2016年-IMF国际货币组织全球_Singapore_Selected_Issues_43页_6mb

Singapore Selected Issues Summary

Core Content

This document presents a detailed analysis of Singapore's monetary policy framework through the Singapore Small Monetary Policy Model (SGPMOD), developed by the International Monetary Fund (IMF) as background for a periodic consultation with Singapore. The model is based on the IMF's 7-region Global Projection Model (GPM-7) and incorporates the Monetary Authority of Singapore's (MAS) Basket-Band-Crawl (BBC) framework. It is used to simulate the effects of various domestic and external shocks on Singapore's economy, including changes in its growth path, China's growth prospects, and the impact of Brexit.

Main Points

• SGPMOD Overview: SGPMOD is a forward-looking, multi-region model that includes the U.S., China, and other regions. It is designed to study the conduct of monetary policy in Singapore within an inflation targeting (IT) framework.

• Monetary Policy Instrument: Unlike traditional IT regimes that use interest rates, Singapore's monetary policy is based on the nominal effective exchange rate (NEER). The MAS adjusts the NEER path within a band to ensure price stability, considering both domestic and foreign economic conditions.

• Model Structure: SGPMOD is a quarterly canonical gap model, incorporating the following key components:

  • I-S Curve: Links aggregate demand to the output gap, real interest rate, and real exchange rate.
  • Okun's Law: Connects the unemployment rate gap to the output gap.
  • Phillips Curve: Explains core inflation as a function of expected inflation, output gap, and price shocks.
  • Uncovered Interest Parity (UIP): Defines the relationship between Singapore's and the U.S. short-term interest rates, with the UIP condition indirectly influencing the NEER.

• Policy Rule: The monetary policy rule in SGPMOD is based on a shadow measure of the U.S. Fed Funds rate. The MAS uses a reaction function that considers the lagged change in NEER, expected inflation, output gap, and the U.S. interest rate. This helps reduce volatility in Singapore's economy by aligning the NEER with U.S. monetary policy.

• Trend Equations: The model includes equations for potential output and the trend real exchange rate. Potential output grows at a steady rate unless affected by productivity shocks. The trend real exchange rate is influenced by both the trend growth rate and the U.S. interest rate differential.

• Exchange Rate Definitions: The NEER is a weighted average of exchange rates against the U.S. dollar, based on import trade weights. The real effective exchange rate (REER) and nominal effective exchange rate (NEER) are derived using similar principles.

• External Shocks: The model explores the effects of various shocks, including:

  • A downward revision in Singapore's expected growth path.
  • A downward revision in China's expected growth path.
  • The effects of Brexit on global markets and Singapore.

• Policy Transmission: The MAS's monetary policy responses are shown to have a mitigating effect on the short-term impacts of negative shocks. However, in the case of permanent shocks, it cannot prevent long-term output declines.

Key Information

• Model Calibration: SGPMOD is calibrated using Singapore data from 1992 to 2015. The preferred specification includes a shadow measure of the U.S. Fed Funds rate, which is crucial given Singapore's open capital account and inability to influence interest rates independently.

• Inflation Targeting in Singapore: The MAS targets core CPI inflation, excluding volatile components such as private road transport and accommodation prices. The core inflation is influenced by both domestic and international price shocks, including oil and food prices.

• Balassa-Samuelson Effect: The model incorporates the idea that increases in potential output growth, particularly from productivity in the tradables sector, lead to a permanent appreciation of the real exchange rate, while productivity shocks in the nontradables sector lead to depreciation.

• Policy Implementation: The MAS uses the BBC framework to guide its policy decisions. It announces its NEER target path twice a year and adjusts it based on market conditions and economic developments.

• Rest of the World (ROW): The ROW is represented as a combination of the U.S., China, and other regions, with commodity prices (oil and food) playing a key role in shaping inflation expectations and exchange rate dynamics.

Figures and Tables

• Figure 1: Staff estimate of the MAS' NEER path and its bands, consistent with market expectations since 2010.
• Figure 2: Schematic of the NEER-based model for an IT regime.
• Table 1: Estimates of SGPMOD's NEER reaction function, showing the impact of domestic and U.S. factors on the NEER path.

References

• Contributions from the MAS and the IMF's analytical literature on Singapore's monetary policy.
• References to studies by Parrado (2004), McCallum (2006), Khor and Robinson (2008), and others.
• Notes on the use of GMM regression for estimating the policy rule.

Conclusion

SGPMOD serves as a valuable tool for understanding how Singapore's monetary policy, centered on the NEER, responds to both domestic and external shocks. It highlights the MAS's commitment to price stability and the challenges posed by Singapore's small, open economy. The model also underscores the importance of global economic conditions, particularly those of the U.S. and China, in shaping Singapore's monetary policy decisions.