國內外貨幣政策宣告與旅遊財價格、匯率之動態調整：浮動匯率制度的探討

The Impact of Monetary Policy Announcement on Tourism Prices and Exchange Rate: Floating Exchange Rate Regime Model

戴孟宜(Meng-Yi Tai) ； 呂麗蓉(Lee-Jung Lu) ； 吳純華(Chun-Hua Wu) ； 胡士文(Shih-Wen Hu)

《東海管理評論》 17卷1期 (2015/07) Pp. 129-161

摘要

全球化與運輸科技的進步下，各國旅遊業為相關產業帶來商機，創造就業機會，以台灣觀光產業為例，來台旅客人次也逐年遞增，目前來台主要客源為中國大陸，其次為日本、東南亞、港澳；根據台灣交通部觀光局的統計，在2014年觀光業產值占GDP比重約2.74%。另外，2008年金融海嘯之後，美國與日本實施量化寬鬆政策振興經濟，貨幣貶值對國外遊客來說本國物價相對便宜，而對國內來說會增加地方收入，Crouch (1994)與Lim (2006)認為匯率、所得、相對價格是吸引觀光客的重要因素之一，有鑑於此，本文延伸Chao, Hu and Lu (2012)與Chao et al. (2013)之模型建構一個包括旅遊業市場、非旅遊業市場、貨幣市場、外匯市場的開放總體模型，分別探討國內、外實施寬鬆貨幣政策對匯率與旅遊財價格之長期均衡影響以及短期動態走勢。經由本文的分析可以發現：(1)國內實施寬鬆貨幣政策，長期對匯率與旅遊財價格之影響皆不確定；短期匯率依宣告到執行時差大小可能出現過度調整、低度調整及錯向調整的現象。(2)國外實施寬鬆貨幣政策，長期會造成本國貨幣升值，旅遊財價格則依旅遊財財富效果相對大小而會出現上漲或下跌；短期匯率依宣告到執行時差大小可能出現過度調整，亦可能出現低度調整。

關鍵字

寬鬆貨幣政策 ； 旅遊財價格 ； 動態調整

並列摘要

Under globalization and advances in transportation technology, tourism brings business opportunities to related industries, and creates employment opportunities. For example, the main sources of foreign tourists visiting Taiwan are China, Japan, Southeast Asia, Hong Kong and Macao. According to the statistics data of Taiwan Tourism Bureau, the output value of the tourism industry is about 2.74% of GDP in 2014. Moreover, U. S. and Japan implement QE to revive the economy after the 2008 financial crisis, the domestic currency depreciate will attract foreign tourists and increase domestic revenue. Crouch (1994) and Lim (2006) finds that the exchange rate, income, and relative price are important factors in attracting tourists. The theoretical framework we shall develop ca be treated as an extension of Chao, Hu and Lu (2012), and Chao et al. (2013) and then focuses on the comparative static and dynamic behavior of the economy associated with the domestic and foreign QE policies. This paper finds that domestic QE policy has an ambiguous impact on the exchange rate and tourism price; while foreign QE policy will cause domestic currency appreciate, and the tourism price will either rise or fall depending on the relative magnitudes of tourism wealth effect in the long run. In the short run, the exchange rate will exhibit various dynamic patterns, including overshooting, undershooting and misadjustment with anticipated domestic QE policy, while the exchange rate only exhibit overshooting or undershooting under foreign QE policy.

並列關鍵字

quantitative easing ； the price of tourism good ； dynamic adjustment

參考文獻

Chao, C. C., Hu, S. W., Lai, C. C., Lu, L. J. and Wang, V. (2013). Devaluation, PassThrough and Foreign Reserves Dynamics in a Tourism Economy. Economic Modelling, 30, 456-461.

Crouch, G. I. (1994). The Study of International Tourism Demand: A Review of Findings. Journal of Travel Research, 33, 12-23.

Dornbusch, R. (1976). Expectations and Exchange Rate Dynamics. Journal of Travel Economy, 84, 1161-1176.

Frankel, J. A. (1986). Expectations and Commodity Price Dynamics: The Overshooting Model. American Journal of Agricultural Economics, 68, 344-348.

Gray, M. and Turnovsky, S. J. (1979). The Stability of Exchange Rate Dynamics under Perfect Myopic Foresight. International Economic Review, 20, 643-660.