國外利率衝擊、國外資產累積與匯率動態調整：代表性個人模型

A Foreign Interest Rate Shock, Foreign Asset Accumulation and Exchange Rate Dynamics: A Representative Agent Model

謝宜倪(Yi-Ni Hsieh)

《經濟論文叢刊》 31卷1期 (2003/03) Pp. 27-50

https://doi.org/10.6277/ter.2003.311.2

摘要

本文建立一個具浮動匯率制度與資本不完全移動之債權國模型且消費與資產選擇皆由代表性個人跨期最適選擇導出。相較於強調匯率水準由外匯市場均衡條件決定之Fleming (1962)、Mundell (1963) 與Dorn-busch (1976) 模型，本文之匯率水準是由貨幣市場均衡條件決定。國外利率下降將使債權國之長期國外債券持有量、消費量與實質貨幣需求量減少而長期匯率上升即貨幣貶值。然而，短期消費量卻可能增加或減少，其須視消費之邊際效用彈性而定；同樣地，短期匯率可能呈現往上跳（貨幣貶值）或往下跳（貨幣升值）之情形，其中除了消費之邊際效用彈性外，實質貨幣餘額之邊際效用彈性亦扮演重要角色。另外，在包含貿易財與非貿易財生產之兩部門模型中，貿易財與非貿易財之供給彈性亦為決定長短期消費量與匯率水準之關鍵因素。

關鍵字

國外利率衝擊 ； 匯率動態調整 ； 資本不完全移動

並列摘要

This paper constructs a creditor country model with a flexible-exchange-rate regime and imperfect-capital mobility. The consumption and portfolio choices are derived from intertemporal optimization. In contrast to Fleming, (1962), Mundell (1963) and Dornbusch (1976), the nominal exchange rate in this paper is determined by the money market rather than the foreign exchange market. A decrease in the foreign interest rate will lead to lower long-run foreign bond holdings, consumption and real money demand. As a result, the long-run nominal exchange rate increases, i.e. domestic currency depreciates. However, short-run consumption will depend on the elasticity of the marginal utility of consumption. The short-run nominal exchange rate depends on both the elasticities of the marginal utility of consumption and real money balances. In a two-sector model with a traded and nontraded good, the elasticities of both good's supply also play an important role in determining consumption and the nominal exchange rate.

並列關鍵字

foreign interest rate shock ； exchange rate dynamics ； imperfect capital mobility

參考文獻

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