Replication data for: Capital Flows and Foreign Exchange Intervention

I consider a small open economy model where international financial markets are imperfect and the exchange rate is determined by capital flows. I use this framework to study the effects of portfolio flow shocks, derive the optimal foreign exchange intervention policy, and characterize its interaction with monetary policy. I derive the optimal intervention rule in closed form as a function of three implicit targets. Finally, using Swiss data, I estimate the model to quantify the inefficiencies generated by capital flow shocks and the optimal size of the intervention.

本文构建了一类小型开放经济模型，其中国际金融市场存在不完全性，汇率由资本流动决定。基于该模型框架，本文研究了资产组合流动冲击的影响，推导了最优外汇干预政策，并刻画了其与货币政策的交互作用。本文以闭式解形式推导了最优干预规则，该规则由三个隐性目标共同决定。最后，本文利用瑞士数据对模型进行估计，以量化资本流动冲击所引发的无效率水平，以及最优干预规模。