資本管制與匯率動態分析

Capital Controls and Exchange Rate Dynamics Analysis

李宗樺(Tsung-Hua Li)

指導教授 ： 胡春田

國立臺北大學/社會科學學院/經濟學系/碩士(2009年)

摘要

本篇論文試圖修改 Frenkel , Schmidt and Stadtmann ( 2002 ) 所建構的匯率動態與資本管制相結合的模型，分別從貨幣需求面、貨幣供給面以及預期形成方式做修改，重新探討資本管制對匯率動態的影響，除了希望使模型更加符合實際社會現象外，也可驗證在不同假設下是否會造成不同的結果。
本文可以得出三個主要結論：
(1) 由於此模型運用到短期價格僵固的特性，所以根據凱因斯學派的理論，產出是由市場需求決定而非市場供給決定，因此我們將貨幣需求函數中的實質產出，由商品市場供給決定改為需求決定後，發現當貨幣需求的產出彈性或總合需求的實質匯率彈性越大時，就越可能使此模型產生「預期驅動的景氣波動」，因此無法得出與原結論相同的結果，即資本管制減緩匯率波動的效果。
(2) 將貨幣供給函數中，以消費者物價指數來代替物價指數來做分析，發現當消費者物價指數中本國物價所佔的權重越小，也越可能使此模型產生「預期驅動的景氣波動」。
(3) 另外，因為根據實證研究發現，交易者在短期下預期形成方式與原模型相同，即bandwagon expectations，而在長期下則為累退式預期。所以欲得知資本管制在長期下是否有效，將技術型交易者的預期形成方式改為累退式預期，較符合現實情況，而根據本文分析的結果，得出與原結論相反的結果，即資本管制反而加大匯率波動的幅度，因此可得知資本管制只有在短期下有效，長期下便失去效用。

關鍵字

資本管制 ； 匯率動態

並列摘要

In this thesis，we tried to modify the model that combination of exchange rate dynamics and capital controls provided by Frenkel , Schmidt and Stadtmann ( 2002 )，we modify the modle in money demand functoion、money supply function and the type of expectation formation，and re-discuss the effects of capital controls on exchange rate volatility，apart from the desire to make the model more in line with the actual social phenomena，but also verify whether the different assumptions lead to different results.

Three major theoretical findings of this thesis are as follows:

(1) Because price is sticked in the short run，we follow Keynesian Theory，we take account the real output of money demand function is demand-determined into this model . In this way，we can find when the production elasticity of money demand and the real exchange rate elasticity of aggregate demand are more greater，then the model is more possible to become“believe-driven business fluctuations”，so we can not get the result that capital control reduces exchange rate volatility.

(2) As we substitute the Consumer Price Index for the Price Index of money supply function，we can find when the weight of home country Price Index is smaller，then the model is more possible to become“believe-driven business fluctuations”.

(3) According to empirical studies，the exchange rate expectation of chartists in the long run is regressive expectation，therefore，we transform the bandwagon expectation to the regressive expectation，in this way，we can find capital control increase exchange rate volatility.

並列關鍵字

capital controls ； xchange rate dynamics

參考文獻

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