T7. Tipos de cambio: enfoque monetario

Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
T7: El tipo de cambio nominal: El
modelo monetario con precios
flexibles
Carlos Llano
Referencias:
• Tema 5 del Programa.
• Capítulo 3 de Feenstra&Taylor (2011)
1
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
• A largo plazo el tipo de cambio se determina por la
relación entre los niveles de precios en los dos países.
Pero : ¿Qué determina los niveles de precios?
• La teoría monetaria proporciona una respuesta: en el
largo plazo, los niveles de precios se determinan en
cada país por la demanda y la oferta de dinero.
• Esta sección resume los elementos esenciales de la
teoría monetaria y muestra cómo encajan en nuestra
teoría de los tipos de cambio en el largo plazo.
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2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
What Is Money?
• El dinero tiene tres funciones en una economía:
• Es un depósito de valor: ya que puede ser utilizado
para comprar bienes y servicios en el futuro. Si el coste
de oportunidad de tener dinero es bajo, vamos a
mantener el dinero antes que otros activos menos
líquidos (acciones, bonos, etc.).
• Aporta una unidad de cuenta.
• Es un medio de intercambio que nos permite comprar
y vender bienes y servicios sin la necesidad de participar
en el trueque. El dinero es el activo más líquido.
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2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
The Measurement of Money
FIGURE 14-4
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
The Measurement of
Money This figure shows
the major kinds of
monetary aggregates
(currency, M0, M1, and
M2) for the United States
from 2004 to 2010.
Normally, bank reserves
are very close to zero, so
M0 and currency are
virtually identical, but
reserves spiked up during
the financial crisis in
2008, as private banks
sold securities to the Fed
and stored up the cash
proceeds in their Fed
reserve accounts as a
precautionary hoard of
liquidity.
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
The Demand for Money: A Simple Model
• Las familias necesitan dinero para hacer transacciones.
Por tanto depende del nivel de renta.
• Un modelo sencillo para definir la Demanda de Dinero
es la Teoría Cuantitativa del Dinero:
d
M

Demand
for money ($)

L

A constant
 PY

Nominal
income ($)
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
The Demand for Money: A Simply Model
• Dividiendo el elemento anterior por los precios se
obtiene la Demanda de Saldos Reales de una
economía:
d
M
 
L  Y
P
A constant Real income

Demand
for real
money
• Mide el poder de compra de una moneda en términos de
los bienes y servicios producidos en ella.
• Es diréctamente proporcional a la renta real.
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2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
Equilibrium in the Money Market
El mercado de dinero está en equilibrio cuando la oferta de
saldos reales es igual a la demanda de saldos reales.
M  L PY
M
 LY
P
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2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
A Simple Monetary Model of Prices
• Una expresión para el nivel de precios en US y en EU:
M US
PUS 
LUSYUS
M EUR
PEUR 
LEURYEUR
• Asumimos que en el largo plazo, los precios son
flexibles y se ajustan según esta ecuación de equilibrio
en el mercado de dinero.
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2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
A Simple Monetary Model of Prices
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
FIGURE 14-5
Building Block: The Monetary Theory of the Price Level According to the LongRun Monetary Model In these models, the money supply and real income are
treated as known exogenous variables (in the green boxes).
The models use these variables to predict the unknown endogenous variables (in
the red boxes), which are the price levels in each country.
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
A Simple Monetary Model of the Exchange Rate
Si “enchufamos” la expresión anterior de precios, a la
equación vista anterior acerca de la PPA absoluta,
obtenemos que:
 M US 


L
Y
 M US / M EUR 
PUS
US US 



E$/ EU 

 M EUR   LUS YUS / LEUR YEUR 
PE
Exchange rate


 
Ratio of price levels
 LEUR YEUR  Relative nominal money supplies
(14-3)
divided by
relative real money demands
Esta es la ecuación fundamental para la “teoría monetaria
de los tipos de cambio a largo plazo”
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
Money Growth, Inflation, and Depreciation
Las implicaciones de la ecuación fundamental del enfoque
monetario de tipos de cambio son intuitivos:
 Supongamos que, todo lo demás igual, aumenta la
oferta de dinero de Estados Unidos. Se produce un
aumento en la oferta de dinero nominal en EEUU en
relación con EU (lado derecho) ; esto causa el aumento
del tipo de cambio (el dólar se deprecia frente al euro).
 Ahora supongamos que aumenta la renta real de
EE.UU. El lado derecho de la igualdad disminuye,
(aumenta la demanda real de dinero americano respecto
al europeo), haciendo que el tipo de cambio caiga (el
dólar de EE.UU. se aprecia frente al euro).
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2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
Money Growth, Inflation, and Depreciation
La oferta de dinero americana: MUS, y la tasa de
crecimiento de la masa monetaria americana es μUS:
US ,t 
M US ,t 1  M US ,t
M US ,t

Rate of money supply growth in U.S.
La tasa de crecimiento de la renta real americana es gUS:
gUS ,t 
YUS ,t 1  YUS ,t
YUS ,t

Rate of real income growth in U.S.
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
Money Growth, Inflation, and Depreciation
Mezclando lo anterior, la tasa de crecimiento de los precios
−
en US, será: PUS =MUS/LUSYUS la diferencia entre las tasas
de crecimiento de la masa monetaria (μUS ) menos la de la
renta real (gUS). El crecimiento de los precios en usa es us
tasa de inflación: πUS. Por tanto:
US,t  US,t  gUS,t
(14-4)
De forma equivalente, para Europa tenemos que:
 EUR,t   EUR,t  gEUR,t
(14-5)
Cuando el crecimiento de la masa monetaria es superior a
la de la renta real, tenemos más dinero para menos
bienes, y eso crea inflación.
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
Money Growth, Inflation, and Depreciation
Combinando la Eq (14-4) y la Eq (14-5), resolvemos ahora
para los diferenciales de inflación y obtenemos una
expresión que predice la tasa de depreciación del tipo de
cambio:
E$ / € t
 US ,t   EUR ,t  US ,t  gUS ,t    EUR ,t  g EUR ,t  (14-6)

E$ / € ,t
Inflation differential

Rate of depreciation
of the nominal exchange rate
 US ,t   EUR ,t   gUS ,t  g EUR ,t .


 


Differential in
nominal money supply
growth rates
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Differential in
real output
growth rates
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
2 Money, Prices, and Exchange Rates in the Long Run:
Money Market Equilibrium in a Simple Model
Money Growth, Inflation, and Depreciation
Las consecuencias de la ecuación anterior son
importantes:
■ Si EEUU aplica una política monetaria en el largo plazo
que es superior al crecimiento de la renta real, el Dolar
tenderá a depreciarse más rapidamente.
■ Si EEUU aplica una política monetaria en el largo plazo
que es inferior al crecimiento de la renta real, el Dolar
tenderá a apreciarse.
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3 The Monetary Approach: Implications and Evidence
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
Exchange Rate Forecasts Using the Simple Model
• Cuando queremos predecir el comportamiento del tipo
de cambio en el futuro, nos preguntamos:
• Qué recorrido seguirá si los precios son flexibles y la
PPA se cumple?
Forecasting Exchange Rates: An Example
• Asumimos que U.S. y EU tienen un crecimiento de renta
real nulo: 0%.
• EU tiene un nivel de precios constante, por lo que su
inflación es cero.
• Analicemos dos casos:
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3 The Monetary Approach: Implications and Evidence
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
Exchange Rate Forecasts Using the Simple Model
Forecasting Exchange Rates: An Example
Caso 1: Incremento puntual en la masa monetaria USA:
a. 10% de incremento en M.
b. Los saldos reales M/P se mantienen constantes,
porque la renta real se mantiene constante.
c. Por tanto, P y M se mueven en la misma proporción,
por lo que habrá un incremento del 10% en el nivel de
precios P.
d. Según la PPA, el tipo de cambio E y los precios P se
mueven en la misma proporción. Por tanto, se produce
un aumento del 10% en E: por tanto, el dolar se
deprecia un 10%.
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3 The Monetary Approach: Implications and Evidence
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
Exchange Rate Forecasts Using the Simple Model
Forecasting Exchange Rates: An Example
Caso 2: Un incremento en la tasa de crecimiento de la
masa monetaria en USA.
La tasa de crecimiento de la masa monetaria era fija y con
valor μ. En un momento T , US incrementa esta tasa hasta
μ + ∆μ.
a. La masa monetaria real M/P se mantiene constante,
como antes.
c. Por tanto, los precios P y M se mueven en igua
proporción.
d. La PPA implica que el tipo de cambio E y los precios P
se mueven proporcionalmente, luego E sigue siendo
un múltiplo constante de P (y d M).
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3 The Monetary Approach: Implications and Evidence
Exchange Rate Forecasts Using the Simple Model
Forecasting Exchange Rates: An Example
FIGURE 14-6 (1 of 4)
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
An Increase in the
Growth Rate of the
Money Supply in the
Simple Model
Before time T, money,
prices, and the
exchange rate all grow
at rate μ. Foreign
prices are constant.
In panel (a), we
suppose at time T
there is an increase
∆μ in the rate of
growth of home
money supply M.
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3 The Monetary Approach: Implications and Evidence
Exchange Rate Forecasts Using the Simple Model
Forecasting Exchange Rates: An Example
FIGURE 14-6 (2 of 4)
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
An Increase in the
Growth Rate of the
Money Supply in the
Simple Model
(continued)
In panel (b), the
quantity theory
assumes that the level
of real money
balances remains
unchanged.
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3 The Monetary Approach: Implications and Evidence
Exchange Rate Forecasts Using the Simple Model
Forecasting Exchange Rates: An Example
FIGURE 14-6 (3 of 4)
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
An Increase in the
Growth Rate of the
Money Supply in the
Simple Model
(continued)
After time T, if real
money balances (M/P)
are constant, then
money M and prices P
still grow at the same
rate, which is now
μ + ∆μ, so the rate of
inflation rises by ∆μ,
as shown in panel (c).
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3 The Monetary Approach: Implications and Evidence
Exchange Rate Forecasts Using the Simple Model
Forecasting Exchange Rates: An Example
FIGURE 14-6 (4 of 4)
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
An Increase in the
Growth Rate of the
Money Supply in the
Simple Model
(continued)
PPP and an assumed
stable foreign price
level imply that the
exchange rate will
follow a path similar to
that of the domestic
price level, so E also
grows at the new rate
μ + ∆μ, and the rate of
depreciation rises by
∆μ, as shown in panel
(d).
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APPLICATION
Evidence for the Monetary Approach
FIGURE 14-7
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
Inflation Rates and
Money Growth Rates,
1975–2005
This scatterplot shows
the relationship between
the rate of inflation and
the money supply
growth rate over the
long run, based on data
for a sample of 76
countries.
The correlation between
the two variables is
strong and bears a close
resemblance to the
theoretical prediction of
the monetary model that
all data points would
appear on the 45-degree
line.
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APPLICATION
Evidence for the Monetary Approach
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
FIGURE 14-8
Money Growth Rates
and the Exchange Rate,
1975–2005
This scatterplot shows
the relationship between
the rate of exchange
rate depreciation and
the money growth rate
differential relative to
the United States over
the long run, based on
data for a sample of 82
countries.
The data show a strong correlation between the two
variables and a close resemblance to the theoretical
prediction of the monetary approach to exchange rates,
which would predict that all data points would appear on
the 45-degree line.
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APPLICATION
Hyperinflations of the Twentieth Century
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
Economists traditionally define a hyperinflation as a
sustained inflation of more than 50% per month.
HEADLINES
The First Hyperinflation of the Twenty-First Century
By 2007 Zimbabwe was almost at an economic standstill, except for the printing presses
churning out the banknotes. A creeping inflation—58% in 1999, 132% in 2001, 385% in
2003, and 586% in 2005—was about to become hyperinflation, and the long-suffering
people faced an accelerating descent into even deeper chaos. Three years later, shortly
after this news report, the local currency disappeared from use, replaced by U.S. dollars
and South African rand.
Ink on their hands: Under President Robert Mugabe
and Central Bank Governor Gideon Gono (seen
clutching a Z$50 million note), Zimbabwe became the
latest country to join a rather exclusive club.
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APPLICATION
Hyperinflations of the Twentieth Century
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
Currency Reform
Hyperinflations help us understand how some currencies become
extinct if they cease to function well and lose value rapidly. Dollarization
in Ecuador is a recent example.
A government may then redenominate a new unit of currency equal to
10N (10 raised to the power N) old units.
Sometimes N can get quite large. In the 1980s, Argentina suffered
hyperinflation. On June 1, 1983, the peso argentino replaced the (old)
peso at a rate of 10,000 to 1. Then on June 14, 1985, the austral
replaced the peso argentino at 1,000 to 1. Finally, on January 1, 1992,
the convertible peso replaced the austral at a rate of 10,000 to 1 (i.e.,
10,000,000,000 old pesos).
In 1946 the Hungarian pengö became worthless. By July 15, 1946,
there were 76,041,000,000,000,000,000,000,000 pengö in circulation.
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APPLICATION
Hyperinflations of the Twentieth Century
PPP in Hyperinflations
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
FIGURE 14-9
The data show a strong correlation between the two
variables and a very close resemblance to the theoretical
prediction of PPP that all data points would appear on
the 45-degree line.
Copyright © 2011 Worth Publishers· International Economics· Feenstra/Taylor, 2/e.
Inflation Rates and
Money Growth Rates,
1975–2005 The
scatterplot shows the
relationship between the
cumulative start-tofinish exchange rate
depreciation against the
U.S. dollar and the
cumulative start-tofinish rise in the local
price level for
hyperinflations in the
twentieth century. Note
the use of logarithmic
scales.
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APPLICATION
Hyperinflations of the Twentieth Century
Money Demand in Hyperinflations
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
FIGURE 14-10
The Collapse of Real Money Balances during Hyperinflations This figure shows that
real money balances tend to collapse in hyperinflations as people economize by
reducing their holdings of rapidly depreciating notes. The horizontal axis shows the
peak monthly inflation rate (%), and the vertical axis shows the ratio of real money
balances in that peak month relative to real money balances at the start of the
hyperinflationary period. The data are shown using log scales for clarity.
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
4 Money, Interest Rates, and Prices in the Long Run:
A General Model
• El problema con la teoría cuantitativa utilizada hasta
aquí es que asume que la demanda de dinero es
estable, y esto no es plausible.
• En esta sección, se explora un modelo más general que
permita la demanda de dinero varíe con el tipo de
interés nominal.
• Consideramos que los vínculos entre la inflación y el tipo
de interés nominal en una economía abierta, y luego
volvemos a la cuestión de la mejor manera de entender
lo que determina los tipos de cambio en el largo plazo.
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
4 Money, Interest Rates, and Prices in the Long Run:
A General Model
The Demand for Money: The General Model
• Ahora el tipo de interés recoge el coste de oportunidad
de tener activos líquidos no rentables (dinero)
• Un aumneto en el tipo de interés reduce la demanda de
dinero:
d
M

Demand
for money ($)
 
L(i )  
P

Y
A
decreasing
function
Nominal
income ($)
• Dividiendo por P, tenemos:
Md
P

Demand
for real money
 
L(i )  Y
Real
A
decreasing
function
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income
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4 Money, Interest Rates, and Prices in the Long Run:
A General Model
The Demand for Money: The General Model
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
FIGURE 14-11
The Standard Model of Real Money Demand Panel (a) shows the real money
demand function for the United States. The downward slope implies that the
quantity of real money demand rises as the nominal interest rate i$ falls.
Panel (b) shows that an increase in real income from Y1US to Y2US causes real money
demand to rise at all levels of the nominal interest rate i$.
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4 Money, Interest Rates, and Prices in the Long Run:
A General Model
Long-Run Equilibrium in the Money Market
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
M
P

Real money supply

(14-7)
L(i )Y

Real money demand
Inflación y Tipos de Interés en el Largo Plazo
• Ahora mezclamos la PPA y la PDI :
• Obtenemos una expresión importante para analizar los
tipos de interés en las economías abiertas:
E$/e €
E$/ €

Tasa de depreciación
esperada del dolar

e
e
  EUR
 US

Diferencial esperado de
inflación
E$/e €
E$/ €

y
Tasa de depreciación
esperada del dolar
Copyright © 2011 Worth Publishers· International Economics· Feenstra/Taylor, 2/e.

i$

Tipo de interés
neto del dolar
(moneda local)

i€

Tipor de interés
neto del euro
(divisa)
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4 Money, Interest Rates, and Prices in the Long Run:
A General Model
The Fisher Effect
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
• Las diferencias nominales de tipos de interés igualan a
los diferenciales de inflación:
i$  i€

Nominal interest rate differential
e
e
 US
  EUR


Nominal inflation rate differential
(expected)
• Todo lo demás constante, un incremento en la tasa
esperada de inflación llevará a un incremento
equivalente en su tipo de interés nominal.
• Este es el Efecto Fisher.
• Implica que el cambio en el coste de oportunidad de
mantener dinero (i), es igual no sólo al cambio en el tipo
de interés nominal, sino también al cambio en la
inflación.
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4 Money, Interest Rates, and Prices in the Long Run:
A General Model
Real Interest Parity
• Reordenando la última ecuación, tendremos que:
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
e
i$  US
 i€   eEUR
(14-8)
• Cuando la tasa de inflación (π) es restada al tipo de
interés nominal (i), obtenemos el tipo de interés real (r),
esto es, el tipo de interés corregido de inflación.
r r
e
US
e
EUR
• Resultado importante: si la PPA y la PDI se cumplen,
entonces los tipos de interés reales esperados entre los
dos países se igualan. Esta es la paridad del interés
real.
• Esto implica que: El arbitrage en los mercados de bienes y
financieros es suficiente, en el largo plazo, para promover
una igualación de los tipos de interés reales entre países.
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
4 Money, Interest Rates, and Prices in the Long Run:
A General Model
Real Interest Parity
• En el Largo Plazo, todos los paíse compartirán un tipo de
interés real esperado equivalente:
r r
e
US
e
EUR
r
*
(14-9)
• Por tanto, podemos tomar r* como dado, como variable
exógena, algo que escapa al control de la política
monetaria y a la acción de un país particular.
• Bajo estas condiciones, el efecto Fisher es aun más claro,
ya que, por definición:
e
e
i$  rUSe  US
 r *  US
,
Copyright © 2011 Worth Publishers· International Economics· Feenstra/Taylor, 2/e.
e
i€  rEUR
 eEUR  r *  eEUR .
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APPLICATION
Evidence on the Fisher Effect
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
FIGURE 14-12
Inflation Rates and
Nominal Interest Rates,
1995–2005
This scatterplot shows
the relationship between
the average annual
nominal interest rate
differential and the
annual inflation
differential relative to
the United States over a
ten-year period for a
sample of 62 countries.
The correlation between the two variables is strong and
bears a close resemblance to the theoretical prediction
of the Fisher effect that all data points would appear on
the 45-degree line.
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APPLICATION
Evidence on the Fisher Effect
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
FIGURE 14-13
Real Interest Rate Differentials, 1970–1999 This figure shows actual real interest rate
differentials over three decades for the United Kingdom, Germany, and France
relative to the United States. These differentials were not zero, so real interest parity
did not hold continuously. But the differentials were on average close to zero,
meaning that real interest parity (like PPP) is a general long-run tendency in the data.
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
4 Money, Interest Rates, and Prices in the Long Run:
A General Model
The Fundamental Equation under the General Model
• Este modelo se diferencia del anterior más sencillo
(basado en la Teoría Cuantitativa) sólo en permitir que L
dependa de i.
 M US 




L
i
Y
(
)
M US / M EUR 
PUS
US $ US 
(14-10)
E$ / € 

 

PEUR
 M EUR
 LUS (i$ )YUS / LEUR (i )YEUR 
Exchange rate


 
Ratio of price levels
Relative nominal money supplies
 LEUR (i )YEUR 
divided by
Relative real money demands
• Ahora, sólo cuando varíen los tipos de interés nominales,
el modelo genera conclusiones diferentes. Por tanto, este
modelo general subsume el anterior cuando los tipos no
varían.
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
4 Money, Interest Rates, and Prices in the Long Run:
A General Model
Exchange Rate Forecasts Using the General Model
• Ahora reexaminamos el problema de predicción para el
caso en el que hay un aumento en la tasa de
crecimiento del dinero en EE.UU.
• Planteamos que en el momento T, Estados Unidos
estaba aumentando la tasa de crecimiento de la oferta
de dinero desde un tipo fijo μ a una tasa ligeramente
superior μ + ∆μ.
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4 Money, Interest Rates, and Prices in the Long Run:
A General Model
Exchange Rate Forecasts Using the General Model
FIGURE 14-14 (1 of 4)
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
An Increase in the
Growth Rate of the
Money Supply in the
Standard Model
Before time T, money,
prices, and the
exchange rate all grow
at rate μ. Foreign
prices are constant.
In panel (a), we
suppose at time T
there is an increase
∆μ in the rate of
growth of home
money supply M.
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4 Money, Interest Rates, and Prices in the Long Run:
A General Model
Exchange Rate Forecasts Using the General Model
FIGURE 14-14 (2 of 4)
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
An Increase in the
Growth Rate of the
Money Supply in the
Standard Model
(continued)
This causes an
increase ∆μ in the rate
of inflation; the Fisher
effect means that
there will be a ∆μ
increase in the
nominal interest rate;
as a result, as shown
in panel (b), real
money demand falls
with a discrete jump at
T.
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4 Money, Interest Rates, and Prices in the Long Run:
A General Model
Exchange Rate Forecasts Using the General Model
FIGURE 14-14 (3 of 4)
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
An Increase in the
Growth Rate of the
Money Supply in the
Standard Model
(continued)
If real money balances
are to fall when the
nominal money supply
expands continuously,
then the domestic
price level must make
a discrete jump up at
time T, as shown in
panel (c).
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4 Money, Interest Rates, and Prices in the Long Run:
A General Model
Exchange Rate Forecasts Using the General Model
FIGURE 14-14 (4 of 4)
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
An Increase in the
Growth Rate of the
Money Supply in the
Standard Model
(continued)
Subsequently, prices
grow at the new
higher rate of
inflation; and given
the stable foreign
price level, PPP
implies that the
exchange rate follows
a similar path to the
domestic price level,
as shown in panel (d).
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
4 Monetary Regimes and Exchange Rate Regimes
• Un aspecto principal de la política económica de un país
es el deseo de mantener la inflación dentro de ciertos
límites. Para lograr tal objetivo requiere que los políticos
estén sujetos a algún tipo de restricción en el largo
plazo. Tales restricciones son llamados anclas
nominales.
• El anclaje nominal a “largo plazo” y la flexibilidad a corto
plazo son las características del marco de políticas que
los economistas llaman el “régimen monetario de un
país”.
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Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
4 Monetary Regimes and Exchange Rate Regimes
The Long Run: The Nominal Anchor
Volvemos a etiquetar nuestros países como Home (H) y
Foreign (F).
Consideramos 3 “ánclas nominales”: objetivos de tipo de
cambio; objetivos de oferta monetaria; objetivos de tipos de
interés.
■ Objetivos de Tipos de cambio:
•
Si la PPA relativa establece que la inflación nacional depende de la tasa de
depreciación de la moneda y la inflación externa (exógena), una manera de
“anclar nuestra inflación” es establecer una tasa de depreciación constante
de la moneda local.
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4 Monetary Regimes and Exchange Rate Regimes
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
The Long Run: The Nominal Anchor
■ Objetivo de la Masa Monetaria:
• Otra alternativa, sería establece una tasa constante de
crecimiento de la Masa Monetaria, por ejemplo, del 2%
anual.
• Aquí el problema lo plantea el último elemento: la tasa
de crecimiento de la renta real puede ser inestable y
difícil de conocer.
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4 Monetary Regimes and Exchange Rate Regimes
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
The Long Run: The Nominal Anchor
■ Objetivos de Tipos de Interés:
e
 Home
 iHome 

Tipo _ de
int erés
no min al
Ancla
•
•
•
r*

Tipode int erés
rea l
no min al
El Efecto Fisher dice que la inflación en Home surge de la diferencia entre
el tipo de interés nombial en Home y el tipo de interés real extranjero.
Si el último se asume como constante, entonces, si mantenemos contstante
nuestro tipo de interés nominal, la inflación se mantendrá constante.
Este “ancla nominal” está siendo utilizada cada vez con más asiduidad.
Asumir un tipo de interés real para el mundo no es una mala hipótesis.
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4 Monetary Regimes and Exchange Rate Regimes
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
TABLE 14-2
Exchange Rate Regimes and Nominal Anchors This table illustrates the possible
exchange rate regimes that are consistent with various types of nominal anchors.
Countries that are dollarized or in a currency union have a “superfixed” exchange
rate target. Pegs, bands, and crawls also target the exchange rate. Managed floats
have no preset path for the exchange rate, which allows other targets to be
employed. Countries that float freely or independently are judged to pay no
serious attention to exchange rate targets; if they have anchors, they will involve
monetary targets or inflation targets with an interest rate policy. The countries
with “freely falling” exchange rates have no serious target and have high rates of
inflation and depreciation. It should be noted that many countries engage in
implicit targeting (e.g., inflation targeting) without announcing an explicit target
and that some countries may use a mix of more than one target.
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APPLICATION
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
Nominal Anchors in Theory and Practice
An appreciation of the importance of nominal anchors has
transformed monetary policy making and inflation
performance throughout the global economy in recent
decades.
In the 1970s, most of the world was struggling with high
inflation. In the 1980s, inflationary pressure continued. In
the 1990s, policies designed to create effective nominal
anchors were put in place in many countries.
Most, but not all, of those policies have turned out to be
credible, too, thanks to political developments in many
countries that have fostered central-bank independence.
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APPLICATION
Nominal Anchors in Theory and Practice
Chapter 14: Exchange Rates I: The Monetary Approach in the Long Run
TABLE 14-3
Global Disinflation Cross-country data from 1980 to 2004 show the gradual
reduction in the annual rate of inflation around the world. This disinflation
process began in the advanced economies in the early 1980s. The emerging
markets and developing countries suffered from even higher rates of inflation,
although these finally began to fall in the 1990s.
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