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1、Lecture 6 :TARGET ZONE I“A Guide to Target Zone ”by Frenkel &Goldstein (NBER Working Paper 2113,1986)Why TZ ? 涉及1現行制度好壞 2 TZ可否remedy 現行制度之缺陷 3 forms of TZ 本文三節:S1:four fundamental questions 1. What is TZ ? difference between hard & soft 2. What are the perceived deficiency in the 現行制度?3. How TZ reme
2、dy 現行制度?4.對於TZ 之 Skepticism S2:Operation questions1. How to calculate TZ ?2. How many currencies being included?3. How wide?4. How frequently?5.what policies to keep TZ valid? S3:Postscript. Meaning & Rationale I.1 What are TZ ?A 與其他ER system 不同處 Clean floating : 可以intervene Managed floating: 1. TZ
3、對於未來之ER 有規劃 2.當局在以貨幣政策影響ER 需要花更多的心力e.g. 需瞭解real ER 如何估計換成nominal。.Adjustable peg: TZ not entail a formal commitment to intervene Rigidly fixed: 可以調整不必時時干預B Hard vs soft mitmentI. 2 Why TZ ? (1)現行有缺陷 (2) TZ可以彌補缺陷A. ER highly volatile and unpredictable: real or nominal, bilateral or effective: 短期波動(浮動
4、匯率期間)比以往都大B. 主要貨幣呈現過度且持續misalignment: 如何measure misalignment ? 1.cumulative departure from ppp2.real ER 波動程度太大3.與equilibrium (model 預測)比較,1981-85 39%for $, 19% for yen C. Macroeconomic policies undisciplined and uncoordinated: 證據:undisciplined: 工業國(63-72)的inflation 比73-85 少一半; fiscal deficit to GNP
5、多三倍uncoordinated : 政策衝突D. IMF ineffective surveillance 證據: 1. 美日 CA imbalance2. US high budget deficit3. Inappropriate mix of macro policies 1980初 high real r, sluggish Y developing 國家債務高,出口少,and slow growthI.3 TZ 如何remedy ?A. 對未來(中期) ER expectation 恢復一支柱(anchor):Volatile乃缺anchor,news rumor造成ER一邊倒 而
6、TZ:1. band 存在 useful information 2. publication of TZ ,使人們認爲當局未來ER 之估計是一致的,不需use wrong model .B. restore discipline and coordination of macroeconomic policy: 1.維持TZ policy 受限, 2.變動TZ 當局對新TZ需取得共識coordination :兩國模型中,TZ一定要彼此同意C. 增加IMF surveillance 效力D. 避免fixed(Bretton Woods)下場, 可以revised zone .4 反對TZ的理
7、由:A. 現行制度fail? ER volatility : high volatility excessive 1.1973 以來all asset prices high volatility, Var(ER)反而小2.intrinsic difference between asset price and wage price 3.unpredictable :有foreign ER cover 比No 好。4. 過去experience 不見得不好5.ER misalignment :有but a)relative price 變, 正常 Peg 下 P變;Floating下ER 變,
8、哪個好很難說,很可能是反映equilibrium changes b) est. misalignment程度 uncertain ,根據什麽measure c) managed floating 易有bubble,但bubble 通常 SR misalignment與 bubble無關.6.discipline & coordination 可以有discipline policy ,但不必fixed ER managed floating 下一樣可以有policy coordination: summit Plaza 有無必要非常加強coordination, i.e.Opt.Coord.
9、 可議 lose independent Monetary Policy B. TZ 可否改進?1.provide Anchor:1) 與政策有關 政策 per se 而非 ER ,且政策不會爲ER 改,而是ER爲政策改 2) 若uncertainty 來自大衆缺乏ER與model 及政策,則TZ 可以提供information ,但政府不見得擁有superior information,Latin America Experience. 3) TZ 不修正one way bet for 投機Bretton Woods 下場 TZ 修正credibility 4) Soft: no stron
10、g reliable anchor 2. Provide discipline ? 1) 見1)above ,過去經驗try to restore discipline但不成功,why TZ會? 2)過去great fixity low external imbalance or more adjustable ofimbalance ,TZ怎麽可能? 3)應著重在root of causes of misalignment 4) TZ on real ER destabilize P e.g. W P ,real ER appreciate 政府若想恢復 by depreciate nomi
11、nal TZ ie. Expanding MP 更多。 亦即政府若想借EER rigid 來防止trade imbalance面臨如何control P問題3.TZ enhance coordination & surveillance? 1) International policy coordination 不可能 a) ER competitive ,你貶我升b) 內部政策考量使得外部協調困難,i.e. operational 上不易2)Negotiating 過程摩擦3)TZ 喪失貨幣自主性可以,政府改用其他政策e.g.貿易政策應也可以,4) IMF不可能用ER or TZ來surve
12、illance a) ER 當作經濟是否失衡的indicator ,may mislead,所以應觀察一組宏觀指標 而不是匯率一項 b) ER 偏離TZ,一般認為用monetary policy校正,但如果該ER 偏離的錯誤本來就因monetary policy 而産生,又該如何? c) 如何分擔責任,if ER 偏離TZ,有效的coordination要敘明who does what,但TZ policy 並未回答此一問題4.TZ 可以避免Bretton Woods 下場?NO 1)Capital mobility 易2) 雙方可以接受之TZ不易達成 3) EMS之所以成功不是TZ本身,而是
13、背後巨大的政治承諾以及capital control ,何況1992年Speculative Attack .Operational questions.1 How would TZ be calculated? 1. PPP: Base period, weight, WPI or CPI? * 當shock 來自monetary side, PPP OK shock 來自real side, PPP 應該變,e. g. oil price in the 70s* 過去偏離PPPER與不同*sensitive,base period 不同或者使用的price index 不同結果也會有差異2
14、. Structural models:Keynesian,monetary, or portfolio balance? 好處: 1) forward looking,此與ER本質近似2)ER與政策及fundamentals直接聯繫一起3)在現今資本移動速度快的時代ER最主要的決定因素在asset mkt not in goods mkt缺點:1) limited forecast ability 2) variable 很難 measure 3. underlying balance model: Given anticipated macro policies, the delayed effect of past changes in ER, and other expected developments, equil. ER is the rate that brings CA=normal capital flow during the next 2-3 years 優點: 1) 認知到合理ER不能忽略預期政策ER的delayed effects2) 了解到sustainable payments positi