東亞匯率問題(麥金農(nóng))課件

TheEastAsianDollarStandardandChina’sExchangeRate

RonaldMcKinnonStanfordUniversityApril,2005TheExchangeRateDebateinthe1990sBefore1997,EastAsiancountries,exceptforJapan,“softly”peggedtheirexchangeratestotheU.S.dollar.1997-98Crisis:Thailand,Indonesia,Philippines,Korea,andMalaysiaareattackedanddevalue—withbankruptciesandeconomicdownturnsspreadingcontagiously.TheIMFblamesthesoftpeggingforencouragingoverborrowingandcurrentaccountdeficitsleadingunsustainabledollarandyendebts.Itwarnsagainstanyreturntodollarpegging.Williamson(2000),Kawai(2002),OgawaandIto(2002)—suggestweightingtheJapaneseyenmoreheavilyinthecurrencybasketsofthesmallerEastAsianeconomiesinthefaceofwidefluctuationsintheyen/dollarrate.TheDebateIntheNewMillenniumBy2003into2005,theEastAsian“crisis”andnoncrisiseconomieshadreturnedtosoftdollarpegging.ChinaandHongKongretainedhardpegsthroughthecrisis,andMalaysiapeggedinSept1998at3.8ringgitperdollar.Eventheyen/dollarrateismorestable.ButnowallEastAsiancountriesrunlargecurrentaccountsurpluses—evenwithnetinflowsofFDI(China).In2003and2004,onlymassiveofficialinterventionskepttheirexchangeratesfromappreciating.IntensifiedpressurefromtheIMF,theG-7,andtheU.S.Treasury,forChinatoappreciate:“Thereshouldbemoreflexiblecurrencies,notonlyforChinabutthewholeofAsia”RodrigodeRato,IMFManagingDirector,29Sept2004atIMF-WorldBankMeetingsinWashington.ThisPaperandMcKinnonBook(2005)

TheCaseforAsianDollarPegsEastAsianeconomiesHavesufficientfiscalandmonetarycontroltotargetexchangerates,buthavemoredifficultytargetingdomesticinflationindependently.Arebecominghighlyintegratedeconomicallywithmorethan50%oftradewitheachother.Theyneedstablecrossratesofexchange.Underdevelopeddomesticbondandforwardexchangemarketsmakecurrencyrisksmoredifficulttohedge.Currentaccountsurplusesneednotdiminishifcurrenciesappreciate,asislikelyunderfloatingTheRiseofIntraRegionalTradeinEastAsia,1980-2002(shareoftotalexports)EastAsia:China,HongKong,Indonesia,Japan,Korea,Malaysia,Philippines,Singapore,Taiwan,andThailandTheRiseofIntraRegionalTradeinEastAsia,1980-2002(shareoftotalimports)EastAsia:China,HongKong,Indonesia,Japan,Korea,Malaysia,Philippines,Singapore,Taiwan,andThailandFigure1:EastAsianExchangeRatePegsagainsttheDollar,1980:01-2004:04(Monthly)

TaiwanDollarSingaporeDollarHongKongDollarChineseYuanFigure1(Continued)CrisisEconomies,1980:01-2004:04(Monthly)ThaiBahtPhilippinePesoMalaysianRinggitKoreanWonIndonesianRupiahFrankelandWeiRegression(1994)Problem:ForanyoneEastAsiancurrencyotherthanJapan,howdoyoumeasuretheweightofeachmajorcurrency—thedollar,yen,oreuro—initscurrency“basket”?Answer:Chooseanoutsidecurrencyasnumeraire,e.g.,theSwissFranc,tomeasureallexchangeratesintheaboveregression.

ThaiBahtPhilippinePesoMalaysianRinggitKoreanWonIndonesianRupiahFigure2:Dollar’sWeightinEastAsianCurrencyBaskets,130-Trading-DayRollingRegressions,1990:01-2004:05

(Daily)

Table1:StandardDeviationsofDailyExchangeRateFluctuationsagainsttheDollarPre-crisisCrisisPost-crisis2003/2004ChineseYuan0.030.010.000.00HongKongDollar0.020.030.030.05IndonesianRupiah0.174.431.110.43KoreanWon0.222.350.430.43MalaysianRinggit0.251.530.000.00PhilippinePeso0.371.310.510.25SingaporeDollar0.200.750.270.29NewTaiwanDollar0.190.500.210.20ThaiBaht0.211.550.380.27JapaneseYen0.671.000.640.57Euro(DeutscheMark)0.600.580.640.64SwissFranc0.690.660.660.70Datasource:Datastream.Percentchanges.Pre-crisis=02/01/94–05/30/97,crisis=06/01/97–12/31/98,post-crisis=01/01/99–05/17/04,2003/2004=01/01/03–05/17/04.

DollardominanceinEastAsiaOriginalsinUnderdevelopeddomesticbondmarketorinsomecasesdevelopeddomesticbondmarket(India)Debtorscannot

borrow

inowncurrencynorcantheyhedgetheirnetdollarindebtedness.Currencymismatchandmaturitymismatch.

[EichengreenandHausmann1999,HausmannandPanizza2003]ConflictedvirtueCreditorscannotlendintheirowncurrenciesnorcantheyhedgetheirnetdollarassets.Currencymismatchbutnonecessarymaturity

mismatch

[McKinnonandSchnabl2004,McKinnon2005]ConflictedvirtueHigh-savingcountriesruncurrentaccountsurplusesbutlendindollars.However,astheirstocksofdollarclaimscumulate:Foreignersstartcomplainingthatthecountry’songoingflowoftradesurplusesisunfairandtheresultofhavinganundervaluedcurrency.Domesticprivateholdersofdollarassetsworrymoreaboutaself-sustainingrunintothedomesticcurrencyforcinganappreciation.Domesticinterestratesarebiddown,perhapstozeroConflictedvirtue:

ToappreciateornottoappreciateAsrunsintothedomesticcurrencyoutofdollarsbegin,thegovernmentis“conflicted”because(repetitive)appreciationcouldsetintrainseriousdeflationendingwithazerointerestliquiditytrap(Japan)Butfailuretoappreciatecouldelicittradesanctionsfromforeigners.A“free”floatbecomesanindefiniteupwardspiralThestoryofJapan(I)Therewererepetitiveappreciationsofyenfrom1970stomid-’90sundermercantilepressurefromtradepartners―particularlytheUnitedStates.Buttradesurplusescontinuedtocumulate.Reason:Exchangeratechangesonlydeterminedomesticinflationordeflation,nottradebalance.Thesimple-mindedelasticitiesapproach(Marshall-Lernercondition)todeterminingthetradebalanceisinvalidinfinanciallyopeneconomies.[McKinnonandOhno1997]IsChinalikeJapan?ChinahasabigadvantageoverJapan: TheRMBexchangeratehasbeen,andcanbe,morecrediblymaintainedatthecurrentlevelwithoutdisturbingdomesticpricelevel.Andadisadvantage: China’snetFDIinflowsaremuchlargerthanJapan’s.FDIcanbeseenasilliquidliabilitiesbutaddstoliquiddollarclaims.Figure7:InternationalInvestmentPositionofJapan(BillionsofDollars)

Source:Japan:MinistryofFinance.TheYen-DollarNominalExchangeRate,1970-2005Source:InternationalFinancialStatistics,IMFFigure8:InterestRatesintheUSandJapan,Long-Term:10-YearUSTreasuriesandJGBs,1980-2004Figure8:InterestRatesintheUSandJapan,Short-Term:MoneyMarketRates,1980-2004Figure10:USandcumulativeEastAsianCurrentAccounts(BillionsofUSDollars)

Datasource:IMF:IFS.

“RevivedBrettonWoods”EAExchangeRatesdeliberatelyundervaluedtogenerateatradesurplus.Exportsaredesiredtopromote“development”,particularlyinmanufacturing.AsiangovernmentsarewillingtoinvestinverylowyieldUSTreasuries,andtoacceptAmericanFDIwithhighprofitrepatriation.USgetsfinanceforitsfiscaldeficitsTheongoingUScurrent-accountdeficitneednotbecorrectedinthenearfutureTheDollarStandardandEastAsia’sTradeSurplus:TheDFGInterpretation**Dooley,Folkerts-Landau,andGarber(2003)-(2004).TheDollarStandardandEastAsia’sTradeSurplus:TheMCKInterpretation,IThecurrentregime:Withthedollarasinternationalmoney,theefficiencyofworldtradeandpaymentsincreases.WithastableU.S.pricelevel,peripheralcountrieswillpegtothedollartoanchortheirownpricelevels—particularlyEastAsiancountrieshighlyintegratedintrade.Theyconvergetorelativepurchasingpowerparity(PPP)ifnominalexchangeratesremainfixed:noexchangerate“undervaluation”TheDollarStandardandEastAsia’sTradeSurplus:TheMCKInterpretation,IIProposedEastAsianexchangeratechanges:discreteappreciationorfloatingNopredictableeffectonnettradebalancesAnyappreciationwillsloweconomicgrowthandleadtodeflationLossofcredibilitytomaintaintheexchangerateatanylevelPossibilityofanindefiniteupwardspiralinthedollarvalueofEastAsiancurrenciesTheDollarStandardandtheUnitedStates:

MCKInterpretationTheunlimitedUScreditlinewiththerestoftheworldsoftensborrowingconstraintsonUShouseholds,andthefederalgovernment.Federalfiscaldeficitsarefinancedbysellingdollarbondstoforeignersatlowinterestrates.Largecurrentaccountdeficitsaresustainable“indefinitely”becauseofthecentralinternationalmonetarypositionoftheUnitedStates.Theupshotofeasyforeignborrowingis:

–fallingUSsaving,bothgovernmentand

private,formorethan20 years. –deindustrialization,lossofjobsinmanufacturing,leadingto protectionistpressure.USCurrentAccountandManufacturingSectorTradeBalance:1965-2004(PercentageofGDP)ProjectionofLaborGrowthinManufacturingunderBalancedManufacturingTrade:1965-2004(ShareofUSLaborForce)AmericanFiscalandTradeDeficitsTheFedcreatesthedefinitiveinternationalmoney.AnattackonthedollarisunlikelybecauseUSdebtsaredenominatedinitsowncurrency.ButheavyUSforeignborrowingistransferredinrealtermsthroughlargeAmericantradedeficits,mainlyinmanufactures.TheAmericanconcernwithde-industrialization,i.e.,

undulyrapidjoblossesinmanufacturing,shouldbelinkedtoFederalfiscaldeficitsandlowAmericanpersonalsaving.TheExchangeRateandInternationalAdjustmentTwoContradictoryViewsAflexibleexchangerateisusefulforadjustingthenettradebalancetonetinternationalcapitalflowsAfixedexchangeratecananchorthedomesticpricelevelbyinducingmoneywagegrowththatbalancesdifferentialproductivitygrowthacrosscountriesThispaperpursues2.onthepresumptionthat1.isfalseandmisleadingforopeneconomiesMcKinnonandOhno(1997)Chs6and7BalancingInternationalCompetitiveness:

TheScandinavianModel(SM)WageadjustmentandrelativePurchasingPowerParity(PPP)underafixedexchangerateSweden,1948to1971 5.17kronorperdollarJapan,1949to1971 360yenperdollarChina,1994to2005 8.28yuanperdollarScandinavianModelAssumptions:Inflationintradablessectorconvergestoworldinflationplusanyexchangeratedepreciation(relativePPP)Wagebargainingisinitiatedinthehigh-productivity-growthtradablessector(manufactures)subjecttotheexchangerateconstraintLabor“solidarity”:wagegrowthinothersectorswithlowerproductivitygrowthfollowsthatintradables

Result:Internationalcompetitivenessbetweenfast-andslow-growingeconomiesisautomaticallybalancedbydifferentialgrowthinwages.SMDefinitions=worldmarketpricesfortradables=exchangerate

=aggregatepricelevel=domesticpricelevelfortradablesandnontradables,respectively=wagerateinthetradableandnontradablesector,respectively=laborproductivityinthetradableandnontradablesector,respectivelySMAssumptionsRelativePPPWagebargainingintradables:constantfactorsharesLaborsolidarityNontradablespricebasedonlaborcostGeneralpriceindex(CPI)withconstantweightsHigherproductivitygrowthintradablesSM:GeneralSupply-SideInflation

Noindependentdemand-sidenationalmonetarypolicyTradablepriceincreasesaretransmitteddirectlyintodomesticinflationthroughtheforeignexchangesAdditionalgeneralpriceinflationisproportionaltothedifferenceinproductivitygrowthbetweenthetwosectorsweightedbytheimportanceofnontradablesEvenwhenexchangeratesarefixed,inflationcandifferacrosscountrieswithdifferentproductivitygrowth.ImportedInflationStructuralInflationExchangeRateInducedInflationChina,ConvergenceofCPIInflationwiththeUnitedStates:RelativePPP(Source:EIU)DeterminantSMWageBargainingwithaFixedDollarExchangeRate

Dollaristhekeycurrency:mosttradeisinvoicedindollarswith“pricingtomarket”U.S.pricelevelisstablewithrelativePPPWagebargainingBiddingforworkersintradablesconstrainedbythefixedexchangerate.MoneywagegrowthreflectsongoingproductivitychangeinthetradablessectorWagesthengrowsimilarlyinothersectorsCompareJapan1949-1971toChina1994-2005Table1:KeyeconomicindicatorsforJapanandtheU.S.underafixedyen/dollarexchangerate,1950-1971WholesalepricesMoneywagesConsumerpricesIndustrialproductionU.S.JapanU.S.JapanU.S.JapanU.S.Japan1.630.69a4.5210.002.535.014.4014.56RealGDPNominalGDPNarrowmoneyLaborproductivityU.S.JapanU.S.JapanU.S.JapanU.S.Japan3.849.45a6.7914.52a3.9416.10b2.558.92ca1952-1971.b1953-1971.c1951-1971.(averageannualpercentchange)Figure1:NominalManufacturingWageGrowthforUSandJapan:1950–1971Figure2:InflationandWageDifferentialsbetweenJapanandUS,andYen/DollarRate

IndeterminantWageBargainingintheSMwithaFloatingExchangeRateWhentheexchangeratefluctuates:RelativePPPwillnotholdcontinuouslyExchangeratenolongeranchorsthedomesticpriceleveltoworldinflation.Needforanindependentnational(demand-side)monetarypolicy.Moneywagebargainingoverproductivitygainsnowisinlimbo.Bargainerscannotjudgethecourseofdomesticinflationrelativetomovementsintheexchangerate.Thetradablessectorneednolongerbetheleadingsectorforwagedetermination.Table2:KeyeconomicindicatorsforChinaandtheU.S.underafixedyuan/dollarexchangerate,1994-2003

WholesalepricesMoneywages(Mfg)ConsumerpricesIndustrialproductionU.S.ChinaU.S.ChinaU.S.ChinaU.S.China1.531.26a3.0313.04b2.432.843.0012.17cRealGDPNominalGDPNarrowmoneyLaborproductivityU.S.ChinaU.S.ChinaU.S.ChinaU.S.China3.178.555.0310.744.1617.882.7012.32d9.48eaEx-factorypriceindex.b2003dataonmanufacturingwagesisprojectedfromoverallaveragewagesfrom1997-2003.c1994-2002.d1994-2001.ZhangandTane1994-2002.R.Fernholz(averageannualratesofchange)Figure3:NominalManufacturingWageGrowthforUSandChina:1994–2003Figure4:China:NominalWagesAcrossDifferentSectors:1994–2002ReconsideringtheScandinavianModel:ASummaryRelativePPPWageBargainingProcessMoneyWageGrowthFixedDollarExchangeRateYesDeterminantReflectsproductivitygrowthintradablesFloatingExchangeRateNoIndeterminant?ConclusionsforEastAsia

Mutualexchangestabilityisapublicgoodamongintegratedeconomies.Becausean“Asianeuro”isbutadistantpossibility,keyingonthedollaristheonly