有限储备下的最优外汇干预

Optimal FX Interventions Marcin Kolasa, Oliver Vogt, and Pawel Zabczyk WP/25/261 IMF Working Papersdescribe research inprogress by the author(s) and are published to elicit comments and to encourage debate.The views expressed in IMF Working Papers are 2025DEC IMF Working Paper Monetary and Capital Markets Department Optimal FX Interventions with Limited ReservesPrepared by Marcin Kolasa, Oliver Vogt, and Pawel Zabczyk* Authorized for distribution by Christopher Erceg IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of the ABSTRACT:We investigate the optimal time-consistent use of foreign exchange interventions (FXI) in a smallopen economy model driven by endowment and portfolio flow shocks, with endogenous FX market depth and alower bound constraint on FX reserves. In a competitive equilibrium, large capital flows increase conditionalexchange rate volatility and make FX markets more shallow. Unlike in the unconstrained case, the centralbank's optimal interventions are not solely targeted at offsetting inefficient fluctuations in the UIP premium but Contents 1Introduction 2Model 2.1Outline . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2.2Decentralized and Constrained-Efficient Equilibrium . . . . . . . . . . . . . . 3Optimal FX Interventions 11 4Quantitative Analysis 4.1Calibration. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4.2Policy Functions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4.3Ergodic Implications. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5Welfare Implications 6Conclusions Appendix AProofs 1Introduction Volatile international capital flows are a significant concern for policymakers in many smallopen economies, especially in more shock-prone environments amid rising geopolitical ten-sions, as noted in a recent speech by the IMF’s First Deputy Managing Director Gopinath (2024). In shallow FX markets, capital flow volatility exacerbates exchange rate fluctuations,distorting external financing conditions and impeding international risk-sharing. Foreign ex- change interventions (FXI) are a key policy tool that can potentially be employed to mitigatethese distortive effects, as emphasized by recent open economy literature reviewed below, as We address these and related questions by studying the use of FXI in a model with endoge-nous FX market depth and a lower bound on FX reserves, akin to that of Itskhoki & Mukhin (2023).In our framework, which is otherwise a standard small open economy model, FXmarkets are not perfectly elastic due to the presence of risk-averse agents (dubbed financiers)who are exposed to FX risk when intermediating cross-border capital flows.This market In such an environment, the central bank can use FX interventions to facilitate internationalrisk sharing and to mitigate inefficiencies due to financial intermediation frictions.As anillustration, consider an exogenous fall in the demand for domestic currency, which we referto as a portfolio capital outflow shock.All else equal, financiers will accommodate theexcess supply by buying domestic currency assets, which they will finance by selling foreign by financiers. In our capital outflow example, a sterilized FX intervention – i.e., a purchase ofdomestic currency bonds financed by a sale of foreign currency bonds – lowers the exposure of Indeed, if this intervention could be conducted in an unconstrained fashion, it would beoptimal for the central bank to take on the role of financiers, since their intermediationis costly from a social welfare perspective.Consequently, optimal FXI would fully offset portfolio flow shocks and it would eliminate corresponding UIP deviations, resulting in thebest possible allocation achievable, which we will refer to as the “first-best” (FB).1In this However, if the central bank’s ability to sell foreign currency bonds is limited, which isequivalent to its stock of FX reserves being bounded from below, then FX interventionsmay not be able to fully offset large capital outflows.Importantly, even if the monetaryauthority was unconstrained at the time, it would have to take into account the fact that its The primary contribution of our paper is an analytical and quantitative characterizationof optimal time-consistent FXI policy in the theoretical setup outlined above.While, his-torically, constraints on FX reserve holdings have attracted only limited attention in theacademic literature, they are at the heart of our analysis, which additionally quantifies the probability of running out of reserves under different policy configurations, a highly relevanttopic in policy circles. The reason we focus on optimal discretionary policy is that, as shown First, from a positive perspective, our nonlinear framework can capture time-variation inconditional exc