臺灣博碩士論文加值系統

本文以(1)Dornbusch(1976)探討匯率動態調整，(2)Eaton and Turnovsky(1982, 1984)、賴景昌(2006)考量遠期外匯市場的開放經濟一般均衡模型為基礎，納入Komiya(1966)、Mundell(1971)、Chen(1973)、Lai and Chen(1984)等所強調的貨幣貶值銀根緊縮效果(tight money effect of currency devaluation)，進而建構一個包含遠期外匯市場的開放經濟一般均衡體制崩潰(regime collapsing)模型，藉以討論：一旦經濟體系遭逢商品市場需求面有利衝擊，貨幣當局為了阻擋本國物價水準進一步上漲，進而利用減少名目貨幣供給的措施將本國物價水準釘住在某一固定水準的情況下，相關總體經濟變數所呈現的動態調整風貌。研究結果發現：(1)商品市場需求面有利衝擊的爆發一旦帶動本國物價水準節節上漲時，則貨幣當局所能忍受的本國物價門檻上限水準不僅與本國物價體制崩潰時機有關，其也是決定本國物價體制是否會崩潰的重要關鍵樞紐因素。(2)一旦貨幣當局所能忍受的本國物價上限門檻水準介於期初的本國物價水準與新的長期均衡本國物價水準之間時，則不論「貿易餘額的實質匯率反應係數」與「銀根緊縮效果」兩者的相對大小，經濟體系本國物價與現貨匯率的動態走勢將會完全相同；除此之外，(a)「貿易餘額的實質匯率反應係數」與「銀根緊縮效果」兩者的相對大小、(b)投機者投機程度的相對大小這兩項關鍵因素，在決定遠期匯率動態走勢上也占了舉足輕重的角色。

This paper constructs a open economy general equilibrium macroeconomic model is characterized by the Dornbusch (1976) exchange rate dynamic adjustment model and Eaton and Turnovsky (1982‚1984)‚Lai (2006) open economy forward foreign exchange market model. We use the “implicit function technique” of first generation regime collapsing‚ which is offered by Chang and Lai (1990) to analyze if the monetary authority tend to curb the rising price level through the tight monetary policy which the economy is facing a beneficial shock on the demand side of the commodity market. Under the former economic circumstances‚ what will be the dynamic effect of the relevant macroeconomic variables if the monetary authority executes the policy?
The major findings are (i) not only the price ceiling threshold level is the key factor of price regime collapsing‚ but also is the important determinant of the price regime collapsing whether or not? (ii) if the price ceiling threshold level is between the initial price level and the new long run equilibrium price level‚ then (a) the relative amplitude of “real exchange rate of trade balance reaction coefficient” and “the tight money effect”(b) the relative amplitude of“ the speculation degree of speculator” are the two key factors to decide the dynamic path of the forward exchange rate.

目錄

第一章 緒論
1.1 研究動機與目的
1.2 文獻回顧
1.3 本文架構

第二章 物價管制前後之理論架構與動態相圖分析
2.1 物價管制前理論架構之建立
2.2 物價管制前經濟體系的長期均衡分析
2.3 物價管制前經濟體系的動態相圖分析
2.3.1 p ̇=0線斜率的經濟意義
2.3.2 e ̇=0線斜率的經濟意義
2.4 物價管制後的理論架構、長期均衡與動態性質分析

第三章 名目貨幣供給調整與物價管制動態歷程分析
3.1 如果本國物價上限門檻水準恰好是期初的本國物價水準
3.2 如果本國物價上限門檻水準大於或等於新的長期均衡本國物價水準
3.3 如果本國物價上限門檻水準介於期初的本國物價水準與新的長期均衡本國物價水準之間
3.3.1 「貿易餘額的實質匯率反應係數」(δ)相對大於「銀根緊縮效果」(σθ⁄λ)
3.3.2 「貿易餘額的實質匯率反應係數」(δ)相對小於「銀根緊縮效果」(σθ⁄λ)

第四章 物價管制對遠期匯率動態走勢之影響
4.1 f ̇=0線輪廓的推導
4.2 本國物價管制對遠期匯率動態時徑的影響
4.2.1 「貿易餘額的實質匯率反應係數」(δ)相對大於「銀根緊縮效果」(σθ⁄λ)
4.2.2 「貿易餘額的實質匯率反應係數」(δ)相對小於「銀根緊縮效果」(σθ⁄λ)

第五章 結論

附錄

參考文獻

曹添旺與黃俊傑(2000)，「國際金融衝擊、政府支出調整與價格體制崩潰」，《經濟論文叢刊》，第二十八卷第三期，頁 323-349。
張文雅與賴景昌(1990)，「雙元匯率的制度崩潰」，《經濟論文》，第18卷第1期，頁37-82。
廖培賢(2012)，「即期匯率目標區下的蜜月效果分析―即期匯率與股價雙預期變數的考量」，《經濟研究》，第四十八卷第一期，頁 81-138。
廖培賢與林義豪(2004)，「國際金融衝擊與價格體制崩潰－雙元匯率制度的分析」，《經濟論文叢刊》，第三十二卷第二期，頁 145-192。
廖培賢與鄭名芳(2006)，「產出供給面衝擊與價格體制崩潰－雙元浮動匯率制度分析」，《經濟與管理論叢》，第二卷第二期，頁147-186。
賴景昌(2006)，遠期外匯市場，台灣大學經濟學研究所國際金融(二)上課講義。
賴景昌、謝宜倪與張文雅(1996)，「雙元匯率的套匯活動與體制崩潰」，《經濟論文叢刊》，第二十四卷第一期，頁 61-93。
賴勁豪(2010)，「股票市場干擾與價格體制崩潰」，東海大學經濟學系碩士論文，民國九十九年六月。
Bhandari, J. S. (1982), Exchange Rate Determination and Adjustment, New York: Preager.
Blackburn, K. (1988), “Collapsing Exchange Rate Regimes and Exchange Rate Dynamics: Some Further Examples,” Journal of International Money and Finance 7, pp. 373-385.
Blanchard, O. J. (1981), “Output, the Stock Market, and Interest Rates,” American Economic Review 71, pp. 132-143.
Buiter, W. H. (1984), “Saddlepoint Problems in Continuous Time Rational Expectations Models: A General Method and Some Macroeconomic Examples,” Econometrica 52, pp. 665-680.
Burmeister, E. (1980), “Capital Theory and Dynamics,” Cambridge: Cambridge University Press, pp. 118-134.
Chen, C. N. (1973), “The Monetary Effect of Devaluation: An Alternative Interpretation of the Cooper Paradox,” Western Economic Journal 11, pp. 475-480.
Chen, C. N. (1975), “IS, LM, BT, and a Simplified Sythesis of the Elasticity, Absorption, and Monetary Approaches to Devaluation,” Southern Economic Journal 42, pp. 132-136.
Djajic, S. (1989), “Dynamics of the Exchange Rate in Anticipation of Pegging,” Journal of International Money and Finance 8, pp. 559-571.
Dornbusch, R. (1976), “Expectations and Exchange Rate Dynamics,” Journal of Political Economy 84, pp. 1161-1176.
Eaton, J. and Turnovsky, S. J. (1982), “Effects of Monetary Disturbances on Exchange Rates with Risk Averse Speculation,” Journal of International Money and Finance 1, pp. 21-37.
Eaton, J. and Turnovsky, S. J. (1983), “Exchange Risk, Political Risk, and Macroeconomic Equilibrium,” American Economic Review 73, pp. 183-189.
Eaton, J. and Turnovsky, S. J. (1984), “The Forward Exchange Market, Speculation, and Exchange Market Intervention,” Quarterly Journal of Economics 99, pp. 45-70.
Fillon, J. F. and Tetlow, R. (1994), “Zero-Inflation or Price-Level Targeting? Some Answers from Stochastic Simulations on a Small Open Economy Macro Model,” in Bank of Canada, Economic Behaviour and Policy Choice under Price Stability, pp. 129-166, Ottawa.
Fleming, J. M. (1962), “Domestic Financial Policies under Fixed and Floating Exchange Rates,” IMF Staff Papers 9, pp. 369-379.
Flood, R. P. and Garber, P. M. (1984), “Collapse Exchange Rate Regimes: Some Linear Examples,” Journal of International Economics 17, pp. 1-13.
Flood, R. P. and Marion N. P. (1999), “Policy Implication of Second Generation Crisis Models,” IMF Staff Papers 44, pp. 383-390.
Frenkel, J. A. and Rodriguez, C. A. (1982), “Exchange Rate Dynamics and the Overshooting Hypothesis,” IMF Staff Papers 29, pp. 1-30
Froyen, R. T. and Guender, A. V. (2007), Optimal Monetary Policy under Uncertainty, Edward Elgar Publishing Inc., Massachusetts, USA.
Komiya, R. R. (1966), “Monetary Assumption, Currency Depreciation, and the Balance of Trade,” Economic Studies Quarterly 17, pp. 9-23.
Krugman, P. R. (1979), “A Model of Balance of Payments Crises,” Journal of Money, Credit and Banking 11, pp. 311-325.
Krugman, P. R. (1999), “Balance Sheets, the Transfer Problem, and Financial Crises,” International Tax and Public Finance 6, pp. 459-472
Lai, C. C. and Chen, C. N. (1984), “Flexible Exchange Rates, Tight Money Effects, and Macroeconomic Policy,” Journal of Post Keynesian Economics 7, pp. 128-133.
Mundell, R. A. (1963), “Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchanges Rates,” Canadian Journal of Economics and Political Sciences 29, pp. 475-485.
Mundell (1971), “Monetary Theory: Interest, Inflation and Growth in the World Economy,” Pacific Palisades, California.
Obstfeld, M. (1984), “Balance of Payments Crises and Devaluation,” Journal of Money, Credit, and Banking 16, pp. 208-217.
Obstfeld, M. (1988), “The Effectiveness of Foreign Exchange Intervention: Recent Experience,” NBER Working Paper, No. 2796.
Obstfeld, M. (1991), “Destabilizing Effects of Exchange Rate Escape Clauses,”NBER Working Paper, No. 4603.
Obstfeld, M. (1994), “The Logic of Currency Crises,” Cahiers Economiques et Monetaires 43, pp. 189-213.
Obstfeld, M. (1996), “Models of Currency Crises with Self-fulfilling Features,” European Economic Review 40, pp. 1037-1047.
Popescu, I. V. (2013), “Price-Level Targeting versus Inflation Targeting： A Theoretical Approach,” Journal of Economics and Business Research 14, pp. 167-178.
Purvis, D. G. (1979), “Wage Responsiveness and the Insulation Properties of Flexible Exchange Rates,” in Lindback, A. eds., Inflation and Employment in Open Economics. Amsterdam: North-Holland.
Salop, J. (1974), “Devaluation and the Balance of Trade under Flexible Wages,” in Horwich, G. and Samuelson, P. A., eds., Trade, Stability, and Macroeconomics : Essays in Honor of Lloyd, A . Metzler, New York: Academic Press, pp. 129-151.
Svensson, L. E. O. (1999), “Price Level Targeting versus Inflation Targeting： A Free Lunch?,”Journal of Money, Credit and Banking 31, pp. 277-295.
Tsiang, S. C. (1959), “The Theory of Forward Exchange and Effects of Government Intervention on the Forward Exchange Market,” IMF Staff Papers 7, pp. 75-106.
Turnovsky, S. J. (2000), “Methods of Macroeconomic Dynamics,” Second Edition, Cambridge, MA: MIT Press.