期刊名称：Economics Discussion Papers / Department of Economics, College of Management and Economics, University of Guelph
出版年度：2009
卷号：2009
期号：05
出版社：University of Guelph
摘要：This paper examines the optimal appreciation path of an under-valued currency
in the presence of speculative capital in°ows that are endogenously a®ected by the
appreciation path. A central bank decides the optimal appreciation path based on
three factors: (i) Misalignment costs associated with the gap between the actual
exchange rate and the fundamental exchange rate, (ii) short-term adjustment costs
due to fast appreciation, and (iii) capital losses due to speculative capital in°ows.
We examine two cases in which speculators do and do not face liquidity shocks. We
show that, in the case without liquidity shocks, the central bank should appreciate
quickly to discourage speculative capital, and should appreciate more quickly in
initial periods than in later periods. In the case with liquidity shocks, the central
bank should pre-commit to a slow appreciation path to discourage speculative cap-
ital. The central bank should appreciate slowest when the probability of liquidity
shocks takes middle values. If the central bank cannot commit and can only take a
discretionary policy, appreciation should be faster.
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