Habit Persistence, Currency Competition and Sunspot Equilibria

習性延續、通貨競爭與太陽黑子均衡

林淑芬(Shu-Fen Lin)

《明新學報》 34卷1期 (2008/02) Pp. 213-226

https://doi.org/10.29688/MHJ.200802.0014

摘要

本文引用消費習性延續與不確定性之下太陽黑子均衡的觀念，分析通貨競爭下「格萊興法則」存在的必然性，同時為歐元的匯率變動提供一個補充解釋。我們建立一個一財、兩個完全替代通貨的時間間斷性Brock模型。在消費習性延續的影響下，我們得到，人們對最適通貨量的持有受到跨期替代彈性的影響。此外，因為在長期下成長率較高的通貨不一定能支配其他通貨，因此確定性模型下成立的「格萊興法則」在一階馬可夫不確定過程的太陽黑子均衡中不一定成立。太陽黑子均衡的存在顯示了通貨競爭取決於人們預期可能性的另一種情況，同時為實證上投資人因情感而持有通貨資產的觀點以及歐元匯率變動提供佐證。

關鍵字

習性延續 ； 格萊興法則 ； 通貨競爭 ； 太陽黑子均衡

並列摘要

This paper cites the concept of consumption habit persistence and sunspot equilibria with uncertainty for analyzing the issue of currency competition to discuss the necessity of Gresham's Law and provide a complement of explanation to the euro exchange rate movements. We study the economy in one-good, two-currency Brock model with perfect currency substitution in discrete time. With habit persistence, we show that the optimal holding of currency asset is affected by the elasticity of intertemporal substitution. Besides, the higher-growth-rate currency does not always dominate the other currency in the long run. The Gresham-law result obtained in the deterministic model could not be true in a stationary sunspot equilibrium with a first-order Markov extrinsic uncertainty process. The existence of sunspot equilibria expresses another situation of currency competition depending on the possibility of people's expectations and supports complementally the investor-emotion view of the empirical studies in the currency-asset holding and the euro exchange rate movements.

並列關鍵字

habit persistence ； Gresham's Law ； currency competition ； sunspot equilibria

參考文獻

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