Uticaj dolarizacije na kolebljivost deviznog kursa i racionalan izbor deviznog režima: rezultati iz dve zemlje-kandidatkinje za EU
Sažetak
Cilj ovog rada je da empirijski ispita da li rasprostranjena nezvanična dolarizacija igra statistički značajnu ulogu u determinaciji dinamike deviznog kursa u Turskoj i Srbiji, kao jednoj velikoj i jednoj maloj kandidatkinji za ulazak u EU, u oba slučaja u režimu rukovođeno plivajajućeg kursa, te da sintetiše preporuke kreatorima ekonomske politike. Naša analiza vremenskih serija koristi mesečne podatke u rasponu 2006-2016 za izučavanje pomenutog uticaja. Nakon rešavanja problema nestacionarnosti u serijama, primenili smo GARCH metodologiju kako bismo izolovali izvore kolebljivosti kurseva.Naše istraživanje pokazuje da u Srbiji dolarizacija ima značajan i robusno pozitivan uticaj na nivo deviznog kursa,ali ne i u Turskoj,čija je valuta prilično otporna na stepen dolarizacije u nivou, ali čije su oscilacije osetljivije na kolebljivost intenziteta dolarizacije nego promene kursa dinara. Nadalje, udeo deviznih rezervi Srbije u monetarnoj masi pozitivno utiče na kolebljivost nominalnog kursa dinar-evro, dok udeo turskih deviznih rezervi u monetarnoj masi ima negativan uticaj na kolebljivost deviznog kursa lire. Iako nepokriveni kamatni paritet nije ispunjen ni u jednoj od dve zemlje, dinar je nešto podložniji manipulacijama kamatnom stopom za razliku od turske lire. Na kraju, mogli bismo zaključiti da plivajući devizni kurs ima više smisla i daje bolje rezultate u Turskoj nego u Srbiji,ali racionalni izbor između ranije –prećutno dogovorene ili unilateralne- oficijelne dolarizacije na jednoj ili nastavka sa rukovođenim (pragmatičnim) plivanjem na drugoj strani u ove dve zemlje-kandidatkinje za članstvo u EU,iziskuje precizniju analizu troškova i koristi, što smo i formalizovali u zaključku i apostrofiramo kao predmet budućeg istraživanja.
Reference
Alvarez-Plata, P. & Garcia-Herrero, A. (2007), “To dollarize or de-dollarize: Consequences for Monetary Policy”, paper prepared for the Asean Development Bank, mimeo.
Benkovskih, K. & Wörz, J. (2014), “What drives the Market Share Changes? Price versus Non-Price Factors”, ECB Working Paper #1640, Frankfurt am Main.
Berg, A. & Borensztein, E. (2000), “The Choice of Exchange Rate Regime and Monetary Target in highly dollarized Economies”, Journal of Applied Economics, Vol. 3, pp. 285-324.
Berkmen, S. P. & Cavallo, E. A. (2009), “Exchange Rate Policy and Liability Dollarization: What do the Data reveal about Causality?”, IMF Working Paper #07/33, International Monetary Fund, Washington, DC, June.
Blanchard, O. (2016), “Currency Wars, Coordination and Capital Controls”, Peterson Institute for International Economics, May 6th, mimeo.
Calvo, G. & Vegh, C. (1996), “From Currency Substitution to Dollarization and Beyond: Analitical and Policy Issues”, in Calvo, G. (ed.) Money, Exchange Rates and Output, The MIT Press, Cambridge, MA, pp. 153-175.
Civcir, I. (2003), “Dollarization and its Long Run Determinants in Turkey”, Middle East Economies series, forthcoming, mimeo.
Chailloux, A., Ohnsorge, F. & Vavra, D. (2010), “Euroisation in Serbia”, EBRD Working Paper No. 120, London, October.
Di Mauro, F., Benkovskis, K., De Pinto, S. & Grazioli, M. (2016), „Fighting Currency Wars with Blanks: The Limited Role of Exchange Rates in Export Competitiveness”, Vox CEPR Policy Portal, June 29th, mimeo.
Edwards, S. (2015), “Monetary Policy Independence under Flexible Exchange Rates: An Illusion?”, NBER Working Paper #20893, Cambridge, MA, January.
Frankel, J. (2017), “Systematic Managed Floating”, NBER Working Paper #23663, Cambridge, MA, August.
Honig, A. (2007), “Dollarization, Exchange Rate Regimes and Government Quality”, Department of Economics, Amherst College, Amherst, MA, mimeo.
Honohan, P. (2007), “Dollarization and Exchange Rate Fluctuations”, WB Policy Research Working Paper #4172, World Bank, Washington, DC, March.
Lay, S., Kakinaka, M. & Kotani, K. (2012), “Exchange Rate Movements in a dollarized Economy: The Case of Cambodia” ASEAN Economic Bulletin Vol. 29(1), pp. 65-78.
Malovic, M. (2007), “Exchange Rate Regimes and Monetary Policies in Emerging Markets: A Showdown for Few Theoretical Misconceptions”, CsGG Discussion Paper 42 (monograph), London School of Economics, London.
Malovic, M. (2015), “Has the Time come for Official Dollarisation in Serbia?”, in I. Stosic, M. Malovic and D. Filimonovic (eds) Structural Adjustment in Serbia –thusfar achieved results and prognosis, Institute of Economic Sciences, Belgrade (in Serbian).
Malovic, M., Zdravkovic, A., Bodroza, D. & Stosic, I. (2017), “Analiza makroekonomskih pokazatelja”, Institute of Economic Sciences&NBS, Belgrade, April, mimeo.
Mwase, N. & Kumah, F. (2015), “Revisiting the Concept of Dollarization: The Global Financial Crisis and Dollarization in Low-Income Countries”, IMF Working Paper #12, International Monetary Fund, Washington, DC, January.
Rajkovic, I. & Urosevic, B. (2014), “Dollarization of Deposits in the Short- and Long-Run: Evidence from CESE Countries”, NBS Working Paper #28, Belgrade, December.
Reinhart, C., Rogoff, K. & Savastano M. (2003), “Addicted to Dollars”, NBER Working Paper #10015, Cambridge, MA.
Samsen, N. (2015), “Promote Riel and De-Dollarization through Exchange Rate Policy: Fix or Float or Anything else?”, paper presented at the conference Leveraging Financial Markets to promote the Use of Riel, National Bank of Cambodia, September, mimeo.
Vegh, C. (2013), “Open Economy Macroeconomics in Developing Countries”, The MIT Press, Cambridge, MA.