رژیم های نرخ ارز در کشورهای اروپایی مرکزی و شرق: اسناد در مقابل کلمات

We analyze whether de facto exchange rate regimes match de jure regimes in six Central and East European countries. Our first approach is based on the analysis of volatilities of exchange rates, reserves, and interest rates. In the second approach, we analyze movements of the exchange rate compared to those of possible anchor currencies. Our results indicate that Slovenia followed a crawling peg to the Deutsche mark and later to the euro de facto, but the evidence is less clear for the Romanian regime. We confirm that the Polish and the Hungarian regimes are close to the announced ones de facto, although we find some degree of implicit euro targeting for the Czech Republic and Slovakia. Journal of Comparative Economics34 (3) (2006) 467–483.

Many post-communist countries chose a fixed exchange rate as a tool of its stabilization strategy during the first years of transition. In the late 1990s, most countries moved to more flexible arrangements (Sachs, 1996). This strategy adds the benefits from pegging to the anchor currency in the beginning to the ability to cope better with volatile capital movements in the later period (Corker et al., 2000). The Visegrád Group, i.e., the Czech Republic, Hungary, Poland and Slovakia, took this route (Kočenda, 2002). Officially, the Czech Republic and Slovakia opted initially for narrow horizontal bands, while Hungary and Poland chose narrow crawling bands that served the dual objectives of maintaining competitiveness and moderating inflation (Szapáry and Jakab, 1998). Subsequently, these fixed exchange rate regimes became more flexible and, after widening the bands, the Czech Republic (1997), Poland (2000) and Slovakia (1998) declared managed or freely floating exchange rates. Hungary kept a fixed exchange rate during the entire sample period, although the band width was widened substantially. In 2000 the Hungarian forint was re-pegged to the euro; in 2001, the band was widened to 15% and changed from a crawling to a horizontal band to mirror the exchange rate regime envisaged in the Exchange Rate Mechanism (ERM-2). Early in the transition, other countries opted either for completely fixed exchange rates, i.e., the Baltic countries and Bulgaria, or rather flexible regimes, i.e., Romania and Slovenia.1 This development follows the bipolar view, which emerged as a consensus mainstream opinion of exchange rate policy.2 The bipolar view is based on the idea that, in a world of high capital mobility, adjustable pegs may be costly and difficult to defend so that they will be replaced by either hard pegs, i.e., currency boards and currency unions, or absolutely flexible exchange rate systems. According to official classification by the International Monetary Fund (IMF), the share of intermediate exchange rate regimes has declined during the last decade in support of this view, as Fischer (2001) discusses. However, Ishii and Habermeier (2002) point out that what countries say they are doing may not be what they are actually doing. Thus, fear of floating or de facto pegging has been widely accepted, as Calvo and Reinhart (2002) discuss.3 Hence, the IMF has acknowledge de facto exchange rate regimes since 1999, although the new classification remains a hybrid system combining data on actual flexibility with information on the official policy framework (IMF, 2004). According to this classification, the Slovenian and Romanian exchange rate regimes are crawling pegs even though these two countries announce managed floats officially. In addition to the standard arguments of reducing transaction costs for external trade and macroeconomic stabilization (Halpern and Wyplosz, 1997), at least two major reasons can be given for why countries may not let their currency float freely.4 First, small open economies are highly susceptible to exchange rate movements; therefore, the exchange rate must be considered by monetary authorities even if it is not the primary goal of monetary policy (Ball, 1999). Most of the EU accession countries in Central and Eastern Europe belong to this class of countries. Second, in many emerging and transition countries, financial markets are less developed and do not allow domestic firms to borrow in their home currency, which is deemed to be the original sin by Eichengreen and Hausmann (1999). Even if the exchange rate is officially floating, countries will have incentives to peg their exchange rates because their debt is nominated in foreign currency, as Hausmann et al. (2001) argue. Alternatively, a country may not find it convenient to commit to an official peg. Emerging and transition countries may lack the political support for the necessary but unpopular measures to defend the peg (Obstfeld and Rogoff, 1995). Furthermore, under an officially floating regime, adjustments of the exchange rate are less visible to the public and less costly politically than devaluations under an official peg (Obstfeld, 1997). The issue of whether countries follow their official announcement is crucial for assessing economic performance in terms of growth, volatility, inflation, and sensitivity to crises, as Reinhart and Rogoff (2004) discuss. Relying solely on the official announcements could be misleading, especially for economies in transition. While most studies are based on de jure classifications until the late 1990s, e.g. Flood and Rose (1995), recent literature tries to classify exchange rate arrangements in a more realistic manner. To identify de facto exchange rate regimes, one approach analyzes the development of exchange rates and policy variable that are indicative of exchange rate management by the central bank. Popper and Lowell (1994) take this approach for Pacific Basin countries; Hausmann et al. (2001) and Levy-Yeyati and Sturzenegger (2005) use it on a broad sample of countries. Schnabl (2004) applies this technique to Central and East European countries (CEEC). A second approach considers the outcomes of implicit exchange rate targeting, i.e., the behavior of exchange rates. Comparing exchange rate developments with those of some possible anchor currencies, Haldane and Hall (1991) analyze the transition of the British Pound from a dollar peg to a Deutsche mark peg. Frankel and Wei (1992) investigate the influence of the yen on the exchange rate policies of some Asian countries; Frankel et al. (2001) consider its impact on other emerging market economies. Bénassy-Quéré (1996) investigates de facto pegs for different regions, including some Eastern European countries during their early period of transition. Reinhart and Rogoff (2004) stress the importance of market-determined exchange rates and also consider the behavior of parallel exchange rates to construct a natural classification algorithm. In this paper, we focus on the issue of whether the CEEC under consideration have actually followed their officially announced exchange rate regimes.5 We apply both approaches discussed above to combine the information provided in each. In addition, we use an approach suggested by Frankel et al. (2001) for assessing the verifiability of exchange rate regimes. Finally, we distinguish subperiods in the exchange rate histories of transition countries and test statistically for additional structural breaks in the exchange rate arrangements. We concentrate on six CEEC that are in the process of joining the European Monetary Union (EMU) but have not opted hard pegs.6 The Visegrád Group, i.e., the Czech Republic, Hungary, Poland and Slovakia, and Slovenia have joined the European Union (EU) recently, while Romania is still preparing for EU accession. We begin in 1994 to exclude the early, more turbulent, years and continue through early 2004. Hence, we analyze the evolution of exchange rate regimes in CEECs during their transition and preparation for EMU membership. For the countries under consideration, some differences arise between the statements of monetary authorities and ratings by observers.7 Although we focus on exchange rate policy, a close relation exists between exchange rate policy and monetary policy. Due to this interdependence, we present a brief survey of monetary policy in the CEEC in Section 2 prior to our formal investigation of exchange rate systems. In Section 3, we investigate the degree of implicit exchange rate targeting by comparing volatilities of exchange rates, reserves, and interest rates based on Hausmann et al. (2001). In Section 4, we use regression analysis based on Frankel et al. (2001) to investigate to what extent exchange rate developments can be explained by a weighted basket of foreign currencies. This method allows us not only to analyze whether these countries have implicitly pegged their exchange rates, but it also helps us to detect the anchor currencies that these countries have chosen over time. Section 5 summarizes and concludes with some policy implications concerning EMU membership for these countries.

Our paper is a contribution to the existing literature on de jure versus de facto exchange rate regimes in Central and East European countries in that we combine two approaches. First, we analyze relative volatilities of exchange rate changes to reserves and interest rates following Hausmann et al. (2001). Then, we analyze the movement of the exchange rate compared to possible anchor currencies using a general econometric approach proposed by Frankel et al. (2001). This dual approach allows us to determine the de facto exchange rate regimes from a quantitative analysis and to perform various statistical tests. Our findings indicate that the Slovenian regime has the weakest match with its official policy. Our results indicate that the IMF's classification as a crawling peg is the de facto regime in Slovenia. In contrast, we cannot confirm the Romanian regime as a de facto crawling peg. Rather, our results suggest that, from time to time, the Romanian regime appears to be a crawling peg using a basket of euro and US dollar. Nonetheless, we cannot confirm the official announced managed float for Romania. Perhaps, the best interpretation of the Romanian regime is an unsuccessful de facto crawling peg. Our findings do confirm that the Polish zloty and the Hungarian forint have behaved according to their officially announced regimes during periods of more exchange rate flexibility, while the Czech and Slovak regimes exhibit limited implicit Deutsche mark or euro targeting within a horizontal band. Our results offer some policy implications concerning the preparation for entering the EMU to supplement the results in von Hagen and Zhou (2004). Due to its implicit crawling peg regime, Slovenia has exhibited some hysteresis in inflation. It must now tackle the task of staying within ERM-2 and, at the same time, achieve the inflation criterion for joining EMU. Romania is challenged with building up the credibility of its exchange rate regime before joining ERM-2. The Romanian authorities must choose either to move to a clear managed float or to shift the implicit anchor to the euro only rather than a basket of the euro and the US dollar. The Czech and Slovak regimes have mirrored implicitly the ERM-2 in that their exchange rates to the euro and Deutsche mark stayed within a ±15%±15% band around an average exchange rate since they shifted to managed floats. Last but not least, remaining successfully within ERM-2 will depend not only on past experience but also on a sustainable policy mix.