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Title: 匯率目標區政策有效性之理論與圖形分析
Authors: 林艾蓉
Contributors: 方中柔
Keywords: 匯率目標區
Date: 2002
Issue Date: 2009-09-14 13:24:51 (UTC+8)
Abstract: 在Krugman (1991)引進數學的隨機微分方程解出匯率在目標區內的動態,以及闡述在匯率目標區內匯率呈現S型的走勢,提出匯率在目標區內有蜜月效果存在後,引起以後之研究熱潮。但是相關實證研究卻發現,當匯率越接近其上限水準時,有時變動益加劇烈。因此學者紛紛研究如何讓目標區理論與實證研究相符。
本文亦企圖解釋如何讓匯率目標區理論與實證相符,但與之前不同的是避開複雜的數學工具,將重點置於用圖解法來分析解決匯率目標區理論與實證研究的矛盾。本文擬從一個資本非完全自由移動的小型開放體系出發,假設物價為固定,商品需求面與貨幣供給面均存在外生隨機干擾。並假設每一個外生隨機干擾項均遵循一個不含漂浮項的布朗運動,政府當局宣告對匯率設定目標區,且在模型中加入對產出及匯率的預期。我們在此希望利用簡單易懂的圖解分析來探討在目標區政策下匯率與產出等總體變數是否存在蜜月效果。接著利用較嚴謹的數學解,運用隨機過程的轉換技巧將內生變數轉換為Ito's Process,然後用平滑連接條件解得總體變數在目標區內的真實路徑。最後再作數值模擬來探討在資本非完全自由移動下,資本移動性的大小對目標區政策有效性的影響。並藉以判斷圖解分析的正確與否。
Reference: 胡春田,(1995)匯率目標區之理論與實證研究,行政院國家科學委員會專題研究計畫成果報告
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