رژیم نرخ ارز و ارتباط بین پول و خروجی در یونان

This paper examines the long-run relationships that might exist between output, money, price, trade balance, and the exchange rate under flexible and fixed exchange rate regimes. Johansen’s maximum likelihood method is used to estimate the existence and the significance of long-run equilibrium relationships among nominal and real variables and among external and domestic variables during periods of fixed and flexible exchange rates. The empirical findings suggest that all variables are co-integrated, indicating a long-run equilibrium relationship. These results are reinforced by additional tests regarding the absence of variables from co-integrating vectors, weak exogeneity tests and variance decompositions. The empirical evidence shows that “money matters” whatever the exchange rate regime, creating however, significantly higher disturbances under the flexible exchange rate case.

The economics of exchange rates has received a lot of attention in the literature for at least three reasons. First, the apparent misalignment of major exchange rates in the last two decades and its relation to the structural characteristics of a particular economy (i.e., trade imbalances, wage price flexibility) forced a reconsideration of what the appropriate exchange rate regime. Second, economic (monetary) policy credibility has been directly linked to the exchange rate regime. Pegging the exchange rate to a “hard currency” or to a basket of “hard currencies” to be considered as a commitment by policy makers’ to stabilising the economy. Third, exchange rate regimes are directly linked to recent attempts at regional integration (i.e., European Union and North American Free Trade Area). Common to most studies of this literature is the important distinction between short-run dynamic adjustment and long-run equilibrium relationships between nominal and real variables on one hand and between domestic and external variables on the other. Isard (1995) surveys the economics of the exchange rate. A number of recent empirical studies have used the co-integration approach to investigate the existence of a long-run equilibrium relationship between the exchange rate and a number of fundamental variables such as output, money, inflation, interest rate and trade balance. Cifarelli (1995) used co-integration tests to identify long-run relationships between the dollar/sterling exchange rate and the fundamental variables over the period 1979–1989. He found that from February 1985 to June 1989, the exchange rate was co-integrated with money supply, the nominal interest rate, the expected inflation rate and the trade balance between the two countries. Only the first two variables were co-integrated with the exchange rate over the April 1979 to March 1985 period. Faruqee (1995) has applied co-integration analysis to explain long-run movements of the USA and the Japanese exchange rates during the 1951–1990 period. He found that productivity differentials in both countries share a long-run relationship with the real exchange rate. Also, for the USA, co-integration tests indicated a long-run relationship with net foreign assets. Joyce and Kamas (1994) have used co-integration tests to identify long-run relationships between the exchange rate and fundamental variables under alternative exchange rate regimes in the USA. Their results support the existence of co-integrated relationships between the relevant variables. Alexakis and Apergis (1994) examined the relationship between savings and investment under fixed and flexible exchange rate regimes in the USA using co-integration analysis. They found that a long-run relationship exists under a fixed exchange rate regime with capital controls. The relationship breaks down under flexible exchange rates and the relaxation of capital controls. Finally, Bahmani-Oskooee and Alse (1995), using quarterly data from a number of countries and co-integration analysis, found mixed results for the long-run relationship between the trade balance and the terms of trade. However, in the aforementioned survey, Taylor (1995, p. 29) pointed out that “the usefulness of the co-integration approach suggested by these studies should, moreover, be taken as at most tentative: their robustness across different data periods and exchange rates has yet to be demonstrated”. The present study attempts such a “demonstration” using monthly Greek data from fixed and flexible exchange rate periods. Several studies for the Greek economy deal with the problem of the linkage between money and output.1 However, they cover a limited period of exchange rate flexibility, using annual data, and they adopt a traditional econometric methodology, which is different from the one implemented in this paper.2 In this study, the relationship between money, output, price, trade balance, and exchange rate is examined under a fixed exchange rate period (January 1960 to July 1971) and under a flexible exchange rate period (August 1971 to March 1994). The statistical analysis of the data is done using multivariate co-integration techniques suggested first by Johansen, 1988, Johansen, 1991 and Johansen, 1992 and Johansen and Katarina (1990). Co-integration analysis supplies empirical estimates for the long-run properties of a set of variables. Then variance decomposition analysis is applied to investigate the source of the forecast error variance in each variable by its own innovation and the innovations of the other variables. The paper is organised in seven sections, including this introduction. Section 2 examines some theoretical issues of fixed and flexible exchange rate regimes as they relate to the co-integration approach. Section 3 discusses the exchange rate policy for the Greek economy and the data definitions. Section 4 reports the results of the statistical properties of the variables (unit root tests), while Section 5 analyses the results of co-integration tests. Section 6 presents the variance decompositions and Section 7 concludes the paper and provides the policy implications in the light of the recent developments in the Greek Economy and its relation to the European Union.

This paper used co-integration analysis and variance decompositions to examine the impact of money on real domestic and external variables under a fixed and a flexible exchange rate regime. The application of unit root and co-integration tests indicates that despite the exchange rate regime, a long-run equilibrium relationship exists among output, money, the trade balance and price. Moreover, variance decompositions predict a larger effect of money on output under a flexible exchange rate regime relative to a period of fixed exchange rates. However, the extent of the impact depends on the definition of money and the ordering of the variables. A wider definition of money has a larger impact. In addition, monetary variables do not explain much of the variance of the forecast error of external variables, trade balance and the exchange rate under the flexible exchange rate regime. The impact is larger when a wider definition of money is used. The overall empirical results do not entirely support any theoretical model but this may be due to the role of policy-making shifts throughout the period. It is worth noting that the findings of long-run relationships are robust during this period because of the occurrence of policy-making shifts and the international disturbances,9 thus, making them important for policy prescriptions. The empirical evidence presented in this paper supports the view that price innovations and output innovations are outcomes of monetary disturbances under the flexible exchange rate period. This suggests that “money matters” and Greek policy makers should adopt a pragmatic approach in attaining the economic targets. The option of the Greek policy makers on March 1998 for drachma participation in the ERM II is on the right track. However, they have to redefine the scope of the monetary policy by shifting it from the role of an instrument, which attains the simultaneous inflation and exchange rate targets. In this context monetary policy should focus on maintaining its pursuit to of exchange rate target. The existence of a technology commitment (ERM II) provides credibility to the policy makers and renews the expectations for a rapid reduction in inflation that is comparable to the Euro countries’ rates. As Apergis (1997) has empirically demonstrated, changes in the exchange rates has an impact on the diversification of monetary holdings by the economic agents. The internationalisation of financial markets makes this diversification much stronger, making it more difficult for national authorities to implement an efficient monetary and/or fiscal policy. Although the role of fiscal variables have not been examined in this work, it can be argued that recent research demonstrates that the cumulative deficits in the light of the late fiscal developments in Greece, do not undermine the stabilisation process followed since 1992 to attain the criteria set by the Maastricht Treaty.10 With monetary policy being confined to serving exchange rate targets, the policy makers are asked to achieve low and stable inflation rates, by continuing the present restrictive fiscal stance and taking policy measures that assist the liberalisation of labour markets in an effort to reduce the unit labour cost.