اعتبار سیاست های نرخ ارز کشورهای مستقل مشترک المنافع - نمایش تاجر فنی

Stabilizing the exchange rate is a major monetary policy goal in a number of CIS countries. We present a technical traders–fundamentalists model of the foreign exchange market that allows us to classify de facto exchange rate management and derive a market based measure of the credibility of these exchange rate regimes. In our empirical analysis we compare the exchange rate policies of Belarus, Kazakhstan, Russia and Ukraine with the benchmark of three candidates for EU accession, namely Bulgaria, Romania and Turkey. Our results indicate that markets assign a relatively high degree of credibility to the exchange rate management of the CIS countries. The paths to credibility, however, were quite different.

Stabilizing the exchange rate is a major monetary policy goal in several members of the Commonwealth of Independent States (CIS).1 By pegging their exchange rate governments typically want to promote trade and/or improve the credibility of their monetary policy. Thus exchange rate management does not only imply the stabilization of the external price of the currency, but is also considered to be a means of stabilizing the internal price level. Pegging the domestic currency to a stable nominal anchor is seen to be a straightforward way to improve the transparency and accountability of monetary policy as the exchange rate is a simple, easily understandable and measurable target variable. After the contagion effects of the 1998 Russian Ruble crisis had bottomed out, the CIS countries chose different paths to regain monetary stability (see Keller and Richardson, 2003 for an overview). Belarus, Kazakhstan, Russia, and Ukraine have reduced inflation considerably by managing their (US Dollar) exchange rates. However, the crawling band of the Belarus Ruble to the US Dollar and/or the Russian Ruble is still accompanied by high two digit inflation rates, while the Kazakhstan, Russia, and Ukraine followed policies of de facto exchange rate management and lowered inflation below 12%. In 2002 Ukraine even experienced a slight deflation. The main objective of the monetary policy in the CIS is price stability, accompanied by exchange rate stability (Belarus and Ukraine) or prevention/limitation of a real appreciation (Kazakhstan and Russia). The central banks in Russia and Ukraine have de facto operational independence. The central banks in Belarus and Kazakhstan, on the other hand, are neither de jure nor de facto independent. Having experienced the 1998 Russian Ruble crisis and the 2001 crisis of the neighboring Turkish Lira, investors as well as long term trade contractors are particularly wary in their assessments of the economic situation and policies of the CIS. Therefore, markets’ assessments of the CIS monetary policy might serve as a valuable indicator of the (future) economic stability in the region. We analyze the exchange rate behavior and the credibility of the exchange policy in a microstructure model of the foreign exchange market. This approach is based on market sentiments and has the major advantage that the empirical analysis relies on exchange rate data only. In particular, it does not need any macroeconomic data nor any data on the market microstructure, both potential sources of data problems.2 Our approach is based on Jeanne and Rose (2002), which we extend by taking into account the macroeconomic environment. The market microstructure is based on the interplay of fundamental and technical traders. As in De Long et al. (1990) technical traders react to trend signals and create excess volatility through their actions (see also De Grauwe et al., 1993, Frenkel, 1997 and Hung, 1997). Strong signals, e.g. steep or rampant trends, induce technical traders to enter the market thereby increasing the exchange rate volatility. This yields a U-shaped relation between the observed exchange rate trend and volatility, i.e., observed exchange rate volatility “smiles”. Monetary policy influences the volatility of the exchange rate via two channels, fundamentals affecting base exchange rate volatility and credibility influencing excess volatility. In the case of a managed exchange rate, the conditional volatility of the exchange rate is low either due to currency market interventions and/or an exchange rate orientated interest rate policy. In contrast, exchange rate volatility is high in the case of a floating rate regime. If the exchange rate management is credible, excess volatility is low as technical traders will react more reluctantly to trend signals, since they expect trend breaking interventions. Obviously excess volatility is high, if the credibility of the exchange rate regime is low. Combining these results we can identify four sectors corresponding to four types of exchange rate regimes in the fundamental volatility — excess volatility plane: 1) credibly managed exchange rate regimes with low base and low excess volatility, 2) non-credibly managed exchange rate regimes with low base and high excess volatility, 3) floats of large currencies with high base and low excess volatility, 4) floats of small currencies with high base and high excess volatility. Tight pegs with virtually no exchange rate volatility and currency crises with extremely high volatility are the border cases. In our empirical analysis we compare the exchange rate policies of Belarus, Kazakhstan, Russia and Ukraine as the four largest and economically stable CIS countries with the benchmark of three potential candidates for an EU accession, namely Bulgaria, Romania and Turkey. In doing so we focus on the – the official exchange rate regime, – the de facto exchange rate behavior, and – the markets’ assessments of the exchange rate policies, i.e. the credibility of the central banks’ announcements and actions. We empirically determine the development of de facto exchange rate regimes of these countries and test their credibility as assessed by the market participants. In contrast to classification schemes in von Hagen and Zhou (2002), Levy-Yeyati and Sturzenegger, 2003 and Levy-Yeyati and Sturzenegger, 2004, or Reinhart and Rogoff (2004), we explicitly differentiate between exchange rate regimes with high and low credibility. Concerning the choice of the nominal anchor the high level of dollarization in the CIS3 has made the US Dollar the natural choice. However, the degree of dollarization is currently declining in some of these countries. Therefore monetary policy in the CIS might be re-orientated in the long run. The growing importance of the Euro-area trade might suggest the Euro or a Euro–US-Dollar currency basket as a nominal anchor (see Keller and Richardson (2003)). Therefore we analyze both the Euro and the US-Dollar exchange rates of the CIS countries. In a first step we analyze the measured exchange rate trend and volatility relation with kernel regressions. Our empirical results confirm the model prediction of a U-shaped relation between observed exchange rate trend and volatility. Using a parametric regression we then analyze the evolution of monetary policies and their credibility throughout the sample period. We find that in the case of all four CIS countries the markets assign a relatively high degree of credibility to the exchange rate management. The paths to credibility, however, were quite different. Russia had reached some stability and credibility as early as 1995. The Ukraine and Kazakhstan gained stability for the first time in 1996 respectively 1997 while Belarus had considerable credibility problems until 2000. The 1998 Russian Ruble crisis disrupted the exchange rate policies in all of these countries and each country went its own way to recover. Belarus like Romania manages the exchange rate as a crawling peg. Romania pegs its exchange rate to the Euro, while Belarus has chosen the USD as nominal anchor. Markets assign a certain degree of credibility to both crawling pegs. The relatively constant rates of depreciation appear to have only nominal effects. Taken together all four CIS countries have reached relatively high levels of stability and credibility compared to the benchmark of the potential EU accession countries. The growing importance of the Euro-area trade also seems to affect the exchange rate policy. The stabilization of the USD exchange rates also includes the smoothing of the Euro rates, however to a somewhat lower degree. The remainder of the paper is organized as follows. In Section 2 the choice of the nominal anchor for an exchange rate regime is discussed before in Section 3 the theoretical model is presented. Section 4 presents the empirical evidence. Section 5 describes the phenomenon of dedollarization based on the empirical evidence for the newly gained credibility presented in Section 4, while Section 6 concludes.

We find that in the case of the four CIS countries Belarus, Kazakhstan, Russia and Ukraine the markets assess the exchange rate management as relatively credible. Both the de facto peg of the Ukraine and the crawling peg of Belarus as well as the exchange rate management of Kazakhstan and Russia are characterized by low fundamental and low excess volatility. Only the Ukrainian peg faced minor credibility problems in 2003. The paths to gain this credibility, however, were quite different. Russia had reached some stability and credibility as early as 1995. The Ukraine and Kazakhstan gained stability for the first time in 1996 respectively 1997 while Belarus had considerable credibility problems until 2000. The 1998 Russian Ruble crisis disrupted the exchange rate policies in all of these countries. While Russia suffered from credibility problems in 1999 and had recovered in 2000 the crisis affected other CIS countries heavily in 1999. Kazakhstan regained full credibility and fundamental stability as early as 2000, while the Ukraine remained with a high level of fundamental volatility in 2000 and Belarus struggled with credibility problems in 2000. Belarus like Romania manages the exchange rate as a crawling peg. Belarus has chosen the USD as nominal anchor, while Romania pegs its exchange rate to the Euro. Markets assign a certain degree of credibility to both crawling pegs. The relatively constant rate of depreciation appears to have only nominal effects. Taken together all four CIS countries have reached relatively high levels of stability and credibility compared to the benchmark of the EU accession candidates. All four CIS countries have chosen the US Dollar as their nominal anchor. The process of dedollarization in Russia might offer the possibility to switch to a new policy target without risking to loose credibility. The credibility gained through a policy of monetary stability over the past years might serve as the basis for a credible monetary policy focused on a different target. The growing importance of Euro-area trade might provide an incentive to include the Euro exchange rate as a policy target. When moving to an internal anchor, e.g. inflation targeting, maintaining credibility could be much more difficult, since monetary policies in the CIS do not have a positive record for this class of policy targets.