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研究生:楊茜文
研究生(外文):Chien-Wen Yang
論文名稱:以政府支出分析多邊匯率目標區的賽局行為
論文名稱(外文):Multilateral Exchange Rate Target Zones with Government Expenditures: An Application of Game Theory
指導教授:吳博欽吳博欽引用關係
指導教授(外文):Po-Chin Wu
學位類別:碩士
校院名稱:中原大學
系所名稱:國際貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:52
中文關鍵詞:匯率目標區央行干預外溢效果最適控制
外文關鍵詞:spill-over effectoptimal controlcentral bank interventionExchange rate target zones
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由於各國經濟體系的相互依存度提高與央行干預的外溢效果,傳統Krugman (1991) 雙邊匯率目標區模型無法合理的解釋經濟體系多邊共存的狀態,故本研究延續Serrat (2000) 多邊匯率目標區模型,考量政府的政策方向與中央銀行的干預行為,將兩者視為影響未來經濟發展的重要因素,並假設基要變數為一預期未來通貨膨脹的過程,利用最適控制化說明政府支出與央行干預對匯率目標區的賽局行為。
藉由推導結果指出,選擇合作對象的第三國家,為決定匯率未來路徑的關鍵因素,其合作性的干預對象轉換,以及央行的可信度為不完全與政府的政策不明確時,易導致匯率出現跳躍的非線性走勢。此外,當央行的干預與政府的政策方向相互依存時,匯率目標區與經濟不穩定的可能性增加,即蜜月效果受到質疑。因此,央行干預的訊息傳遞管道與協調合作管道,對穩定匯率之波動扮演重要的角色。
Due to the high interdependence among countries and the spill-over effects of central bank’s intervention, the traditional exchange rate target zone model, proposed by Krugman (1991), cannot explain the co-existence of multilateral economic relationships reasonably. To resolve the problem this paper extends the multilateral exchange rate target zones model, constructed by Serrat (2000), by considering government’s expenditure policy and the intervention behavior of central bank which are two important factors in economic development. Regarding fundamentals as the process of the expected inflation rate, this study applies the optimal control and the game theory to derive the effects of government expenditures and central bank’s intervention on exchange rate target zones.
The theoretical derivation shows that the key factor affecting the dynamic path of exchange rate is the choice of coordination with the third country. In addition, the change of cooperative partners, the incompleteness of central bank’s creditability, and the ambiguousness of governmental policy, may make exchange rate display a jump and nonlinear path straightforwardly. However, when the interdependence between central bank’s intervention and governmental policy exists, the possibility of unstable exchange rate target zones and economic system will increase, i.e., the honeymoon effect is controversial. In other words, the signal channel and the coordination channel of central bank’s intervention play an important role in stabilizing exchange rate volatility in multilateral exchange rate target zones model.
摘要…………………………………………………………………………………………………Ⅰ
Abstract………………………………………………………………………………………………………………………………………………………………Ⅱ
誌謝辭………………………………………………………………………………………………Ⅲ
目錄…………………………………………………………………………………………………Ⅳ
第一章 緒論………………………………………………………………………………………1
第一節 前言……………………………………………………………………………………1
第二節 研究動機與目的………………………………………………………………………2
第二章 文獻回顧…………………………………………………………………………………4
第三章 理論模型的設定…………………………………………………………………………6
第一節 匯率決定式……………………………………………………………………………6
第二節 中間目標之設定………………………………………………………………………9
第三節 匯率的動態路徑解……………………………………………………………………10
第四節 雙邊與多邊目標區……………………………………………………………………11
第五節 匯率目標區的賽局分析………………………………………………………………13
第四章 模型分析…………………………………………………………………………………16
第一節 目標區的行為設定……………………………………………………………………16
第二節 干預行為對目標區的分析……………………………………………………………18
第三節 目標區的最適決策……………………………………………………………………24
第四節 多邊目標區的應用……………………………………………………………………27
第五章 結論與建議………………………………………………………………………………32
第一章 結論……………………………………………………………………………………32
第二章 建議與未來延伸………………………………………………………………………34
附錄(一):【推論1】………………………………………………………………………………35
附錄(二):【推論2】………………………………………………………………………………37
附錄(三):【命題3】………………………………………………………………………………39
參考文獻……………………………………………………………………………………………46
Bertola, G. and Caballero, R. J. (1992), “Target Zones and Realignments,” American Economic Review, 82, 520-36.
Bryant, R. C. (1995), “International Cooperation in the Making of National Macroeconomic Policies: Where Do We Stand?” in Peter B. Kenen, ed., op. cit., pp. 391-447.
Dominguez, K. M. and Kenen P. (1991), “On the Need to Allow for the Possibility that Governments Mean What They Say Interpreting the Target Zone Model of Exchange Rate Behavior in the Light of EMS Experience,” Working Paper No. 3670. Cambridge: National Bureau of Economic Research.
Dominguez, K. and Frankel, J. (1993), “Does foreign exchange intervention matter? The portfolio effect,” American Economic Review 83, 1356–69.
Flandreau, M. (1998), “The Burden of Intervention: Externalities in Multilateral Exchange Rates Arrangements,” Journal of International Economics. 45:1, pp. 137-71.
Gombi, I. (2003), “Multiple market intervention for target zones,” The Japanese Economic Review, Vol. 54, No, 1, pp.74-85.
Jose, L. Torres. (2000), “Stochastic intramarginal intervention in target zones,” Journal of International Financial Markets, Institutions and Money 10, pp.249-262.
Krugman, P. (1991), “Target Zones and Exchange Rate Dynamics,” Quarterly Jounrnal of Economics, 106, 669-682.
Meese, R. A. and Rogoff, K. (1983) “Empirical Exchange Rate Models of the Seventies: Do they Fit Out of Sample?” Journal of International Economics, 14, 3-24.
Miller, M. and Weller, P. (1991a), “Currency Bands, Target Zones, and Price Flexibility,” IMF Staff Papers, 38, 184-215.
Miller, M. and Weller, P. (1991b), “Exchange Rate Bands with Price Inertia,” Economic Journal, 101, 1380-99.
Reeves, S. F. (1997), “Exchange Rate Management When Sterilized Interventions Repre-sent Signals of
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Monetary Policy,” International Review Economics Finance, 6:4, pp. 339-60.
Reeves, S. F. (1998), “Partial Credibility, Information Selection and the Signalling Channel of Sterilized Interventions,” Journal of Economics Integration 13:1, pp. 108-30.
Sarno, L. and Taylor, M. P. (2001), “Official intervention in the foreign exchange market: Is it effective and, if so, how does it work?” Journal of Economic Literature, 39(3), 839– 868.
Serrat, A. (1995), “Exchange Rate Dynamics in a Multilateral Target Zone,” (Mimeo, MIT).
Serrat, A. (2000), “Exchange rate dynamics in multilateral target zone,” Review of Economic Studies, 67, pp.143-211.
Svensson, L, O. (1992), “An Interpretation of Recent Research on Exchange Rate Target Zones,” Jouirnal of Economnic Perspectives, Vol. 6, pp.119-144.
Williamson, J. (1983), “The exchange rate system.” Washington DC: Institute for international Economics.
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