即期匯率目標區下的蜜月效果分析－即期匯率與股價雙預期變數的考量

Graphical Analyzing the Honeymoon Effect of Spot Foreign Exchange Rate Target Zones-The Dual Expectations Consideration of the Spot Foreign Exchange Rate and Stock Price

10.29765/TEI.201201.0003

廖培賢(Peir-Shyan Liaw)

即期匯率目標區 ； 蜜月效果 ； 布朗運動 ； Nominal Income Target Zone ； Honeymoon Effeect ； Brownian Motion

經濟研究

48卷1期（2012 / 01 / 31）

81 - 138

繁體中文

本文企圖結合Eaton and Turnovsky（1982, 1984）考量遠期外匯市場的開放經濟一般均衡模型與Blanchard（1981）兼顧股票市場的封閉總體經濟理論架構兩者特色，進而建構一個可以詮釋即期外匯市場、遠期外匯市場與股票市場互動關係的開放總體經濟模型，在民眾對即期匯率與股價的未來變動同時存在預期的前提下，來進行一旦貨幣當局宣佈實施即期匯率目標區政策，即期外匯市場的干擾是否對即期匯率、遠期匯率、股價、本國物價與本國利率等相關總體經濟變數具有安定的效果？結果得到：貨幣當局即期匯率目標區政策的實施對本國物價與本國利率必定具有安定效果，但對即期匯率、遠期匯率與股價卻未必具有安定效果，而決定對相關總體經濟變數只有安定效果的重要關鍵因素也與既有文獻有很大的不同。

This paper constructs a stochastic open macroeconomic model of the spot foreign exchange rate and stock price expectations as characterized by the Eaton and Turnovsky's (1982, 1984) general equilibrium approach of the forward foreign exchange market model and Blanchard's (1981) dynamic adjustment model. We use the ”new graphical approach”, which is offered by Lai et al. (2003), to determine whether the monetary authority executes the spot foreign exchange rate target zone policy, and what will be the effect of spot and forward foreign exchange rate market exogenous disturbances on the possible honeymoon effect of relevant macroeconomic variables.The major findings are: (i) the spot foreign exchange rate target zone policy is not always effective in stabilizing the fluctuations in the spot foreign exchange rate forward foreign exchange rate and stock price, for the key factors that determine whether the former macroeconomic variables exhibit the honeymoon effect differ from the findings in the existing literature; and (ii) the spot foreign exchange rate target zone policy is always effective in stabilizing the fluctuations in the domestic price and interest rate.

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