유럽通貨制度EMS)와 政策信賴性 - S-Space

Barro-Gordon

disinflation Barro-Gordon

,

Markov Regime-Switching

EMS

, , ,

,

,

,

2

1 2008

, Markov Regime-Switching

2 U.S. National Monetary Commission, Interviews on the Banking and Currency Systems, p. 26 2000

convertability

Eichengreen 1996 commitment

,

3

EMS; European Monetary System

4

5

,

EMS

credibility hypothesis EMS disinflation

Giavazzi and Giovannini 1987 Giavazzi and Spaventa

1989 EMS

Deutsche Bundesbank

, EMS

Deutsche Mark Zone: DM-Zone ⁶ ,

EMS

,

3 Krugman 1991 honeymoon effect

4 Weber 1991 credibility bonus

5 EU

EMS 1 125

,

6 Giavazzi and Giovannini 1989 , De Grauwe 2003

7

Cohen and Wyplosz 1989 EMS

asymmetrical ⁸ EMS

, EMS

, Discipline hypothesis ⁹

EMS

1979 4 , 7 EMS

1992 3 1992 9 , 1996 11 EMS

EMS , , ,

EMS ¹⁰

, , 1992 3 EMS ,

EMS

2 EMS EMS

, 3 Barro-Gordon

4

1970 2004 EMS

Mishkin 1981 Hamilton 1992 Barro-Gordon

5

7 Barro and Gordon 1983 2

8

9 Weber 1991 Weber 3 hard currency

soft currency ,

10 EMS

EMS

75 76 77 78 79 80 81 82 83 84

13 0 17 8 11 8 12 3 18 6 17 2 15 2 15 0 11 2 9 0

2.1. ¹¹

1971 Smithsonian Agreement

12

, 1972

Snake ¹³ 1973

,

,

1920 hyperinflation , 1930

begger thy neighbor

,

14

1950

EU

1979 4 EMS EMS

ECU; European Currency Unit , credit facility ,

ERM; Exchange Rate Mechanism ¹⁵ ERM

11 2004 , De Grauwe 2003

12 4.5 4.5

9

13 ,

snake in the tunnel 14 Eichengreen 1996

adjustable peg central parity

, ¹⁶

17

, consultation

18

ECU EU

1979 3 , ,

, , , , , , 9

1980 , , ECU ,

, , EU

, ECU

ECU

19

ERM ECU

20 parity grid ,

ECU ,

ECU ERM

marginal intervention

,

intra-marginal intervention

15 ECU 2004

16 1989 2 5 6 0 , 1992 1 125 1992 93

1993 8 15

17 marginal intervention

18 realignment

19 ECU 2004

20

Eichengreen 1996

,

, EMS ,

, 3

2 2

1992 93 ERM

Optimal Currency Area ,

Mundell 1961 , Mckinnon 1963 , Vaubel 1976 Mundell, Mckinnon

, 1970

1

, 2 , 3 , 4

, 5 seignorage

1979 EMS EMS

, EMS

21

, 1979 90 12 ²²

21 2004

22 1979 90

1979 09 24 2 , 2 9

1979 10 30 4 8

1981 04 09 6

1981 10 05 5 5 , 3 , 3 , 3 5

1982 02 22 8 5 , 3

1982 06 14 4 25 , 5 75 , 2 75 , 4 25

1983 04 21 5 5 , 2 5 , 2 5 , 3 5 ,

1 5 , 2 5 , 2 5

1985 07 22 2 , 2 , 6 , 2 , 2 ,

2 , 2

1986 03 07 2 , 3 , 3 , 1 , 1

1986 08 04 8

1987 01 12 3 , 3 , 2 , 2

1990 01 08 3 7 2 5 1 125

uncovered interest parity

Svensson 1991 , Rose and Svensson 1995 , Frankel and Phillips 1992 , Gomez-Puig and Montalvo 1996 , Tillman 2003 ²³

Rose and Svensson 1995

, ,

1 r_F F S 1 r_G r_F , r_G , F S

F , S

F S ,

Tillman 2003 Var vector autoregressive Markov Regime-Switching

24 Tillman

Regime , EMS

spread ,

25

Gibson 2003 Survival analysis

Gibson reputation

26

Giavazzi and Giovannini 1987 , Giavazzi and Spaventa 1989 , Cohen and Wyplosz

1989 , EMS

EMS ,

23 Gomez-Puig and Montalvo 1996 , Tillman 2003 Markov Regime-Switching

24 Barro-Gordon ,

EMS

25 positive

negative

26 Setzer 2004

1992 93 ²⁷ Eichengreen and Wyplosz 1993

1992 93 ,

Gerlach and Smets 1995

1992 93 EMS ,

Krugman 1979 ,

Krugman

Krugman 1

EMS EMS

EMS

EMS

28

, EMS

Obstfeld 1994 EMS

2

1989 ,

27 Buiter, Corsetti, and Pesenti 1998

28 convergence play carry trade Eichengreen 2000

1992

0 25

,

EMS

EMS ²⁹

Eichengreen 1996 EMS 1987 soft EMS hard EMS

, soft EMS 2 25 ,

6 0 , hard EMS

1 125 1980

, , , wide band Soft EMS

hard EMS 1980

EMS 1980

30

EMS 1980

1992 93 ,

, ERM

31

EMS

EMS ERM

29 EMS

Flandreau 1997 Eichengreen

30 1991 12 1 , 2 EMS , 3

EU ERM , 1992 9

1993 11

31

1 125 15 EMS

32

Barro and Gordon 1983

A, B A

, B

33

A B

,

B 0 ,

0 Q

R

S

T T Q

T A B

E

A B

Pa B Z B

32 2004 , De Grauwe 2003

33 Barro and Gordon 1983 A hard-nosed , B wet

B S

, T B

34

, B A

A A

Barro-Gordon ,

,

35

36

34 EMS A B

, A

[De Grauwe 2003 ] ECB Duisenberg

35 Masson 1995 EMS

1.125 36 Pelkmans 2001 2004

π

Pa

π

Pa C

R

Q S

D E

A B

T

Barro-Gordon Loss function

3 1 L π π ² b u u ²

L , π , π targeted , u

, u , b

0 , u λu_n λ< 1,

3 2 u u_n a π^e π ε

π^e , ε stochastic

,

3 2 3 1 ,

3 3 L π² b a π^e π 1 λ u_n ε ²

3 3 L ,

a²b ab 1 λ ab

3 4 π 1 a²b ·π^e 1 a²b · u_n 1 a²b ·ε

a²b ab 1 λ

3 5 π^e ·π^e · u_n

1 a²b 1 a²b

3 5 ,

3 6 π^e ab 1 – λ · u_n

3 7 ab

π π^e ·ε

1 a²b

3 8 π ab 1 λ · u_n ab ·ε

1 a²b

3 7 3 2 , 3 8

ab λ

3 9 π ab 1 λ · u ·ε

1 a²b

3 9 ab 1 λ

a ,

b , λ

3 7 3 9 ,

3 10 π ab · u λ π π^e u

π π^e Mishkin 1981 ,

ab Barro and Gordon 1983

, b

EMS EMS

optimal stabilization path

37

,

4.1. 1970 2004

1970 2004 ³⁸

70 80 , 90

2 70

1980 90 10

, 80

1970 78

37 wage setters

Blanchard 2000

38 X12 ,

DataStream Economics

1970 2004 1970 2004

DataStream.

EMS 1979 1992 EMS

1999

2

79 92 , 92 96 , 96 99 , 99 ,

EMS ,

1970 2004 1970 1978

1979 1992 1993 2004

DataStream.

,

1999

Markov Regime-Switching 1970 2004

39

State 1 1972 1 1982 1 π 0 005 2 230·u

0 0008 0 2544

State 2 1971 3 72 3 , 1982 3 1985 1

π 0 005 1 000·u 0 0008 0 0695 State 3 1985 4 2004 1

π 0 005 0 345·u 0 0008 0 1396

1970 2004 3

1972 82 1

, 1982 3 85 1

, 1985 4

2 1982 1985

b EMS

40

, state 1 state 2 1982 3 , state 2 state 3

39

0 98 0 06 0

P 0 0 88 0

0 02 0 06 1 00

40 1979 85 5 3 1992

⎞

⎠⎟

⎛

⎝⎜

1985 4 EMS 1982

23 5 , 1982 3 85 3 16

1985 4 92 16 7 ⁴¹

EMS

42

1985 1986

EMS

1989 EMS EMS

1992 EMS 1999

2000

41

, ECU

42 EMS

4.2.

1970 2004

Barro-Gordon Mishkin 1981 , Hamilton 1992 ⁴³

44

DataStream.

43 Hamilton 1992 , FIML

44 Mishkin 1981 x 1 p_t p_t1 Mishkin

Mishkin 1981 Hamilton 1992

4 1 p_t1 Xβ μt1

4 2 p^e_t1 Xβ

4 3 Xβ p_t1

pt1 t 1 , p^et1 t 1

4 1 Mishkin 1981 , Dominguez et al. 1988 4 2

adaptive expectation

, t 1 t t 1

4 1 β 4 2

t 1 4 2

4 3

4 3 t t 1

, unexpected inflation; π–π^e

EMS 1980

4.3.

3 4

3 Markov Regime-Switching

3 3 10

3 10 π ab·u λ π π^e u

π π^e 3 , ‘a’

45

45

State 1 π 0 04677 1 242u 0 2118 π π^e u 0 00763 0 4045 0 02277

State 2 π 0 04677 0 0688u 0 2118 π π^e u 0 00763 0 0220 0 02277

1971 3 1984 4 1985 1

state 1 β

Dependent Variable: CPI Sample: 1970Q1 2004Q1

Variable Coefficient Std. Error t-Statistic Prob.

CPI_1 1 526416 0 081403 18 75126 0

CPI_2 0 185344 0 0945 1 919637 0 0232

CPI_3 0 341453 0 080833 4 224207 0

C 0 973155 0 368224 2 642837 0 0092

R-squared 0 999967 Adjusted R-squared 0 999966 Durbin-Watson stat 2 118858

π^e–π

0 98 0 02 P 0 02 0 98

⎞

⎠⎟

⎛

⎝⎜

state 2 state 1 1970 1971 2 , 1985 1

, state 2 1971 3 1984 4 ⁴⁶

EMS

4.4.

3 EMS ,

credibility hypothesis Discipline hypothesis 2

4 4 u u_n a π^e π ε

4 4

commitment , π^e π < 0

EMS

, EMS

, ‘a’

47 Markov Regime-Switching

46 EMS

State 1 u 0 1056 0 0028 π^e π 0 0065 0 0009 State 2 u 0 1056 0 0231 π^e π

0 0065 0 0026

EMS

48

EMS

1980 EMS , 1979 EMS

, 1 125 1992 3

EMS EMS

1983

1995

49

State 1 1972 1 1985 1

47 Barro-Gordon ‘a’ , Lucas 1973

‘a’

, 1 00 0 02

48 P

0 00 0 98 49

0 957 0 011 P

0 043 0 989

⎞

⎠⎟

⎛

⎝⎜

⎞

⎠⎟

⎛

⎝⎜

π 0 1004 0 6886·u 0 0089 0 0911 State 2 1985 2

π 0 0435 0 4292u 0 0037 0 0529

1979 EMS

1986 1992 93 EMS

3 3 10

1971 2008 b

1970 2007 1970 2007

λ ⁵⁰

State 1 π 0 07670 0 17812u 0 10915 π π^e u 0 0003 0 0001 0 0012

State 2 π 0 07670 0 17812u 0 75162 π π^e u 0 0003 0 0001 0 0013

50

0 96 0 04 P

0 04 0 96

⎞

⎠⎟

⎛

⎝⎜

EMS

EMS EMS

, ,

EMS

EMS

1920

,

EMS EMS

,

EMS

,

10 ,

LG

150 721 20

02 3777 0433 02 3777 0400 E-mail: [email protected]

2004 EU ,

2000 1930 ,

Barro, Robert, and David Gordon(1983): “A Positive Theory of Monetary Policy in a Natural Rate Model,”Journal of Political Economy, 91, August.

Blanchard, Olivier(2000): Macroeconomics, Prentice Hall.

Buiter, Willem, Giancarlo Corsetti, and Paolo Pesenti(1998): Financial Markets and European Monetary Cooperation: The Lessons of the 1992~93 Exchange Rate Mechanism Crisis, Cambridge University Press.

Cohen, Daniel, and Charels Wyplosz(1989): “The European Monetary Union: An Agnostic Evaluation,” CEPR.

De Grauwe, Paul(2003): Economics of Monetary Union, Oxford University Press.

Dominguez, Kathryn, Ray Fair, and Matthew Shapiro(1988): “Forecasting the Depression: Harvard versus Yale,” American Economic Review, 78, September.

Eichengreen, Barry(1996):Globalizing Capital: A History of the International Monetary System, Princeton University Press.

_______(2000): “The EMS Crisis in Retrospect,” NBER Workng Paper8035.

Eichengreen, Barry, and Charles Wyplosz(1993): “The Unstable EMS,” Brookings Papers on Economic Activity,24, 1.

Flandreau, Mark(1997): “Central Bank Cooperation in Historical Perspective: A Sceptical View,”

Economic History Review, 50.

Frankel, Jeffrey, and Steven Phillips(1992): “The European Monetary System: Credibility at Last?,”

Oxford Economic Papers, 44, October.

Gerlach, Stefan, and Frank Smets(1994): “Contagious Speculative Attack,” Discussion Paper 1055, CEPR.

Giavazzi, Fransesco, and Alberto Giovannini(1987): “Models of EMS: Is Europe a Greater Deutschmark Area?,” in R.C. Bryant and R. Portes(eds.), Global Macroeconomics, Macmillan Press.

Giavazzi, Fransesco, and Luigi Spaventa(1989): “Italy: the Real Effects of Inflation and Disinflation,”

Economic Policy, 4.

Gibson, Heather(2003): “Realignment Probabilities and Reputation effects in the EMS,” Oxford Economic Papers,55.

Gomez-Puig, Marta, and Jose Montalvo(1997): “A New Indicator to Assess the Credibility of the EMS,” European Economic Review, 41.

Hamilton, James(1992): “Was the Deflation During the Great Depression Anticipated? Evidence from the Commodity Futures Market,” American Economic Review,82, March.

Krugman, Paul(1991): “Target Zones and Exchange Rate Dynamics,” Quarterly Journal of Economics, 106, August.

Lucas, Robert(1973): “Some International Evidence on Output-Inflation Tradeoffs,” American Economic Review, 63, June.

Masson, Paul(1995): “Gaining and Losing ERM Credibility: the Case of the United Kingdom,”

Economic Journal, 105, May.

Mishkin, Frederic(1981): “The Real Interest Rate: An Empirical Investigation,” Carnegie-Rochester Conference Series on Public Policy, 15.

Obstfeld, Maurice(1994): “The Logic of Currency Crises,” NBER working paper 4640.

Rose, Andrew, and Lars Svensson(1995): “Expected and Predicted Realignments: The FF/DM Exchange Rate during the EMS, 1979-93,” Scandinavian Journal of Economics, 97.

Setzer, Ralph(2004): “The Political Economy of Exchange Rate Regime Duration: A Survival Analysis,” mimeo.

Svensson, Lars(1991): “The Simplest test of Target Zone Credibility,” IMF Staff Papers, 38.

Tillman, Peter(2003): “The Regime-Dependent Determination of Credibility: A New Look at European Interest Rate Differentials,” German Economic Review, 4.

Weber, Axel(1991): “Reputation and Credibility in the European Monetary System,” Economic Policy, 6, April.