最优货币篮子估算

Optimal Currency Basket Prepared byEtienne Vaccaro-Grange WP/26/131 IMF Working Papersdescribe research inprogressby the author(s) and are published to elicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarily 2026APR IMFWorking Paper Monetary and Capital Markets 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:Small open economies often anchor their exchange rate to a basket of foreign currencies, withweights typically set from trade shares or financial exposure. Such schemes ignore the heterogeneity of pass-through across currencies and the covariance structure of bilateral rates, and therefore do not minimize thevolatility of imported inflation, the central bank’s mandate. This paper proposes a minimum-variance framework—formally analogous to a Markowitz portfolio problem in pass-through space—in which basket weights RECOMMENDED CITATION:E. Vaccaro-Grange, “Optimal Currency Basket Estimation”, IMF Working Paper WORKING PAPERS Optimal Currency Basket Prepared byEtienne Vaccaro-Grange Contents Acronyms.............................................................................................................................................................3Introduction.........................................................................................................................................................4Model....................................................................................................................................................................5Application to a Small Open Economy...........................................................................................................10Conclusion.........................................................................................................................................................16 FIGURES 1. HistoricalExchangeRates (Normalized January 1999=100)..........................................................................112. Inflation............................................................................................................................................................113. InflationPass-throughs...................................................................................................................................124.CurrencyReturnCorrelations.........................................................................................................................13 TABLES 1. CurrencyBasketWeights (percent)................................................................................................................142. Robustness—ModelsSpecification.................................................................................................................143. CurrencyBasketWeights (percent)................................................................................................................15 Acronyms AUDAustralian DollarCPIConsumer Price IndexEUREuroFCForeign CurrencyFXForeign ExchangeGBPBritish Pound INTRODUCTION A currency basket peg is an exchange rate regime in which the domestic currency is anchored to a weightedaverage of several foreign currencies rather than to a single anchor. By spreading exchange rate risk acrossmultiple partners, a basket peg offers intermediate flexibility between a hard peg and a managed float andprovides a degree of insulation from volatility in any single cross-rate (Williamson, 1998). Such arrangementsare often adopted by small open economies for which a freely floating regime isimpractical—typically because The central design question for any basket peg is how to determine the weights assigned to its constituentcurrencies. The most widely used approach relies on trade shares, with weights reflecting the geographicaldistribution of exports and imports, sometimes supplemented by flows of services, remittances, or external debtservice (Edison and Vårdal, 1990; Yoshino, Helble, and Prasetyo, 2017). While transparent and intuitive, trade- A substantial literature has sought to derive optimal basket weights under explicit macroeconomic objectives.Flanders and Helpman (1979) provided an early framework linking basket weights to balance-of-payments andreal incomestability, extended by Branson and Katseli (1981), Turnovsky (1982), and Bhandari (1985). Edisonand Vårdal (1990) derived optimal weights that minimize the variance of tradable-goods production and appliedthem to the Nordiccountries. Yoshino, Kaji, and Suzuki (2004) developed a three-country basket model, later . A parallel strand of work by Slavov (2005),Teo (2009), Shioji (2006), Xu (2011), and Zhang, Shi, andZhang (2011)embedbasket choice in general-equilibrium settings that incorporate trade invoicing, netinternational investment