OPTIMAL EXCHANGE RATES: A MARKET MICROSTRUCTURE APPROACH
成果类型：
Article
署名作者：
Guembel, Alexander; Sussman, Oren
署名单位：
University of Oxford; University of Oxford; University of Oxford
刊物名称：
JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
ISSN/ISSBN：
1542-4766
DOI：
10.1162/1542476042813823
发表日期：
2004
页码：
1242-1274
关键词：
摘要：
Motivated by the observation that exchange-rate management resembles market-making, we use microstructure theory to conduct a welfare analysis of exchange-rate management, including the corner solutions of a free float and a fixed peg. We show that a policy that smoothes out exchange-rate fluctuations needs to trade off the welfare gain due to lower risk exposure of local producers against the trading losses that the policy would generate due to speculation. We identify the conditions under which exchange-rate management can increase welfare and argue that these conditions are more likely to be satisfied in illiquid markets, mainly small economies and emerging markets. We also explore the role of a Tobin tax (assuming enforceability) in facilitating exchange-rate management. (JEL: E58, F31, G14, O24)
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