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1、CarryTrades,MonetaryPolicyandSpeculativeDynamics∗GuillaumePlantinToulouseSchoolofEconomicsandCEPRguillaume.plantin@tse-fr.euHyunSongShinPrincetonUniversityhsshin@princeton.eduThisversion,January2011AbstractWeaskwhencurrencycarrytradesareassociatedwithdestabilizin
2、gdynamicsintheforeignexchangemarket,andinvestigatetheroleofmonetarypolicyrulesinsettingoffsuchdynamics.Inamodelwheretheexchangeratehasalong-termfundamentalanchor,wefindthatcarrytradescanbestabilizingordestabilizingatshorterhorizons,dependingonthepropensityofcapital
3、inflowstooverheattherecipienteconomy.Inthedestabilizingcase,wesolveforauniqueequilibriumthatexhibitstheclassicpatternofthecarrytraderecipientcurrencyappreciatingforextendedperiods,punctuatedbysharpfalls.JELcodes:F31,F41Keywords:Currencycrises,emergingmarketbubbles
4、,speculation∗Thispapersupersedesourearlierpaperentitled“CarryTradesandSpeculativeDy-namics”.WethankPatrickBolton,DougDiamond,UrbanJermann,PeteKyle,KarenLewis,AdyPauzner,LassePedersen,RichardPortes,HeleneRey,TanoSantos,JeremyStein,andDimitriVayanosfortheircomments
5、onearlierdrafts.11IntroductionLowinterestratesmaintainedbyadvancedeconomycentralbanksintheaftermathofthe2008financialcrisishaveignitedafiercedebateaboutcapitalflowstoemergingeconomies.Theaccusationisthatsuchcapitalflowsaredrivenbyspeculativecarrytradesthatundulydesta
6、bilizeexchangeratesbyseekingtoexploittheinterestratedifferencesbetweenadvancedandemergingeconomies.Beyondthedebateinthepolicyblogosphereandinthefinancialpress1,thereismuchthatremainstobeunderstoodaboutthemechanismsunderpinningthelinkbetweenmonetarypolicyandcapitali
7、nflows.Onesetofquestionsturnsonwhetherspeculativetradingisstabilizingordestabilizing.MiltonFriedman(1953)famouslyarguedforthesta-bilizingeffectofspeculationwhenarbitrageurs,anticipatinganeventualreversionofpricestosomefundamentalvalue,takepositionsthathastentheadju
8、stment.Againstthis,manycommentatorshaveemphasizedtheroleofmonetarypolicyrulesthatincreasethepotentialforcarrytradestobeassociatedwithdestabilizingspeculationth
