جریان سرمایه، انعطاف پذیری نرخ ارز، و نرخ ارز واقعی

This paper first analyzes the impact of capital inflows on the real effective exchange rate for a sample of 42 emerging and developing countries over the period 1980–2006. The results from the pooled mean group estimator show that both public and private inflows are associated with an appreciation of the real effective exchange rate. Among private inflows, portfolio investments display the biggest impact on the appreciation – almost seven times that of foreign direct investment or bank loans – while private transfers have the smallest effect. The paper also shows that a more flexible exchange rate regime, measured by different indicators, could effectively dampen the real appreciation associated with capital inflows, supporting countries’ competitiveness.

Policy maker soften seek to attract external financing to cover savings-investment gaps and to promote growth and economic development (Dornbusch, 1998). Their strategy can be implemented through the openness of the capital account, although over the last decade the benefit of this openness has become a controversial issue (Kose et al., 2006). A significant increase in capital inflows could, for instance, weaken the financial system by exacerbating maturity and currency mismatches between banks’ assets and their liabilities. Large capital inflows could also push the real effective exchange rate (REER) above its long-run equilibrium level, weakening countries’ competitiveness (Calvo et al., 1993 and Agenor, 1998). The analysis of the surge of external financing, especially private flows, and the potential impact of the so-called “transfer problem” on the real effective exchange rate (REER) of developing economies is the focus of this paper. Private flows to emerging and developing economies have steadily increased since the 1980s, while public flows have decreased. For the sample of 42 countries we consider,2 private flows swelled from less than 2% of GDP in the early 1980s to in excess of 6% in 2005/6. This increase is even more dramatic for low-income countries, where private flows jumped from 1.5% to almost 10% of GDP during the same period. This spectacular rise in private flows was driven by foreign direct investment (FDI), current private transfers (mainly remittances), and portfolio investment, which substituted for commercial bank loans as the main components of private flows after 1990. Such changes underline the importance of reassessing what some authors refer to as the “transfer problem.” With most studies exploring the effect of aggregated capital inflows on the REER, this paper contributes to the literature by analyzing the reasons why different components of private flows (FDI, portfolio investment, bank loans, and private transfers) impact the REER differently. In addition, as various macroeconomic tools can be used to dampen the REER appreciation effect of capital inflows (IMF, 2007), we also explore how the flexibility of the exchange rate may modify this outcome. The analysis uses a sample of 42 countries over the period 1980–2006. The pooled mean group estimator is adopted, allowing short-run heterogeneity while imposing long-run homogeneity on the REER determination across countries. The results show that public and private capital inflows are positively correlated with an appreciation of the REER that may conflict with the competitiveness of the economy. Among private flows, portfolio investments have the biggest appreciation affect – almost seven times that of FDI or bank loans – while private transfers have the smallest effect. Furthermore, de facto measures of exchange rate flexibility suggest that a more flexible exchange rate could effectively dampen the real appreciation associated with capital inflows. The rest of this paper is organized as follows. Section 2 stresses potential heterogeneity on how different types of capital flows would affect the REER. This section also discusses the role played by the exchange rate regime. Section 3 presents the econometric model. Section 4 analyzes the results and provides some robustness checks. Section 5 concludes.

This paper has analyzed the effect on the REER of capital inflows and their components, as well as the potential impact of exchange rate regimes on these relative prices. Using the pooled mean group estimator (Pesaran et al., 1999), which accounts for long-term homogeneity in the behavior of the REER across countries, while allowing for short-term heterogeneous shocks, we show that private and public capital inflows are associated with REER appreciation. Disaggregating private capital inflows emphasizes that the appreciation effect associated with private flows differs by type of flow – portfolio investments, which are more volatile, have the highest appreciation effect, followed by FDI and bank loans. Since FDI and bank loans are potentially related to an increase in productive capacity, the real appreciation associated with them is barely one-seventh of the real appreciation associated with portfolio investments. Private transfers, capturing mostly remittances, are the flows that have the smallest appreciation effect. This may suggest that remittances are more counter-cyclical than pro-cyclical, helping countries offset the real depreciation of their exchange rate during periods of economic slowdown. Countries often implement policies to reduce or avoid the loss of competitiveness associated with the REER appreciation that follows capital inflows. We have assessed the effectiveness of the exchange rate flexibility policy, one of the main macroeconomic tools for countries to manage significant capital inflows. Using a de facto measure of exchange rate flexibility, we find that this flexibility helps dampening real appreciation associated with capital inflows. This result is robust to alternative measures of exchange rate flexibility. When implementing policies to attract capital flows, developing countries should consider that a significant REER appreciation might destabilize macroeconomic management. Particular attention should be given to short-term flows, such as portfolio investments, which could have a considerable real appreciation effect compared to other types of capital flows. Resisting nominal appreciation of the exchange rate through intervention in the foreign exchange market does not prove to be useful for avoiding a real appreciation. Allowing the exchange rate some flexibility could help to neutralize appreciation stemming from capital inflows and avoid a significant loss of competitiveness.