產品價格目標區之經濟穩定性︰聯立隨機微分方程之應用

Abstract

本文嘗試將國際金融之目標區政策應用於農業經濟領域中之農產品價格管制的議題。吾人延伸Frankel (1986)與Lai, Hu and Wang (1996)的模型，配合目標區政策宣告及聯立微分方程的應用，嘗試以農產品價格為瞬時調整，非農產品價格為緩慢調整，建構出一不同調整速度之農產品價格目標區模型。並以此模型來探討，當政府宣告且有信用的實施農產品價格目標區政策，對瞬時調整的農產品價格是否會出現Krugman (1991)所說的蜜月效果，同時也探討此項干預政策是否會使緩慢調整之非農產品價格產生波動加大的代價。本文之結論為：當政府宣告農產品價格目標區時，若民眾亦相信政府會確實實行此項政策。透過預期的改變，不論資產替代程度，或非農產品價格對實質利率敏感程度為何，均可使農產品價格的波動變小，即存在蜜月效果。然而實施農產品價格目標區政策對於非農產品價格的影響，則會隨著資產替代程度性與非農產品價格對實質利率敏感程度而有不同之結果。

The purpose of this study is twofold. The first is to apply the target zone policy in International Finance to the issues of commodity price limits in Agricultural Economics. The second is to make an integration involving topics on the idea of target zone policy and simultaneous stochastic differential equation. We construct a closed economic model, which extend from Frankel (1986) and Lai, Hu and Wang (1996) model, include the commodity and manufacture market two sectors. The main result of this model is to know that the public`s expectation will affect the dynamic loci of commodity and manufacture price when the adjustment of manufacture price is sluggish. More precisely, we use this model to demonstrate that the commodity price will have honeymoon effect when the government announced to execute the commodity price target zone policy. In the mean while, we also demonstrate that whether the variability of the manufacture price will depend on assets substitution and the sensitive of manufacture price to real interest rate.