小型開放經濟的資本移動與總體審慎政策

Abstract

本文以動態隨機一般均衡(DSGE)模型探討小型開放經濟體的貨幣政策與總體審慎政策制定，模型設定在新興凱因斯的架構下，國內的異質家戶可以同時持有本國資產或外幣資產，國際經濟情勢變化所造成的外生衝擊透過外國利率或匯率的變動影響本國經濟，政府通過發行貨幣或發行公債融通調整外匯存底所需的財源，在價格僵固、本國與外國資產間的不完全替代、以及不完全市場的設定下，從福利分析的角度而言，針對資本移動設計的總體審慎政策能夠提升整體的福祉，但也會造成不同家戶間的分配效果，使得政策的制定面臨取捨。此時貨幣政策除了考量通貨膨脹和產出之外，若是納入反映對外曝險的金融變數，雖然從最適的角度而言並非最佳，但若與總體審慎政策配合進行，則能夠消弭前述分配效果對部分家戶造成的損失，達到整個經濟體的柏拉圖改善(Pareto Improvement)。

This paper studies the design of monetary and macroprudential policies in a small open economy featuring borrowing and lending denominated in both local and foreign currency using a monetary dynamic stochastic general equilibrium (DSGE) model under the New Keynesian framework. The model economy is characterized by nominal rigidities, imperfect asset substitutability, and incomplete markets in which two types of domestic agents differing in their patience toward the future trade one-period nominal bonds with the rest of the world. In addition to the explicit modeling of the central bank's balance-sheet decisions concerning its foreign reserve holding and domestic money and government bond issuance, this paper evaluates two types of macroprudential policies, one currency-based and one residency-based, alongside alternative monetary policy rules. We calibrate the model to generate empirically documented patterns of policy interest rate response, real exchange rate movements, current account and foreign reserve djustments in response to international capital flows. We find that optimal monetary and macroprudential policy call for temporary and countercyclical interventions in the flows of capital driven by external shocks, but these interventions also create sizable distributive effects among domestic households. Facing these policy trade-offs, our numerical analysis suggests that from a second-best perspective, augmenting the monetary policy rule to respond to financial variables associated with foreign exchange rate or interest rate risks can complement the proposed macroprudential policies in mitigating the distributive costs and achieve Pareto improvements through policy coordination.