从量化综合政策框架看外汇干预：以阿尔巴尼亚为例（英）

Foreign ExchangeIntervention Through theLens of the QuantitativeIntegrated PolicyFramework: The Case ofAlbania David Bartolini, Jakree Koosakul, Rebecca Huang, Jesper Linde andRoland Meeks SIP/2025/038 IMF Selected Issues Papers are prepared by IMF staff asbackground documentation for periodic consultations withmember countries.It is based on the information available atthe time it was completed on December 17, 2024. This paper isalso published separately as IMF Country Report No. 25/21. 2025APR IMF Selected Issues PaperEuropean Department Foreign Exchange Intervention Through the Lens of the Quantitative Integrated Policy Framework: TheCase of AlbaniaPrepared by David Bartolini, Jakree Koosakul, Rebecca Huang, Jesper Linde and Roland Meeks Authorized for distribution by Anke WeberApril 2025 IMF Selected Issues Papersare prepared by IMF staff as backgrounddocumentation for periodicconsultations with member countries.It is based on the information available at the time it wascompleted on December 17, 2024. This paper is also published separately as IMF Country Report No25/21. ABSTRACT:In recent years, Albania has experienced a sustained appreciation of the domestic currency. Thisraises the questions of what factors are driving this appreciation and how to calibrate appropriate policyresponses. Drawing on insights provided by the IMF’s integrated policy framework (IPF), this paper examinesthe case for foreign exchange intervention (FXI) in Albania by estimating an IPF model to quantitativelyillustrate relevant policy tradeoffs. While the estimation results confirm the shallow nature of the local FXmarkets, the appreciation of the lek is found to have been primarily driven by fundamental factors, makingconventional interest rate policy an appropriate policy tool. Nevertheless, in certain circumstances where thefundamental lek appreciation is likely to be compounded by non-fundamental shocks, including shifts in foreigninvestor risk appetite, FXI can serve as an effective complementary tool in alleviating output-inflation tradeoffs. RECOMMENDED CITATION:David Bartolini, Jakree Koosakul, Rebecca Huang, Jesper Linde and RolandMeeks. 2025. “Foreign Exchange Intervention Through the Lens of the Quantitative Integrated PolicyFramework: The Case of Albania” IMF Selected Issues Paper (SIP/2025/038). Washington, D.C.: InternationalMonetary Fund. Foreign Exchange InterventionThrough the Lens of theQuantitative Integrated PolicyFramework: The Case of Albania Albania Prepared by David Bartolini, Jakree Koosakul, Rebecca Huang, JesperLinde and Roland Meeks FOREIGN EXCHANGE INTERVENTION THROUGH THELENS OF THE QUANTITATIVE INTEGRATED POLICYFRAMEWORK: THE CASE OF ALBANIA A.Introduction 1.The IMF’s integrated policy framework (IPF) provides a systemic approach todetermining an appropriate policy mix in the presence of frictions.1The IPF considers threetypes of frictions (or “use cases”) that may warrant the use of foreign exchange intervention (FXI) tocomplement the policy toolkit: (i) shallow or temporarily illiquid FX markets; (ii) unhedged currencyexposures of balance sheets; and (iii) de-anchoring of inflation expectations from high exchangerate pass-through. The IPF can provide a useful framework for shaping the policy discussion in Albania. Albania is a small open emerging market economy with an inflation targeting regime.Underpinnedby the strong macroeconomic performance amid a tourism boom, the Albanian lek has been on asustained appreciation trend. To stem appreciation pressures, the Bank of Albania (BoA) hasintervened forcefully, with the size of FXI during the first 9 months of 2024 amounting to 2.6 percentof 2023 nominal GDP, almost triple the amount of the same period in 2023. Albania’s shallow FX markets stand out as the key IPF friction that may create a case for FXI.When markets are shallow, financial intermediaries may have limited capacity to absorbexcess currency demand or supply resulting from financial shocks, which can cause significantdeviations of the exchange rate away from the fundamental value, with implications formacroeconomic and financial stability. With sizable UIP premia observed during some periods and yearly turnover of 11 billion USD, well below the average turnover among emerging marketeconomies of 52 billion USD, Albania’s FX markets can be characterized as shallow (as will beconfirmed by the quantitative model below). High volatility in UIP premia, especially since Q1 2023,is also an indicator of shallow FX markets. The presence of shallow markets may hence justify theuse of FXI to moderate excessive exchange rate movements, although this would depend on thespecific nature of the shocks faced by the economy and the associated policy trade-offs (or lackthereof). 4.Risks related to FX mismatches and de-anchored inflation expectations appear broadlycontained and would be better addressed through other policy tools.Broad-based FXmismatches among Albanian firms and househ