總體經濟政策宣告、投機者之投機程度對現貨匯率與遠期匯率動態走勢的影響－銀根緊縮效果的考量

本文以(1) Eaton and Turnovsky(1982，1984)、(2)賴景昌(2006)考量遠期外匯市場的開放經濟一般均衡模型為基礎，納入Komiya(1966)、Mundell(1971)、Chen(1973，1975)、Lai and Chen(1984，1985)、Chen et al.(1987)等所強調的貨幣貶值銀根緊縮效果(tight money effect of currency devaluation)，進而建構一個包含遠期外匯市場的開放經濟一般均衡模型，據以討論政策當局之總體經濟政策宣告與投機者之投機程度對現貨匯率與遠期匯率動態走勢的影響。研究結果發現：在一個考量「銀根緊縮效果」的開放經濟遠期外匯市場一般均衡模型中，不管「貿易餘額實質匯率反應係數」與「銀根緊縮效果」的相對大小，一旦財政（貨幣）當局執行財政（貨幣）政策擴張的宣告時，現貨匯率只可能呈現調整不及（調整過度抑或調整不及）的反應，另遠期匯率也可能呈現調整過度抑或調整不及的反應；再者，除了在貨幣（財政）當局執行貨幣政策擴張的宣告之外，在貨幣（財政）政策擴張的執行時刻，遠期匯率也另將（將不會）呈現跳躍下滑（跳躍變動）的反應；尤有進者，在政策宣告迄執行前與政策執行後兩段期間中遠期匯率的動態走勢，亦將隨「貿易餘額實質匯率反應係數」與「銀根緊縮效果」的相對大小及投機者投機程度相對大小這兩個關鍵因素之不同而有所差異。

關鍵字

銀根緊縮效果；宣告效果；現貨匯率；遠期匯率；投機者投機程度；貿易餘額實質匯率反應係數

並列摘要

This paper extends the macroeconomic general equilibrium for an open economy, which based on the model constructed by Eaton and Turnovsky (1982, 1984), Lai (2006) with considering forward foreign exchange market and the ＂tight money effect＂ (Komiya, 1966; Mundell, 1971; Chen, 1973, 1975; Lai and Chen, 1984, 1985; Chen et al., 1987 etc.). Moreover, we examine the effect of macroeconomic policy announcement on the dynamic adjustment for the relevant macroeconomic variables. The main findings of this paper indicate that the spot exchange rate adjusted to the undershooting (overshooting or undershooting) response and the forward exchange rate adjusted to the overshooting or undershooting response when the fiscal (monetary) authority executed the fiscal (monetary) policy expansion announcement. Furthermore, the forward exchange rate adjusted to the downward jumping response at the moment when the fiscal (monetary) policy expansion announcement was implementing. In addition, we find that the following two components- (1) the relative magnitude of ＂reaction coefficient of real exchange rate with respect to trade balance＂ and ＂tight money effect＂, and (2) the relative magnitude of speculator’s speculation degree- are the two key determinants for the dynamic paths of the forward exchange rate.