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題名 匯率目標區的蜜月效果 : 雙重預期的新圖解法
The honeymoon effect in exchange-rate target zones: a new graphical analysis on dual expectations作者 陳郁雯
Chen, Yu-Wen貢獻者 賴景昌<br>方中柔
Lai, Ching-Chong<br>Fang, Chung-Rou
陳郁雯
Chen, Yu-Wen關鍵詞 匯率目標區
蜜月效果
物價變動預期
匯率變動預期
Exchange rate target zones
Honeymoon effect
Price expectations
Exchange-rate expectations日期 2018 上傳時間 29-Aug-2018 15:58:34 (UTC+8) 摘要 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.參考文獻 吳中書及陳寶媛(1993)，「資本非自由移動下匯率目標區之動態效果」，中國經濟學會年會論文集，頁229-264。 賴景昌(1994)，國際金融理論(進階篇)，台北，茂昌圖書有限公司。 賴景昌(2011)，總體經濟學，台北，雙葉書廊。 Aoki, M. (1985), “Misadjustment to Anticipated Shocks: An Example of Exchange-Rate Response,” Journal of International Money and Finance 4, pp. 415-420. Beetsma, Roel M. W. J. (1995), “EMS Exchange-Rate Bands: A Monte Carle Investigation of Three Target Zone Models,” Journal of International Money and Finance 14, pp. 311-328. Bertola, G. and Caballero, R. (1992), “Target Zones and Realignments,” American Economic Review 82, pp. 520-536. Dornbusch, R. (1976), “Exchange Rate Expectations and Monetary Policy,” Journal of International Economics 10, pp. 231-234. Fidrmuc, J. and Horva ́th, R. (2008), “Volatility of Exchange Rates in Selected New EU Members: Evidence From Daily Date,” Economic Systems 32, pp. 103-118. Flood, R. P. and Garber, P. M. (1991), “The Linkage Between Speculative Attack and Target Zone Models of Exchange Rate,” Quarterly Journal of Economics 106, pp. 1367-1372. Klein, M. W. (1990), “Playing with the Band: Dynamic Effects of Target Zones in an Open Economy,” International Economic Review 31, pp. 757-772. Koc ̌enda, E. (1998), “Altered Band and Exchange Volatility,” Economics of Transition 6, pp. 173-183. Krugman, P. (1991), “Target Zones and Exchange Rate Dynamics,” Quarterly Journal of Economics 106, pp. 669-682. Lai, C. C. and Chang J. J. (2001), “A Note on Inflation Targeting,” Journal of Economic Education 32, pp. 369-380. Lai, C. C. and Chang J. J. , and Fang C. R. (2008), “Volatility Trade-Offs in Exchange Rate Target Zones,” International Review of Economics and Finance 17, pp. 366-379. Lai, C. C., Chang J. J., and Fang C. R. (2012), “Is the Honeymoon Effect Valid in the Presence of Both Exchange Rate and Output Expectations? A Graphical Analysis,” International Review of Economics and Finance 21, pp. 140-146. Miller, M. and Weller, P. (1991), “Currency Bands, Target Zones, and Price Flexibility,” IMF Staff Papers 38, pp. 184-215. Mundell, R. A. (1963), “Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates,” Canadian Journal of Economics and Political Science 29, pp. 475-485. Obstfeld, M. and Stockman, A. C. (1985), “Exchange-Rate Dynamics,” in Jones, R. W. and Kenen, P. B. eds, Handbook of International Economics, Vol.II, Amsterdam: North-Holland, pp. 917-977. Svensson, L. E. O. (1991), “Target Zones and Interest Rate Variability,” Journal of International Economics 31, pp. 27-54. Sutherland, A. (1995), “Monetary and Real Shocks and the Optimal Target Zone,” European Economic Review 39, pp. 161-172. Williamson, J. (1983), “The Exchange Rate System,” Washington DC: Institute for International Economics 描述 碩士
國立政治大學
經濟學系
105258015資料來源 http://thesis.lib.nccu.edu.tw/record/#G1052580152 資料類型 thesis dc.contributor.advisor 賴景昌<br>方中柔 zh_TW dc.contributor.advisor Lai, Ching-Chong<br>Fang, Chung-Rou en_US dc.contributor.author (Authors) 陳郁雯 zh_TW dc.contributor.author (Authors) Chen, Yu-Wen en_US dc.creator (作者) 陳郁雯 zh_TW dc.creator (作者) Chen, Yu-Wen en_US dc.date (日期) 2018 en_US dc.date.accessioned 29-Aug-2018 15:58:34 (UTC+8) - dc.date.available 29-Aug-2018 15:58:34 (UTC+8) - dc.date.issued (上傳時間) 29-Aug-2018 15:58:34 (UTC+8) - dc.identifier (Other Identifiers) G1052580152 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/119779 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 105258015 zh_TW dc.description.abstract (摘要) 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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 第一章 緒論 7 第一節 研究動機與目的 7 第二節 本文架構 9 第二章 文獻回顧 10 第三章 理論模型 14 第四章 商品市場需求面存在隨機干擾項 19 第一節 圖形解釋 19 第二節 蜜月效果不存在 25 第五章 金融市場的外國利率存在隨機干擾項 29 第一節 圖形解釋 29 第二節 蜜月效果不存在 34 第六章 結論 39 參考文獻 41 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1052580152 en_US dc.subject (關鍵詞) 匯率目標區 zh_TW dc.subject (關鍵詞) 蜜月效果 zh_TW dc.subject (關鍵詞) 物價變動預期 zh_TW dc.subject (關鍵詞) 匯率變動預期 zh_TW dc.subject (關鍵詞) Exchange rate target zones en_US dc.subject (關鍵詞) Honeymoon effect en_US dc.subject (關鍵詞) Price expectations en_US dc.subject (關鍵詞) Exchange-rate expectations en_US dc.title (題名) 匯率目標區的蜜月效果 : 雙重預期的新圖解法 zh_TW dc.title (題名) The honeymoon effect in exchange-rate target zones: a new graphical analysis on dual expectations en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 吳中書及陳寶媛(1993)，「資本非自由移動下匯率目標區之動態效果」，中國經濟學會年會論文集，頁229-264。 賴景昌(1994)，國際金融理論(進階篇)，台北，茂昌圖書有限公司。 賴景昌(2011)，總體經濟學，台北，雙葉書廊。 Aoki, M. (1985), “Misadjustment to Anticipated Shocks: An Example of Exchange-Rate Response,” Journal of International Money and Finance 4, pp. 415-420. Beetsma, Roel M. W. J. (1995), “EMS Exchange-Rate Bands: A Monte Carle Investigation of Three Target Zone Models,” Journal of International Money and Finance 14, pp. 311-328. Bertola, G. and Caballero, R. (1992), “Target Zones and Realignments,” American Economic Review 82, pp. 520-536. Dornbusch, R. (1976), “Exchange Rate Expectations and Monetary Policy,” Journal of International Economics 10, pp. 231-234. Fidrmuc, J. and Horva ́th, R. (2008), “Volatility of Exchange Rates in Selected New EU Members: Evidence From Daily Date,” Economic Systems 32, pp. 103-118. Flood, R. P. and Garber, P. M. (1991), “The Linkage Between Speculative Attack and Target Zone Models of Exchange Rate,” Quarterly Journal of Economics 106, pp. 1367-1372. Klein, M. W. (1990), “Playing with the Band: Dynamic Effects of Target Zones in an Open Economy,” International Economic Review 31, pp. 757-772. Koc ̌enda, E. (1998), “Altered Band and Exchange Volatility,” Economics of Transition 6, pp. 173-183. Krugman, P. (1991), “Target Zones and Exchange Rate Dynamics,” Quarterly Journal of Economics 106, pp. 669-682. Lai, C. C. and Chang J. J. (2001), “A Note on Inflation Targeting,” Journal of Economic Education 32, pp. 369-380. Lai, C. C. and Chang J. J. , and Fang C. R. (2008), “Volatility Trade-Offs in Exchange Rate Target Zones,” International Review of Economics and Finance 17, pp. 366-379. Lai, C. C., Chang J. J., and Fang C. R. (2012), “Is the Honeymoon Effect Valid in the Presence of Both Exchange Rate and Output Expectations? A Graphical Analysis,” International Review of Economics and Finance 21, pp. 140-146. Miller, M. and Weller, P. (1991), “Currency Bands, Target Zones, and Price Flexibility,” IMF Staff Papers 38, pp. 184-215. Mundell, R. A. (1963), “Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates,” Canadian Journal of Economics and Political Science 29, pp. 475-485. Obstfeld, M. and Stockman, A. C. (1985), “Exchange-Rate Dynamics,” in Jones, R. W. and Kenen, P. B. eds, Handbook of International Economics, Vol.II, Amsterdam: North-Holland, pp. 917-977. Svensson, L. E. O. (1991), “Target Zones and Interest Rate Variability,” Journal of International Economics 31, pp. 27-54. Sutherland, A. (1995), “Monetary and Real Shocks and the Optimal Target Zone,” European Economic Review 39, pp. 161-172. Williamson, J. (1983), “The Exchange Rate System,” Washington DC: Institute for International Economics zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.ECONO.019.2018.F06 -
