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Positive and Normative Implications of Liability Dollarization for Sudden Stops Models of Macroprudential Policy
IMF Economic Review ( IF 2.489 ) Pub Date : 2018-11-27 , DOI: 10.1057/s41308-018-0070-8
Enrique G. Mendoza , Eugenio Rojas

Abstract“Liability dollarization,” namely intermediation of capital inflows in units of tradables into domestic loans in units of aggregate consumption, adds three important effects driven by real exchange rate fluctuations that alter standard models of Sudden Stops significantly: changes on the debt repayment burden, on the price of new debt, and on a risk-taking incentive (i.e., a negative premium on domestic debt). Under perfect foresight, the first effect makes Sudden Stops milder and multiple equilibria harder to obtain. The three effects add an “intermediation externality” to the macroprudential externality of standard models, which is present even without credit constraints. Optimal policy under commitment can be decentralized equally by taxing domestic credit or capital inflows, and hence capital controls as a separate instrument are not justified. This optimal policy is time inconsistent and follows a complex, nonlinear schedule. Quantitatively, an optimized pair of constant taxes on domestic debt and capital inflows makes crises slightly less likely and yields a small welfare gain, but other pairs reduce welfare sharply. For high effective debt taxes, capital controls and domestic debt taxes are again equivalent, and for low ones, welfare is higher with higher taxes on domestic debt than on capital inflows.

中文翻译:

宏观审慎政策的突然停损模型下责任美元化的正面和规范意义

摘要“负债美元化”,即以可交易单位的资本流入到以总消费单位的国内贷款的中介,增加了由实际汇率波动驱动的三个重要影响,这些变化显着改变了“突然停止”的标准模型:债务偿还负担的变化,新债务的价格,以及冒险的动机(即国内债务的负溢价)。在完美的预见下,第一个效果使“突然停止”变得更温和,更难以获得多重平衡。这三种效应为标准模型的宏观审慎外部性增加了“中介外部性”,即使没有信用约束,这种外部性也存在。可以通过对国内信贷或资本流入征税,来平等地分散承诺的最优政策,因此,将资本控制作为单独的工具是不合理的。这种最佳策略是时间不一致的,并且遵循复杂的非线性计划。从数量上看,优化的一对国内债务和资本流入恒定税可使危机发生的可能性略微降低,并产生少量的福利收益,但其他货币对则会大幅降低福利。对于高效率的债务税,资本控制和国内债务税再次相等;对于低债务,福利更高,对国内债务的税收要高于对资本流入的税收。
更新日期:2018-11-27
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