This paper examines the role of macroprudential policy and foreign exchange rate intervention in stabilizing the economy facing foreign shocks. To this end, we build a small open economy dynamic stochastic general equilibrium (DSGE) model with a banking sector. We add foreign loans by entrepreneurs regulated by a macroprudential policy via a foreign to domestic loan ratio requirement. The exchange rate intervention is undertaken via a modified Taylor rule. From the analysis, two important results emerge. First, the responses of aggregate output, consumption, investment, and inflation vary widely for different types of foreign shock and policy combinations. Second, the stabilization gain seems to depend on the type of foreign shock hitting the economy. When the economy is hit by a foreign interest rate shock, tightening the macroprudential measure reduces the volatility of output, consumption, and investment-more than if the stabilization effort is carried out through an exchange rate intervention. However, under a risk premium shock, this gain diminishes substantially.

本文考察了宏观审慎政策和外汇干预在稳定面临外国冲击的经济方面的作用。为此，我们与银行业建立了一个小型开放经济动态随机一般均衡（DSGE）模型。我们通过外国对国内贷款比率要求，增加了受宏观审慎政策监管的企业家的外国贷款。汇率干预是通过修改后的泰勒规则进行的。从分析中可以得出两个重要结果。首先，对于不同类型的外国冲击和政策组合，总产出、消费、投资和通货膨胀的反应差异很大。其次，稳定收益似乎取决于打击经济的外国冲击的类型。当经济受到外国利率冲击时，收紧宏观审慎措施可以降低产出、消费和投资的波动性——比通过汇率干预来实现稳定的努力更大。然而，在风险溢价冲击下，这种收益会大幅减少。