預期價格的穩定性與匯率過度調整-不對稱兩國模型分析

The Stability of Expected Price and Exchange Rate Overshooting-An Asymmetric Two-Country Model Analysis

鄭丞孝(Cheng-Hsiao Cheng)

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(2012年)

https://doi.org/10.6837/NCNU.2012.00216

摘要

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。

關鍵字

匯率過度調整 ； 適應性學習動態 ； 匯率政策 ； 預期穩定性

並列摘要

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.

並列關鍵字

Exchange rate overshooting ； Adaptive learning dynamics ； Exchange rate policy ； E-stability

參考文獻

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Bjornland, H. C. (2009), “Monetary Policy and Exchange Rate Overshooting: Dornbusch Was Right After All”, Journal of International Economics, 79(1), 64–77.

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