政策外部性和最適匯率制度

Policy Externalities and Optimal Exchange Rate Regimes

本文以一個兩國動態隨機一般均衡模型來分析一個小國的匯率政策對小國本身，以及一個可能被它釘住匯率的大國的福利之影響。文中，浮動匯率是泰勒式利率法則來執行。本文的結果顯示，相較於固定匯率制度，當小國採用一個對產出回饋大及對通貨膨脹回饋小的利率法則時，兩國的福利都會比較低。本文也發現小國不應該在利率法則中對產出波動加以回應，因為這樣會帶來代價高昂的通貨膨脹率的波動。另一方面，當產出的回饋係數是固定於零，通貨膨脹率的回饋係數之大小對小國的福利影響不大，只要它是大於一，以確保均衡的唯一性。

In this paper, I explore the welfare implications of a small country’s exchange rate regime, for the small country itself, as well as for a large country, the currency of which the small country potentially pegs to. A two-country dynamic stochastic general equilibrium model is developed for the analysis. Floating exchange rate regimes are modeled as Taylortype interest rate rules, with different feedback coefficients on inflation and output. I show that, compared to a fixed exchange rate regime, both countries will be worse off if the small country adopts an interest rate rule with a large feedback coefficient on output and a small feedback coefficient on inflation. I also show that it is important for the small country not to respond to output fluctuations in its interest rate rule, as it will generate costly fluctuations of inflation. On the other hand, holding the feedback coefficient on output at zero, the feedback coefficient on inflation matters very little for the welfare of the small country, as long as it is greater than 1 to guarantee uniqueness of equilibrium.