最適即期匯率目標區與物價目標區的決定－即期匯率與股價雙預期經濟變數的考量

The Determination of the Optimal Spot Exchange Rates and Price Target Zones Band - A Consideration of Dual Expectations of the Spot Foreign Exchange Rate and Stock Price

10.6277/TER.201806_46(2).0003

廖培賢(Peir-Shyan Liaw)

目標區 ； 蜜月效果 ； 貨幣需求的股利彈性 ； 即期匯率預期變動效果 ； 股價預期變動效果 ； target zone ； honeymoon effect ； the stock dividend elasticity of money demand ； the effect of spot foreign exchange rate expectation shift ； the effect of stock price expectation shift

經濟論文叢刊

46卷2期（2018 / 06 / 01）

235 - 295

繁體中文

本文目的是結合Eaton and Turnovsky (1982), Eaton and Turnovsky (1984)與Blanchard (1981)，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。本文分析一旦貨幣當局同時宣佈實施「即期匯率目標區」與「物價目標區」政策,各種資產市場的干擾是否對相關總體經濟變數具有安定效果,以及如何選擇最適「即期匯率目標區」與「物價目標區」區間。本文的結論顯示：(A) (i)「貨幣需求的股利彈性」大於抑或小於1, (ii)「即期匯率預期變動效果」與「股價預期變動效果」的相對大小這兩項因子在決定對相關總體經濟變數具有安定的效果上扮演了舉足輕重的角色；(B) (i)「貨幣當局相對較為重視即期匯率抑或本國物價的波動」，(ii)「即期匯率預期變動效果」與「股價預期變動效果」的相對大小這兩項因素在判定最適「即期匯率目標區」與「物價目標區」區間的決定上也占了關鍵樞紐的角色。

This paper constructs a stochastic open macroeconomic model based on Eaton and Turnovsky (1982) and Eaton and Turnovsky (1984), and the Blanchard (1981) stock price dynamic adjustment model. We examine what will be the effect of alternative asset market exogenous disturbances on the possible honeymoon effect of relevant macroeconomic variables if the monetary authority synchronously executes a spot exchange rate and price target zone policy? Additionally, we analyze how the monetary authority chooses the optimal spot exchange rate and price target zone band? The major findings are: (1) the stock dividend elasticity of money demand and the size of the effect of a spot foreign exchange rate expectation shift relative to the effect of a stock price expectation shift are the two key factors determining the relevant macroeconomic variables exhibiting the honeymoon effect, (2) (a) the relative importance the monetary authority attaches to the fluctuations in the spot foreign exchange rate and the domestic price output level, (b) the relative size of the effect of a spot foreign exchange rate expectation shift and the effect of a stock price expectation shift are the two key factors to determine how the monetary authority chooses the optimal spot exchange rate and price target zone band.

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