石油冲击下的最优汇率政策（英）2026

Optimal ExchangeRate Policy with Oil Emrehan Aktuğand Abolfazl RezghiWP/25/30 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers are 2026FEB IMF Working Paper African Department Optimal Exchange Rate Policywith Oil Shocks*Prepared byEmrehan Aktuğaand Abolfazl Rezghib Authorized for distribution by Slavi Slavov 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 theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:We study optimal monetary and exchange rate policy in a small open economy facing oil priceshocks. In a model with segmented financial markets that generate endogenous UIP deviations, the first-bestallocation is achieved through a combination of interest rate policy and foreign exchange intervention (FXI).Monetary policy stabilizes domestic inflation and the output gap, while FXI targets the UIP wedge to offsetfinancial frictions. Oil price shocks endogenously move the net foreign asset position, giving rise to financial WORKING PAPERS Optimal Exchange Rate Policy with Prepared byEmrehan Aktuğ and Abolfazl Rezghi Contents 1Introduction 2Literature Review 3Model 3.1Households. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .103.2Firms. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .113.3Financial Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .12 4Policy Problem 4.1First-Best Allocation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .154.2The Approximate Ramsey Problem . . . . . . . . . . . . . . . . . . . . . . . .15 5Some Applications 5.1Peg Regimes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .185.2Price Fixing as Energy Subsidy. . . . . . . . . . . . . . . . . . . . . . . . . .19 6Extended Model and Quantitative Results 6.1Model Setup . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .216.2Policy Problem. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .246.3Calibration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .25 7Conclusion ADerivation of the Approximate Ramsey Problem A.1Quadratic Approximation of the Loss Function . . . . . . . . . . . . . . . . .33A.2Linear Approximation of Constraints . . . . . . . . . . . . . . . . . . . . . . .35 BProofs B.1Proposition 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .37B.2Proposition 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .38 CModel with Expatriates Workers C.1Quadratic Approximation of the Loss Function . . . . . . . . . . . . . . . . .39 DThe Extended Model D.1Quadratic Approximation of the Loss Function . . . . . . . . . . . . . . . . .42D.2Linear Approximation of Constraints . . . . . . . . . . . . . . . . . . . . . . .44 EA Two-Sector Model with Non-Tradables FCES Production Function GMarket Depth and the Welfare Loss 1Introduction Oil and energy price volatility has long posed significant policy challenges for oil-exportingeconomies.Sharp price swings, such as the 2008 oil boom and collapse, the 2014–15plunge, and the recent surges following geopolitical tensions, can trigger large fluctua-tions in trade balances, capital flows, and economic activity.Oil exporters in the GulfCooperation Council (GCC) have tended to maintain fixed exchange rate regimes and Motivated by this gap, this paper examines how an oil-exporting country should man-age its exchange rate in the face of oil price volatility. While a vast literature studies op-timal exchange rate policy in response to financial shocks, the role of policy in managingthe challenges of supply-side commodity shocks is less understood. We bridge this gap bydeveloping an open-economy model with two key frictions: sticky prices in the domesticsector and segmented financial markets that generate an endogenous currency risk pre-mium. Our central contribution is to show how real, supply-side oil shocks endogenously With oil as a production input, oil price shocks impact the marginal cost of produc-tion.2When prices are flexible, firms can modify their output prices in response to oilprice shocks, allowing them to effectively adjust the overall demand level in the economy. mand at its optimal level. While monetary policy can directly influence the consumptionof domestic goods by altering the inter-temporal rate of substitution, its effect on the con-sumption of foreign goods is more limited. The consumption of foreign goods depends The nominal exchange rate serves two primary functions in the economy.First, ingoods markets, it facilitates adjustments in the real exchange rate in response to funda-mental shocks, en