Capital Flows and Foreign Exchange Intervention

• 成果类型: Article
• 署名作者: Cavallino, Paolo
• 署名单位: Bank for International Settlements (BIS)
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20160065
• 发表日期: 2019
• 页码: 127-170
• 关键词: monetary-policy; financial crises; interest-rates; pass-through; asset prices; long-run; RISK; real; MARKET; balance

摘要

I consider a small open economy model where international financial markets are imperfect and the exchange rate is determined by capital flows. I use this framework to study the effects of portfolio flow shocks, derive the optimal foreign exchange intervention policy, and characterize its interaction with monetary policy. I derive the optimal intervention rule in closed form as a function of three implicit targets. Finally, using Swiss data, I estimate the model to quantify the inefficiencies generated by capital flow shocks and the optimal size of the intervention.