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研究生:陳怡螢
研究生(外文):Chan Yi Ying
論文名稱:物價與匯率雙重預期下最適匯率目標區之探討—以商品市場需求面干擾為例
論文名稱(外文):The optimal exchange rate target zone with dual expectations on price and exchange rate:an example of disturbances in commodity demand
指導教授:廖培賢廖培賢引用關係
學位類別:碩士
校院名稱:東海大學
系所名稱:經濟系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
中文關鍵詞:最適匯率目標區 雙預期 蜜月效果
相關次數:
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本文係以Frenkel and Rodriguez(1982)、Sutherland(1995)與Lai and Chang(2001)的理論為基礎,引入開放經濟體系的Lucas總供給函數,並納入民眾對匯率與物價兩個雙預期變數,從而建構一個資本呈現不完全移動的小型開放經濟體系模型,並利用Lai, Chang and Fang(2002)(2003)具經濟直覺「雙預期變數新圖解法」的技巧,探討一旦經濟體系面臨商品市場需求面的隨機干擾時,貨幣當局施行匯率目標區政策對相關總體經濟變數是否具有安定效果的實證面議題?進而轉向討論,貨幣當局在極小化社會福利損失的前提下,一旦貨幣當局實行匯率目標區政策,匯率目標區的區間寬窄應該如何選取的規範性課題?我們按照「資本移動程度相對大小」與「貨幣當局相對較為重視匯率抑或物價波動」的不同,可以獲得以下結論:
(1)當經濟體系遭逢商品市場需求面的隨機干擾時,貨幣當局匯率目標區政策的實行,對相關總體經濟變數是否具有安定效果?將因「資本移動程度相對大小」的不同而有所差異:若資本移動程度相對較大(小)情況,匯率目標區政策的實施對匯率、名目利率與實質產出可能具有也可能不具有安定效果,物價不具有(具有)安定效果;而且,匯率與名目利率兩者變動方向呈現負相關(正相關),無法解釋(正可解釋)Kempa and Nelles(1999)所觀察到的實證結果。
(2)若貨幣當局的施政目標在追求社會福利損失極小,一旦經濟體系面臨商品市場需求干擾時,需視資本移動程度大小與貨幣當局相對較為重視匯率或物價波動而有所不同: 在資本移動程度相對較大(小)的情況下,一旦貨幣當局相對較為重視匯率的波動,則應採匯率目標區體制抑或浮動匯率體制(匯率目標區體制抑或固定匯率體制);反之,一旦貨幣當局相對較為重視物價的波動,則應採行浮動匯率體制(匯率目標區體制抑或固定匯率體制),端視民眾對匯率與物價預期變動率的提高到底是帶動「產出淨增加」抑或「產出淨減少」這個關鍵重要因素而定。
第一章 緒論………………………………………………………………………………1
第一節 研究動機與目的……………………………………………………………..1
第二節 本文架構……………………………………………………………………..2
第三節 文獻回顧……………………………………………………………………..2

第二章 理論模型…………………………………………………………………………6
第一節 模型設定..........................................................................................................6
第二節 直覺幾何圖形解析…………………………………………………………..9

第三章 最適匯率目標區………………………………………………………………..22
第一節 整體社會福利損失函數……………………………………………………22
第二節 最適匯率目標區間的選擇…………………………………………………23

第四章 結論與檢討……………………………………………………………………..31

圖例…………………………………………………………………………………………33

附錄…………………………………………………………………………………………51

參考文獻……………………………………………………………………………………54
一、中文部分:
吳建志(2006),「開放經濟體系政策不確定情況下匯率目標區的蜜月效果分析-以商品
需求干擾為例」,東海大學經濟學研究所碩士論文。
吳中書、陳寶媛(1993),「資本非自由移動下匯率目標區之動態效果」,中國經濟學會
年會論文集,頁229 - 264。
陳昭南、賴景昌與張文雅(1986),「貶值、工資調整指數與經濟政策-Fleming命題的重新評估」,經濟論文,第十三卷第二期,頁131 – 141。
陳秀華(2004),「最適匯率目標區:圖形的解析」,國立台灣大學經濟學研究所碩士論文

曹添旺和張文雅(2002),「國際金融干擾與最適匯率目標區」,經濟論文,第三十卷第
三期,頁247 - 273。
賴景昌(1984),「匯率調整、理性預期與國外干擾-兩國模型的探討」,國立台灣大學經濟研究所博士論文。
賴景昌(1993),《國際金融理論-基礎篇》,第一版,台北:茂昌圖書有限公司。
賴景昌(1994),《國際金融理論-進階篇》,第一版,台北:茂昌圖書有限公司。
賴景昌(2004),《總體經濟學》,第二版,台北:雙葉書廊有限公司。
賴景昌(2007),《國際金融理論-基礎篇》,第二版,台北:華泰文化事業股份有限公司。
賴景昌、王葳與胡士文(2000),「目標區與農產品價格的穩定:小型開放經濟之分析」,
農業經濟叢刊,第六卷第一期,頁33 - 66。

二、英文部分:
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Bhandari, J. S. (1981), “The Simple Macroeconomics of an Oil-Dependent Economy” European Economic Review 16, pp. 333 - 354
Chen, C. N., Lai, C. C. and Chang, W. Y. (1987), “The Tight Money Effect, Wage Indexation and Macroeconomic Policy: The Fleming Model Revisited,” Journal of Economic Studies 14, pp. 54 - 62.
Chiang, A. C. and Wainwright, K. (2005), Fundamental Methods of Mathematical Economics, fourth ed., McGraw-Hill Companies, New York.
Delgado, F. and Dumas, B. (1993), “Money Contracting between Central Banks and the Design of Sustainable Exchange Rate Zones,” Journal of International Economics 34, pp. 201 - 224.
Fischer, S. (1977),“Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule,”Journal of Political Economy 85, pp. 191 - 206.
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. (1991), “The Linkage Between Speculative Attack and Target Zone Models of Exchange Rates,” Quarterly Journal of Economics 106, pp. 1367 - 1372.
Frankel, J. A. (1986), “Expectation and Commodity Price Dynamics: The Overshooting Model,” American Journal of Agricultural Economics 68, pp. 344 - 348.
Frenkel, J. A. and Goldstein, M. (1986), “A Guide to Target Zones,” IMF Staff Papers 33, pp. 633 - 673.
Frenkel, J. A. and Rodriguez, C. A. (1982), “Exchange Rate Dynamics and the Overshooting Hypothesis,” IMF Staff Papers 29, pp. 1 - 30.
Im, J. H. (2001), “Optimal Currency Target Zones: How Wide Should Exchange Rate Bands Be? ,”International Economic Journal 15, pp. 61 - 93.
Kempa, B. and Nelles, M. (1999), “The Theory of Exchange Rate Target Zones,” Journal of Economic Surveys 13, pp. 173-210.
Klein, M. W. (1990), “Playing with the Band: Dynamic Effects of Target Zones in an Open Economy,” International Economic Review 31, pp. 757-772.
Krugman, P. (1988), “Target Zones and Exchange Rate Dynamics,” NBER Working Paper, No. 2481.
Krugman, P. (1991), “Target Zones and Exchange Rate Dynamics,” Quarterly Journal of Economics 106, pp. 669-682.
Krugman, P. and Rotemberg, J. (1992), “Speculative Attacks on Target Zones,” in Krugman
P. and Miller, M. (eds.) Target Zones and Currency Bands, Cambridge: Cambridge University Press.
Lai, C. C. and Chang, J. J. (2001), “A Note on Inflation Targeting,” Journal of Economic Education 32, pp. 369-380.
Lai, C. C., Chang, J. J. and Fang, C. R. (2002), “Are Honeymoon Effects Valid in the Presence of Both Exchange Rate and Price Expectations? A Graphical Analysis,” manuscript.
Lai, C. C., Chang, J. J. and Fang, C. R. (2003), “Is the Honeymoon Effect Valid in the Presence of Both Exchange Rate and Output Expectations? A Graphical Analysis,” manuscript.
Lai, C. C. and Chang, W. Y. (1990), “The Relative Performance of Macroeconomic Policies under Alternative Exchange Rates with Wage Indexation and Rational Expectations: The Fleming Proposition Revisited,” Scottish Journal of Political Economy 37, pp. 85-95.
Lai, C. C., Hu, S. W. and Wang, V. (1996), “Commodity Price Dynamics and Anticipated Shocks,” American Journal of Agricultural Economics 78, pp. 982-990.
Lucas, R. E. (1973),“Some International Evidence on Output-Inflation Tradeoffs,” American Economic Review 63, pp. 326 - 334.
McCallum B. T. (1980),“Rational Expectations and Macroeconomic Stabilization Policy: An Overview,”Journal of Money, Credit, and Banking 12, pp. 716 - 746.
Marion, N. P. (1982), “The Exchange-Rate Effects of Real Disturbances with Rational Expectations and Variable Terms of Trade,” Canadian Journal of Economics 15, pp. 104 - 118.
Miller, M. and Weller, P. (1991a), “Currency Bands, Target Zones, and Price Flexibility,” IMF Staff Papers 38, pp. 184-215.
Miller, M. and Weller, P. (1991b), “Exchange Rate Bands with Price Inertia,” Economic Journal 101, pp. 1380-1399.
Miller, M. and Zhang, L. (1996),“Optimal Target Zones: How an Exchange Rate Mechanism Can Improve upon Discretion,” Journal of Economic Dynamics and Control 20, pp. 1641 - 1660.
Mundell, R. A. (1963), “Capital Mobility and Stabilization Policy under Fixed and Flexible Exchange Rates,” Canadian Journal of Economics and Political Science 29, pp. 475 - 485.
Obstfeld, M. and Stockman, A. C. (1985), “Exchange-Rate Dynamics,” in Jones, R. W. and Kenen, P. B. eds. , Handbook of International Economics, Vol. II, Amsterdam: North-Holland, pp. 917 - 977.
Sargent, T. J. (1977), Macroeconomic Theory, Academic Press, New York.
Sutherland, A. (1995), “Monetary and Real Shocks and the Optimal Target Zone,” European Economic Review 39, pp. 161-172.
Svensson, L. E. O. (1991a), “Target Zones and Interest Rate Variability,” Journal of International Economics 31, pp. 27-54.
Svensson, L. E. O. (1991b), “The Term Structure of Interest Rate Differentials in a Target Zone: Theory and Swedish Data,” Journal of Monetary Economics 28, pp. 87-116.
Svensson, L. E. O. (1992), “An Interpretation of Recent Research on Exchange Rate Target Zones,” Journal of Economic Perspectives 6, pp. 119-144.
Turnovsky, S. J. (1981),“The Effect of Devaluation Foreign Price Disturbances under Rational Expectations,” Journal of International Economics 11, pp. 33 - 60.
Turnovsky, S. J. (1982),“A Determination of the Optimal Currency Basket : A Macroeconomic Analysis,”Journal of International Economics 12, pp. 333 - 354.
Turnovsky, S. J. (1983), "Wage Indexation and Exchange Market Intervention in a Small Open Economy," Canadian Journal of Economics 16, pp. 574-592.
Williamson, J. (1983), The Exchange Rate System, Washington DC: Institute for International Economics.
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