اثرات اقتصاد کلان از کاهش ارزش پول در مصر: تجزیه و تحلیل با استفاده از مدل تعادل عمومی قابل محاسبه با بازارهای مالی و انتظارات رو به جلو

This paper presents a general equilibrium model for Egypt, which allows for different forms of expectations formation and takes financial markets into account. Moreover, it uses a new calibration method. The model is used to examine the macroeconomic effects of a currency devaluation. The results show that the impact of a currency devaluation on the current account is small in the medium run, whereas effects on production are substantial in the medium term. Finally, results differ considerably for forward-looking or adaptive expectations.

This paper presents a newly developed computable general equilibrium (CGE) model for Egypt including a financial sector. Egypt has a longstanding tradition in CGE modelling, which started with a Cairo University–M.I.T. research project in 1977. This was followed by a constant flow of CGE models. None of these modelled financial markets (see Löfgren, 1994). The paper also describes a new method to calibrate large CGE models. While all existing models calibrate the model to one specific year, in our model some crucial parameters are based on a calibration over a time period. This makes our model much more suitable to analyze the medium-run effects of different economic policies. Additionally, the model allows different forms of expectations formation. We are able to calibrate and simulate the model assuming completely forward-looking expectations, adaptive expectations, and some intermediate forms. The model is used to examine the macroeconomic effects of a currency devaluation in Egypt. The necessity of a devaluation of the Egyptian pound has always been one of the most contentious issues in discussions between the IMF and the government of Egypt. During the 1995–1996 negotiations, the IMF emphasized the need of a further devaluation of the Egyptian pound, whereas the Egyptian government strongly opposed it. We argue that it is important to analyze the impact of a currency devaluation in the framework of a general equilibrium model, since supply side and demand side effects as well as feedback effects between different sectors should be considered. However, most existing CGE models are of dubious value to examine the effects of a devaluation, since they rarely pay attention to the modelling of expectations and only rarely model a financial sector. While forward-looking expectations play a prominent role in the theoretical literature on currency devaluations, there are only a few CGE models in which expectations are forward looking (exception is Agénor, Haque, & Montiel, 1993). After giving an overview of the model and explaining the calibration method in the following two sections, the simulation results are presented in Section 3. Section 4 concludes.

This paper shows that the impact of a currency devaluation in Egypt on the current account is relatively strong in the short-run, whereas in the medium run the effects become much smaller. This applies both for forward-looking expectations and for adaptive expectations. The impact of a devaluation on production also changes over time, which is in line with Agénor et al. (1993). However, the effects remain substantial, even in the medium run. Moreover, they differ considerably for forward-looking or adaptive expectations. In the case where expectations are forward looking, production is negatively affected, whereas production is positively affected in the case of adaptive expectations. A reason for this outcome is that with forward-looking expectations, in contrast to adaptive expectations, a devaluation has a strong initial positive effect on the lending rate for firms. This has a negative effect on investment and, thereby, on the medium run, a negative effect on production. More importantly, the results show that in order to analyze the effects of a devaluation, it is very important to use a model in which financial markets are taken into account, as these strongly affect the results obtained with the model. Moreover, it appears that expectations formation is crucial for the outcomes. This poses an important problem for policymakers, since they are usually not aware of the exact way expectations are actually formed and clearly points at the relevance of more research on expectations formation.