匯率目標區的蜜月效果 : 雙重預期的新圖解法

Abstract

1991年，Krugman發現民眾會因貨幣當局匯率目標區的宣布而改變對於匯率的預期，進而導致匯率的安定現象。他將此效果稱為”蜜月效果”(Honeymoon Effect)。在匯率目標區的實證研究中發現蜜月效果可能失靈。為了解釋此現象，本文引用Aoki (1985)模型並將此模型修改為民眾對匯率預期與物價預期為理性預期的雙重預期，並加入隨機干擾項在商品市場或是金融市場中。再運用雙重預期的新圖解法，闡釋央行在實施匯率目標區體制下，透過民眾對匯率預期與物價預期的雙重影響下，蜜月效果是否存在。研究結果發現，在Aoki (1985)模型中的分析裡，不論隨機干擾項出現在商品市場或是金融市場中。若民眾對於預期物價變動效果小於預期匯率變動效果，則蜜月效果成立；若民眾對於預期物價變動效果大於預期匯率變動效果，則蜜月效果不成立。

In his celebrated article, Krugman (1991) points out that an announcement of exchange rate target zones tends to affect the public`s expectations of changes in the exchange rate, and then lowers the volatility of the exchange rate. This stabilizing effect of exchange rate target zones is now referred to as the honeymoon effect. However, evidence from empirical studies does not support the honeymoon effect. To solve the inconsistency between theoretical prediction and empirical findings, based on the Aoki (1985) model this thesis develops an open-economy framework that simultaneously includes exchange-rate expectations and price expectations. Our graphical analysis reveals that, if both exchange-rate expectations and price expectations are brought into the picture, they will generate two conflicting effects on the realization of the nominal exchange rate. When the exchange-rate expectations effect exceeds the price expectations effect, the honeymoon effect is present. However, when the exchange-rate expectations effect falls short of the price expectations effect, the honeymoon effect does not exist.