海地近期汇率发展的教训（英）

LessonsfromHaiti’sRecentExchangeRateDevelopments RinaBhattacharyaandNeilShenaiWP/22/225 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate. TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. 2022 NOV ©2022InternationalMonetaryFundWP/22/225 IMFWorkingPaper WesternHemisphereDepartment LessonsfromHaiti’sRecentExchangeRateDevelopmentsRinaBhattacharyaandNeilShenai* AuthorizedfordistributionbyNicoleLaframboise November2022 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. ABSTRACT:FromAugusttoOctober2020,theHaitianauthoritiesweresuccessfulatbringingaboutasharpappreciationinthegourde/U.S.dollarexchangerate.Thispaperanalyzesthefactorsbehindthisappreciationanditsspilloversontheeconomy.Itfindsthatforeignexchangesurrenderrequirementshadastatisticallysignificanteffectonthenominalexchangerate,whileforeignexchangeinterventionbythecentralbankdidnot.Surrenderrequirementswerealsofoundtohaveraisedtradingcostsandvolatilityintheforeignexchangemarketandcontributedtothedevelopmentofawiderparallelnominalexchangeratepremium.Thisappreciationcontributedtoadeclineinheadlineinflationduringtheepisodewhiledeliveringsomefuelsubsidy-relatedsavingstothegovernment.Remittance-dependenthouseholdsandexporterssawadropintheirpurchasingpower,andHaiti’snetexternalbufferswereadverselyaffected.Followingfromthesefindings,thepaperoffersrecommendationsonwaystofacilitateforeignexchangemanagementandboostexternalsustainaibilitywhilecontributingtothecentralbank’soverallpolicyobjectives. RECOMMENDEDCITATION:Bhattacharya,RinaandNeilShenai(2022),“LessonsfromHaiti’sRecentExchangeRateDevelopments.”IMFWorkingPaper22/225. JELClassificationNumbers: E50,F40,F41 Keywords: Haitiforeignexchangerate;fragilestatemonetarypolicy;foreignexchangesurrenderrequirements;foreignexchangeinterventioninfragilestates;reservemoneyprogramminginfragilestates Author’sE-MailAddress: rbhattacharya@imf.org,nshenai@imf.org *TheauthorsthankNicoleLaframboise,CarolinaOsorioBuitron,PatrickLeClerc,andNoahNdela,fortheirconstructivecomments,aswellasthecountryauthoritiesandprivatesectorrepresentativesfortheircloseengagement.TheyalsothankPaolaAliperti F.Domingues(IMFWesternHemisphereDepartment)andPaoloGalang(IMFStrategy,Policy&ReviewDepartment)fortheirhelpfulresearchassistance. WORKINGPAPERS LessonsfromHaiti’sRecentExchangeRateDevelopments PreparedbyRinaBhattacharyaandNeilShenai Contents Glossary3 Introduction4 ReviewoftheLiterature5 AnOverviewofHaiti’sForeignExchangeMarket7 Understandingthe2020-2021Episode11 Driversofthe2020-2021ExchangeRateDevelopments12 ImplicationsofExchangeRateDevelopments14 PolicyConsiderations18 Conclusion19 AnnexI.EstimationofanExchangeRateModelCalibratedforHaiti21 ModelDetails21 AVECMofHaiti’sNominalExchangeRate21 Results22 Short-RunDynamics23 AnnexII.ModelingtheVolatilityofHaiti’sNominalExchangeRate25 ModelDetails25 AGARCH(1,1)ModelofHaiti’sNominalExchangeRate25 Results26 Discussion26 AnnexIII.EstimatingExchangeRatePass-ThroughtoInflationinHaitiandRegionalPeers30 ModelDetails30 Model1:theAutoRegressiveDistributedLag(ARDL)ModelofExchangeRatePass-through30 Model2:AVECMEstimationofExchangeRatePass-through30 Discussion31 AnnexIV.AssessingtheSensitivityofExportsandRemittancestoExchangeRateMovements35 ModelDetails35 Model1:ExportsandtheREER36 Model2:ImportsandtheREER37 Model3:RemittancesandtheREER39 References41 Glossary ARA-CC–AssessingReservesAdequacyforCreditConstrainedeconomiesARDL–Autoregressivedistributedlag ARIMA–AutoregressiveintegratedmovingaverageBRH–BankoftheRepublicofHaiti FCS–Fragileandconflict-affectedstatesFMOLS–Fullymodifiedordinaryleastsquares GARCH–GeneralizedautoregressiveconditionalheteroskedasticityGEE–GlobalEconomicEnvironment INS–InformationNoticeSystem IPF–IntegratedPolicyFrameworkMEF–MinistryofEconomyandFinanceNEER–NominaleffectiveexchangerateNOP–Netopenpositions OLS–OrdinaryleastsquaresREER–Realeffectiveexchangerate RM–Reservemoneyprogramming SEATS–signalextractioninARIMAtimeseries TRAMO–TimeseriesregressionwithARIMAnoise,missingobservations,andoutliersVECM–VectorErrorCorrectionModel WEO–WorldEconomicOutlook Introduction 1.Haitiisasmall,open,fragile,andshock-proneeconomy.Itisalsohighlydependentonremittancesandisundergoingconsiderablesocial,political,andeconomicstress.Aprotractedpoliticalcrisisthatstartedin2015andincludedtheassassinationofthePresidentin2021hasbeenakeydriverofinstability,fragility,andconflict.Relatedtotheseexogenousshocks,thecountryhasexperiencedcivilunrestwithrepeatedcountrylockdowns(knownaspeyi-lok),increasinggangviolenceandcontrol,COVID-19-relatedlockdowns,ahurricane,andanearthquake.Theseshockshitaneconomywithconsiderablepre-existingvulnerabilities,includinghighratesofinformalityandpoverty,exposure