WSJ, 인플레이션 타겟팅과 환율의 관계

Inflation Target May Bolster Currency,

Report on Central Banks Declares

By BRIAN BLACKSTONE
April 5, 200712:47 p.m.

WASHINGTON-- Higher-than-expected readings on inflation tend to boost the exchange rates of countries under inflation-targeting monetary policy regimes more than nontargeters such as theU.S., according to a paper released this week by the National Bureau of Economic Research.

The paper, written by Richard Clarida and Daniel Waldman of Columbia University, examined inflation data and exchange rate movements of eight inflation-targeting economies including the euro zone, U.K. and Norway and two nontargeters -- the U.S. and Japan. Mr. Clarida also is an executive vice president at the bond fund PIMCO.

"We find that when we pool the data, bad news about inflation is good news for the exchange rate," the authors wrote, meaning the correlation between upside inflation surprises versus market expectations and subsequent exchange rate changes "is positive and statistically significant."

However, "when we separate the data into inflation targeters and non-inflation targeters, we find that these results continue to hold for inflation targeting countries, but the coefficients become insignificant for non-inflation targeters," they added.

High inflation readings can have conflicting effects on currencies. Over the long run, inflation tends to weaken a currency, especially if a country's central bank accommodates higher prices by printing more money. But if investors think the central bank will act quickly to bring inflation back down through interest rate increases, then it can have a positive effect on currency rates.

One conclusion of their findings, Messrs. Clarida and Waldman wrote, is that that inflation targeters "are sufficiently credible that they anchor expectations of inflation and the monetary policy path required to achieve the inflation target to such an extent that the currency becomes more valuable upon receipt of news that inflation is surprising high."

In contrast to the European Central Bank, Bank of England and many other central banks, the Federal Reserve doesn't have an official inflation target, though it is widely thought to have a comfort zone of 1% to 2% for annual inflation excluding food and energy.

Fed Chairman Ben Bernanke favors explicit price targets, though he has said he will only move forward with the idea if he has a consensus within the Fed. The Fed has a dual mandate of price stability and maximum sustainable employment.

Recently, the Fed's acceptance of core inflation rates that are persistently above its comfort zone has led some analysts to question just how committed the Fed is to keeping inflation solidly below 2%. In a research note, Macquarie Bank strategist Rory Robertson referred to the "ongoing demise" of the 1% to 2% comfort zone.

But while Messrs. Clarida and Waldman didn't find "significant evidence" of a "bad news is good news" effect of inflation on the U.S. dollar, they cautioned against interpreting that as a sign the Fed wouldn't act to keep inflation low.

"Especially in the case of the Fed, we do not interpret our results necessarily as evidence against Fed credibility in anchoring inflation expectations," they wrote. The results "are also consistent with the Fed's anchoring those expectations in the context of its dual mandate," Messrs. Clarida and Waldman wrote.

Write toBrian Blackstone atbrian.blackstone@dowjones.com