新開放總體經濟下的市場運行不對稱性與匯率動態調整

Asymmetric Settings of Market Operation and Exchange Rate Dynamics in the New Open Economy Macroeconomics

賴宗福

《亞太經濟管理評論》 14卷2期 (2011/03) Pp. 31-54

https://doi.org/10.30087/APEMR.201103.0002

摘要

本文嘗試將現實經濟體系中普遍存在的兩種不對稱現象納入新開放總體經濟學(New Open Economy Macroeconomics; NOEM)的架構中，修正並擴展Betts and Devereux (1996; 2000)的對稱性模型設定，分別探究生產面及政府行為面的不對稱設定對匯率動態的影響，不同於傳統Dornbusch (1976)以及Da Silva (2001)文獻強調利率在匯率過度調整過程中所扮演的角色，本文透過理論推演，進一步發現即使利率傳遞管道不存在，只要兩國市場訂價或央行對外匯市場的干預行為具有不對稱性，且貨幣需求的消費彈性小於或等於1，匯率就會出現過度調整的現象。另外，短期匯率波動程度與兩國市場訂價(pricing-to-market; PTM)比例有關，隨著本國市場訂價比例愈高，外國市場訂價比例愈低，匯率波動程度就愈大，而且會比對稱性市場訂價情形來的大。

關鍵字

市場訂價不對稱性 ； 外匯干預不對稱性 ； 匯率動態 ； 匯率轉嫁 ； 新開放總體經濟學

並列摘要

This paper attempts to incorporate two common kinds of asymmetric phenomenon in the reality into the New Open Economy Macroeconomics model, and to investigate how two types of asymmetric settings on production side and government behavior side affect the exchange rate dynamics by revised and extended symmetric model of Betts and Devereux (1996; 2000). Instead of emphasizing interest rates play an important role on the dynamics of exchange rates in existing traditional literature (e.g., Dornbusch, 1976; Da Silva, 2001), this paper found that as long as the existence of asymmetry in pricing-to-market and central bank foreign exchange intervention behavior, as well as the consumption elasticity of money demand is less than or equal to one, then the exchange rate will generate overshooting behavior with the monetary shocks, even if the channel of interest rates doesn't exist. Moreover, the exchange rate volatility in the short-run is dependent on the percentages of domestic and foreign pricing-to-market (PTM) firms, if the percentage of domestic PTM firms is higher than that of foreign PTM firms, exchange rate volatility will higher than the symmetric PTM case.

並列關鍵字

Asymmetric Pricing-to-Market ； Asymmetric Foreign Exchange Intervention ； Exchange Rate Dynamics ； Exchange Rate Pass-Through ； New Open Economy Macroeconomics

參考文獻

林鴻裕(2003)。重回貨幣危機問題－新開放總體經濟模型的應用。經濟論文。31(2)，207-228。

張瑞娟、欉清全(2009)。貨幣政策與匯率轉嫁之探討─台灣之實證分析。應用經濟論叢。86，37-67。

賴宗福(2009)。運輸成本對小型開放經濟體系的影響。運輸學刊。21(3)，279-298。

賴宗福()。

賴宗福(2011)。市場取價不對稱性與匯率行為。多國籍企業管理評論。5(1)，72-90。