TAILIEUCHUNG - International Macroeconomics and Finance: Theory and Empirical Methods Phần 10

Trong các mô hình thế hệ Þrst, mở rộng tín dụng trong nước ngoại sinh gây ra dự trữ quốc tế để giảm để duy trì một nguồn cung cấp tiền hằng số đó là phù hợp với tỷ giá hối đoái Þxed. | . A SECOND GENERATION MODEL 335 A Second Generation Model In first-generation models exogenous domestic credit expansion causes international reserves to decline in order to maintain a constant money supply that is consistent with the fixed exchange rate. A key feature of second generation models is that they explicitly account for the policy options available to the authorities. To defend the exchange rate the government may have to borrow foreign exchange reserves raise domestic interest rates reduce the budget deficit and or impose exchange controls. Exchange rate defense is therefore costly. The government s willingness to bear these costs depend in part on the state of the economy. Whether the economy is in the good state or in the bad state in turn depends on the public s expectations. The government engages in a cost-benefit calculation to decide whether to defend the exchange rate or to realign. We will study the canonical second generation model due to Obst-feld 112 . In this model the government s decision rule is nonlinear and leads to multiple two equilibria. One equilibrium has low probability of devaluation whereas the other has a high probability. The costs to the authorities of maintaining the fixed exchange rate depend on the public s expectations of future policy. An exogenous event that changes the public s expectations can therefore raise the government s assessment of the cost of exchange rate maintenance leading to a switch from the low-probability of devaluation equilibrium to the high-probability of devaluation equilibrium. What sorts of market-sentiment shifting events are we talking about Obstfeld offers several examples that may have altered public expectations prior to the 1992 EMS crisis The rejection by the Danish public of the Maastrict Treaty in June 1992 a sharp rise in Swedish unemployment and various public announcements by authorities that suggested a weakening resolve to defend the exchange rate. In regard to the Asian

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