Optimal exchange-rate policy under collateral constraints and wage rigidity

• 成果类型: Article
• 署名作者: Ottonello, Pablo
• 署名单位: University of Michigan System; University of Michigan; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2021.103478
• 发表日期: 2021
• 关键词: Monetary policy; Exchange rates; Debt deflation; sudden stops; Currency mismatch; unemployment

摘要

This paper studies the conduct of monetary policy in economies with currency mismatch. To this end, I build a model that embeds financial frictions from households' collateralized borrowing in foreign currency into an open-economy Keynesian framework. The monetary authority faces a trade-off between traditional unemployment stabilization gains from currency depreciation and its costs in terms of generating debt deflation and tightening households' ability to borrow. The optimal policy under this trade-off results in macroeconomic patterns aligned with those observed in emerging-markets data, including large currency depreciation and consumption adjustments during crises. The optimal degree of fear of floating depends on the level of indebtedness with which the economy arrives to a crisis and on the type of experienced by the economy. (C) 2021 Elsevier B.V. All rights reserved.