CURRENCY CYCLES OF THE MAJOR WORLD CURRENCIES
Contenido principal del artículo
Resumen
Post-Keynesians emphasize the importance of monetary and financial trends in shaping outcomes in real markets. Recent debates focus on emerging or developing countries and typically consider financial dynamics as driven by exogenous factors (often volatile ones, implying ‘cycles’ only in a loose, non-geometrical sense). By contrast, in this work we formalize a model of endogenous currency cycles, which cause a key currency to move persistently in one direction over extended periods of time, and then to endogenously switch direction.
The model is inspired by Biasco (1987), who provides a detailed conceptual framework but stopped short of developing a model. In his analysis, capital flows are at least partly motivated by expectations of GDP growth. In turn, inflows of capital determine appreciations of the exchange rate, which negatively impacts on GDP growth. The interaction of these two variables endogenously produces a cyclical dynamic —which could be reinforced (or rather complemented in the short run) by endogenous reactions of monetary policy, and the interaction of fundamental and momentum traders. Time series evidence for the main four reserve currencies (US dollar, euro, yen, and GBP) suggests that the model applies to large, “key” currencies of the richer economies.
CICLOS MONETARIOS DE LAS PRINCIPALES MONEDAS DEL MUNDO
RESUMEN
Los economistas poskeynesianos enfatizan la importancia de las tendencias monetarias y financieras para dar forma a los hechos en los mercados reales. Los debates recientes se enfocan en los países emergentes en desarrollo y típicamente consideran que la dinámica financiera está regida por factores exógenos (frecuentemente volátiles, que implican “ciclos” sólo en una forma laxa, no en sentido geométrico). En este artículo, por el contrario, formalizamos un modelo de ciclos monetarios endógenos que provocan que una moneda clave se mueva de forma persistente en una dirección durante periodos de tiempo largos, para luego cambiar de trayectoria de forma endógena. El modelo se inspira en Biasco (1987), quien suministró un marco conceptual detallado, pero no desarrolló un modelo. En su análisis, las expectativas de crecimiento del PIB inducen al menos parcialmente los flujos de capital. A su vez, los flujos de capital determinan apreciaciones del tipo de cambio que impactan de forma negativa al crecimiento del PIB. La interacción de estas dos variables produce endógenamente un ciclo dinámico —que podría ser reforzado (o algo complementado en el corto plazo) por reacciones endógenas de la política monetaria y la interacción de agentes fundamentales impetuosos. La evidencia de datos de series de tiempo de las cuatro monedas de reserva principales (dólar de Estados Unidos, euro, yen y libra esterlina) sugiere que el modelo aplica para las importantes monedas “clave” de las economías más ricas.
Detalles del artículo
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