2021年6月26日 CIGS Virtual Macroeconomics Workshop（オンライン・DSGE Workshop共催）

発表者：

片桐満氏（法政大学）

タイトル：

Real Exchange Rate Trends and Foreign Exchange Interventions: A Bayesian DSGE approach

概要：

Non-stationary real exchange rates and frequent foreign exchange (FX) interventions are commonly observed features in many emerging market economies. In this paper, I construct a small open economy DSGE model where the real exchange rate has deterministic and stochastic trends on the balanced growth path and the central bank adopts a systematic FX intervention policy. A quantitative analysis using Vietnamese data indicates that more than 60% of real exchange rate fluctuations are accounted for by productivity shocks in line with the Balassa-Samuelson relationship and that the FX intervention policy has significantly subdued the volatility of inflation and output growth in Vietnam by stabilizing the nominal exchange rate as a nominal anchor.