قوانین نرخ بهره برای رژیم نرخ ارز ثابت

This paper shows that properly designed interest rate rules can be consistent with maintaining exchange rate stability. It sheds light on the relation between interest rate rules, exchange rate regimes, and determinacy of the rational expectation equilibrium in a modern macroeconomic framework.

The performance of alternative rules for interest rate setting by central banks of open economies has been the subject of increasing attention in the literature.1 Interest rate rules can be used to achieve a variety of policy goals. Among these, properly designed interest rate rules can be consistent with maintaining exchange rate stability. This paper sheds light on the relation between interest rate rules, exchange rate regimes, and determinacy of the rational expectation equilibrium of the economy. As discussed in Obstfeld and Rogoff (1996),2 although a fixed exchange rate implies equality between the domestic and foreign interest rates, pegging the domestic interest rate to the foreign one is not sufficient to fix the exchange rate in all periods. Indeed, simple interest rate pegging by the follower country in the exchange rate arrangement results in indeterminacy of the exchange rate and (plausibly) of the real economy. The solution proposed by Obstfeld and Rogoff combines interest rate pegging with the specification of at least one point in the money supply path, so that the level of the nominal exchange rate is determined. This is the device used by Taylor (1994) and Wieland (1996). Our contribution consists of showing how it is possible to implement a fixed exchange rate arrangement in a framework in which policy in the follower country does not need to specify any point in the path of money supply. We propose a class of interest rate rules for the follower country that determine a unique equilibrium with a fixed exchange rate when combined with the credible threat to suspend currency convertibility if the exchange rate settles on an explosive path. The rules we consider produce equality between the domestic and foreign interest rate endogenously in all periods as a feature of the rational expectations equilibrium. We show that there is a multiplicity of rules consistent with a fixed exchange rate regime for the same exchange rate parity. Multiple equilibria can arise only when the commitment to the rule that yields exchange rate stability and determinacy (or to the threat of suspending convertibility) is not perfectly credible. Determinacy of the fixed exchange rate does not necessarily imply determinacy of other domestic (or foreign) variables. Assuming that also the leader country is following an interest rule, for the world economy to be determinate, it is necessary that the interest setting rules of both countries be consistent with determinacy.3 The rule followed by the leader country determines the nature of the fixed exchange rate regime because it sets the course of monetary policy for the world economy. In this sense, there is a multiplicity of fixed exchange rate regimes for the same exchange rate parity: changes in the rule of the leader country face the follower with changes in the global monetary environment and in the welfare level implied by sticking to the fixed exchange rate commitment. However, for given policy of the leader country, the rule through which the exchange rate commitment is implemented by the follower is welfare-neutral in a determinate world economy. The structure of the paper is as follows. Section 2 revisits the problem discussed in Obstfeld and Rogoff (1996) by showing that interest rate pegging does not yield a fixed exchange rate and generates indeterminacy, holding the monetary rule of the leader country exogenous. Section 3 shows how to design interest rate rules that are consistent with a fixed exchange rate commitment. Section 4 discusses the importance of the rule followed by the leader country for determinacy of the world equilibrium and the nature of the global monetary regime. Section 5 illustrates the arguments of the previous sections by means of simple log-linear examples. Section 6 concludes.

As discussed by Obstfeld and Rogoff (1996), pegging the domestic interest rate to that of a foreign, leader country does not yield a fixed exchange rate. It results in instability and indeterminacy. We propose a solution to this problem in terms of interest rate feedback rules for the follower country so that we ensure the determinacy of the fixed exchange rate equilibrium in a rational expectations setting under relatively weak conditions. A multiplicity of welfare-neutral rules will do. The class of rules we propose differs from other approaches in the literature (such as Taylor, 1994; Wieland, 1996) because it does not require the specification of any point in the money supply path. The rule of the leader country is important to have determinacy of the world equilibrium and will set the other macroeconomic features of the fixed exchange rate regime.