IMF-小型开放经济体的综合货币和金融政策（英）-2023.8

wpl23l161IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.2023NArNR*Thefirstdraftofreconcilefindingsfromthisconceptualmodel,othecomments,wethankTobiStraub;wealsothankseminarparMacroeconomicsandtheMacroeConference,the2021AEAMeetings,tlaunchingtheIPFworkstreamandGiovanniDell'Aricc©2023InternationalMonetaryFundWP/23/161IMFWorkingPaperResearchDepartmentIntegratedMonetaryandFinancialPoliciesforSmallOpenEconomiesPreparedbySumanBasu,EmineBoz,GitaGopinath,FranciscoRoch,FilizUnsal*AuthorizedfordistributionbyPrachiMishraAugust2023IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Wedevelopatractablesmall-open-economyframeworktocharacterizetheconstrainedefficientuseofthepolicyrate,foreignexchange(FX)intervention,capitalcontrols,anddomesticmacroprudentialmeasures.Themodelfeaturesdominantcurrencypricing,shallowFXmarkets,andoccasionally-bindingexternalanddomesticborrowingconstraints.Wecharacterizetheconditionsforthe“traditionalprescription”—relyingonthepolicyrateandexchangerateflexibility—tobesufficient,evenifexternalitiespersist.TheconditionsaresatisfiedforworldinterestrateshocksifFXmarketsaredeep.Bycontrast,weshowthattomanagenon-fundamentalinflowsurgesandtapertantrumsrelatedtolocalcurrencydebt,capitalinflowtaxesandFXinterventionshouldbeusedinsteadofthepolicyrateandexchangerateflexibility.IntherealisticcasewherecountriesfacebothshallowFXmarketsandexternalborrowingconstraints,weestablishthatsomekindsofFXmismatchregulationsmayreducetheexternaldebtlimitfrictionbutworsenFXmarketdepth.Finally,weshowthatcapitalcontrolsanddomesticmacroprudentialmeasuresceasetobeperfectsubstitutesifthereisariskthatthedomesticborrowingconstraintbindsasaresultofthetransmissionoftheglobalfinancialcycle.JELClassificationNumbers:E58,F38,F41,G28Keywords:integratedpolicyframework;monetarypolicy;capitalcontrols;foreignexchangeintervention;macroprudentialpoliciesAuthor’sE-MailAddress:ilIMFWORKINGPAPERSINTERNATIONALMONETARYFUNDIntegratedMonetaryandFinancialPoliciesforSmallOpenEconomies1f 2f345678fE0〈Σ=0βtU(CHt,CFt,CRt,Nt)〉whereU(CHt,CFt,CRt,Nt)=αHlogCHt+αFlogCFt+(1-αH-αF)logCRt-Nt,WtNt+ΠTt+ΠBt+λΠFIt+ΠRt+Tt+DHHt+1HorxL.9>PHCHt+εtCFt+PRtCRt+(1+θHHt-1)(1+ρt-1)DHHt.HHt+1isYTt(j)=YHt(j)+YXt(j)=AtNt(j).YHt=(l01YHt(j)(ε-1)/εdj)ε/(ε-1)andYXt=(l01YXt(j)(ε-1)/εdj)ε/(ε-1).YHt=CHtandYXt=,t+1:Yt+1={G(k)forh=LinearEtIPRt+1Yt+1+qt+1k]-(1+θt)(1+ρt)qtk,Dear<κqq1k,k+k=1,Ynear+Yoncave=CRt.t+1,Dt+1=DHHt+1+Dr+Dave.ΠBt+1=(ρt-it)Dt+1,D2<κHPH,ft=it.Iftt|(1-ϕt)(1+it)-(1+i)!>Γ2,heyholdr=0).19heQt+1+Ft+1+Ot+1=Dt+1.Tt=φWtNt+ϕt-1(1+it-1)(Qt+Ft)+θHHt-1(1+ρt-1)DHHt+Ot[(1+it-1)-（1+i-1）.quantities{CHt,CFt,CRt,Nt,k,k,YHt,YXt,Ynear,Yoncave,Qt+1,Dt+1}=0andt,ϕt,θHHt,θnear,FXIt}=0.20τHt=1+t=1-tt.t:τΓt+1=(1-λ)Et[[ηt+1-(1+i)],whereηt+1=(1-ϕt)(1+it).fτRt=I1-G/（1-kear）]fτXt=╱1-!+t=-tt,whereγ=PXXtdt、.VP={CFt,PH,st,η=[C*-CF0]+[C*-CF2]-(1-λ)FXI1[C*-CF2]-(1-λ)FXI1[η2-(1+i)]I0I1B1I0+[CF1-C*]+(1-λ)FXI0[η1-(1+i)]<κHforse{L,H}(3)Γ(B1+FXI0)=E0[η1-(1+i)](4)Γ(B2+FXI1-S1)=η2-(1+i)forse{L,H}(5) k-k t.*1*-1*-1fff3KeyTrade-OfsτH0=τH2=0.(8)Ht=εtCFt.herefore,forτH1=-z1-+ys1.(9)fBz1=Φ+ΨB+(1-λ)Γ(B2+FXI1)+ΓI0yη2!andz2=.(10)tαFβE0[I0z1]+β(1-λ)Γ(B1+FXI0)+yF0CF0==forte{1,2}.f(1-ϕ0)=βE0(η1(13)(1-ϕ1)=βη2.(14)ft+1}=0:(1-λ)+E0[z1{η1-(1+i)}]!+=0(15)(1-λ)|[η2-(1+i)]++Γyη2=0.(16) ∂kχ- ∂kττR2=-〉+╱k--∂arkìì ff{L,H};(1-λ)|ΓB1+E0[z1{η1-(1+i)}]!=0atFXI0=0τΓ2=(1-λ)Γ(B2-S1)foreachstate{L,H}-λ)Γ=-λ)Γ>0,(1+i0)=,(1+i1)=,andεt=forte{0,1,2}.{{τHt}=0,{τΓt}=1,{τRt}=1}=0;andXt=-C*.f(1+i0)=,(1+i1)=,andεt=forte{0,1,2}.ϕ0=1-βE0[η0],{{τHt}=0,τXt=-CFt.f-λ)Γfa.(1-λ)Γ=0b.(1-λ)Γ>0 Γ=0.Ht}=0,{τΓt}=1\=0;importsarestabilized,i.e.,=0,ϕ1=βΓS1};thet)==0and{εt}=0=.τHt=0forte{0,1,2}τΓ1=0andτΓ2=-ϕ0=0andϕ1=FXI0=-B1andFXI1=-B2(1+it)=forte{0,1},andεt=forte{0,1,2},whereB1=,B2=╱1+B1andCFt=CF=C*+B1forte{0,1,2}.Htt-λ)Γ(S1)2.10.50-0.5-110.50-0.5-14.3SignoftheExAnteC/ LH10.50-0.5-1 LH0.00050.0000-0.00051201201201210.50-0.5-110.50-0.5-1 10.50-0.5-1LLH0.01000.00500.0000-0.0050-0.010012012012012>B1>B2>B3=0,i.e.,{τRt}=1={θRt}=0={θHHt}=0=0.32=f ϕ=0.fa.(1-λ)Γ=0b.(1-λ)Γ>0hez1-τH1=-z1-τ1>0,τ1=0ifλ=1τ1:0,τ1>0ifλe[0,1).{τΓt}=1=0.βB1Cov(z1,η1)+Γ{β(B1)2E0z1+β2E0lz2(B2)2]}(25)ffX.}β1++1]->0.(26)λ.η<(1+i)<η.f!）>βπΓ\2+βπΓ╱B←2.π┌(1+i)-η!I+(1-λ)ΓB1ω1--η!+ΓB1!I+(1-λ)ΓB1>0zπ┌(1+i)-η!-z┌π┌(1+i)-η!+ΓB1!-ΓB1>0Γ{〈πIz+πIz+(1-λ)ΓB1>0（-2(1-λ)E0[z1η1]ìΓβB┌RB+2C2!ω2>0,E0[η1-(1+i)]=ΓB1>0andπ┌η-(1+i)!=π┌(1+i)-η!+ΓB1.<(1+i)is39he 01010101 01010101lΓ,=βB1Cov(z1,η1)+Γ{β(B1)2E0z1+β2E0lz2(B2)2]}+Γβ(B1)2+E0z1]+β2E0lz2(B2)2]},(32)t(1-ϕ0)=(1+θHH0)βE0|η1and(1-ϕ1)=(1+θHH1)βη2.(33){{τRt}=1,{θnear}=0}=0.{χ1=χ2=CF.χ1=(1+i0)=andχ2=(1+i1)=-2-βΓS1,θHH0=0andθHH1=2-βΓS1,2-βΓS12βCF2-βΓS1ff lχONLINEAPPENDIXA.1CompetitiveEquilibriumCHt=CFt,CCHt=CFt,CRt=CFt,andWt=εtCFtforte{0,1,2}αFPHαFPRtαF{PH((j);E0σtⅡTt（j)],j)=ⅡHt（j)+ⅡHt（j)=[PH（j)-（1+φ)YHt（j)andⅡXt（j)=[εtPX（j)-（1+φ)YXt（j),YHt（j)=YHt(εandYXt（j)=YXt(ε11PH=(l01PH（j)1(εdj)1-εandPX=(l01PX（j)1(εdj)1-ε.εE0βtYXt]ε-1E0βtYXt].=PXPH=0+β2E01+β+β20+β2E0+βE0+β2E0.αFαFCFt=Dt+1=!╱1+θt1th-RhtPMtforte{0,1}tisTPMt=θt(1（1+ρt(1)Dt,helinearifDnear<κqq1kifDnear=κqq1k.r=Et|（1-ϕt)（1+it)-（1+i)!.ⅡFIt+1=Qt+1|（1-ϕt)（1+it)-（1+i).A.2ConstrainedEfcientAllocationV╱CFt,,kear,At!=U╱CFt,CFt,kear+G╱1-kear←,t|CFt+!!『PXaxed,∂V∂CFt1+τHt!,∂、=αHτHt,and∂V∂kear =τRt∂kearX.χ=G′(kcave)E0[CF1]+E0[.it—1)÷εη=εη.Ft,PH,εt,ηt+1,FXIt,k},CHt=YHt=CFtandYXt=forte{0,1,2}Wt=εtCFtandNt=t[CFt+]forte{0,1,2}PX=PH0+β2E0PX=PH0+β2E0长ОО+βE0l长1F1]+β2E0l长22]ifwB=0ifwB>0ε2CF2β（1+θHH0)E0l]β（1+θHH1)ε1CF1χt+1=（1+ρt)forte{0,1}Yt+1={G)frhhe},wherek=1-kforte{0,1}CRt=YRt=Ynear+YoncaveandPRt=εtforte{0,1}↓,,,,(ε2CF2+q2]ift=0ift=1ift=2/kcQt+1+Ft+1+Ot+1=Dt+1forte{0,1,2}.i*1←B0+[CF0-C*]B2=B1I0+[CF1-C*]+（1-λ)FXI0[η1-（1+i)]<κHB3=0=B2I1+[CF2-C*]+（1-λ)FXI1[η2-（1+i)].乂乂乂乂in0RPYforR2d2{(τ1=+w{(εε1r--1R0〉+9sAεηforse{L,H},H=-1,9L=1←.heFOCfor{ηt+1}=0areasfollows:η:20=β（1-λ)（B1+FXI0)z+βy1+forse{L,H}η:2=（1-λ)●s+y2forse{L,H},↓|↓|y2=|||B1+FXI0)+β,(17)-(18).heFOCsfoFXI0:ΓΩ0=-β（1-λ)E0[z1{η1-（1+i)}]FXI:ΓΩ=-Φsforse{L,H}.E0βtαHτHt）-E0亚BκH!=0.y1y1=η-y1-forse{L,η-y1=(βy1=(β∂η╱kLinearL0R-κq∂η╱kLinearL0R-k、!fors=Ly1=|i1←Bnear-R0〉-χ）+βΓE0η1}y1=|-∂∂C2πforse{L,H}=∂∂C2πforse{L,H}=πforse{L,H}=={ ( χì =πE0y2=w|-κq)k-k、!fors=LG/k)αRY1αF{({(ììG/k)αRY1αF{({(ìì(χ)2Y2αFF2∂C1-1(χ)2Y2αFF2∂C1(χ)2Y2αFF2∂C2-1(χ)2Y2αFF2∂C2+G/k)-πC2-πC2forse{L,H}[(G//（k)]YR1G/k)[1(G/（k)](YR1)2 ì[(G// ìR2YsR2G/k)[1(G/（k)]（Y2)2C2forse{L,H}∂C1 ∂==-C2forse{L,∂C1 ∂==-2forse{L,H} =-C2forse{L,H} =∂kar,s=G,rse{L,H} ∂1=-∂kαR[1-G′(k)]C1αF（YR1)2forse{L,H}.For{ϕteR,θHHt=0}andw=0:χ=βE0l]andχ=1forse{L,H}÷====0forse{L,H},whilefor{ϕt=0,θHHteR}andw=0:χ+1=η+1forte[0,1]andse{L,H}÷========0. C2.βC1{ε1,CF1,■ProofofLemma1（1-λ)[η2-（1+i)]=0,τH1=0 αFβE0[I0z1]+β（1-λ)E0[η1-（1+i)]z1CF0=1+τH0（1-ϕ0)=βE0lη1（1-λ)[E0[η1-（1+i)]z1+E0[z1{η1-（1+i)}]]20=β（1-λ)（B1+FXI0)z1.=zt=forte{1,2}.Ft}=0asfollows:=βE0[I0+β（1-λ)E0[η1-（1+i)]CF1=CF2.],FXI0)=0,E0[η1-（1+i)]=Ft}=0=C*andB1=B2=0.---FXI0)FXI0)=0.}=0=C*,whichinturn{η,η}},sot}=0(πA+πA)(πA+πA),(πA+πA)(πA+πA),t}=0=βC*,whichisRt}=1=0and{θnear,θnear}=0.■ProofofLemma2{{τHt}=0,{τΓt}=1,{τRt}=1}=0,{θnear,θnear}=0,andi)andi1,■ProofofLemma3-λ)r=0,inequationi1}FXI1=-B2,η2=-,andI1=-.=zt=forte{1,2}.)-η0]].{τHt}=0=0,t,it}=0ProofofCorollary1B2I1=[C*-CF2](B.14)whereB2=[CF0-C*]I0+[CF1-C*]+（1-λ)FXI0[η1-（1+i)]i)+（1-λ)η1i)+r（B2-S1)i)+（1-λ)r（B2-S1).-λ)r>0andS1 αFz1+yF1+η2了CF1=1+τH1 αFz2+yF2-了CF2=1+τH221=●（1-λ)+yη2+βCF1了,（1-λ)|[η2-（1+i)]++ryη2+βrCF1了=0.(B.19)F1,yF2,yη2}=0inS1CF1了（B2+FXI1)=whereB2=[CF0-C*]I0+[CF1-C*]+（1-λ)FXI0[η1-（1+i)]i)+（1-λ)η1i)+r（B2+FXI1-S1)i)+（1-λ)r（B2+FXI1-S1).i)+r（B2+FXI1-S1)]CF1.ProofofLemma4τ1π=π-Yandτ1π=Y(B.22)whereY=πη[z-=πη-z].(B.23)τH1=[z1CF1-αF].(B.24)τ1<τ1.<Y.[η-（1+i)]=[（1+i)-η]>0τ1=>0andτ1=0ϕ0=1-E0,where=.0=1-E0,>0.11ProofofLemma5dVPlannerdλ=E0(●(-[C*(CF2](IОI1)2-[C*(CF1](IО)2[1+i)-iwπ（I0)2E11+wπ（I0)2E11+i)-η1)-E0[r21B11+i)-η1)],ffε<εandη=<η=,C1=C*+-B1IandC2=C*-（1+i)ε1ε1i)C1=C*+（1+i)C*-B1I（1+i)i1←B0+CF0-C*η=（1+i)andI=（1+i)foτH0=τ2=0forse{L,H}αFLLLHHHCF0=βπ1αFLLLHHHαF=αF=,whereτ1=1-εC1forse{L,H}αFLαFHHαFLαFHHϕ0=1-+）ϕ=0andϕ=1-VPlanner=E0βtV╱CFt,εt,kear=1,At=A←).（-1β（C)2AXì-（-1β（C)2AXìdCF0=αFF0dλCF0)2IAXì-ηCF0)2IAXìdC1=