2012年-IMF国际货币组织全球_Exchange_Rate_Volatility_Under_Peg_Do_Trade_Patterns_Matter__21页_526kb

报告摘要

Summary of "Exchange Rate Volatility Under Peg: Do Trade Patterns Matter?"

Core Content

This working paper by Constant Lonkeng Ngouana investigates how different types of exchange rate pegs—specifically, hard pegs and basket pegs—affect the volatility of the nominal effective exchange rate (NEER) in the context of changing trade patterns. The paper focuses on the West African Economic and Monetary Union (WAEMU), which uses the CFA franc pegged to the euro since 1999.

Main Points

Exchange Rate Regime Debate: The paper addresses the debate on choosing the appropriate exchange rate regime for small open economies, highlighting the importance of not only whether to peg but also the type of peg.
Trade Patterns and Exchange Rate Volatility: It argues that trade patterns significantly influence the volatility of the effective exchange rate. When a country's trade is concentrated with a single major partner, a hard peg to that currency tends to stabilize the NEER. However, as trade diversifies, a hard peg may no longer be optimal.
Impact of Diversification: The WAEMU countries have shifted their trade patterns away from the euro area (particularly France) and toward the BICs (Brazil, India, and China), especially China. This shift has increased the volatility of the NEER under the euro peg.
Basket Peg as an Alternative: The paper suggests that a basket peg, such as to the Special Drawing Rights (SDR), which includes a diversified set of currencies, could potentially reduce the volatility of the NEER. However, the effectiveness of such a peg depends on the trade structure of the country.
Empirical Findings: Using data from 1980 to 2010, the author finds that the NEER of the WAEMU was twice as volatile under the euro peg compared to a hypothetical SDR peg in the past decade. In contrast, during the 1980s, the SDR peg would have led to higher volatility than the euro peg.

Key Information

Volatility Under Euro Peg: The NEER under the euro peg was more volatile in the recent period (2001–2010) due to the shift in trade patterns away from the euro area.
Volatility Under SDR Peg: A basket peg to the SDR would have led to a more stable NEER, especially in the post-2000 period, which includes the global financial crisis.
Trade Share Changes: France's trade share in WAEMU trade dropped from one-third in 1980 to about 10% in 2010. Meanwhile, the share of trade with the BICs, particularly China, increased significantly.
Competitiveness and Inflation: A more depreciated NEER under the SDR peg could improve competitiveness, but it may also lead to higher inflation. The paper notes that the competitiveness gains might be offset by inflationary pressures, suggesting the need for a comprehensive analysis that includes macroeconomic responses.
Policy Implications: The findings imply that policymakers should pay attention not just to the choice of peg but also to the dynamics of trade patterns. A basket peg may offer more stability in the face of changing trade relationships.

Structure of the Paper

Introduction
- Reviews the debate on exchange rate regimes and highlights the importance of trade patterns in determining the volatility of the effective exchange rate.
Related Literature
- Discusses prior studies on the impact of exchange rate volatility, particularly the role of the third currency phenomenon and the benefits of basket pegs in reducing volatility.
Background
- Outlines the institutional framework of the CFA franc's peg, the evolution of the WAEMU's exchange rate, and the shift in trade patterns over the past three decades.
Analytics
- Derives a theoretical relationship between changes in the NEER and the fluctuations of the anchor currency. The key equation is:
  
  $$
  \Delta \ln \bigl (N E E R _ {j} \bigr) = \Delta \ln \bigl (E _ {i ^ {} / j} \bigr) + (1 - w _ {i ^ {}}). \sum_ {i = K + 1} ^ {N} \emptyset_ {i} \Delta \ln \bigl (E _ {i / i ^ {*}} \bigr)
  $$
  
  This equation shows that the volatility of the NEER is influenced by the volatility of the anchor currency and the trade shares of the country's partners.
Application: WAEMU's NEER
- Uses empirical data to assess the volatility of the NEER under two peg arrangements: the euro and the SDR. The results show that the euro peg led to significantly higher volatility in the past decade due to trade diversification.
Counterfactual Analysis
- Suggests that if trade patterns had remained at 1980 levels, the SDR peg would have been more volatile than the euro peg, indicating that the type of peg matters depending on the trade structure.
Conclusion
- Emphasizes the need for policymakers to consider the impact of trade patterns when choosing an exchange rate regime. A basket peg may be more appropriate when trade is diversified, as it can reduce the volatility of the NEER.

Key Figures and Tables

Table 1: Shows cumulative percentage changes in the REER and its components (NEER and relative price) for different periods.
Table 2: Summarizes the shifts in WAEMU trade patterns over 1980–2010.
Table 3: Presents the monthly volatility of the NEER under the euro and SDR pegs for different sub periods.
Table 4: Provides counterfactual results assuming trade patterns remained at 1980 levels.