2016年-PIIE彼得森国际经济研究所_Updated_Estimates_of_Fundamental_Equilibrium_Exchange_Rates_13页_268kb

Summary of "Updated Estimates of Fundamental Equilibrium Exchange Rates"

Authors and Context

• Authors: William R. Cline and John Williamson, both senior fellows at the Peterson Institute for International Economics.
• Series: The authors have been publishing a semiannual series of fundamental equilibrium exchange rate (FEER) estimates since 2008.
• Retirement: This is the final report in the series for John Williamson, who is retiring.
• Methodology: The FEER estimates are based on Cline's symmetric matrix inversion method (SMIM), which ensures multilateral consistency.

Key Findings

Exchange Rate Movements from April to October 2012

• The US dollar appreciated about 4% from April to June but then depreciated, ending at nearly the same level as in April.
• The Brazilian real depreciated significantly, reflecting the impact of the European debt crisis.
• The Swiss franc depreciated due to central bank intervention.
• The South African rand depreciated notably, while smaller depreciations occurred in Indonesia and Israel.
• The Japanese yen and the US dollar both appreciated slightly.
• Most currencies, including the euro and the Chinese renminbi, remained close to their April values in October.

Economic Context

• The global economy remains bifurcated: developing economies are more buoyant, while advanced economies continue to face high unemployment and low growth.
• The European debt crisis has eased somewhat due to ECB interventions and moves toward banking union, but the region still faces structural imbalances.
• The US has pursued quantitative easing, which has been criticized for its exchange rate effects but is seen as necessary due to fiscal constraints.

FEER Estimation Method

• The FEER estimates are normative, aiming for desirable external and internal balances rather than probable outcomes.
• Assumptions:
  • No further changes in real exchange rates.
  • All countries aim for internal balance.
  • Current account should not deviate from zero by more than 3% of GDP.
  • The oil exporters are excluded from the FEER calculations due to their unique economic structure.

Updated FEER Targets for 2017

• The authors use the IMF's WEO forecasts as the basis for their calculations.
• For most countries, the target current account balances are set at 3% of GDP.
• Some countries, such as China, Hong Kong, and Singapore, have undervalued currencies, while others, like Turkey, New Zealand, and Australia, have overvalued currencies.

Simulation Results

• Table 3 presents the results of the simulation:
  • Column 1: Difference between adjusted and target current account balances.
  • Column 3: Estimate of how misaligned a currency was in October 2012.
  • Column 4: Multilaterally consistent change needed in real exchange rates.
  • Column 5: Actual dollar exchange rates in October 2012.
  • Column 6: FEER-consistent dollar rate based on the SMIM model.
  • Column 7: Product of columns 5 and 6, showing the desired exchange rate.

Countries Out of Equilibrium

• Turkey is the most overvalued currency, despite recent upgrades in its credit rating.
• New Zealand and Australia are also overvalued, with the authors noting that their authorities are excessively complacent.
• South Africa's overvaluation has decreased, which is welcomed.
• Poland and India are marginally overvalued.
• Brazil and Argentina are marginally overvalued, with Argentina likely to face inflationary costs if it continues to resist full devaluation.
• The euro is judged to be about right, though some in Europe believe it should depreciate.
• The US dollar is marginally overvalued, but less so than in previous estimates.
• The Chinese renminbi is again somewhat undervalued, with a smaller disequilibrium than before.
• Hong Kong, Malaysia, and Taiwan have undervalued currencies, though Malaysia's undervaluation has significantly decreased.
• The Swiss franc is undervalued, contrary to the IMF's stance.

Implications

• The SMIM model automatically resolves the adding-up discrepancy in the world current account balance.
• The authors emphasize that adjustment is an intra-European problem, and resolving it at the expense of other countries would have beggar-thy-neighbor effects.
• The largest revaluation needed is for the Swiss franc, and the largest depreciation is for the Singapore dollar.
• The authors identify 12 countries as potential currency manipulators, including Hong Kong, Israel, Japan, Korea, Singapore, Switzerland, Taiwan, Argentina, China, Malaysia, Philippines, and Thailand.

Conclusion

• The FEER estimates aim to guide desirable exchange rates that support internal and external balance.
• The authors do not advocate for intervention, but rather for monitoring and understanding the current state of exchange rates.
• The global economy continues to face structural imbalances, with the US and Europe needing to address current account issues without undermining global stability.