Fixed vs. Floating Exchange Rates: How Price Setting Affects the Optimal Choice of Exchange-Rate Regime
Fixed vs. Floating Exchange Rates: How Price Setting Affects the Optimal Choice of Exchange-Rate Regime
复制标题
固定汇率与浮动汇率：定价如何影响汇率制度的最优选择
DOI：
10.2139/ssrn.144912
复制
发表时间：
1998
影响因子：
1.2
通讯作者：
C. Engel
中科院分区：
文献类型：
--
作者：
M. Devereux;C. Engel
本文研究了一个两国动态无限时域模型中固定汇率制度和浮动汇率制度的福利性质，该模型中的代理人在货币冲击造成的不确定性环境中进行优化。最优汇率制度可能取决于价格是以生产国货币还是消费国货币确定的。当价格以消费者货币确定时，浮动汇率下国内消费的方差不受外国货币方差的影响，而当价格以生产者货币确定时，浮动汇率下或固定汇率下存在外国干扰的传递。该模型的一个重要特征是，汇率制度不仅影响消费和产出的方差，而且影响它们的平均水平。在传统框架下，当价格以生产者货币确定时，我们发现浮动汇率和固定汇率之间存在权衡。浮动汇率下的汇率调整允许较低的消费方差，但汇率波动本身导致较低的平均消费水平。当价格以消费者货币确定时，浮动汇率总是压倒固定汇率。
We investigate the welfare properties of fixed and floating exchange rate regimes in a two-country, dynamic, infinite-horizon model with agents optimizing in an environment of uncertainty created by monetary shocks. The optimal exchange rate regime may depend on whether prices are set in the currency of producers or the currency of consumers. When prices are set in consumers' currency, the variance of home consumption is not influenced by foreign monetary variance under floating exchange rates, while there is transmission of foreign disturbances under floating rates if prices are set in producers' currencies, or under fixed exchange rates. An important feature of the model is the exchange rate regime affects not just the variance of consumption and output, but also their average levels. When prices are set in producer's currency, as in the traditional framework, we find that there is a trade-off between floating and fixed exchange rates. Exchange rate adjustment under floating rates allows for a lower variance of consumption, but exchange rate volatility itself leads to a lower average level of consumption. When prices are set in consumer's currency, floating exchange rates always dominate fixed exchange rates.