Financial frictions, FX reserves, and exchange rate management with local-currency debt
中文摘要
新兴经济体央行往往持有大量外汇储备，而本国居民则承担着大量与本币挂钩的对外负债。在金融摩擦造成利率平价偏离的情况下，这种方向相反的头寸意味着持有成本。在一个存在中介摩擦并承继本币债务的小型开放经济中，我们研究最优储备政策与汇率政策，解释为何债务国可能保留储备，而不是将成本高昂的总头寸轧差。尽管政策可以通过动用储备并使实际汇率升值来消除成本高昂的中介活动，但这样做会产生一般均衡重估效应，从而提高本币债务的实际负担。最优政策保留储备，接受一定程度的中介活动，以避免更大的重估损失。该政策是时间不一致的：相机抉择的央行事后更偏好更大幅度的升值；时间一致的均衡则表现为更多储备留存与更大的利率平价偏离。重估成本制约储备的动用；当重估成本较大时，最优政策在冲击期间比在正常时期保留更多储备。
Abstract
Emerging economy central banks often hold large FX reserves while residents carry substantial local-currency-linked external liabilities. With financial frictions creating interest parity gaps, such opposing positions imply a carry cost. In a small open economy with intermediation frictions and inherited local-currency debt, we study optimal reserve and exchange rate policies, explaining why debtor economies may retain reserves rather than netting out costly gross positions. While policy can eliminate costly intermediation by deploying reserves and appreciating the real exchange rate, doing so creates a general equilibrium revaluation effect which raises the real burden of local-currency obligations. Optimal policy retains reserves, accepting some intermediation to avoid a larger revaluation loss. This policy is time-inconsistent: a discretionary central bank prefers stronger ex-post appreciation; a time-consistent equilibrium features more reserve retention and larger interest parity gaps. Revaluation costs restrain reserve deployment; when large, optimal policy retains more reserves during disruptions than in normal times.