Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/116116


Title: J曲線效果、金融交易稅與匯率波動性
The J-Curve Effect, Financial Transaction Taxes and The Exchange-Rate Variability
Authors: 李睿緯
Li, Ruei Wei
Contributors: 朱美麗
Chu, Mei Lie
李睿緯
Li, Ruei Wei
Keywords: J曲線效果
金融交易稅
匯率波動性
J-Curve effect
Financial transaction taxes
Exchange-rate variability
Date: 2018
Issue Date: 2018-03-02 11:56:17 (UTC+8)
Abstract: 本文以朱美麗與馮立功 (2015)為基礎,在考慮Gupta-Kapoor and Ramakrishnan (1999)等實證文獻認為的部分國家經常帳,在某些時期存在J曲線效果的情形下,將J曲線效果引進朱美麗與馮立功 (2015)的模型,建構一個存在J曲線效果、含有套匯與套利理性投機交易的外匯市場模型,分析面對外匯市場不同來源的未預料衝擊,若政策當局實施金融交易稅,是否能減緩匯率的波動性。

本文發現有J曲線效果存在時:(1)當衝擊來源為經常帳時,金融交易稅會加劇匯率波動性,不建議課稅;(2)當發生金融帳利差衝擊時,金融交易稅在某些情況下有助於減少匯率波動性,因此可以課稅;(3)當兩衝擊同時發生時,金融帳利差衝擊占比必須較大,課稅才有可能降低匯率波動性;(4)除衝擊來源外,J曲線效果的強弱與課稅幅度亦會影響金融交易稅的效果。

在數值模擬分析中得出,當其他的經濟結構參數值不變,J曲線效果較強時,可能可以透過課稅降低匯率波動性。而可以課稅的情況時,在一定範圍內,稅率越高,課稅穩定市場的效果越好,但若稅率超出範圍,則可能導致外匯市場不具安定性,故不能課太高的稅。
The J-Curve effect is empirically plausible for some countries as studies in Gupta-Kapoor and Ramakrishnan (1999). Therefore, this thesis introduces J-Curve effect into the theoretical framework of Chu and Ferng (2015) to build a rational speculative model of foreign exchange market. It investigates whether financial transaction taxes (FTT) is effective in reducing the variability of exchange rates if current account or interest rate differential (IRD) shocks occur.

There are several findings in this research. First, when the unexpected shock is from the current account, FTT shouldn’t be imposed by destabilizing the exchange rate. Second, when there is a shock from IRD, FTT may be a good instrument to stabilize the exchange rate under some conditions. Third, if both shocks occur simultaneously, FTT may stabilize the exchange rate only when the portion of the shock from IRD is high enough. Finally, in addition to unexpected shocks, the degree of the J-Curve effect and the magnitude of tax rate of FTT may also influence the effect of FTT.

With other economic-structural parameters being constant, the results of numerical simulations show that FTT may stabilize the exchange rate with a significant J-Curve effect. Besides, if FTT can stabilize the exchange rate with the tax rate in the specific interval, FTT can decrease the exchange-rate variability more with a higher tax rate. However, if the tax rate is too high, FTT will cause the foreign exchange market to turn into the unstable status.
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Description: 碩士
國立政治大學
經濟學系
105258009
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0105258009
Data Type: thesis
Appears in Collections:[經濟學系] 學位論文

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