framework is developed in Section 4. The implications of deviations of the official reference exchange rate from the dynamic market equilibrium rate are covered in Section 5. Empirical estimation of the dynamic equilibrium rate on the basis of the cointegration and volatility dynamics tests is examined in Section 6. A synthesis along with some policy recommendations is presented in Section 7.

This paper assumes a gradual transition of Poland's monetary policy in preparation for the ERM2 entry that would lead to an ultimate euro adoption. The transition pertains to the period preceding entry into ERM2, as well as the 2-year obligatory confinement to this interim monetary arrangement. In order to ensure a smooth transition, the present DIT strategy needs to be modified by taking into consideration exchange rate stability. We advocate adopting a policy framework based on relative inflation forecast targeting augmented with exchange rate stability objective. Within the proposed framework, interest rate adjustments are applied to steer the domestic inflation forecast towards that of the eurozone, while exchange rate stability is achieved mainly through FX market interventions. A proper design of the exchange rate policy within ERM2 is a perennial and fertile topic for research and policy deliberations that make inroads into an untested territory, since evidence on similar episodes in the world economy remains scant. We touch upon selected complexities of such policy design, including the fluctuations band asymmetry, intentional deviation of the official reference rate from the market-perceived long-run equilibrium rate, and comparable exchange rate volatilities at asymmetric boundaries of the fluctuations band. In essence, a choice of the optimal policy regime and its appropriate instrumentalization depends on the accurate determination of the long-term market equilibrium exchange rate and on the observed exchange rate volatility. If the volatility at the final stage of convergence to the euro (upon ERM2 entry) is excessive, adjustments in monetary policy instruments will have to be geared toward securing a stable exchange rate. However, if the volatility is subdued, the central bank's focus will remain on hitting the inflation target. We have attempted to determine both the dynamic equilibrium exchange rate and the exchange rate stability by employing cointegration and GARCH volatility tests. It should be emphasized that our analysis weights heavily on monetary authorities’ ability to contain risk, in particular the exchange rate and the inflation risk premia. Although our analysis is based on the prevalent monetary policy, as well as economic conditions and political risks of Poland, it is applicable to the circumstances of other NMS that are currently pursuing DIT strategy.