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研究生:鄭丞孝
研究生(外文):Cheng, Chenghsiao
論文名稱:預期價格的穩定性與匯率過度調整 — 不對稱兩國模型分析
論文名稱(外文):The Stability of Expected Price and Exchange Rate Overshooting— An Asymmetric Two-Country Model Analysis
指導教授:林佑龍林佑龍引用關係
指導教授(外文):Lin, Yolong
口試委員:張德存李映萱
口試委員(外文):Chang, TetsunLi, Yingsyuan
口試日期:民國101年6月22日
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:經濟學系
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:2012
畢業學年度:100
語文別:中文
論文頁數:44
中文關鍵詞:匯率過度調整適應性學習動態匯率政策預期穩定性
外文關鍵詞:Exchange rate overshootingAdaptive learning dynamicsExchange rate policyE-stability
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民眾的預期會影響短期變數的決定, 但對長期均衡的穩定性仍不可知。 因此本文架構了一民 眾採用適應性學習的不對稱兩國模型, 來研究兩國間物價與匯率的互動, 並運用 MSVREE(狀 態變數最小時之理性預期均衡) 及 E-stability principal(預期穩定法則) 來檢測長期均衡的 預期穩定性; 與利用 Dornbusch 匯率過度調整模型 (exchange rate overshooting model) 的 概念來觀察政府匯率政策的穩定性。 結果發現:(i) 在人民決策面方面, 對消費為主國而言, 長 期均衡在特殊情況下為預期穩定, 反之為預期不穩定;(ii) 對生產為主國而言, 長期均衡為預 期不穩定;(iii) 在政府決策方面, 對消費為主國而言, 會發生匯率調整不及之現象; 然而,(iv) 生產為主國之長短期均衡匯率將會完全吻合。
Expectation influences the decision of short-run variables, yet, we do not know its effect on the stability of long-run equilibrium. This paper constructs an asymmetric two-country model to study the interaction of short-term and long-term equilibrium of price and exchange rate. We first calculate MSVREE and use E-stability principal to examine the E-stability of long-run equilibrium. Second, we observe the policy stability of exchange rate by checking the result of short-run and long-run outcome. The finding are: (i) In the consumer-oriented country, price and exchange rate are E-stable in some specific situations. (ii) In the producer-oriented country, price and exchange rate are E-unstable. (iii) In the view of policy stability, undershooting occurs in consumer- oriented country; however, (iv) the short-run exchange rate will perfectly match the long-run exchange rate in producer-oriented country.
目錄
1緒論.................................... 1
1.1研究動機............................. 1
1.2民眾預期的演進、種類及選擇 .................. 2
1.3目的及研究方法 ......................... 4
2.文獻回顧 ................................. 6
2.1適應性學習(Adaptivelearning) ................ 6
2.2 匯率過度調整 (Exchange rate overshooting)................... 7
3.模型設定 ................................. 18
3.1短期均衡匯率 .......................... 21
3.2長期價格與匯率 ......................... 25
3.3長期匯率與價格之預期穩定 ................... 30
4長短期均衡匯率 .............................. 38
4.1檢驗匯率過度調整模型...................... 38
5.結論與未來展望.............................. 40
參考文獻................................... 42

圖目錄
1 研究方法流程圖 ............................... 5

表目錄
1 適應性學習 ............................... 9
2 匯率動態調整(理論部分) ............................... 12
3 匯率動態調整(實證部份) ............................... 16
4 結論整理 ............................... 41


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