貨幣危機︰財政收支與利率政策

Goverment Finance and Interest Rate Policy in a Currency Crisis

蔡鴻銘(Hung-Ming Tsai)

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(2008年)

摘要

當小型開放經濟存在著固定匯率制度無法維持之財政赤字，而政府又無力從事財政改革下，外匯存底將持續流失，匯率危機也將無可避免。然而現實世界的央行可以提高利率以穩定匯率與外匯存底，但過去研究利率防禦卻鮮少考慮租稅融通對財政收支的影響。
本文沿用Lahiri and V'egh (2007)之模型基本架構，加入租稅管道，探討貨幣危機陰影下之央行提高利率將透過租稅管道進一步影響財政收支及制度崩潰時間點。其管道為：一、央行提高利率防禦匯率危機時，產出將會下降，薪資所得稅收入會減少，使財政收支惡化，可能提前貨幣危機的發生。二、央行宣告提高利率防禦匯率危機時，利息所得稅將會增加，使財政收支改善，可能延緩貨幣危機的發生。本文納入此兩種效果，進一步分析具體的現實世界裡，央行提高利率防禦危機之有效性與最適性。
本文研究發現央行依舊可以提高利率延緩危機發生，但當利率高過門檻水準卻反而使危機提前來臨，此乃因為產出收縮造成財政惡化的效果。從福利的角度而言，Lahiri and V'egh (2007)認為央行應該實行某種程度的利率防禦政策，而本文卻發現提高利率水準雖然能延緩危機卻使福利水準變動更不明確，此結果亦值得政策制定者慎重三思。

關鍵字

貨幣危機 ； 匯率危機 ； 第一代貨幣危機模型

並列摘要

In first generation currency crisis models the collapse of a fixed exchange rate regime is caused by unsustainable fiscal policy. A hallmark of these first generation models is that the government runs a persistent primary deficit. This implies that the central bank must deplete foreign reserves to finance the deficit. Therefore, in the absence of fiscal reforms, these models predict that the regime must collapse. In practice, however, central banks typically defend pegs aggressively by raising short-term interest rates. This should slow down the loss of reserves under a pegged exchange rate.
In this paper we adopt the model of Lahiri and V'egh (2007) and introduce a system of taxes into the economy. Interest rates policy works through two types of tax channel. Tax revenue from interest income is increased to delay the crisis by raising interest rates, but higher interest rates decrease payroll tax revenue to bring forward the crisis. We add these two channels to analyze the feasibility and optimality of raising interest rates to delay a potential BOP crisis.
The results find that higher interest rates may delay the crisis as before, but raising interest rates beyond a certain point may actually bring forward the crisis due to the large output effect. In Lahiri and V'egh (2007) it is optimal to engage in some active interest rate defense. In our setting we find that the welfare effect of the active interest rate defense is more complicated and ambiguous. Therefore raising interest rate to defend crisis has to be careful consideration by all concerned.

並列關鍵字

currency crisis ； first generation currency crisis model

參考文獻

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