ارزیابی هماهنگ رژیم نرخ ارز آسیایی: پیشنهاد برای یک حرکت ممکن نسبت به یک ارز مشترک
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|9244||2010||17 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Financial Markets, Institutions and Money, Volume 20, Issue 2, April 2010, Pages 149–165
This study assesses prospective Asian exchange rate regimes and finds short- and long-run currency dynamics more conducive to the introduction of a common peg based on a basket of the European euro, the United States dollar and the Japanese yen than the alternative of a United States dollar peg exchange rate regime. Exchange rate systems of 3- 4- and 5-Asian currencies are considered and the dynamics in a set of four European currencies prior to the introduction of the Euro provides benchmark evidence. The evidence for an Asian basket peg exchange rate regime is strengthened when, unlike prior studies, estimates of the long-run parameters account for time-varying volatility effects.
One of the reasons given for the recent (2008) global financial crises is the presence of persistent imbalances in international financial flows. It has been noted that many Asian countries have savings rates that are considered too high, resulting in the accumulation of large foreign exchange reserves by these countries. In addition, the US is forced to run huge international deficits to supply the financing needed for world trade, especially exports from these Asian countries. It is further contended that much of this problem of imbalances in global financial flows originates in some Asian exchange rates that are semi-fixed at unrealistic levels. Thus, the nature of exchange rate regimes in Asia has been and continues to be a very important issue. There is ongoing debate regarding the merits and disadvantages of fixed versus flexible exchange rates with respect to realising the objectives of Asian financial stability, economic development, and sustained economic growth (see, Frankel, 1999, Fischer, 2001, Guillermo and Mishkin, 2003, Huang and Guo, 2006 and Jeon and Zhang, 2007). While flexible exchange rates allow greater macroeconomic policy freedom, fixed exchange rates facilitate the economic integration between cooperating countries. This ‘two-corner solution’ debate, however, has become less compelling in recent years in light of the revealed vagaries of foreign exchange markets (see Meese and Rogoff 1983; Frankel and Rose, 1996 and Froot and Ramadorai, 2005). Furthermore, Esaka (2009) finds no evidence that, as the ‘two-corner solution’ argues, intermediate exchange rate regimes have a significantly higher probability of currency crises than both hard pegs and free floats. In this vein, an important strand of the extant literature examines relevant macroeconomic criteria, e.g., the level of correlation of economic shocks and the level of intra-regional trade (see Mundell, 1961 and McKinnon, 1963), and advocates the inception of a more co-ordinated Asian exchange rate regime as an interim step towards an optimal currency area (see Eichengreen and Bayoumi, 1996, Ling, 2001 and Huang and Guo, 2006). A recent example is Shirono (2008), who estimates trade-creating effects and welfare effects of various common currency arrangements in East Asia using a gravity model with bilateral trade data for 1980 and 1990. The study finds that a single currency in East Asia will stimulate regional trade substantially and regional currency arrangements can generate economically significant welfare gains for the region. However, while these studies show the potential benefits of a currency union, they have not assessed either the optimal construction or the feasibility of forming such a currency union. Virtually all of the Asian authorities appear to have traditionally followed a United States dollar standard at some point in the past (see Frankel and Wei, 1994, McKinnon and Schnabl, 2004 and Kearney and Muckley, 2007). However, the growing intra-Asian trade and investment linkages have largely eroded the significant merit of that system with respect to price stability, financial market and trade integration, and current account imbalances, culminating (in part) in the Asian financial crisis of 1997–1998 (see Ito et al., 1998, Kwan, 2001, McKinnon and Schnabl, 2003 and McKinnon, 2006). Chow et al. (2007) find that the role of the U.S. dollar has declined recently in East Asia after the 1997 crisis while that of the yen and other currencies remains mostly the same. In addition, the volatility of the US dollar–Japanese yen exchange rate, particularly in recent years, has weakened the desirability of a United States dollar based exchange rate system for Asia. As a result, a reversion to the dollar standard in Asia implies undesirable fluctuations in effective trade weighted exchange rates, unless the exchange rates of important trading partners are stabilised relative to one another. However, this seems unlikely (see Engelmann et al., 2008). Alternative hypotheses concerning the likelihood of a reversion to a United States dollar peg exchange rate regime are also present in the literature. Specifically, it is reported that the East Asian economies have pursued a strategy of development based on currency under valuation with a view to stimulating exports and hence trade surpluses (see Dooley et al., 2004). Alternatively, McKinnon and Schnabl (2004) and McKinnon (2007) indicate that the East Asian economies may be ineluctably trapped into experiencing trade surpluses on the current accounts of their international balance of payments as a result of their high savings rates and a reluctance to allow their currencies to appreciate relative to the United States dollar with a resulting accumulation of dollar denominated assets by these economies. However, as noted earlier, this imbalance in global financial flows is unsustainable in the long run (Bergsten, 2009). Thus, there are a number of reasons to re-examine the feasibility of a currency union in Asia. First, in the last couple of decades, the economic situation of various countries in Asia has changed significantly. While the Japanese economy has long stagnated (“lost decade”—now two lost decades) and its real income has even declined at times, East Asian economies have continued to grow impressively despite the 1997 currency crisis. While it is undeniable that Japan is still a dominant economy in East Asia, the economic footing of Japan relative to its neighbouring countries, has declined in relative terms so as to raise questions as to whether there is any room for Japan to play a significant role in the exchange rate policy in East Asia, especially in terms of forming a currency union among East Asian economies. Second, as noted above, reverting to a US dollar based Asian exchange rate regime is also not a desirable alternative. Third, while the development of the prior literature on currency unions in Asia is engaging, this literature neglects to address the important issue of the relative feasibility of alternative exchange rate regimes. This article assesses two prospective more co-ordinated Asian exchange rate regimes with particular attention to the feasibility of their inception. First, this article examines the feasibility of a currency basket system in Asia (see Ogawa and Ito, 2002, Kawai, 2002 and Williamson, 2005). The Euro area, Japan and the United States are the largest trading partners of the Asian countries (see Williamson, 2005). Consequently, we calibrate the feasibility of introducing a common basket peg exchange rate regime in Asia oriented about the corresponding currencies: the Euro, the Japanese yen and the United States dollar. Second, more as a benchmark and less as a viable alternative, this article also examines the feasibility of a reversion to the United States dollar standard in Asia (see McKinnon and Schnabl, 2004 and Dooley et al., 2004). By ‘feasibility’ we refer to the costliness of the introduction of these regimes in terms of the depletion of foreign reserves required to sustain them in light of the expected currency and economic divergence among the cooperating countries. While it appears that the East Asian economies are in a credible position, in terms of foreign reserves, to defend a more co-ordinated foreign exchange rate system, the relative cost of the introduction of alternative exchange rate regimes and of defending such a system is still very relevant. Specifically, how feasible is the adoption of a common basket peg exchange rate regime in Asia? Or would it be relatively more feasible to revert to an exchange rate regime focused on keying to the United States dollar? With a view to addressing this question, the statistical time-series properties – internal transient and long-run dynamics – of select sets of Asian currencies, expressed in terms of the United States dollar and expressed in terms of the aforementioned common basket of currencies, are examined. The greater the magnitude of the estimated interdependencies, the more inter-connected the set of Asian currencies and the more feasible a target currency the adopted numeraire—the more readily these currencies may be managed coherently relative to the target currency.1 Significant interdependence is indicative of commonalities across the exchange rate determination procedure, whether introduced by intervention or the machinations of the market system. It is more feasible to introduce a relatively co-ordinated exchange rate regime if regional exchange rates are prima facie compatible with that proposed exchange rate system. By way of a benchmark, in the spirit of Eichengreen and Bayoumi (1996), the statistical time-series properties of the select sets of Asian currencies are compared and contrasted with those of a group of European exchange rates prior to the inception of the European Monetary Union, January 1, 1999 (comprising the Belgian franc, the Dutch Guilder, the French Franc, and the German mark, expressed in terms of the European Currency Unit, henceforth the ECU). Our empirical findings can be summarised as follows. First, we find that a select set of Asian currencies – the Indonesian rupiah, the Korean won, the Philippine peso, the Taiwan dollar and the Thailand baht – exhibit more pronounced interdependencies, whether transient or long-run in nature, when expressed in terms of an equally weighted basket of “Triad” currencies (the Euro, the Japanese yen and the United States dollar) as opposed to when they are expressed only in terms of the United States dollar. Second, we find that the dynamics of the aforementioned Asian currencies in the context of the common basket peg, are similar to the dynamics documented in Europe in the run-up to European Monetary Union.2 Moreover, these Asian currencies experience markedly distinct dynamics in the context of a United States dollar peg. Third, our study accounts for generalised autoregressive conditional heteroskedasticity (henceforth, GARCH) effects when estimating long-run time-series properties in the exchange rate levels. This phenomenon is suspected to have compromised the power of tests utilised in earlier articles (see Aggarwal and Mougoue, 1993, Aggarwal and Mougoue, 1996 and Tse and Ng, 1997). The remainder of the article is organised as follows. Section 2 describes the data and their selection. Section 3 elaborates on the concepts of ‘feasibility’ and ‘compatibility’. It also describes the econometric methodology adopted. Section 4 presents the estimation of empirical results. Section 5 concludes.
نتیجه گیری انگلیسی
We have examined several time-series properties of select sets of Asian currencies which have demonstrated marked unilateral European euro and Japanese yen effects, alongside important United States dollar effects. Our aim was to assess the compatibility of these sets of currencies to more co-ordinated exchange rate regimes in light of recent macroeconomic findings indicating the potential of more co-ordinated exchange rate regimes. Specifically, a 3-currency set was examined which contained the Korean won, the Philippine peso and the Taiwan dollar while a 4-currency set extended the latter set to include the Thailand baht. Our 5-currency set extended the 4-currency set to include the Indonesian rupiah. Two more co-ordinated exchange rate regimes were considered, namely a United States dollar peg and a basket currency peg, comprised of the European euro, the Japanese yen and the United States dollar. Comparative time-series properties of a set of benchmark European currencies, comprising the Belgian franc, the Dutch Guilder, the French Franc, and the German mark, were also considered, in the period prior to the establishment of European Monetary Union. The behaviour of these exchange rate sets was examined with reference to five time-series criteria (i.e., stability, correlations, persistence of correlations, volatility transmission, and long-run relations) to assess the extent to which the Asian rates are interdependent relative to the numeraire target currencies proposed by the alternative more co-ordinated exchange rate regimes. The set of European currencies acted as a useful benchmark, as these rates, since January 1 1999, have been successful member currencies of the European Monetary Union. Our results document that short- and long-run currency dynamics are more conducive to the feasibility of introducing a common peg for Asian currencies based on an equally weighted basket of the European euro, the United States dollar and the Japanese yen compared to the alternative of re-introducing a United States dollar peg exchange rate regime. The benchmark set of European currencies, as expected, performs well on the five criteria while the Asian basket peg regime also performs well across the outlined criteria, with the exception of the criterion of stability. In contrast, the United States dollar exchange rate regime performs well only on the criteria of the persistence of correlations and long-run relations. Notably, in an advance over prior literature the evidence for a common Asian basket peg regime is strengthened when the long-run parameters are estimated while accounting for time-varying volatility effects. In summary, we document that currency dynamics in Asia are conducive to the possibility of introducing a common peg for Asian currencies based on an equally weighted basket of the European euro, the United States dollar and the Japanese yen and such an arrangement is better than the alternative of re-introducing a United States dollar peg exchange rate regime. These findings clearly have important policy implications for scholars and policy-makers interested in Asian financial stability and exchange rate systems.