كانال پولي فشار بازار ارز و مداخلهٔ بانك مركزي در اين بازار با رهيافت تعادل عمومي پوياي تصادفي

Monetary Channel Exchange Market Pressure and Central Bank Intervention in This Market with a Dynamic Stochastic General Equilibrium Approach

مديريت نوسانات نرخ ارز از موضوعات چالش‌برانگيز در سياست‌گذاري اقتصادي است. سياست‌گذار با ابزارهاي سياستي مناسب، تغييرات نرخ ارز را در يك دامنهٔ مطلوب مديريت مي‌كند. تحت نظام نرخ ارز شناور مديريت‌شده، مازاد عرضه يا تقاضاي ارز معمولاً با تركيبي از تغييرات نرخ ارز و ذخاير خارجي تعديل مي‌شود كه با عنوان فشار بازار ارز شناخته مي‌شود. در اين مقاله، با تعبيهٔ كانال پولي شاخص فشار بازار ارز در تابع سياستي بانك مركزي در الگوي تعادل عمومي پوياي تصادفي، رفتار سياست‌گذار در مقابل تكانه‌هاي ارزي تجزيه‌وتحليل مي‌شود. براين‌اساس، تكانهٔ نرخ ارز در دو تابع سياستي الگوي تعادل عمومي پوياي تصادفي ساخته‌شده براي اقتصاد ايران مورد مقايسه قرار گرفته است. در مدل اول، سياست پولي در واكنش به شاخص فشار بازار ارز تنظيم شده و در مدل دوم حساسيت نسبت به نرخ ارز حقيقي در تابع واكنش سياست پولي تعبيه شده است. طبق نتايج، تورم، توليد، مصرف و سرمايه‌گذاري در تكانهٔ نرخ ارز در مدل اول نسبت به مدل دوم نوسانات كمتري دارد و اقتصاد در مدت‌زمان كمتري به تعادل مي‌رسد. لذا، اثربخشي سياست‌هاي پولي از طريق حساسيت نسبت به فشار بازار ارز در مقايسه با حساسيت نسبت به نرخ ارز حقيقي بيشتر خواهد بود.

The issue of exchange rate fluctuations, management and central bank intervention in this market is one of the most important issues in the field of economic literature as well as in economic policy issues. In order to maintain balance in the markets, especially the foreign exchange market, and to protect it from the attack of traders, policymakers always try to manage exchange rate changes in a favorable range by applying appropriate policy tools. Under a managed floating exchange rate system, surplus supply or demand for foreign exchange is usually adjusted by a combination of exchange rate fluctuations and foreign reserves. Simultaneous changes in exchange rates and foreign reserves are interpreted in the economic literature as Exchange Market Pressure. Due to the strong dependence of government economic activities and even the private sector on foreign exchange resources resulting from oil exports, due to the rapid transfer of foreign exchange shocks to the country's economic variables, the study of this issue is inevitable. So this article tries to embedding the monetary channel of the Exchange Market Pressure index in the policy function of the central bank based on the Dynamic Stochastic General Equilibrium model, the policymaker's behavior in the face of various foreign exchange shocks should be analyzed. Accordingly, the exchange rate fluctuation has been compared in two policy functions of a Dynamic Stochastic General Equilibrium model for the Iranian economy. In the first model, monetary policy is adjusted in response to the foreign Exchange Market Pressure index, and in the second model sensitive to the real exchange rate. The results show that in the first model, in exchange rate shoks, inflation, production, consumption and investment have less fluctuations than the second model, and the economy reaches equilibrium in less time. Therefore, the effectiveness of the central bank's monetary policy through sensitivity to foreign exchange market pressure will be greater than sensitivity to the real exchange rate.