Capital controls on inflows, exchange rate volatility and external vulnerability

• 成果类型: Article
• 署名作者: Edwards, Sebastian; Rigobon, Roberto
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; National Bureau of Economic Research; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2009.04.005
• 发表日期: 2009
• 页码: 256-267
• 关键词: Capital controls; capital mobility; Capital inflows; exchange rate volatility; chile

摘要

We use high frequency data and a new econometric approach to evaluate the effectiveness of controls on capital inflows. We focus on Chile's experience during the 1990s, and investigate whether controls on capital inflows reduced Chile's vulnerability to external shocks. We recognize that changes in the controls will affect the way in which different macro variables relate to each other. In particular, we consider the case where controls co-exist with an exchange rate band aimed at managing the nominal exchange rate. We develop a methodology to deal explicitly with the interaction between these two policies. The main findings may be summarized as follows: (a) a tightening of capital controls on inflows depreciates the exchange rate and (b), we find that a tightening of capital controls increases the unconditional volatility of the exchange rate, but makes it less sensitive to external shocks. (C) 2009 Published by Elsevier B.V.