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The Effects of Financial and Real Shocks, Structural Vulnerability and Monetary Policy on Exchange Rates from the Perspective of Currency Crises Models
http://hdl.handle.net/2261/56368
http://hdl.handle.net/2261/56368296f6317-ca57-48ed-8ba6-63e04f50c414
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
wp061.pdf (1.8 MB)
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| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2015-05-11 | |||||
| タイトル | ||||||
| タイトル | The Effects of Financial and Real Shocks, Structural Vulnerability and Monetary Policy on Exchange Rates from the Perspective of Currency Crises Models | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Currency Crisis | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Foreign Currency Debt | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Exports | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Productivity Shock | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Risk Premium | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Monetary Policy | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Elasticity | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classification: E22; E4; E5; F1; F3; F4; G15; G2; O43 | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| 著者 |
Nakatani, Ryota
× Nakatani, Ryota |
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| 著者所属 | ||||||
| 著者所属 | The Bank of Japan | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Is there any factor that is not analyzed in the literature but is important for preventing currency crises? What kind of shock is important as a trigger of a currency crisis? Given the same shock, how does the impact of a currency crisis differ across countries depending on the degree of each country’s structural vulnerability? To answer these questions, this paper analyzes currency crises both theoretically and empirically. In the theoretical part, I argue that exports are an important factor to prevent currency crises that has not been frequently analyzed in the existing theoretical literature. Using the third generation model of currency crises, I derive a simple and intuitive formula that captures an economy’s structural vulnerability characterized by the elasticity of exports and repayments for foreign currency denominated debt. I graphically show that the possibility of currency crisis equilibrium depends on this structural vulnerability. In the empirical part, I use unbalanced panel data comprising 51 emerging countries from 1980 to 2011. The results obtained here are consistent with the prediction of the theoretical models. First, I found that monetary tightening by the central banks can have a significant effect on exchange rates. Second, I found that both productivity shocks in the real sector and shocks to a country’s risk premium in the financial markets affect exchange rate dynamics, while productivity shocks appeared more quantitatively important during the Asian currency crisis. Finally, the structural vulnerability of the country plays a statistically significant role for propagating the effects of the shock. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 2012～2016年度科学研究費補助金[基盤研究(S)]「長期デフレの解明」(研究代表者 東京大学経済学研究科・渡辺努, 課題番号：24223003) | |||||
| 書誌情報 |
JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series 巻 061, 発行日 2014-12 |
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| 出版者 | ||||||
| 出版者 | UTokyo Price Project | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.price.e.u-tokyo.ac.jp/researchdata/ | |||||
