KDI 한국개발연구원

금융

Working Paper

Exchange Rate Dynamics in Dual Exchange Markets

페이스북

저자 박원암(朴元巖)
발행일 1992/03/01
시리즈 번호 9209

원문보기

요약 The purpose of this paper is to investigate exchange rate
dynamics in dual exchange markets more thoroughly by utilizing
a two-sector general equilibrium portfolio balance model of Calvo
and Rodriguez(1977) under rational expectations. It compares the
reserves adjustment and rationing model with respect to their
dynamic properties and emphasizes distortionary taxes cum
subsidies created by dual exchange rates. This paper shows that
the relationship between the exchange premium and inflation
depends not only on money inflation elasticity, but also on the
money supply rule of domestic credit creation and reserves
adjustment. Furthermore, it shows that unifying dual exchange
rates could lead to lower inflation by eliminating distortions. The
macroeconomic and resource allocation benefits from the
unification of dual rates demonstrate that a dual rate far apart
from the official rate must be a transitory policy if it is to be
effective.

The paper proceeds as follows. Section Ⅱ introduces a
two-sector portfolio balance model of the dual exchange markets,
which emphasizes the money supply processes. Section Ⅲ
discuses the exchange rate dynamics and the steady-state
relationships between exchange premium and inflation. Section Ⅳ
studies both the short-run and long-run impact of the unification
of dual exchange markets on inflation. The conclusion is
provided in Section Ⅴ.