Essays on monetary policy in emerging market economies.

摘要

The publication of the now famous Obstfeld and Rogoff (1995a) ‘Redux’ model has spawned a wave of contributions labeled in the literature as New Open Economy Macroeconomics (NOEM). The main purpose of this dissertation is to focus on the experiences of emerging market economies by modifying the NOEM introduced by Obstfeld and Rogoff (1995a). One of the most devastating experiences that disproportionately affect these countries are currency crises. Previous work on currency crises has not addressed the impacts of capital flight on the real economy. I argue that the transfer problem is extremely important in the comprehension of real exchange rate depreciations, current account reversals and recessions. First, I develop a model that supports this argument by predicting the impacts of capital flight on the Thai economy with a precision not attainable using previous models.; Second, I develop the first nominal framework that addresses the impact of unilateral transfers under various monetary policy regimes. This chapter analyzes the impact of aid flows on a countries economy and then compares these impacts to other more commonly analyzed shocks such as those to commodity prices and international lending rates under various monetary policy regimes.; Finally, I conduct an investigation of monetary policy rules for emerging markets which are subject to a volatile external environment in the form of shocks to world interest rates and the terms of trade. The novel feature of this model is that it develops a corporate sector responsible for investment that finances future capital by borrowing from domestic banks at a risk premium above the domestic interest rate. Banks borrow from abroad in foreign currency and lend to entrepreneurs in domestic currency. This creates an environment where entrepreneurs are susceptible to interest rate increases, and banks are vulnerable to exchange rate fluctuations. I analyze the consequences of a terms of trade deterioration and an increase in world interest rates on a small open economy, that incorporates sticky prices, pass-through, financial frictions and is faced with the reality of liability dollarization.; One of the main conclusions of this dissertation is that currency crises can be so devastating that even relatively loose monetary policy may not be able to alleviate the initial impact of the severe recessions experienced by the victim countries. The second main conclusion is consistent with the conventional wisdom embodied in the Mundell-Fleeting-Dornbusch framework, i.e. flexible exchange rate regime can insulate the economy against the potential destabilizing effects of real shocks better than a fixed exchange rate regime. Conversely, considering shocks that are nominal in nature, a peg can stabilize the economy better than a float. Even with the explicit incorporation of imperfect access to international financial markets and liability dollarization, the same conclusions hold. In other words liabilities denominated in foreign currency and the introduction of a financial accelerator channel does not make a fixed exchange rate a superior regime in terms of macroeconomic stabilization, especially when faced with real shocks like those to a country's terms of trade.