Exchange rates and monetary spillovers

• 成果类型: Article
• 署名作者: Plantin, Guillaume; Shin, Hyun Song
• 署名单位: Institut d'Etudes Politiques Paris (Sciences Po); Bank for International Settlements (BIS)
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1555-7561
• DOI: 10.3982/TE2669
• 发表日期: 2018-05-01
• 页码: 637-666
• 关键词: Financial crises; global games

摘要

When do flexible exchange rates prevent monetary and financial conditions from spilling over across currencies? We examine a model in which international investors strategically supply capital to a small inflation-targeting economy with flexible exchange rates. For some combination of parameters, the unique equilibrium exhibits the observed empirical feature of prolonged episodes of capital inflows and appreciation of the domestic currency, followed by reversals where capital outflows go hand-in-hand with currency depreciation, a rise in domestic interest rates, and inflationary pressure. Arbitrarily small shocks to global financial conditions suffice to trigger these dynamics.