通貨替代、宣示效果與實質匯率動態

Currency Substitution, Announcement Effect and Real Exchange Rate Dynamics

余律廷(Liu-Ting Yu)

指導教授 ： 曹添旺

國立臺灣大學/社會科學院/經濟學研究所/碩士(2012年)

https://doi.org/10.6342/NTU.2012.10529

摘要

本文採用曹添旺(2011)的自由匯率制度模型為基礎，加入Gray and Turnovsky(1979)宣示效果的概念，討論當政府實施未預料及預料到的擴張性財政政策時，對實質匯率及產出等變數的長期均衡，以及其動態調整路徑的影響。得到以下結論：無論政策是否事先宣告，若國外通貨膨脹率為零，則政府支出增加在長期對產出及實質匯率皆無影響。若國外通貨膨脹率為正，則擴張性財政政策長期而言對產出會有正面的效果。當國外通貨膨脹率為正時，隨著國外通貨膨脹率的變化，實質匯率的短期調整可能呈現過度調整、調整不足甚至錯向跳動的情況，端視國外通貨膨脹率與模型中各參數的相對大小。政府可透過政策作事先宣告以降低短期實質匯率的衝擊效果，且若宣告與執行中間的時間落差越大，則政策宣告瞬間，實質匯率的短期調整就越小。最後，兩種通貨替代程度越大或是期初國外通貨膨脹率較小時，匯率的短期調整幅度就越小。

關鍵字

自由匯率制度 ； 通貨替代 ； 宣示效果 ； 匯率動態 ； 模擬

並列摘要

By Tsaur’ s(2011) free exchange rate system and the announcement effect of Gray and Turnovsky(1979), this paper intends to investigate the long run equilibrium, the dynamic adjustment of the real exchange rate and the output in response to anticipated and unanticipated fiscal policy. Results indicate that if the foreign inflation rate is zero, there will be no effect on the real exchange rate and the output when the government expenditure increases in the long run. If the foreign inflation rate is positive, these variables will increase by the fiscal expansion. When the foreign inflation rate is positive, whether the adjustment paths of the real exchange rate will be overshooting, undershooting or misjump depending on the foreign inflation and parameters in the model. The government can reduce the impact effect of the real exchange rate by policy pre-announcement; moreover, the earlier the government announced, the smaller the impact effect of the real exchange rate is. Finally, the greater the degree of substitution or the smaller the foreign inflation is, the smaller the impact effect of the real exchange rate is.

並列關鍵字

free exchange rate system ； currency substitution ； announcement effect ； exchange rate dynamics ； simulation

參考文獻

曹添旺(2011)「自由匯率制度的政策效果與隔絕功能」，經濟論文，第三十九卷第一期，頁91-123。

曹添旺(1993)「通貨替代、通貨膨脹、資產選擇與實質匯率動態」，經濟論文叢刊，第二十一輯第一期，頁1-24。

曹添旺、黃俊傑(2005)「通貨替代、貿易彈性與實質匯率動態」，經濟論文，第三十三卷第二期：頁175-200。

Calvo, G. and C. Rodriguez (1977),”A Model of Exchange Rate Determination under Currency Substitution and Rational Expectation,” Journal of Political Economy, 85, 617-625.

Chang, W. Y. and Lai, C. C. (1997),”The Specification of Money Demand, Fiscal Policy, and Exchange Rate Dynamics,” Journal of Macroeconomics 19: 79-102.