سیاست های پولی و اثر علت هلندی در اقتصاد صادرات نفت

In this paper, we build a Multi-sector Dynamic Stochastic General Equilibrium (DSGE) model to investigate the impact of both windfall (an increase in oil price) and boom (an increase in oil resource) on an oil exporting economy. Our model is built to see if the two oil shocks (windfall and boom) generate, in the same proportion, a Dutch disease effect. Our main findings show that the Dutch disease effect under its two main mechanisms, namely spending effect and resource-movement effect, occurs only in the case of flexible wages and sticky prices, when exchange rate is fixed. We also compare the source of fluctuations that leads to a strong effect in term of de-industrialization. We conclude that the windfall leads to a stronger effect than a boom. Finally, the choice of flexible exchange rate regime helps to improve welfare.

The Dutch disease theory was developed after the Netherlands found large sources of natural gas in the North Sea in the 1960s. Large capital inflows from increased export revenues caused demand for the Dutch florin to rise, which, in turn, led to an appreciation of the Dutch exchange rate. This appreciation made it difficult for the manufacturing sector to compete in international markets. This theory has been the subject of abundant theoretical literature since the beginning of the 80s. It has been developed in a partial equilibrium framework and can be presented in two forms: the spending effect and the resource movement effect. Both effects lead to a decline of the manufacturing sector. This decline occurs because of the fall of output in this sector. Indeed, if the oil supply is not perfectly inelastic, a rise of oil price leads to an increase of the demand of labor and capital in the oil sector and increases wages and capital return in this sector. If the production factors are mobile, capital and labor will move from the manufacturing sector to the oil and service sectors which will cause de-industrialization. There are two main mechanisms by which the oil shocks affect the economic activity: the spending effect and the resource-movement effect.1 These effects are the essential components of the Dutch disease theory. The spending effect is caused by higher domestic incomes due to the increased revenues coming from resource discovery or an increase in oil prices. The higher incomes lead to increased expenditures on both tradable and non-tradable goods. The price of tradable goods is determined in international markets, so the increase in incomes in this small country has no effect on the tradable goods price. However, prices of non-tradable goods are established in the domestic market and consequently, would rise due to the increase in demand caused by the rise in income and expenditures. The higher relative prices of non-tradable goods increase the relative profitability of the non-tradable goods sector and, as a result, contract the tradable goods sector (not including the boom sector) (Neary and Van Wijnbergen 1986, p. 2). The resource movement effect occurs if the booming sector shares domestic factors of production with the other sectors of the economy. If so, then there is a tendency for the price of the factors to be bid up which would further squeeze the tradable goods sector. The boom increases the marginal product of factors initially employed in the booming sector, and so draws (mobile) resources out of other sectors. Consequently, there is a decline in the tradable goods sector whose producers would be unable to pay the higher prices for factors of production. These producers are unable to compete for the inputs and thereby prevent the manufacturers from purchasing all the supplies needed to maintain production levels. As a result, these producers decrease their output, contracting the traded goods sector. Two types of external shocks generate these effects: windfall and boom. Although they are both positive external shocks, a windfall shock (a rise of price of natural resource) does not incur costs while a boom shock (an increase in the stock of oil resources) does incur costs.2 Recent studies like Sosunov and Zamulin (2007), Lartey (2008), Batt et al. (2008), Acosta et al. (2009) and Lama and Madina (2010) have used DSGE models to assess the impact of a positive external shock in the case of a small open economy. These articles discuss the impact of a positive external shock as an increase of capital inflow (Lartey, 2008), remittances (Acosta et al., 2009) or of commodity prices (Sosunov and Zamulin, 2007, Batte et al., 2009 and Lama and Madina, 2010). These shocks are defined in the literature of the Dutch disease as windfall shocks. A boom shock which requires costs has not been studied. Indeed, none of these papers is directly concerned with the effect of boom shocks and even less by a comparison between both sources of Dutch disease. In addition, none of them assesses the role of monetary policy in each case. Finally, none of these models directly analyzes oil-exporting economies, which are the most vulnerable to this type of shocks. In this context, we build a small open oil-exporting economy model with four sectors while the above-mentioned contributions build DSGE models with only tradable and non-tradable sectors. In this paper we add an oil sector to better reflect the mechanisms of the Dutch disease described in the literature by Corden and Neary (1982). The latter assume that the economy is composed of three sectors: (i) the booming sector: after the discovery of a new resource or a technological progress in the commodity sector or a rise of natural resource price; (ii) the lagging sector generally refers to the manufacturing sector but can also refer to agriculture; (iii) the non-tradable sector includes services, utilities, transportation, etc. To investigate the impact of the two main sources of Dutch disease namely the windfall sector (an increase in oil prices) and the boom sector (an increase of oil resource) in a general equilibrium framework, we develop a Multisector Dynamic Stochastic General equilibrium (MDSGE) model with microeconomic foundations and price and wage rigidities. The model is based on recent studies that have developed models for small open economies (Dib, 2008, Bouakez et al., 2008, Acosta et al., 2009 and Lama and Madina, 2010). Drawing on these papers, we assume that the economy is inhabited by households, oil producing firms, non-tradable and tradable good producers, intermediate foreign goods importers, a central bank and a government. We also assume, as in Bouakez et al. (2008), that the domestic oil price is given by a convex combination of the current world price expressed in local currency and the last period׳s domestic price. We adopt, finally, a Taylor-type monetary policy rule where it is assumed that the monetary authority adjusts the short-term nominal interest rate in response to fluctuations in CPI inflation and exchange rate.3 The main finding is that the Dutch disease under both spending and resource movement effects occurs in the case of flexible prices and wages and flexible wages and sticky prices, when exchange rate is fixed. In other cases, the simulations indicate that Dutch disease effects do not arise when prices are sticky, wages and the exchange rate are flexible; prices and wages are sticky whatever the objective of the central bank is. We also compare the source of fluctuations that leads to a Dutch disease and we conclude that the windfall leads to a stronger de-industrialization compared to a boom. In this essay, it appears that the flexible exchange rate seems to be the best way to avoid the Dutch disease both in the cases of a windfall and a boom, but also to improve welfare compared to fixed exchange rate. In other words, it is preferable for a central bank, in an oil exporting economy, to adopt inflation targeting regime to prevent the impact of oil shocks. The rest of the chapter is organized as follows. In Section 2, we present the details of the model. Section 3 discusses the parameters calibration. Section 4 presents the results. Section 5 measures the welfare effect of both windfall and boom under alternative monetary policy rules. Section 6 concludes.

In this paper, we have built a multisector DSGE model to model the Dutch disease phenomenon. To do so, the model takes into account the tradable good sector, the oil sector, the non-tradable good sector and the import sector. The tradable good and oil sectors operate under perfect competition and the non-tradable goods sector operates under monopolistic competition. We have, thus, attempted to compare the response of the selected variables in the case of a windfall (increase in the oil price) and boom (increase in oil resources) and how monetary policy should be conducted to insulate the economy from the impacts of these shocks. The main finding shows that the Dutch disease under both spending and resource movement effects seems to be realized in the following cases: flexible prices and wages both in the case of a windfall and in the case of a boom; flexible wages and sticky prices only in the case of fixed exchange rate. In others cases, simulations have shown that the Dutch disease could be avoided: if prices are sticky and wages are flexible then the exchange rate is flexible; prices and wages are sticky whatever the objective of the central bank, in both cases: windfall and boom. Also, we compared the source of fluctuation that leads to a Dutch disease and we concluded that the windfall leads to a strong effect of Dutch disease in term of de-industrialization compared to a boom. The choice of flexible exchange rate regime also helps us to improve welfare compared to an ER rule. Finally, it appears that the flexible exchange rate seems to be the best way to avoid the Dutch disease both in the cases of a windfall and a boom. In other words, it is preferable for a central bank, in an oil exporting economy, to adopt inflation targeting regime to prevent the impact of oil shocks.