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題名 最適匯率目標區理論與實證-以臺灣為例
Optimal policy rule with target zone:theory and application to Taiwan作者 李宇峻
Li, Yu Chun貢獻者 毛維凌
李宇峻
Li, Yu Chun關鍵詞 匯率目標區
名目有效匯率
模擬動差法
target zone
NEER
SMM日期 2009 上傳時間 5-Sep-2013 16:39:09 (UTC+8) 摘要 這篇論文主要探討的是現任央行總裁彭淮南上任後，央行對於匯率管理上的政策行為。我們觀察從19991年到2009年這段期間的名目有效匯率發現，雖然匯率波動於一個區間之內，但名目有效匯率在大部份的期間都是被低估的，尤其是近幾年來更是相當的偏低。所以我們懷疑臺灣央行所管制的匯率目標區他們較希望能維持新臺幣在被低估的水準，當新臺幣匯率受到高估時，央行則希望能將其下修。為了探討這個情況，我們透過Krugman(1991)所發表的匯率目標區模型來試著得到新臺幣的最適匯率行為。又因為臺灣的特殊經濟背景，我們融合了Chen，Funke和Glanemann(2009)的寬鬆邊界匯率目標區模型和Torres(2000)的隨機邊界內的央行干預模式來修正傳統的Krugman模型。然而，傳統的Krugman模型我們得到最重要的結論是，當匯率越接近上下邊界時會有越強烈的蜜月效果，也就是說匯率的波動越平緩。但是當我們融入上面兩種修正在配合新臺幣的名目有效匯率實際資料時，我們發現蜜月效果僅僅存在於下界，就算是央行所保護的區間有變動時，在下界還是相對於上界穩定相當多。這就是因為在下界存在著強烈的蜜月效果，所以匯率在越接近下界時會越穩定，甚至有很大機率維持在下界附近。這個結論跟我們觀察實際資料所發現的現象是相當符合的，所以能夠解釋為什麼新臺幣的名目有效匯率會總是被低估。
This paper discusses the policy rule used by Central Bank of the Republic of China(Taiwan) with target zone to the exchange rate dynamics. We focus on the recent phenomena on the exchange rate of NTD, and try to figure why the NEER of NTD is always underestimated. Due to the regime of Central Bank of the Republic of China(Taiwan), we combine two extensions into the basic Krugman(1991) target zone model which are Chen, Funke and Glanemann`s soft edge target zone model(2009) and Torres`s stochastic intra-marginal intervention pattern. And we estimate the parameters withsimulated method of moments(SMM). By this two extensions, we conclude that there is strong honeymoon effect to the exchange rates at the lower bound, but the honeymoon effect is very weak at the upper bound. This conclusion is matched with the empirical data, and explains why the NEER of NTD is always underestimated.參考文獻 Beetsma, Roel M. W. J. and Van Der Ploeg, Frederick (1994), Intramarginal interventions, bands and the pattern of ems exchange rate distributions",International Economic Review, 35(3), 583-602.Bertola, Giuseppe and Caballero, Ricardo J. (1992), Target zones and realignments",American Economic Review, 82(3), 520-536.Bertola, Giuseppe and Svensson, Lars E.O. (1993),Stochastic devaluation risk and the empirical fit of target-zone models", Review of Economic Studies, 60(3), 689-712.Bessec, Marie (2003), \\The asymmetric exchange rate dynamics in the ems:A time-varying threshold test", European Review of Economics and Finance, 2(2), 3-40.Chen, Yu-Fu, Funke, Michael, and Glanemann, Nicole (2009), A soft edge target zone model: Theory and application to hong kong", BOFIT Discussion Papers, 21.Crespo-Cuaresma, Jesus, Balazs, Egert, and MacDonald, Ronald (2005), Non-linear exchange rate dynamics in target zones: A bumpy road towards a honeymoon-some evidence from erm, erm2 and selected new eu member states", CESifo Working Paper, 1511(6).DeJong, David N. and Dave, Chetan (2007), Structural Macroeconometrics, PRINCETON UNIVERSITY PRESS.DeJong, Frank (1994), A univariate analysis of ems exchange rates using a target zone model", Journal of Applied Econometrics, 9(1), 31-45.Diffie, Darrell and Singleton, Kenneth J. (1993), Simulated moments estimation of markov models of asset prices", Econometrica, 61(4), 929-952.Flood, Robert P., Rose, Andrew K., and Mathieson, Donald J. (1990), An empirical exploration of exchange rate target-zones", NBER WORKING PAPERS, (3543).Krugman, Paul R. (1991), Target zones and exchange rate dynamics", Quarterly Journal of Economics, 106(3), 669-682.Lindberg, Hans and Soderlind, Paul (1994), Testing the basic target zone model on swedish data 1982-1990", European Economic Reveiw, 38(7),1441-1469.Mark, Nelson C. (2000), International Macroeconomics and Finance: Theory and Empirical Methods-Theory and Econometric Methods, Blackwell Publishers.Svensson, Lars E.O. (1990), The term structure of interest rate differentials in a target zone: Theory and swedish data", NBER Working Paper, (3374).Svensson, Lars E.O.(1992), Why exchange rate bands? monetary independence in spite of fixed exchange rates", NBER Working Paper, (4207).Torres, Jose L. (2000), Stochastic intramarginal interventions in target zones", Journal of International Financial Markets, Institutions and Money, 10, 249-262.Tristani, Oreste (1994), Variable probability of realignment in a target zone", Scandinavian Journal of Economics, 96(1), 1-14.Werner, Alejandro M. (1995), \\Exchange rate target zones, realignments and the interest rate differential: Theory and evidence", Journal of International Economics, 39, 353-367. 描述 碩士
國立政治大學
經濟學系
97258017
98資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097258017 資料類型 thesis dc.contributor.advisor 毛維凌 zh_TW dc.contributor.author (Authors) 李宇峻 zh_TW dc.contributor.author (Authors) Li, Yu Chun en_US dc.creator (作者) 李宇峻 zh_TW dc.creator (作者) Li, Yu Chun en_US dc.date (日期) 2009 en_US dc.date.accessioned 5-Sep-2013 16:39:09 (UTC+8) - dc.date.available 5-Sep-2013 16:39:09 (UTC+8) - dc.date.issued (上傳時間) 5-Sep-2013 16:39:09 (UTC+8) - dc.identifier (Other Identifiers) G0097258017 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60502 - 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) 97258017 zh_TW dc.description (描述) 98 zh_TW dc.description.abstract (摘要) 這篇論文主要探討的是現任央行總裁彭淮南上任後，央行對於匯率管理上的政策行為。我們觀察從19991年到2009年這段期間的名目有效匯率發現，雖然匯率波動於一個區間之內，但名目有效匯率在大部份的期間都是被低估的，尤其是近幾年來更是相當的偏低。所以我們懷疑臺灣央行所管制的匯率目標區他們較希望能維持新臺幣在被低估的水準，當新臺幣匯率受到高估時，央行則希望能將其下修。為了探討這個情況，我們透過Krugman(1991)所發表的匯率目標區模型來試著得到新臺幣的最適匯率行為。又因為臺灣的特殊經濟背景，我們融合了Chen，Funke和Glanemann(2009)的寬鬆邊界匯率目標區模型和Torres(2000)的隨機邊界內的央行干預模式來修正傳統的Krugman模型。然而，傳統的Krugman模型我們得到最重要的結論是，當匯率越接近上下邊界時會有越強烈的蜜月效果，也就是說匯率的波動越平緩。但是當我們融入上面兩種修正在配合新臺幣的名目有效匯率實際資料時，我們發現蜜月效果僅僅存在於下界，就算是央行所保護的區間有變動時，在下界還是相對於上界穩定相當多。這就是因為在下界存在著強烈的蜜月效果，所以匯率在越接近下界時會越穩定，甚至有很大機率維持在下界附近。這個結論跟我們觀察實際資料所發現的現象是相當符合的，所以能夠解釋為什麼新臺幣的名目有效匯率會總是被低估。 zh_TW dc.description.abstract (摘要) This paper discusses the policy rule used by Central Bank of the Republic of China(Taiwan) with target zone to the exchange rate dynamics. We focus on the recent phenomena on the exchange rate of NTD, and try to figure why the NEER of NTD is always underestimated. Due to the regime of Central Bank of the Republic of China(Taiwan), we combine two extensions into the basic Krugman(1991) target zone model which are Chen, Funke and Glanemann`s soft edge target zone model(2009) and Torres`s stochastic intra-marginal intervention pattern. And we estimate the parameters withsimulated method of moments(SMM). By this two extensions, we conclude that there is strong honeymoon effect to the exchange rates at the lower bound, but the honeymoon effect is very weak at the upper bound. This conclusion is matched with the empirical data, and explains why the NEER of NTD is always underestimated. en_US dc.description.tableofcontents 1 Introduction 12 Literature Review 3 2.1 Lack of Credibility 4 2.2 Intra-Marginal Interventions 6 2.3 Summary 113 Model 13 3.1 Soft Edge Target Zone Model 15 3.2 Stochastic Intra-marginal Intervention 174 Econometric Methodology 19 4.1 Empirical Application 19 4.2 Simulated Method of Moments(SMM) 215 Empirical Results 25 5.1 Data 25 5.2 Estimation 266 Conclusion 33Appendix A The Continuous-time Monetary Model 35 B Derivation of Equation(10) and (11) 37 C Brownian motion, Wiener process, random walk 37 D Stochastic Calculus 38 E Solution of Krugman`s Model 41 F SAS Code 44Reference 46 zh_TW dc.format.extent 3784679 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097258017 en_US dc.subject (關鍵詞) 匯率目標區 zh_TW dc.subject (關鍵詞) 名目有效匯率 zh_TW dc.subject (關鍵詞) 模擬動差法 zh_TW dc.subject (關鍵詞) target zone en_US dc.subject (關鍵詞) NEER en_US dc.subject (關鍵詞) SMM en_US dc.title (題名) 最適匯率目標區理論與實證-以臺灣為例 zh_TW dc.title (題名) Optimal policy rule with target zone:theory and application to Taiwan en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Beetsma, Roel M. W. J. and Van Der Ploeg, Frederick (1994), Intramarginal interventions, bands and the pattern of ems exchange rate distributions",International Economic Review, 35(3), 583-602.Bertola, Giuseppe and Caballero, Ricardo J. (1992), Target zones and realignments",American Economic Review, 82(3), 520-536.Bertola, Giuseppe and Svensson, Lars E.O. (1993),Stochastic devaluation risk and the empirical fit of target-zone models", Review of Economic Studies, 60(3), 689-712.Bessec, Marie (2003), \\The asymmetric exchange rate dynamics in the ems:A time-varying threshold test", European Review of Economics and Finance, 2(2), 3-40.Chen, Yu-Fu, Funke, Michael, and Glanemann, Nicole (2009), A soft edge target zone model: Theory and application to hong kong", BOFIT Discussion Papers, 21.Crespo-Cuaresma, Jesus, Balazs, Egert, and MacDonald, Ronald (2005), Non-linear exchange rate dynamics in target zones: A bumpy road towards a honeymoon-some evidence from erm, erm2 and selected new eu member states", CESifo Working Paper, 1511(6).DeJong, David N. and Dave, Chetan (2007), Structural Macroeconometrics, PRINCETON UNIVERSITY PRESS.DeJong, Frank (1994), A univariate analysis of ems exchange rates using a target zone model", Journal of Applied Econometrics, 9(1), 31-45.Diffie, Darrell and Singleton, Kenneth J. (1993), Simulated moments estimation of markov models of asset prices", Econometrica, 61(4), 929-952.Flood, Robert P., Rose, Andrew K., and Mathieson, Donald J. (1990), An empirical exploration of exchange rate target-zones", NBER WORKING PAPERS, (3543).Krugman, Paul R. (1991), Target zones and exchange rate dynamics", Quarterly Journal of Economics, 106(3), 669-682.Lindberg, Hans and Soderlind, Paul (1994), Testing the basic target zone model on swedish data 1982-1990", European Economic Reveiw, 38(7),1441-1469.Mark, Nelson C. (2000), International Macroeconomics and Finance: Theory and Empirical Methods-Theory and Econometric Methods, Blackwell Publishers.Svensson, Lars E.O. (1990), The term structure of interest rate differentials in a target zone: Theory and swedish data", NBER Working Paper, (3374).Svensson, Lars E.O.(1992), Why exchange rate bands? monetary independence in spite of fixed exchange rates", NBER Working Paper, (4207).Torres, Jose L. (2000), Stochastic intramarginal interventions in target zones", Journal of International Financial Markets, Institutions and Money, 10, 249-262.Tristani, Oreste (1994), Variable probability of realignment in a target zone", Scandinavian Journal of Economics, 96(1), 1-14.Werner, Alejandro M. (1995), \\Exchange rate target zones, realignments and the interest rate differential: Theory and evidence", Journal of International Economics, 39, 353-367. zh_TW
