Abstract:
این مطالعه اثر شوک نرخ ارز بر متغیرهای کلیدی کلان اقتصادی را با در نظر گرفتن مبحث درجه عبور ناقص نرخ ارز، در قالب یک الگوی تعادل عمومی پویای تصادفی چندبخشی کینزی جدید که متناسب با اقتصاد ایران طراحی شده است، تحت دو سناریوی سیاست‌گذاری براساس صلاحدید و تعهد مورد بررسی قرار میدهد. در این مطالعه درجه عبور ناقص نرخ ارز از طریق وجود چسبندگی اسمی در مورد قیمتهای وارداتی و مدلسازی مسیر اثرگذاری تغییرات نرخ ارز بر یک اقتصاد باز در نظر گرفته میشود. بدین‌منظور، ضرایب الگوی موردنظر به روش بیزین و با استفاده از دادههای منتشر شده بانک مرکزی در دوره زمانی 1369 تا 1393 تخمین زده شده‌اند. سپس مدل تحت دو سیاست‌گذاری صلاحدید و تعهد شبیه‌سازی شده و اثر شوک نرخ ارز بر متغیرهای کلیدی اقتصاد در این دو حالت با یکدیگر مقایسه شده‌اند. نتایج حاصل از پژوهش حاکی از آن است که اثر اولیه شوک وارده به نرخ ارز بر تمامی متغیر‌ها طبق هر دو سناریو تقریباً یکسان است ولی در حالت صلاحدید بازگشت به مسیر بلندمدت نیازمند زمان بیشتری است. همچنین بده بستان بین تولید و تورم تحت سیاست تعهد مطلوب‌تر از حالت صلاحدید بوده و نیز سیاست صلاحدید در یک اقتصاد باز به نسبت یک اقتصاد بسته ذاتاً پایداری کمتری دارد.
In an open economy, the exchange rate is an important factor in the design of monetary policy. The nominal exchange rate may serve as the underlying objective of monetary policy in the short to medium term in its capacity as an intermediate target. The real exchange rate is of concern to policymakers not least because of its importance in determining the competitiveness of domestic goods in global markets, but because of its role as the driving force behind the expenditure switching effect. Many of studies also show that the real exchange rate directly affects behavior on the production side of the economy.
This paper underscores the importance of the direct exchange rate channel in the transmission of monetary policy effects in an open economy forward looking model. In fact, we study the impact of exchange rate shock on macroeconomic variables such as inflation and output in the context of incomplete exchange rate pass-through, using a new Keynesian dynamic stochastic general equilibrium (DSGE) model with microeconomic foundations for a small open economy, adjusted for Iran. DSGE models as one of the major developments in macroeconomics in the past few decades are based on the adoption of the inter-temporal utility maximization paradigm.
In our model, we assume that there are two economies. On the one hand, there is the domestic economy, designated as a small and open economy, and on the other hand, there is a foreign economy, considered considerably bigger compared to the domestic one and relatively closed. These features influence their mutual relations and it holds that the domestic economy does not influence the development in the foreign economy. In this paper, we model relations for the development in the domestic economy, and the rest of the world, i.e. the foreign economy, enters the model exogenously. In our model, it is assumed that the Central Bank minimizes a loss function, taking into account the deviation of inflation from its target, output stabilization. In addition, incomplete exchange rate pass-through has been considered by the means of nominal import price rigidity and modelling of the path which exchange rate changes affect the economy.
In line with our purpose, two kinds of policies based on discretion and commitment are introduced into the model. Period by period optimization and the treatment of expectations as being fixed characterize discretionary policymaking in the forward looking framework. The first characteristic implies that the policymaker sets policy anew every period. The other characteristic suggests that the policymaker treats the expectations of agents as constants when re-optimizing every period. But Commitment implies that the policymaker follows a rule systematically. In view of the fact that the policymaker cares about deviations of inflation from target and deviations of the real output gap from its target level, the policy rule focuses on the two target variables.
Bayesian methods have been applied in order to estimate structural parameters of the model. To do so, we have used Central Bank's data during 1369-1393. Then, the model is simulated under two policies of discretion and commitment and the effect of exchange rate shocks on key economic variables in these two situations is compared.
The results of the research indicate that the initial effect of exchange rate shock on all variables is roughly the same in both scenarios, but in discretion mode it takes more time to regain long-term balance. Our analysis also reveals that the output-inflation trade-off is more favorable under commitment than under discretion in part because of the existence of the direct exchange rate channel, and the stabilization bias under discretion is weaker in an open economy relative to a closed economy. These results confirm the importance of the exchange rate in the design and implement of monetary policy.
This paper underscores the importance of the direct exchange rate channel in the transmission of monetary policy effects in an open economy forward looking model. In fact, we study the impact of exchange rate shock on macroeconomic variables such as inflation and output in the context of incomplete exchange rate pass-through, using a new Keynesian dynamic stochastic general equilibrium (DSGE) model with microeconomic foundations for a small open economy, adjusted for Iran. DSGE models as one of the major developments in macroeconomics in the past few decades are based on the adoption of the inter-temporal utility maximization paradigm.
In our model, we assume that there are two economies. On the one hand, there is the domestic economy, designated as a small and open economy, and on the other hand, there is a foreign economy, considered considerably bigger compared to the domestic one and relatively closed. These features influence their mutual relations and it holds that the domestic economy does not influence the development in the foreign economy. In this paper, we model relations for the development in the domestic economy, and the rest of the world, i.e. the foreign economy, enters the model exogenously. In our model, it is assumed that the Central Bank minimizes a loss function, taking into account the deviation of inflation from its target, output stabilization. In addition, incomplete exchange rate pass-through has been considered by the means of nominal import price rigidity and modelling of the path which exchange rate changes affect the economy.
In line with our purpose, two kinds of policies based on discretion and commitment are introduced into the model. Period by period optimization and the treatment of expectations as being fixed characterize discretionary policymaking in the forward looking framework. The first characteristic implies that the policymaker sets policy anew every period. The other characteristic suggests that the policymaker treats the expectations of agents as constants when re-optimizing every period. But Commitment implies that the policymaker follows a rule systematically. In view of the fact that the policymaker cares about deviations of inflation from target and deviations of the real output gap from its target level, the policy rule focuses on the two target variables.
Bayesian methods have been applied in order to estimate structural parameters of the model. To do so, we have used Central Bank's data during 1369-1393. Then, the model is simulated under two policies of discretion and commitment and the effect of exchange rate shocks on key economic variables in these two situations is compared.
The results of the research indicate that the initial effect of exchange rate shock on all variables is roughly the same in both scenarios, but in discretion mode it takes more time to regain long-term balance. Our analysis also reveals that the output-inflation trade-off is more favorable under commitment than under discretion in part because of the existence of the direct exchange rate channel, and the stabilization bias under discretion is weaker in an open economy relative to a closed economy. These results confirm the importance of the exchange rate in the design and implement of monetary policy.
Machine summary:
سپس رابطه ی IS برای نرخ واقعی انتظاری بهره (١+−) حل و در ادامه آن چه به دست میآید در منحنی فیلیپس قرار داده شده و نتایج به صورت زیر حاصل میشود: زمانی که سیاست گذاری از نوع صلاحدید باشد، سیاست گذار انتظارات مردم نسبت به مقادیر آینده ی متغیرهای ، و را ثابت و داده شده فرض میکند.
بعد از حداکثرسازی سود بنگاه برای درصدی از بنگاه ها که به صورت بهینه عمل میکنند و به آوردن قیمت بهینه برای (θH−١) درصد مابقی بنگاه ها، سپس ه آوردن میانگین قیمت کلیه بنگاه ها و لگاریتم خطیسازی، رابطه منحنی فیلیپس کینزی جدید به دست میآید: وارد کنندگان چون بحث اصلی این مطالعه بررسی اثر شوک نرخ ارز است باید شرایط درجه انتقال پذیری نرخ ارز نیز لحاظ شود.
٣٠براساس سناریوی اول که تحت عنوان سیاست گذاری مبتنی بر تعهد از آن یاد میشود، بانک مرکزی ابزار پولی خود را که در اینجا نرخ رشد پول است تحت بهینه یابی به گونه ای تعیین میکند که کل دوره زمانی پیش روی را لحاظ کرده و اقدام به بهینه یابی میکند بدین ترتیب با اتخاذ تصمیم در زمان t، با ورود به دوره های بعدی همچنان به هدف خود پایبند است و در حالت صلاحدید این بهینه یابی در هر دوره مجدد با لحاظ کردن شرایط جدید انجام شده و بانک مرکزی تعهد موجود در سناریوی قبلی را در رفتار سیاست گذاری خود دنبال نمیکند.
Fixed Exchange Rate Versus Inflation Targeting Evidence from DSGE Modeling (Working paper, Latvijas Bank, ISBN 9984-676, 54-4).
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