特別提款權：一籃子貨幣之最適權重分析

The Optimal Weights of the Currencies in the Special Drawing Rights Basket

紀慧盈(Hui-Ying Chi)

指導教授 ： 林佑龍

國立暨南國際大學/管理學院/經濟學系/碩士(2013年)

摘要

本文嘗試以特別提款權(SDR)的角度重新詮釋一籃子貨幣組成分子的最適權重，並探討其構成份子之變動對總體經濟的影響。本文以個體基礎的新凱因斯模型架構探討特別提款權中一籃子貨幣的最適權重，與組成權數變動時，對總體經濟實質面之影響。
本文發現，當下期匯率的預期彈性係數小於或等於時間偏好率，則可維持跨期勞動努力投入之穩定(stationary)。在勞動努力投入與產出符合穩定條件時，無論是在恆定狀態或非恆定狀態，產出與貨幣權重皆會隨時間增加而遞減。
本文並探討實質利率與貨幣權重關係，若外國利率比本國利率高，當本國產出增加時，本國貨幣權重增加；當外國產出減少，本國貨幣權重也會增加。若本國利率比外國利率高，當本國產出增加時，本國貨幣權重降低；當外國產出減少，本國貨幣權重降低。
最後本文討論貨幣權重、本期匯率與兩國經濟差距等變數之變動對進出口之影響。當低估下期匯率時，皆有利本國下期出口，而不利進口。當高估下期匯率時，則分為兩種狀況，當下期匯率的預期彈性係大於零時，與下期匯率的預期彈性係大於一時得到相同結論，有利本國下期出口，而不利進口。而當下期匯率的預期彈性係小於零時，此時則不利本國下期出口。

關鍵字

特別提款權 ； 一籃子貨幣 ； 實質匯率 ； 穩定 ； 進出口

並列摘要

This research attempts to explore the optimal weights of a basket of currencies in terms of the Special Drawing Rights (SDRs). This paper also studies the impacts of the variants of SDRs components on the economy. In this paper, I examine the optimal weights of a basket of currencies of SDRs by using the New Keynesian model based on micro-founded framework, and illustrate the effects of the variants of the components on the real-side economy.
The paper claims that, the stationary conditions of intertemporal labor work effect occur when the elasticity coefficients of the exchange rate expectations on the next period is less than or equal to the time preference rate. Once the labor work effect and output levels are stationary, output levels and the weights of currencies in basket are decreasing over time, no matter when steady-state or not.
This paper also studies the relationships between real interest rate and the weights of currencies in basket. In case foreign interest rate is higher than domestic interest rate, the weight of home currency increases as domestic output increases; moreover, the weight of home currency increases as foreign output decreases as well. On the other hand, in case domestic interest rate is higher than foreign interest rate, the weight of home currency decreases as domestic output goes up or as foreign output decreases.
Finally, the paper explains the effects on exports and imports of the variants of currency weights, real exchange rate, and the difference of outputs between home and foreign countries. I find that exports in home country will be benefited and home imports will be hurt when the real exchange rate is underevaluated. Moreover, the overevaluation of real exchange rate brings two subcases: when the elasticity coefficient of the real exchange rate expectation on the next period is larger than zero, the conclusion is the same as the situation where the exchange rate is under evaluated. However, when the elasticity coefficients of the real exchange rate expectations on the next time is less than zero, the paper claims that home exports will be hurt on the next period.

並列關鍵字

Special drawing rights ； a basket of currencies ； real exchange rate ； stationary ； exports and imports

參考文獻

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國際貨幣基金組織對外關係部(2010)，「基金組織確定特別提款權定值籃子的新貨幣權重」，國際貨幣基金組織出版，2010年11月15日，http://www.imf.org/external/chinese/np/sec/pr/2010/pr10434c.pdf。

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