生產力衝擊、本國消費偏誤與利率法則之制定

Productivity Shocks, Consumption Home Bias and the Conduct of Interest Rate Rule

賴宗福(Chung-Fu Lai)

《文大商管學報》 15卷2期 (2010/12) Pp. 75-105

https://doi.org/10.30163/BR.201012.0004

摘要

Obstfeld and Rogoff (2000)雖將本國消費偏誤(consumption home bias)列爲國際經濟學中的六大謎思(six puzzles)之一，但既存文獻卻往往忽略本國偏誤行爲於開放經濟議題中的重要性。爰此，爲能瞭解本國消費偏誤於貨幣政策制定以及匯率制度抉擇議題中所扮演的角色，本文擬以新開放經濟總體經濟模型作爲分析基礎，延伸Obstfeld (2006)的理論架構，探究當一開放經濟體系遭受到生產技術之實質衝擊後，採行利率法則之貨幣當局，若現實社會存在本國消費偏誤傾向時，則貨幣當局應如何做出反應，並進一步說明匯率制度抉擇的課題。採用新開放經濟總體經濟模型作爲框架的原因除了該模型提供個體基礎之跨期分析，相當適合從事政策變動與實質衝擊之總體經濟效應分析外，也期望透過「本國消費偏誤之謎」與「新開放經濟總體經濟模型」兩個尚屬新穎研究議題與方法的結合，來凸顯本文的價值與貢獻。 本文主要結論如下：1.非貿易財與本國消費偏誤的存在，將使得生產力衝擊對國內外消費產生不對稱效果，進而影響到利率政策的回應；2.若非貿易財消費佔總消費指數份額或本國消費偏誤程度愈大，利率法則所需回應生產力變化的程度也愈大；3.匯率政策宜採取浮動方式，預留利率調整的空間；4.非貿易財消費佔總消費指數份額或本國消費偏誤程度愈大，放任匯率浮動的區間應愈大。

關鍵字

利率法則 ； 匯率制度 ； 本國消費偏誤 ； 新開放經濟總體經濟學

並列摘要

Even though Obstfeld and Rogoff (2000) identified the consumption home bias as one of the six major puzzles in international economics, the importance of home bias in an open economy is still too often neglected from a review of the existing literature. In order to understand the role of consumption home bias in the issues of the conduct of interest rate rule and the choice of exchange rate regimes, I extend the model setup of Obstfeld (2006) to investigate how the conduct of interest rate rule and the exchange rate policy response to productivity shocks in a New Open Economy Macroeconomics model with consumption home bias. The rigorous characters of micro-foundations and inter-temporal were clear in analyzing the effects of policy change and exogenous shocks in a New Open Economy Macroeconomics, for this reason, I will combine the home bias puzzle and New Open Economy Macroeconomics model for making some useful contributions and value.
According to theoretical analysis results, the following conclusions were made. Firstly, if non-traded goods and consumption home bias exist, a productivity shock has an asymmetric effect on home and foreign consumption, as well as affects the response of interest rate policy. Secondly, the higher share of non-traded goods in the consumption bundle and a higher degree of home bias cause the stronger response of interest rate rule to a productivity shock. Thirdly, to allow the exchange rate to float more freely will make room for adjusting the interest rate policy. Finally, the floating bands of exchange rate should be expanded with the higher share of non-traded goods in the consumption bundle and a higher degree of home bias.

並列關鍵字

Interest Rate Rule ； Exchange Rate Regimes ； Consumption Home Bias ； NOEM

參考文獻

Faia, E., & Monacelli, T.(2006). Optimal monetary policy in a small open economy with home bias. CEPR Discussion Papers, No. 5522.

Aizenman, J.(1994).Monetary and real shocks, productive capacity and exchange-rate regimes.Economica.61(244),407-434.

Aizenman, J.,Ricardo, H.(2000).Exchange rate regimes and financial market imperfections.NBER Working Papers.(NBER Working Papers).,未出版.

Ball, L.(1999).Policy rules for open economies.Monetary Policy Rules.(Monetary Policy Rules).:

Bergin, P. R.,Shin, H. C.,Tchakarov, I.(2007).Does exchange rate variability matter for welfare? A quantitative investigation of stabilization policies.European Economic Review.51(4),1041-1058.