國際金融干擾與最適匯率目標區

Abstract

本文首先建立一資本不完全移動且產出可調整的小型開放經濟隨機匯率模型，據以探討在面臨國際金融隨機干擾時，貨幣當局採行匯率目標區政策對匯率、產出、及物價的動態行為之影響，進而研討貨幣當局在維持物價及產出穩定的目標下如何決定最適的匯率目標區間。本文的研究發現：如果貨幣當局的目標在於追求物價和產出的穩定，則它可以決定出一最適的匯率目標區間，該最適區間的寬窄端視貨幣當局做邊界干預所必須承擔的干預成本而定。明確地說，如果央行做邊界干預不必負擔任何成本，則央行的最適政策將是完全釘住一固定的匯率水準。但若央行必須負擔干預的成本，則它將會選擇一正的最通目標區間。

This paper first constructs a small open economy model of a stochastic exchange rate with imperfect capital mobility and a variable output, and then examines how an exchange rate target zone affects the dynamic behavior of the exchange rate, output, and prices. Furthermore, this paper investigates how the monetary authority determines the optimal currency band when it wishes to stabilize both output and prices. It is found that the monetary authority can determine both an optimal currency band and an optimal band width depending on the size of intervention costs. Specifically, if the central bank does not incur any intervention cost, then its optimal policy is to peg a fixed exchange rate. However, if the central bank must incur positive intervention costs, then it will determine an optimal target zone.