Optimal Exchange Rate Systems and International Coordination in East Asia

本研究项目将Ito， Ogawa, and Sasaki（1998）的模型（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）扩展为考虑东盟区域内贸易的理论模型。该理论模型的特点之一是引入东盟区域内贸易来明确解释东盟两个国家的政策反应函数。在理论模型中，我们假设东盟两个国家的货币当局的汇率政策目标是稳定贸易平衡的波动。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。分析结果表明，当一国采取与美元挂钩的汇率制度时，一国不能采取最优货币篮子制度，而只能采取与美元挂钩的汇率制度。这意味着所有国家在选择汇率制度时都可能面临“协调失败”。我们使用东盟五国、中国和韩国的数据对汇率政策中“协调失败”的可能性进行了实证分析。我们通过比较在周边国家实行盯住美元制度的情况下，货币当局在采用最优汇率制度和采用盯住美元制度的情况下的损失，实证分析了“协调失灵”的可能性。得出了汇率政策“协调失效”的一些可能性。本文提出了汇率政策国际协调的重要意义，以避免协调失败。

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.