@phdthesis{Musaev2014,
  author    = {Musaev, Abdumalik},
  title     = {Geld- und Wechselkurspolitik in rohstoffreichen L{\"a}ndern. Eine empirische Analyse am Beispiel der Volkswirtschaft Russlands.},
  url       = {http://nbn-resolving.de/urn:nbn:de:bvb:20-opus-130776},
  school      = {Universit{\"a}t W{\"u}rzburg},
  year      = {2014},
  abstract  = {Die Arbeit besch{\"a}ftigt sich mit den speziellen Herausforderungen der Geld- und Wechselkurspolitik in rohstoffreichen L{\"a}ndern. Die Auseinandersetzung mit der Thematik erfolgt dabei anhand einer empirischen Analyse der Wirtschaftsentwicklung Russlands im Zeitraum zwischen 2000 bis 2009. Diese Periode wurde durch eine hohe Volatilit{\"a}t des {\"O}lpreises gekennzeichnet, die die Wirtschaftsentwicklung Russlands erheblich beeinflusste. Die aus dem Anstieg des {\"O}lpreises resultierenden Rohstoffeinnahmen entfalteten einerseits positive wirtschaftliche Effekte. Der im Jahr 1998 f{\"u}r zahlungsunf{\"a}hig erkl{\"a}rte Staat konnte sich wenige Jahre sp{\"a}ter eine expansive Haushaltspolitik leisten. Andererseits entstanden durch die Rohstoffeinnahmen auch negative wirtschaftliche Folgen. Infolge der starken realen Aufwertung des Rubels wurde die Wettbewerbsf{\"a}higkeit des Industriesektors deutlich belastet. Die Import- und Rohstoffabh{\"a}ngigkeit des Landes nahm deutlich zu. Unter der hohen Volatilit{\"a}t der Rohstoffpreise hat die Finanz- und Wirtschaftsstabilit{\"a}t stark gelitten. Die durch die {\"O}lpreisschwankungen verursachten Wechselkursturbulenzen wurden zus{\"a}tzlich durch spekulative Kapitalbewegungen verst{\"a}rkt. Die realen Geldmarktzinss{\"a}tze verliefen {\"u}berwiegend in einem negativen Bereich. Die Inflationsrate konnte zwar reduziert werden, die angek{\"u}ndigten Inflationsziele konnten aber nicht eingehalten werden. Die unkontrollierte Geldbasisbildung kam durch die Devisenmarktinterventionen der Notenbank und eine stark expansiven Fiskalpolitik zustande. Auf dem Geldmarkt herrschte ein Angebots{\"u}berhang. Dar{\"u}ber hinaus nutzten die Kreditinstitute die Verschuldung im Ausland als eine zus{\"a}tzliche Quelle f{\"u}r ihre boomenden Kreditgesch{\"a}fte. Die Handlungsoptionen der Notenbank waren zus{\"a}tzlich durch die rohstofffinanzierte expansive Fiskalpolitik eingeschr{\"a}nkt. Die Spielr{\"a}ume der Notenbank waren umso geringer, je h{\"o}her der {\"O}lpreis anstieg und je mehr der Staat die Rohstoffeinnahmen ausgab. Die {\"O}lpreisentwicklung und die sich selbst verst{\"a}rkenden Kapitalfl{\"u}sse hatten entscheidenden Einfluss auf die Zinss{\"a}tze und den Wechselkurs. Nach Meinung des Verfassers werden alle rohstoffreichen offenen L{\"a}nder mit hohen Inflationsraten mit einer {\"a}hnlichen Problematik konfrontiert. Der Trade-off heißt: Entweder Wechselkursaufwertung oder Inflationsimport. Wie ist dieses Problem zu l{\"o}sen? Welche Alternativen hatte die Notenbank Russlands? Nach dem IWF w{\"a}re ein Free Floating die beste Strategie. Demnach h{\"a}tte eine hohe Wechselkursvolatilit{\"a}t den Kapitalanleger trotz der hohen Renditem{\"o}glichkeiten abgeschreckt. Der Verlauf des Wechselkurses h{\"a}tte seinen Fundamentalfaktoren entsprochen. Dabei gilt nach dem IWF der volatile {\"O}lpreis ebenfalls als ein fundamentaler Bestandteil des Gleichgewichtes. Der Verfasser widerspricht der Auffassung der IWF-Experten. Das Hauptproblem in diesem Ansatz ist die hohe mittelfristige Volatilit{\"a}t der Rohstoffpreise. Der {\"O}lpreis entwickelte sich bis 2004 weitgehend stabil rund um die Marke von 30 USD/Barrel. Nach 2004 verzeichnete der {\"O}lpreis im Laufe der 55 Monate (oder 4,5 Jahre) einen erkennbar ansteigenden Trend auf etwa 140 USD/Barrel und schrumpfte anschließend innerhalb von weiteren 6 Monaten auf 35 USD/Barrel zur{\"u}ck. So eine Entwicklung des {\"O}lpreises h{\"a}tte beim Free Floating verheerende Auswirkungen gehabt. Die W{\"a}hrung h{\"a}tte parallel zu jedem {\"O}lpreisanstieg aufgewertet. Der Kapitalzufluss h{\"a}tte die Aufwertung zus{\"a}tzlich verst{\"a}rkt. Die Abwertung des Rubels im August 2008 infolge des {\"O}lpreisverfalls und der massiven Kapitalflucht w{\"a}re so stark gewesen, dass dadurch die Finanz-, Preis- und Wirtschaftsstabilit{\"a}t stark gef{\"a}hrdet worden w{\"a}ren. Zur L{\"o}sung des Trade-offs zwischen Wechselkurs- und Geldpolitik bietet sich nach Meinung des Verfassers das Managed-Floating-Modell an. Das Modell widerspricht der bekannten „Unm{\"o}glichkeit" des klassischen „Dreiecks". Eine autonome Zins- und Wechselkurssteuerung in einer offenen Volkswirtschaft ist nicht nur m{\"o}glich, sondern in den F{\"a}llen wie Russland die einzig richtige L{\"o}sung. Die Ausgangsgr{\"o}ße ist in diesem Modell der autonom zu steuernde Zinssatz, der im Fall Russland von der Notenbank h{\"a}tte angehoben werden m{\"u}ssen, um die Inflationsrate m{\"o}glichst schnell abzusenken. In der Wechselkurssteuerung wird auf den mittelfristig stabilen realeffektiven Wechselkurs abgestellt. Da die Inflationsrate in Russland deutlich h{\"o}her war als im Ausland, w{\"a}re eine gesteuerte Abwertung des Rubels erforderlich gewesen. Dadurch w{\"a}re die Wettbewerbsf{\"a}higkeit der Industrie gef{\"o}rdert worden. Durch die Abwertung des Rubels w{\"a}re der Zufluss des kurz- und mittelfristigen Auslandskapitals selbst bei hohen Renditem{\"o}glichkeiten in Russland abgewendet worden. Eine wesentliche Gefahr f{\"u}r den Erfolg des Managed-Floating-Modells stellt aber eine stark expansive, rohstofffinanzierte Fiskalpolitik dar. Eine strenge Fiskaldisziplin spielt daher eine entscheidende Rolle.},
  subject      = {Wechselkurspolitik},
  language  = {de}
}
@phdthesis{Geiger2010,
  author    = {Geiger, Michael},
  title     = {Monetary Policy in China: Institutions, Targets, Instruments and Strategies},
  url       = {http://nbn-resolving.de/urn:nbn:de:bvb:20-opus-69945},
  school      = {Universit{\"a}t W{\"u}rzburg},
  year      = {2010},
  abstract  = {China's monetary policy aims to reach two final targets: a paramount economical target (i.e. price stability) and a less important political target (i.e. economic growth). The main actor of monetary policy is the central bank, the People's Bank of China (PBC). But the PBC is a non-independent central bank. The State Council approves the goals of monetary policy. Very limited instrument independence means that interest rates cannot be set at the PBC's discretion, and in-sufficient personal independence fails to insulate central bank officials from political influence. Monetary policy in China applies to two sets of monetary policy instruments: (i) instruments of the PBC; and (ii) non-central bank policy instruments. The instruments of the PBC include price-based indirect and quantity-based direct instruments. Non-central bank policy instruments include price and wage controls. The simultaneous usage of all these instruments leads to various distortions that ultimately prevent the interest rate channel of monetary transmission from functioning. Moreover, the strong influences of quantity-based direct instruments and non-central bank policy instruments bring into question the approach of indirect monetary policy in general. The PBC officially follows the monetary targeting approach with monetary aggregates as intermediate targets. Domestic loan growth and the exchange rate are defined as additional intermediate targets. In an in-depth analysis of the intermediate targets two main issues are primarily explored: (i) Are the intermediate targets of the Chinese monetary policy controllable? (ii) Is a sufficient relationship between these targets and the inflation rate observable? It is then shown that monetary aggregates are very difficult to control, but they have a satisfactory relationship with the inflation rate. Similarly, domestic loan growth is difficult to control - a fact largely attributed to the interest rate elasticity of loans - while there is a particularly close relationship between credit growth and the inflation rate. The exchange rate as an intermediate target can be controlled through foreign exchange market interventions; at the same time the exchange rate appears to have a significant relationship to the domestic inflation rate. Discussing the special issue of sterilizing foreign exchange inflows, the study concludes that between 2002 and 2008 not only no costs were incurred by sterilization operations, but that the central bank was actually able to realize a profit through foreign exchange market interventions. Based on this, it is concluded that the exchange rate target has not adversely affected the domestic orientation of monetary policy on the whole. The final part of the study examines whether there are any alternative monetary policy approaches that may be able to describe the policy approach in China; special focus is placed on nominal GDP targeting, the Taylor rule, and inflation targeting. A literature review reveals that the concept of nominal GDP targeting may be able to detect inflationary tendencies in the economy and, in combination with other indicators, it could be a suitable concept to assess the overall economic situation. The author calculates a Taylor rule for China from 1994 to 2008 and concludes that there is no close relationship between the PBC lending and the Taylor rate. The author then designs an augmented Taylor rule expanded to include a credit component (credit-augmented Taylor rule). The study shows that the augmented Taylor rule does not perform much better than the original one, but that it maps high inflationary periods relatively well. This is attributed to direct interventions into the credit markets, which have played a major role in combating inflationary cycles over the past decades. The analysis ends with an introduction of the concept of inflation targeting and an examination of whether this could describe monetary policy in China. It is clear that the PBC does not currently follow the inflation targeting approach, although the Chinese authorities could actually be able to influence inflation expectations effectively, not least through direct instruments such as price controls. The author notes that the PBC indeed had a good track record of fighting inflation between 1994 and 2008, and that this may now indicate a good time to think about introducing inflation targeting in China. The central conclusion of the study is that the proven gradual approach to economic and monetary reforms in China is reaching its limit. To break the vicious cycle that relies on the continuous use of quantity-based instruments to compensate for the ineffective price-based instruments - which in turn arises from the simultaneous use of both types of instruments - a complete shift away from quantity-based instruments is needed. Only then the approach of indirect monetary policy, which was officially introduced in 1998, could come into full play.},
  subject      = {Geldpolitik},
  language  = {en}
}
@phdthesis{Wollmershaeuser2003,
  author    = {Wollmersh{\"a}user, Timo},
  title     = {A theory of managed floating},
  url       = {http://nbn-resolving.de/urn:nbn:de:bvb:20-opus-8676},
  school      = {Universit{\"a}t W{\"u}rzburg},
  year      = {2003},
  abstract  = {After the experience with the currency crises of the 1990s, a broad consensus has emerged among economists that such shocks can only be avoided if countries that decided to maintain unrestricted capital mobility adopt either independently floating exchange rates or very hard pegs (currency boards, dollarisation). As a consequence of this view which has been enshrined in the so-called impossible trinity all intermediate currency regimes are regarded as inherently unstable. As far as the economic theory is concerned, this view has the attractive feature that it not only fits with the logic of traditional open economy macro models, but also that for both corner solutions (independently floating exchange rates with a domestically oriented interest rate policy; hard pegs with a completely exchange rate oriented monetary policy) solid theoretical frameworks have been developed. Above all the IMF statistics seem to confirm that intermediate regimes are indeed less and less fashionable by both industrial countries and emerging market economies. However, in the last few years an anomaly has been detected which seriously challenges this paradigm on exchange rate regimes. In their influential cross-country study, Calvo and Reinhart (2000) have shown that many of those countries which had declared themselves as 'independent floaters' in the IMF statistics were charaterised by a pronounced 'fear of floating' and were actually heavily reacting to exchange rate movements, either in the form of an interest rate response, or by intervening in foreign exchange markets. The present analysis can be understood as an approach to develop a theoretical framework for this managed floating behaviour that - even though it is widely used in practice - has not attracted very much attention in monetary economics. In particular we would like to fill the gap that has recently been criticised by one of the few 'middle-ground' economists, John Williamson, who argued that "managed floating is not a regime with well-defined rules" (Williamson, 2000, p. 47). Our approach is based on a standard open economy macro model typically employed for the analysis of monetary policy strategies. The consequences of independently floating and market determined exchange rates are evaluated in terms of a social welfare function, or, to be more precise, in terms of an intertemporal loss function containing a central bank's final targets output and inflation. We explicitly model the source of the observable fear of floating by questioning the basic assumption underlying most open economy macro models that the foreign exchange market is an efficient asset market with rational agents. We will show that both policy reactions to the fear of floating (an interest rate response to exchange rate movements which we call indirect managed floating, and sterilised interventions in the foreign exchange markets which we call direct managed floating) can be rationalised if we allow for deviations from the assumption of perfectly functioning foreign exchange markets and if we assume a central bank that takes these deviations into account and behaves so as to reach its final targets. In such a scenario with a high degree of uncertainty about the true model determining the exchange rate, the rationale for indirect managed floating is the monetary policy maker's quest for a robust interest rate policy rule that performs comparatively well across a range of alternative exchange rate models. We will show, however, that the strategy of indirect managed floating still bears the risk that the central bank's final targets might be negatively affected by the unpredictability of the true exchange rate behaviour. This is where the second policy measure comes into play. The use of sterilised foreign exchange market interventions to counter movements of market determined exchange rates can be rationalised by a central bank's effort to lower the risk of missing its final targets if it only has a single instrument at its disposal. We provide a theoretical model-based foundation of a strategy of direct managed floating in which the central bank targets, in addition to a short-term interest rate, the nominal exchange rate. In particular, we develop a rule for the instrument of intervening in the foreign exchange market that is based on the failure of foreign exchange market to guarantee a reliable relationship between the exchange rate and other fundamental variables.},
  language  = {en}
}