| 简介： | Many oil-exporting countries peg their currency and rely heavily on oil-income to finance budget deficits, but may abandon the peg during an extended period of falling oil prices. This paper develops a small open economy New Keynesian model incorporating an oil-sector and financial frictions to quantitatively evaluate the role of monetary and fiscal policy interaction in the transmission of oil-price shocks. We estimate our model using data of Russia and find that monetary and fiscal policy regime switch is crucial to account for the observed asymmetric response of exchange rates to oil-price shocks. Our result shows that the exchange rate does not move much with oil prices when fiscal space is ample, but fiscal stress caused by low oil prices significantly amplifies the negative oil-price shock and produces a drastic currency depreciation. Therefore, our analysis suggests the interaction between monetary and fiscal policy as an important propagation mechanism. Moreover, fiscal space is valuable since it allows monetary policy to actively stabilize the exchange rate, which is desirable in the presence of financial frictions.
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