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首页> 外文期刊>Journal of International Money and Finance >Fiscal stress and monetary policy stance in oil-exporting countries
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Fiscal stress and monetary policy stance in oil-exporting countries

机译：石油出口国的财政压力和货币政策立场

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摘要

We documented that for some oil-exporting countries, the correlation between exchange rates and oil prices is strongly negative during periods of significant oil price drop but is much weaker during other periods. To interpret this time-varying asymmetric correlation, we develop and estimate a Markov-switching small open economy New Keynesian model with oil income as a source of government revenue. In particular, we allow monetary and fiscal policy coefficients to switch across "active" and "passive" regimes. Using data on Russia, our result shows that the policy combinations fluctuate. We find that active monetary policy isolates the exchange rate from oil price variations but changes to passively tolerate depreciation and inflation to support government debt when oil price drops place fiscal policy in a state of stress. Counterfactual policy experiments suggest policy regime switching is crucial to account for the observed asymmetric impact of oil prices on the exchange rate and that the transmission channels of oil price shocks differ significantly across policy regimes. (C) 2020 Elsevier Ltd. All rights reserved.
机译：我们记录了一些石油出口国，汇率与油价之间的相关性在大量石油价格下跌期间强烈消极，但在其他时期较弱。为了解释这种时变不对称相关性，我们开发和估算了Markov-Switching的小型开放经济新凯恩斯主义模型，以石油收入作为政府收入来源。特别是，我们允许货币和财政政策系数切换跨越“活跃”和“被动”的制度。在俄罗斯上使用数据，我们的结果表明，政策组合波动。我们发现主动货币政策将汇率与石油价格变化隔离，但随着石油价格下降在压力状态下的财政政策下，可以改变被动地持续折旧和通货膨胀，以支持政府债务。反事实政策实验表明政策制度转换至关重要，占据汇率对汇率的不对称影响，跨政策制度的石油价格冲击的传输渠道差异很大。 （c）2020 elestvier有限公司保留所有权利。

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