世界银行-新兴和发展中经济体的资本管制与美国货币政策的传导（英）-2023.10-47页_6mb

Capital Controls and U.S. Monetary Policy Transmission Summary

• Introduction: U.S. monetary policy significantly influences the Global Financial Cycle (GFC), leading to spillover effects on emerging markets and developing economies (EMDEs). Capital controls are used as a tool to mitigate these spillovers, but existing literature provides mixed evidence on their effectiveness.

• Key Findings:

  • Capital Controls: Countries with stricter capital controls (e.g., Emerging Markets) exhibit smaller responses to U.S. monetary policy shocks, particularly in interest rates and exchange rates, compared to countries with looser controls. This effect is more pronounced in EMDEs than in advanced economies (AEs).

  • Exchange Rate Regimes: Contrary to expectations, exchange rate flexibility (i.e., floating regimes) does not significantly reduce U.S. policy spillovers. However, foreign exchange interventions can offset spillovers to a degree, with varying effectiveness by region.

  • Regional Differences: EMDEs, particularly those implementing stricter capital controls, are less susceptible to U.S. spillovers compared to AEs. Confounding factors like exchange rate regimes complicate the analysis of exchange rate responses.

  • Methodology: The study employed structural VAR models, impulse response functions (IRFs), and various shock identification techniques (e.g., Nakamura-Steinsson news shock, unified Fed measure, and sign restrictions). Results were robust to different measures and subsets (AEs vs. EMDEs).

  • Robustness Checks: Capital controls exhibit high persistence (hysteresis), supporting the exogeneity assumption in analyses. Evidence suggests that capital controls remain effective even after addressing endogeneity concerns, though their efficacy varies regionally and depends on policy combinations (e.g., currency interventions).

  • Policy Implications: Capital controls remain a powerful tool for EMDEs seeking to limit U.S. monetary spillovers, preventing full decoupling from the GFC despite Obstfeld's "Lemma." This highlights a middle ground between the classic Trilemma and Lemma, where countries can retain some autonomy.

• Overall Impact: U.S. policy spillovers explain a relatively small share of fluctuations (typically below 10%) in foreign interest rates and exchange rates, yet their impact is mitigated by stricter capital controls, particularly in EMDEs. Multidimensional policy tools (capital controls, exchange rate flexibility, and interventions) are crucial for effective management.