T9c: Tipos de cambio fijos vs tipos de cambio flexibles: las crisis

Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
T9c: Tipos de cambio fijos vs tipos
de cambio flexibles: las crisis
cambiarias
Carlos Llano
Referencias:
•Tema 6 del Programa.
•Capítulo 9 de Feenstra & Taylor (2011).
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Introduction
• La duración habitual de los regímenes de tipo de cambio
fijo es de 5 años, en media
• El final de un regimen de tipo de cambio fijo suele ser
accidentado, dando lugar a una depreciación fuerte. A
esta situación se le conoce como “Crisis de tipo de
cambio”
• Comprender las causas y consecuencias de las crisis
cambiarias es un aspecto muy relevante en
Macroeconomía Abierta.
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FIGURE 20-1
Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Currency Crashes In
recent years,
developed and
developing
countries have
experienced
exchange rate
crises.
Panel (a) shows
depreciations of six
European
currencies after
crises in 1992.
Panel (b) shows
depreciations of
seven emerging
market currencies
after crises between
1994 and 2002.
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How Costly Are Exchange Rate Crises?
FIGURE 20-2 (1 of 2)
Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
The Economic Costs of
Crises In Exchange rate
crises can impose large
economic costs on a
country.
After a crisis, growth
rates in emerging
markets and developing
countries are, on
average, two to three
percentage points lower
than normal, an effect
that persists for about
three years.
In advanced countries,
a depreciation is
typically expansionary,
and growth is, on
average, faster just
after the crisis than it
was just before.
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Las crisis enlazadas
• Las crisis cambiarias suelen ir de la mano de:
• Crisis Bancarias: ante shocks adversos que afectan al
sistema bancario, surgen casos de insolvencia y
bancarota.
• Crisis de impago: cuando el sector público se enfrenta
a un shock adverso, entraría también en insolvencia, no
pudiendo hacer frente a sus obligaciones de pago de la
deuda y sus intereses, sando lugar a un “sovereign debt
crisis” o “default”.
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TABLE 20-1
Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Costly Banking Crises The table shows the estimated costs of major banking crises
since the 1970s, in the cases in which costs exceeded 5% of GDP.
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2 How Pegs Work: The Mechanics of a
Fixed Exchange Rate
Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Hipótesis
■ Moneda local de “home”= peso. Moneda extranjera de
referencia = “U.S. dollar”;
E fijo, con paridad
– E = 1 (1 peso= 1 U.S. dollar).
■ El Banco Central controla M , comprando y vendiendo
activos a cambio de efectivo. El banco Central sólo tiene
2 tipos de activos:
• Bonos nacionales (en pesos),
• Activos extranjeros (en dolares).
■ Si el Banco Central carece de Reservas, el tipo de
cambio fijo se rompe.
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Hipótesis
■ Se asume que el tipo de cambio es creible.
Por tanto, la PDI se cumple: i = i*.
■ La Producción es exógena (Y).
■ Asumimos que los precios extranjeros son exógenos y estables (P* =
1) en todo momento.
• En el Corto plazo, los precios de “home” son rígidos con valor
de(P = 1).
• En el Largo Plazo, si los P*=1 también los P=1, dado que se
cumple la PPA
■ En Home: La demanda de saldos reales vendrá dada por:
M/P = L(i)Y.
■ Inicialmente se asume que no existe sistema financiero (banca
comercial). No hay depósitos. Por tanto M = M0 (efectivo). Sólo se
analiza el efecto del “Banco central”
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
El balance del Banco Central
• El banco Central tiene sólo dos activos:
• R: Reservas de divisas.
• B: Bonos nacionales.
M


Money supply
M

Change in
money supply


B


R

(20-1)
 R

(20-2)
Domestic credit
B

Change in
domestic credit
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Reserves
Change in
reserves
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
¿Qué cantidad de Reservas debe mantener el Banco
Central?
• Si R<0, el tipo de cambio fijo se rompe.
R=M–B
• Si la oferta y demanda de dinero es igual en equilibrio,
–
dado que M/P = PL(i)Y, entonces tenemos que:
R

Reserves
 P L (i )Y 
B

 Domestic credit
(20-3)
Money demand
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Figure 20.4 The Central Bank Balance Sheet Diagram
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Graphical Analysis of the Central Bank Balance Sheet
• Caja de convertibilidad (currency board): Si el sistema
de tipo de cambio fijo mantiene unas Reservas del
100% de la Oferta de Dinero (M).
• Si el tipo de cambio es flexible, asumimos que R=0, y
estamos sobre la línea de 45º
• Si el tipo de cambio es fijo, el Banco Central deberá
situarse en algún punto de la línea vertical, con R>0.
• Cuanto más próximo a la línea de 45º, mayor peligro de
crisis cambiaria.
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Cambios en la Demanda de Dinero
Supongamos un Shock en el Output o en Tipo de cambio i*:
• Caída de la Demanda de Dinero : 10%.
• Se rompe la PDI. Sale capital. Tendencia a la depreciación de la
moneda local.
• Intervención del BC:
• vende divisas: $100 million). Se reduce R.
• Compra moneda local (pesos). Se reduce M
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Defending the Peg I: Changes in the Level of Money Demand
La importancia del Ratio de Respaldo (R/M)
• Indica la fracción de M que se mantiene en R.
• Cuanto mayor es el ratio, más lejos esta el BC de una
crisis cambiaria.
• Un ratio de respaldo del 100% corresponde a una “caja
de convertibilidad”.
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APPLICATION
Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Primas de Riesgo y Mercados Empergentes
e
Epeso/$
Exchange rate  Default 

i  i 




risk
premium
risk
premium
E
Dollar


 
peso/$
Peso





interest
interest
*
rate
rate
Expected rate of
depreciation
of the peso

Interest rate spread
(equal to zero if peg is credible and there are no risk premiums)
Currency premium 
e
Epeso/$
Epeso/$

Exchange rate
 risk premium 


 Default 
Country premium  

risk
premium


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APPLICATION
Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Risk Premiums in Advanced and Emerging Markets
FIGURE 20-6 (1 of 2)
Interest Rate Spreads: Currency Premiums and Country Premiums When advanced
countries peg, the interest rate spread is usually close to zero, and we can assume i
= i*. An example is Denmark’s peg to the euro in panel (a), where the correlation
between the krone and euro interest rates is 0.99.
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APPLICATION Risk Premiums in Advanced and Emerging Markets
Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
FIGURE 20-6 (2 of 2)
Interest Rate Spreads: Currency Premiums and Country Premiums (continued)
When emerging markets peg, interest rate spreads can be large and volatile. An
example is Argentina’s peg to the U.S. dollar, where the correlation between the
peso interest rate and the U.S. interest rate is only 0.38.
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APPLICATION Risk Premiums in Advanced and Emerging Markets
Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
FIGURE 20-7 (1 of 5)
Argentina’s Central Bank Operations, 1993–1997 In this period, one peso was worth
one U.S. dollar. Panel (a) shows the money supply and reserves. The difference
between the two is domestic credit. Six key dates are highlighted before, during, and
after the Mexican Tequila crisis.
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APPLICATION Risk Premiums in Advanced and Emerging Markets
Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
FIGURE 20-7 (2 of 5)
Argentina’s Central Bank Operations, 1993–1997 (continued) In panel (b), the
balance sheet of the central bank at these key dates is shown. Prior to the crisis,
domestic credit was essentially unchanged, and reserves grew from $8 billion to $11
billion as money demand grew from M1 to M2 in line with rapid growth in incomes
(move from point 1 to 2).
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APPLICATION Risk Premiums in Advanced and Emerging Markets
Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
FIGURE 20-7 (3 of 5)
Argentina’s Central Bank Operations, 1993–1997 (continued) After the crisis hit in
December 1994, interest rate spreads widened, money demand fell from M2 to M3,
but domestic credit stood still (to point 3) and $1 billion in reserves were lost.
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APPLICATION
Risk Premiums in Advanced and Emerging Markets
Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
FIGURE 20-7 (4 of 5)
Argentina’s Central Bank Operations, 1993–1997 (continued) In 1995 there was a run
on banks and on the currency, and the central bank sterilized by expanding
domestic credit by 5 billion pesos and selling $5 billion of reserves as money
demand remained constant (to point 4). Reserves reached a low level of $5 billion.
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APPLICATION
Risk Premiums in Advanced and Emerging Markets
Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
FIGURE 20-7 (5 of 5)
Argentina’s Central Bank Operations, 1993–1997 (continued) By 1996 the central
bank replenished its reserves, reversing the earlier sterilization. Domestic credit fell
by 5 billion pesos and reserves increased by $5 billion (to point 5, same as point 3).
Further sterilized purchases of $4 billion of reserves brought the backing ratio up to
100% in 1997 (to point 6).
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Cambios en la composición de M
• Estudiamos ahora cambios en el crédito doméstico B.
• Mantenemos constante la Demanda de Dinero.
• Si Md=cte, también lo es la oferta de dinero (M).
• Por tanto, cambios en B sólo afectan a la composición
entre B y R.
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Cambio en la composición: aumento de B
• Y; i*=cte.
• La oferta de dinero M1 = 1,000 million pesos.
• El Banco incrementa el crédito doméstico (compra
bonos nacionales): ∆B = $100 million of peso bonds.
• El aumento de M, reduce i, rompe la PDI, presiona
hacia la depreciación de la moneda local.
• El BC interviene, vendiendo Reservas ($100 million) a
cambio de moneda local, por lo que la M y el I se
mantienen constantes.
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Esterilización
Figure 20.8 Sterilization
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
Por qué puede cambia la composición de la Oferta de
Dinero?.
■ Insolvencia y rescates (bailouts).
Un banco privado se hace insolvente si P<A.
■ Falta de liquidez y pánico bancario. El banco comercial
no tiene sufientes reservas para acometer los
requerimientos de efectivo.
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
FIGURE 20-9 (1 of 2)
The Central Bank and the Financial Sector
In panel (a), a bailout occurs when the central bank prints money and buys domestic
assets—the bad assets of insolvent private banks. There is no change in demand for
base money (cash), so the expansion of domestic credit leads to a decrease of
reserves.
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Chapter 20: Exchange Rate Crises: How Pegs Work and How They Break
FIGURE 20-9 (2 of 2)
The Central Bank and the Financial Sector (continued)
In panel (b), private bank depositors want to shift from holding deposits to holding
cash. If the central bank acts as a lender of last resort and temporarily lends the
needed cash to illiquid private banks, both the demand and supply of base money
(cash) rise, so the level of reserves is unchanged.
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