IMF-外部冲击、政策和实际汇率的尾部变动（英）-2023.6-51页_800kb

Summary of "External Shocks, Policies, and Tail-Shifts in Real Exchange Rates"

This working paper examines how external financial shocks impact the real exchange rate (REER) distributions in small open economies (SOEs) and evaluates the effectiveness of policy interventions.

Key Findings

• Effects of External Shocks: Global uncertainty (VIX) and U.S. monetary policy shocks cause asymmetric impacts on REER. Negative shocks drive larger depreciation pressures, particularly in the left tail of the distribution. VIX increases shift the entire REER distribution left, with stronger effects on the weaker end.

• Role of Policies:

  • Foreign exchange intervention (FXI) partially offsets shock impacts, especially in SOEs with shallow FX markets, low central bank credibility, and high credit risk. FXI is more effective when used sparingly and in non-heavy users.
  • Capital flow management (CFM) has limited effectiveness in mitigating shock effects but may complement FXI in some scenarios.

• Country-Specific Factors: FXI effectiveness varies with fundamentals. Economies with weaker institutions or higher credit risk experience sharper depreciations but benefit more from FXI in the left tail. Heavy reliance on FXI reduces its credibility and long-term usefulness.

• Policy Implications: Policies should focus on deepening FX markets, improving central bank credibility, and strengthening macroeconomic fundamentals to handle external shocks. FXI should be used strategically due to moral hazard risks and potential economic trade-offs.

Overall, the paper highlights the importance of tailoring policies to address extreme exchange rate movements and the limitations of average-based analyses in policy design.