IMF-用于综合政策分析的DSGE估计模型（英）-2023.6-65页_2mb

An Estimated DSGE Model for Integrated Policy Analysis

This paper estimates a New Keynesian small open economy DSGE model with FX market frictions and a potential role for foreign exchange interventions (FXIs) for a set of emerging market economies (EMEs) and small open advanced economies (AEs) serving as a control group. The key findings are:

1. Significant structural differences exist between EMEs and AEs in terms of price and wage stickiness and FX market depth.
2. EMEs exhibit shallower FX markets and greater inflation volatility following currency depreciation.
3. EMEs rely more frequently on FX interventions during capital outflow shocks to stabilize the exchange rate.
4. FX interventions can improve policy tradeoffs by reducing the need for interest rate hikes.
5. Market depth varies over time (reduced form) in some countries, implying that FX interventions can be more effective during periods of market stress.

Model Features:

• Incorporates endogenous FX market frictions accounting for incomplete markets and behavioral expectations.
• Implements both exogenous and endogenous FX intervention rules.
• Uses Bayesian estimation with informative priors to identify structural parameters.

The analysis provides insights into optimizing monetary policy responses under volatile capital flows and demonstrates the importance of accounting for market depth in policy design.