单边目标区制度下的外汇干预与瑞士法郎

Markus Hertrich
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引用次数: 1

摘要

2011年9月至2015年1月,瑞士国家银行(SNB)针对欧元实施了最低汇率制度(即片面目标区),以应对金融危机后的通缩压力。在这段非常规货币政策时期,瑞士央行面临着来自媒体和公众的越来越多的批评,指责它带来了巨大的资产负债表风险。受这一事件的启发,我提出了一个嵌入克鲁格曼(1991)开发的目标区域框架的结构模型,该模型允许货币当局事先确定实施和维持片面目标区域所必需的外汇市场干预的最大规模。对上述事件所提出的模型的实证应用表明,它非常适合解释这些干预措施的实际规模,并且,在2015年1月,瑞士央行在没有放弃最低汇率制度的情况下购买欧元的规模可能确实很大,这与瑞士央行在该事件发生后的官方声明是一致的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Foreign Exchange Interventions Under a One-Sided Target Zone Regime and the Swiss Franc
From September 2011 to January 2015, the Swiss National Bank (SNB) implemented a minimum exchange rate regime (i.e. a one-sided target zone) vis-a-vis the euro to fight deflationary pressures in the aftermath of the Great Financial Crisis. During this period of unconventional monetary policy, the SNB faced mounting criticism from the media and the public on the sizable balance sheet risks that it was incurring. Motivated by this episode, I present a structural model embedded within the target zone framework developed by Krugman (1991) that allows monetary authorities to determine ex-ante the maximum size of foreign exchange market interventions that are expected to be necessary to implement and maintain a one-sided target zone. An empirical application of the proposed model to the aforementioned episode reveals that it is well suited to explain the actual size of these interventions and that, in January 2015, the SNB's euro purchases might indeed have been large without the abandonment of the minimum exchange rate regime, which is consistent with the official statements of the SNB in the aftermath of that episode.
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