Optimal Exchange Rate Systems and International Coordination in East Asia

本研究将Ito，Ogawa和Sasaki(1998)的模型扩展为考虑东盟区域内贸易的理论模型，该模型通过考虑东盟国家与日本和美国的贸易来分析最优货币篮子体系。该理论模型的特点包括引入东盟区域内贸易来明确解释东盟两国的政策反应功能。在理论模型中，我们假设东盟两国货币当局的政策目标是为各自的汇率政策稳定贸易差额的波动。为了实现这一目标，他们调整了美元和日元在一篮子货币中的权重。它的分析结果表明，当一国采用盯住美元的制度时，另一国不能采用最优货币篮子制度，而是采用美元钉住制度。本文利用东盟五国、中国和韩国的数据，对东盟五国汇率政策“协调失灵”的可能性进行了实证分析。我们通过比较货币当局在采用最优汇率制度的情况下和在采用美元钉住制度的情况下的损失，实证分析了“协调失败”的可能性，考虑到邻国采用的是钉住美元制度。我们得出了汇率政策出现“协调失灵”的一些可能性。这表明汇率政策的国际协调是重要的政策含义，以避免协调失灵。

This research project extended a model of Ito, Ogawa, and Sasaki (1998), which analyzed an optimal currency basket system by taking into account trade of ASEAN countries with Japan and the United States, into a theoretical model that considers intra-regional trade in the ASEAN. Characteristics of the theoretical model include one that we introduced the intra-regional trade in the ASEAN to explain explicitly policy reaction functions of two countries in the ASEAN. In the theoretical model, we supposed that the monetary authorities of two countries in the ASEAN had a policy objective of stabilizing fluctuations in trade balances for their exchange rate policy. They adjust weights on the US dollar and the Japanese yen in a currency basket for the objective. Its analytical result shows a possibility that one country cannot adopt an optimal currency basket system but a dollar peg system when the other country adopts the dollar peg system. It implies that all of the countries might be faced with "coordination failure" in choosing their exchange rate system.We used data on ASEAN 5 countries, China, and Korea to conduct an empirical analysis on the possibility of "coordination failure" in exchange rate policy. We empirically analyzed the possibility of "coordination failure" by comparing the monetary authorities' losses in a case of adopting an optimal exchange rate system with those in a case of adopting the dollar peg system, given that the neighboring countries adopt the dollar peg system. We obtained some possibilities of "coordination failure" in exchange rate policy. It suggest a policy implication that international coordination in exchange rate policy is important in order to depart from the coordination failure.