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Wechselkurszielzonen, wirtschaftlicher Aufholprozess und endogene Realignmentrisiken

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  • Radeck, Karin
Abstract
Im vorliegenden Papier wird der Frage nachgegangen, welche Anpassungsprozesse sich in einem Zielzonensystem – wie etwa dem WKM II – ergeben, wenn der reale Wechselkurs der Inlandswährung unter Aufwertungsdruck gerät. Die modelltheoretische Grundlage bildet das Krugman’sche Grundmodell einer perfekt glaubwürdigen Zielzone, das um endogene Realignmentrisiken erweitert wird. Bei der empirischen Analyse von existierenden Zielzonenmodellen schneiden jene Erweiterungen des Grundmodells am Besten ab, in denen die Realignmenterwartungen als exogen gegebener Zufallsprozess modelliert sind. Im vorliegenden Papier sind die Realignmenterwartungen dagegen endogen in Abhängigkeit vom Interventionsdruck an den Bandenden modelliert, der durch stochastische Bewegung der Fundamentalfaktoren gesteuert wird. Dies trägt einerseits den Erfahrungen im EWS Rechnung und ist andererseits – im Gegensatz zu den Modellen mit exogenen Realignmenterwartungen – konsistent mit der Annahme rationaler fundamentalbestimmter Wechselkurserwartungen. Daneben lässt sich im Modell zeigen, dass die Erwartung einer Heraufsetzung des Leitkurses unter bestimmten Umständen eine Überbewertung des realen Wechselkurses auslöst, die einen abrupten Umschwung in den internationalen Kapitalströmen nach sich ziehen kann. Die Arbeit kommt zu dem Schluss, dass die Teilnahme an einem Zielzonensystem für die betreffenden Volkswirtschaften mit Stabilitätsrisiken verbunden ist, wenn mit einer Veränderung der realwirtschaftlichen Rahmenbedingungen gerechnet wird. Solche Überlegungen scheinen auch im Zusammenhang mit der Diskussion um eine möglichst schnelle Teilnahme der mittel- und osteuropäischen EU-Beitrittsländer am WKM II bedenkenswert, da der wirtschaftliche Aufholprozess dieser Länder noch längere Zeit andauern wird.

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  • Radeck, Karin, 2002. "Wechselkurszielzonen, wirtschaftlicher Aufholprozess und endogene Realignmentrisiken," Discussion Paper Series 1: Economic Studies 2002,30, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubdp1:200230
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    References listed on IDEAS

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