Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/32278


Title: 匯率目標區體制下匯率與利率差之波動:異質民眾預期的研究
Authors: 賴祈妃
Contributors: 方中柔
賴祈妃
Keywords: 匯率目標區
異質民眾預期
匯率與利率差
Date: 2004
Issue Date: 2009-09-14 13:33:54 (UTC+8)
Abstract: 早期匯率目標區之研究是在政策具有完全可信度、央行採邊界干預形式及商品價格完全調整等三個假設下所成立。Krugman (1991)在此前提下,提出實行目標區政策會使匯率波動變小,但需付出利率差波動變大代價之結論。唯後續實證上卻發現:有許多實行匯率目標區的國家,其匯率與利率差兩者波動皆變大,與上述理論結果不符。因此,往後學者便陸續將這些假設逐一放寬,以求理論模型更能切合實際的資料。本文之重點,在於將政策具有完全可信度之假設放寬;在政策不具完全可信度下,分析民眾未來匯率之預期,對目標區政策成效影響,即民眾預期對匯率與利率差兩者的影響。
本文與以往文獻相異處在於:(1)假設市場上存在異質民眾的預期,分析兩類民眾相對比例的多寡,對於匯率動態走勢與利率差走勢兩者之影響。(2)討論影響異質民眾預期之因素,如將目標區寬度、民眾對貨幣當局政策敏感度、重整規模大小及市場基要偏離的大小等,以數值模擬之方法,個別探討其對於民眾比例之影響;再藉由兩類民眾比例之變化,來觀察其對匯率動態走勢與利率差走勢兩者所造成的影響。
本文結果大致歸納如下:(1)在確定性之各種邊界干預或重整規模比例小於1之匯率目標區下,匯率具有蜜月效果,且匯率與利率差的波動具抵換關係。唯當重整規模比例大於1之目標區下,匯率波動變大而不具有蜜月效果,且匯率與利率差之波動不具抵換關係。(2)在考慮民眾有邊界干預與浮動匯率之異質預期下,匯率走勢仍具有蜜月效果,且匯率與利率差之波動皆存在抵換關係。(3)在考慮民眾有邊界干預與目標區重整之異質預期下,給定信任政府的民眾比例較多或當市場基要值在中心平價附近時,匯率走勢仍具有蜜月效果,且匯率與利率差波動具有抵換關係。唯當給定信任政府的民眾比例較少或當市場基要偏離中心平價越多時,匯率波動變大,且不具蜜月效果;此外,匯率與利率差兩者亦不具抵換關係。
Reference: 參考文獻
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Description: 碩士
國立政治大學
經濟研究所
92258035
93
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0922580351
Data Type: thesis
Appears in Collections:[經濟學系] 學位論文

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