A Unifying Framework for Analysing Offsetting Capital Flows and BGT.pdf

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1、INTERNATIONALJOURNALOFFINANCEANDECONOMICSInt.J.Fin.Econ.7:63–78(2002)PublishedonlineinWileyInterScience(www.interscience.wiley.com).DOI:10.1002/ijfe.171AUNIFYINGFRAMEWORKFORANALYSINGOFFSETTINGCAPITALFLOWSANDSTERILIZATION:GERMANYANDTHEERMab,cSOPHOCLESN.BRISSIMIS,HEATHE

2、RD.GIBSON*,andEUCLIDTSAKALOTOSaBankofGreeceandDepartmentofEconomics,UniversityofPiraeus,GreecebBankofGreece,Athens,GreececDepartmentofInternationalandEuropeanEconomicStudies,AthensUniversityofEconomicsandBusiness,GreeceABSTRACTThispaperprovidesaunifyingframeworkinwhic

3、hidentifiedoffsetandsterilizationequationscanbederivedandestimated.Thetheoreticalmodelsuggeststhat,inthecasewherethecentralbankcaresaboutbothexternalandinternalgoalsandcapitalislessthanperfectlymobile,therewillbesomeoffsettingcapitalflowsandthecentralbankwillsterilize.Sev

4、eralresultsfromtheliteratureareencompassedasspecialcases.TheequationsareestimatedfortheGermanexperienceofthe1980sandtheresultspointtoactivesterilizationbytheBundesbankduringthisperiod.Copyright#2002JohnWiley&Sons,Ltd.KEYWORDS:Foreignexchangemarketintervention;steriliz

5、ation;ERM;capitalmobilityJELCODE:E58;F31.INTRODUCTIONTheextenttowhichmonetarypolicychangesareneutralizedbyoffsettingcapitalflows(whichchangethecentralbank’sforeignexchangereserves)andtheextenttowhichtheseflowscanbesterilizedareissueswhichhavelongbeenofinteresttocentralba

6、nksandpolicy-makersconcernedabouttheirabilitytoconductanindependentmonetarypolicy.Moreover,theproblemhasbecomepotentiallymoreacutewiththeremovalofcapitalcontrols,growingfinancialintegrationandtheadoptionofexchangeratetargetsbyanumberofindustrial(particularlyEuropean)an

7、ddevelopingcountries.Existingworkontheoffsetandsterilizationcoefficientscanbeseparatedintotwomaingroups.Thefirstseekstocalculatetheoffsetcoefficientfromstructuralestimatesofassetdemandfunctionsandcapitalflowequations.Theextentof1sterilizationisthenestablishedbyestimatingacent

8、ralbankreactionfunction.Thesecondgrouptakesanexplicitlyreduced-formapproach;papersofthisgenreusuallyfocusonestimatingeithert