قوانین سیاست های پولی در کشورهای مرکزی و شرقی اروپا: آیا مسئله نرخ ارز است ؟

We estimate monetary policy rules for six Central and Eastern European Countries (CEEC) during the period when they prepared for membership to the EU and monetary union. By taking changes in the policy settings explicitly into account and by splitting up the exchange rate impact into two different components we significantly improve estimation results for monetary policy rules in CEEC. We uncover that the focus of the interest rate setting behaviour in the Czech Republic, Hungary and Poland explicitly switched from defending the peg to targeting inflation. For Slovakia, however, there still seemed to be on ongoing focus on the exchange rate. Finally, Slovenia and, after a policy switch, Romania exhibit a solid relation with inflation as well.

Monetary policy in Central and Eastern European Countries (CEEC) has drawn increasing attention from academics and practitioners. While preparing for membership to the EU and monetary union, the central banks in CEEC were challenged by high inflation in the earlier periods, and then managed to disinflate fairly successfully. The way this was achieved, however, was considerably different: The Czech Republic, Hungary, Poland and Slovakia focused on exchange rate targeting during the first years, but then gradually made their exchange rate system more flexible and adopted inflation targeting as their monetary policy strategy. Romania and Slovenia never officially had a fixed exchange rate regime. While Romania adopted inflation targeting only in August 2005, Slovenia officially followed a monetary targeting strategy for most of the time before adopting a two-pillar-like strategy in the run-up to monetary union (for the official exchange rate and monetary policy regimes see Table 1 and Table 2).For these six countries, the interest rate setting behaviour of a central bank can provide important insights into the objectives which are most important in its conduct of monetary policy. A standard approach is to estimate a Taylor-like interest rate reaction function. While the empirical literature concludes that the monetary policy by most successful central banks in large industrial countries can be described by such a reaction function (Clarida et al., 1998), evidence for emerging economies and particularly transition economies is comparatively poor. Regime shifts, however, seem to matter. Kahn and Parrish (1998), for example, find that significant structural breaks in the monetary policy reaction function occurred, after New Zealand and the UK introduced inflation targeting. In both countries the significance of the exchange rate lost importance. Neumann and von Hagen (2002) disclose the same result for a larger country set. Assenmacher-Wesche (2006) estimates reaction functions with time-varying coefficients for Germany, the United Kingdom and the US. These empirical results stress the importance of taking policy changes into account. Since CEEC are small open economies, one may argue that besides regime shifts also the exchange rate plays a major role in the reaction function. Ball (1999) argues that pure inflation targeting without explicit attention to the exchange rate is dangerous in an open economy, because it creates large fluctuations in exchange rates and output. In this context, the effects of exchange rates on inflation through import prices is the fastest channel from monetary policy to inflation, therefore monetary policy cannot neglect it. The need for considering the exchange rate will be obvious, if the monetary authorities explicitly target the exchange rate, as they (initially) did in many CEEC. However, the way the exchange rate enters the reaction function should then be different, because monetary policy has to react on potential violations of the exchange rate band in order to keep it credible. Thus the reaction is non-linear, as it will get stronger, the closer the exchange rate approaches the intervention margins. It will also be non-discretionary, because the authorities are obliged to react, as long as they intent to sustain the peg. In line with, e.g. Peersman and Smets (1999), our emphasis is on positive or descriptive rather than normative aspects of policy analysis. We investigate the role of the exchange rate by looking at the interest rate setting behaviour of the central bank and to which degree it has taken exchange rate developments into account. The paper thereby sheds some light on the discussion to which extent the interest setting behavior of these central banks complies with the “fear of floating” hypothesis, as analyzed by Calvo and Reinhart (2002). A central bank that changes interest rates systematically in response to inflation and also to exchange rate shocks is more likely to support evidence on this hypothesis, keeping in mind that the central bank nevertheless still may use interventions in the foreign exchange market as an instrument to steer the exchange rate. This paper adds to the literature in five ways: First, our analysis covers a longer sample period than most previous studies. We consider a substantial part of the transition period from January 1994 till August 2008. Second, whereas most works only include the Czech Republic, Hungary, Poland and sometimes Slovakia, we add Slovenia and Romania to the sample. Thus we consider all new EU member states in CEEC which one may assume to have pursued a more or less independent monetary policy during a considerable period of time.1 Third, the analysis takes explicitly into account shifts in exchange rate and monetary policy regimes that have occurred in all the countries of the sample. Fourth, we introduce a non-linear measure of distance to the intervention margins to identify those interest rate changes that stem from the peg. To our knowledge we are the first taking this effect into account. Fifth, we apply the cointegration methodology to interest rate rules as suggested by Gerlach-Kristen (2003), which has rarely been applied to transition economies. These innovations allow us to retrieve more realistic coefficients from our reaction function, and thus our model better describes the interest rate setting behaviour of the monetary authorities. The paper proceeds as follows: The following Section 2 reviews the research on interest rate rules in transition economies. Section 3 introduces our empirical approach and our distance measure. Section 4 describes the data and presents the empirical results, while Section 5 summarizes and concludes.

Many central banks in emerging market economies may pay special attention to exchange rate movements, even though they do not officially claim to target the exchange rate. In order to influence exchange rate developments the central bank can basically use two instruments: foreign exchange interventions and interest rate changes. We focus on the later monetary policy instrument by estimating open-economy monetary policy rules, in order to analyse to which extent central banks in Central and Eastern Europe have given the exchange rate a special role in their interest rate decisions. We estimate monetary policy rules based on a cointegration approach and explicitly take into consideration shifts in exchange rate regimes. The influence of the exchange rate on the interest rate setting behaviour of central banks in CEEC differs strongly between regimes. During periods of more rigid exchange rate arrangements the influence of the exchange rate dominates, i.e. the interest rate policy is mainly influenced by the distance to the intervention margins on which the central bank has to react in order to keep the peg working. During the time periods of more flexible exchange rate arrangements we find a stronger focus on inflation, namely, on the deviation of domestic inflation from the inflation rate set by the Maastricht criterion. This is, in particular, the case for the Czech Republic, Poland and Romania. The inflation coefficient for Slovenia also satisfies the Taylor principle, whereas for Hungary the coefficient is below, but not significantly different from unity. Slovakia remains a special case in the sample. The inflation coefficients do not satisfy the Taylor principle, and it seems that there has been an ongoing focus on exchange rate movements after switching from a fixed exchange rate regime to a managed float. The interest rate setting behaviour indicates an implicit peg, while the two revaluations of the central parity also indicate the challenges to the implicit peg during ERM2-membership.