A comprehensive approach for currency crises theories stressing the role of the anchor country [Elektronische Ressource] / vorgelegt von: Verena Ganz

Verena.Ganz

Informations

• Publié par: julius-maximilians-universitat_wurzburg
• Publié le: 01 janvier 2008
• Nombre de lectures: 10
• Langue: English
• Poids de l'ouvrage: 1 Mo

Extrait

A comprehensive approach for currency crises theories
stressing the role of the anchor country






Inaugural-Dissertation
zur Erlangung des akademischen Grades eines Doktors
der Wirtschaftswissenschaften an der Wirtschaftswissenschaftlichen Fakultät
der Bayerischen Julius-Maximilians-Universität Würzburg



vorgelegt von:
Diplom-Volkswirt Verena Ganz





Erstgutachter:
Prof. Dr. Peter Bofinger







































Für meine Familie – Gaby, Michael und Florian
Contents i
Contents

FIGURES ..................................................................................................................V
TABLES ...............................................................................................................VII
ABBREVIATIONS ................................................................................................................IX
CHAPTER I: INTRODUCTION ........................................................................................... 1
I.1 Theme and Proceeding ................................................................................................... 1
I.2 Definitions........ 3
CHAPTER II: FIXED EXCHANGE RATE REGIMES IN MACROECONOMIC
THEORY ................................................................................................. 7
II.1 Monetary policy under fixed exchange rates.............................................................. 7
II.1.1 Strategy of exchange rate targeting....................................................................................... 7
II.1.2 Transmission channels in open economies ........................................................................... 9
II.1.2.1 The exchange rate channel (Purchasing Power Parity)................................................ 9
II.1.2.2 The interest rate channel (Interest Parity) .................................................................. 15
II.1.3 Conducting monetary policy within fixed peg regimes ...................................................... 17
II.1.3.1 Two-dimensional character of monetary policy .......................................................... 18
II.1.3.2 Sterilisation as a solution? .......................................................................................... 20
II.1.3.3 Destabilising effects of fixed pegs................................................................................ 21
II.2 Currency crises theory................................................................................................ 38
II.2.1 First Generation model ....................................................................................................... 38
II.2.2 Second Generation models.42
II.2.3 Third Generation approaches..............................................................................................44
II.2.3.1 Spill-over effects .......................................................................................................... 45
II.2.3.2 Self-fulfilling crises due to herding.............................................................................. 47
Contents ii
II.2.3.3 Illiquidity in financial markets (bank runs) ................................................................. 49
II.2.3.4 Moral hazard ............................................................................................................... 51
II.2.3.5 Balance-sheet approach .............................................................................................. 54
II.3 Summary: Shortcomings of currency crises theories as the motivation for a
comprehensive approach........................................................................................... 56
CHAPTER III: AN INTEGRATIVE THEORETICAL APPROACH FOR
CURRENCY CRISES .......................................................................... 59
III.1 Monetary conditions in managed floats: a theory of possibilities......................... 60
III.1.1 The Monetary Conditions Index (MCI)............................................................................. 60
III.1.2 The BMW model for managed floating 62
III.2 Monetary conditions in fixed pegs: a theory of impossibilities ............................. 71
fix optIII.2.1 Requirements of balancing the internal and external equilibrium (MCI and MCI ) .... 71
III.2.1.1 The internal equilibrium............................................................................................. 71
III.2.1.2 The external equilibrium ............................................................................................ 72
fix optIII.2.2 When are fixed exchange rate systems successful? (MCI = MCI )............................. 75
fix optIII.2.3 When do internal and external monetary requirements deviate? (MCI ≠ MCI ).......... 77
fix opt III.2.3.1 When is MCI > MCI ? .......................................................................................... 78
fix opt III.2.3.2 When is MCI < MCI ? 79
III.2.4 Summary............................................................................................................................ 79
III.2.5 Extension of the bilateral concept for third countries........................................................ 80
III.2.5.1 Introduction of the REER ........................................................................................... 81
III.2.5.2 Implementation of the REER into the MCI................................................................. 82
III.2.6 Extended Summary............................................................................................................ 84
fix optIII.3 How do MCI -MCI deviations materialize and how are they covered by
traditional models? .................................................................................................... 86
fix optIII.3.1 The case of MCI > MCI : Effects and parallels in traditional theory ........................... 87
act fix optIII.3.1.1 MCI = MCI f MCI ................................................................................... 87
act opt fixIII.3.1.2 MCI = MCI p MI ...................................................................................... 91
Contents iii
fix optIII.3.2 The case of MCI < MCI : Effects and parallels in traditional theory ........................... 93
act fix optIII.3.2.1 MCI = MCI p MCI ................................................................................... 93
act opt fixIII.3.2.2 MCI = MCI f MCI 97
III.4 Summary .................................................................................................................... 99
APPENDICES TO CHAPTER III ..................................................................................... 101
optIII.A Should the MCI contain a direct reaction to real exchange rate changes? .. 101
III.B The real effective exchange rate ............................................................................ 103
CHAPTER IV: SELECTED CASE STUDIES ................................................................. 104
IV.1 Existing empirical research 104
IV.2 Proceeding ................................................................................................................ 108
IV.3 Studies of crises of fixed exchange rate systems.................................................... 115
IV.3.1 Argentina (“Tango Crisis” 2001/2002) ........................................................................... 115
IV.3.1.1 Monetary influences from outside ............................................................................ 115
IV.3.1.2 Central bank behaviour and consequences .............................................................. 119
IV.3.1.3 Outbreak of the currency crisis ................................................................................ 125
IV.3.1.4 Contagious effects on the region .............................................................................. 127
IV.3.1.5 Summary regarding equivalences to traditional theory ........................................... 130
IV.3.2 Czech Republic (Currency crisis 1997)........................................................................... 132
IV.3.2.1 Monetary influences from outside ............................................................................ 132
IV.3.2.2 Central bank behaviour and consequences .............................................................. 136
IV.3.2.3 Outbreak of the currency crisis ................................................................................ 143
IV.3.2.4 Summary regarding equivalences to traditional theory ........................................... 145
IV.3.3 Thailand (Asian Crisis 1997)........................................................................................... 147
IV.3.3.1 Monetary influences from outside ............................................................................ 147
IV.3.3.2 Central bank behaviour and consequences .............................................................. 150
IV.3.3.3 Outbreak of the currency cris