Rezimi kursnog koridora u kontekstu valutnih kriza

Abstract

One of the pillars of open-economy macro is the well-known axiom of "inconsistent trinity", which claims it is impossible to simultaneously achieve significant liberalisation of international capital movements, monetary policy independence and fixed exchange rate. Ignorance or inability to accept this identity, have recently placed many developing countries with fixed (yet adjustable) exchange rate regimes in the centre of fierce international financial crises with both monetary and real repercussions. Precautionary or after being burnt by crisis, majority of small open economies adopted the so-called bipolar view, i.e. one of exchange rate modalities which stretch along the wide axis between rigid fixation and free floating. After having dealt with elementary dynamics of crawling/monitoring band intermediate regime, this paper analyses its behaviour in the face of speculative attacks against domestic currency. In doing so, first, we reminded that exchange rate trajectory, even inside ("honeymoon"-free) currency band, does not follow Brownian motion (standard Wiener process). We showed, thereafter, that imperfectly-credible target zones could also have an asymptotically stabilizing effect on intramarginal exchange rate dynamics. This mean-reverting trait enables monetary authorities to control speculative volatility of exchange rate even in cases when they lack sufficient amount of foreign reserves, inasmuch as fundamental or globally spread crises need not be defended by means of open-market intervention, but by unanticipated, temporally irregular inside-the-band realignment or simply by sustainable widening of the band. Nevertheless, in principle, currency band should be shielded against non-fundamental market pressures. Therefore, we felt it was worthwhile calibrating the imminent danger of initial and cumulative attacks cum total currency crash, by means of introducing formal mathematical relationships among key variables which reflect both structural and behavioural features of the economy at hand (and, primus inter pares, its exchange rate regime), on the one hand, and on the other hand, objective functions of both policymaker and speculators (individually). At first armed with ad hoc log-nonlinear stochastic model of currency band, and later on by intertemporal optimisation modeling, we reconstructed preattack exchange rate trajectory, "sufficient" amount of foreign exchange reserves, exchange rate behaviour during the currency crisis and sequence of crisis events. At last, we carried out rigorous analysis of variables which influence width and/or location of ranges of effective commitment. Finally, we suggested alleys which may prove fruitful for further research efforts.