新開放總體經濟下的市場運行不對稱性與匯率動態調整

Asymmetric Settings of Market Operation and Exchange Rate Dynamics in the New Open Economy Macroeconomics

10.30087/APEMR.201103.0002

賴宗福

市場訂價不對稱性 ； 外匯干預不對稱性 ； 匯率動態 ； 匯率轉嫁 ； 新開放總體經濟學 ； Asymmetric Pricing-to-Market ； Asymmetric Foreign Exchange Intervention ； Exchange Rate Dynamics ； Exchange Rate Pass-Through ； New Open Economy Macroeconomics

亞太經濟管理評論

14卷2期（2011 / 03 / 01）

31 - 54

繁體中文

本文嘗試將現實經濟體系中普遍存在的兩種不對稱現象納入新開放總體經濟學(New Open Economy Macroeconomics; NOEM)的架構中，修正並擴展Betts and Devereux (1996; 2000)的對稱性模型設定，分別探究生產面及政府行為面的不對稱設定對匯率動態的影響，不同於傳統Dornbusch (1976)以及Da Silva (2001)文獻強調利率在匯率過度調整過程中所扮演的角色，本文透過理論推演，進一步發現即使利率傳遞管道不存在，只要兩國市場訂價或央行對外匯市場的干預行為具有不對稱性，且貨幣需求的消費彈性小於或等於1，匯率就會出現過度調整的現象。另外，短期匯率波動程度與兩國市場訂價(pricing-to-market; PTM)比例有關，隨著本國市場訂價比例愈高，外國市場訂價比例愈低，匯率波動程度就愈大，而且會比對稱性市場訂價情形來的大。

This paper attempts to incorporate two common kinds of asymmetric phenomenon in the reality into the New Open Economy Macroeconomics model, and to investigate how two types of asymmetric settings on production side and government behavior side affect the exchange rate dynamics by revised and extended symmetric model of Betts and Devereux (1996; 2000). Instead of emphasizing interest rates play an important role on the dynamics of exchange rates in existing traditional literature (e.g., Dornbusch, 1976; Da Silva, 2001), this paper found that as long as the existence of asymmetry in pricing-to-market and central bank foreign exchange intervention behavior, as well as the consumption elasticity of money demand is less than or equal to one, then the exchange rate will generate overshooting behavior with the monetary shocks, even if the channel of interest rates doesn't exist. Moreover, the exchange rate volatility in the short-run is dependent on the percentages of domestic and foreign pricing-to-market (PTM) firms, if the percentage of domestic PTM firms is higher than that of foreign PTM firms, exchange rate volatility will higher than the symmetric PTM case.

1. 林鴻裕(2003)。重回貨幣危機問題－新開放總體經濟模型的應用。經濟論文，31(2)，207-228。
   連結：
2. 張瑞娟、欉清全(2009)。貨幣政策與匯率轉嫁之探討─台灣之實證分析。應用經濟論叢，86，37-67。
   連結：
3. 賴宗福(2011)。市場取價不對稱性與匯率行為。多國籍企業管理評論，5(1)，72-90。
   連結：
4. 賴宗福(2009)。運輸成本對小型開放經濟體系的影響。運輸學刊，21(3)，279-298。
   連結：
5. Duarte, M. and M. Rogoff, "Monetary Policy in the Open Economy Revisited: the Case for Exchange-Rate Fexibility Restored," Mimeo, Federal Reserve Bank of Richmond and University of California, Berkeley. 2007.
6. Pontines ,V. and S. R. Rajan, ""Fear of Appreciation" not “Fear of Floating"? Foreign Exchange Market Intervention in Emerging Asia,” Mimeo, 2008, available at http://www.apeaweb.org/confer/bei08/papers/pontines-rajan.pdf
7. Da Silva, S., "Overshooting and Foreign Exchange Intervention in the Redux Model," Brasilia University Department of Economics Educational Papers, No. 30, 2001, available at http://www.angelfire.com/id/SergioDaSilva/ofredux.pdf
8. Aoki, M.(1985).Misadjustment to Anticipated Shocks: An Example of Exchange Rate Response.Journal of International Money and Finance,4,415-420.
9. Arndt, S. W. (ed.),Richardson, J. D. (ed.)(1987).Real-Financial Linkages among Open Economies.Cambridge, MA:MIT Press.
10. Beine, M.,Laurent, S.,Lecourt, C.(2003).Official Central Bank Interventions and Exchange Rate Volatility: Evidence from a Regime-Switching Analysis.European Economic Review,47(5),891-911.
11. Betts, C.,Devereux, M. B.(1996).The Exchange Rate in a Model of Pricing-to-Market.European Economic Review,40,1007-1021.
12. Betts, C.,Devereux, M. B.(2000).Exchange Rate Dynamics in a Model of Pricing-to-Market.Journal of International Economics,50,215-244.
13. Bhandari, J. S.(1981).Exchange Rate Overshooting Revisited.The Manchester School,49,165-172.
14. Bonser-Neal, C.,Tanner, G.(1996).Central Bank Intervention and the Volatility of Foreign Exchange Rates: Evidence from the Options Market.Journal of International Money and Finance,15,853-878.
15. Boyer, R. S.(1978).Optimal Foreign Exchange Market Intervention.Journal of Political Economy,12,1045-1055.
16. Branson, W. H.(1977).Asset Market and Relative Prices in Exchange Rate Determination.Sozialwwissenschaftliche Annalen,1,69-89.
17. Calvo, G. A.(1983).Staggered Prices in a Utility-Maximizing Framework.Journal of Monetary Economics,12(3),383-398.
18. Calvo, G.,Rodriguez, C. A.(1977).A Model of Exchange Rate Determination under Currency Substitution and Rational Expectations.Journal of Political Economy,85,617-625.
19. Chang, Y.,Taylor, S. J.(1998).Intraday Effects of Foreign Exchange Intervention by the Bank of Japan.Journal of International Money and Finance,17,191-210.
20. Chen, C. N.,Tsaur, T. W.(1983).Currency Substitution and Foreign Inflation.Quarterly Journal of Economics,98,177-184.
21. Chen, C. N.,Tsaur, T. W.,Liu, S. C.(1989).Foreign Inflation, Currency Substitution, and Terms of Trade Dynamics.Journal of Political Economy,97,955-964.
22. Devereux, M.,Engel, C.(2003).Monetary Policy in the Open Economy Revisited: Price Setting and Exchange Rate Flexibility.Review of Economic Studies,70,765-783.
23. Devereux, M.,Engel, C.(1998).NBER Working PaperNBER Working Paper,未出版
24. Devereux, M.,Engel, C.,Storgaard, P. E.(2004).Endogenous Exchange Rate Pass-Through When Nominal Prices are Set in Advance.Journal of International Economics,63(2),263-291.
25. Devereux, M.,Shi, K.,Xu, J.(2007).Global Monetary Policy under a Dollar Standard.Journal of International Economics,71(1),113-132.
26. Dornbusch, R.(1987).Exchange Rates and Prices.American Economic Review,77,93-106.
27. Dornbusch, R.(1976).Expectations and Exchange Rate Dynamics.Journal of Political Economy,84,1161-1176.
28. Feenstra, R.C.,Gagnon, J. E.,Knetter, M. M.(1996).Market Share and Exchange Rate Pass-Through in World Automobile Trade.Journal of International Economics,40,187-207.
29. Frenkel, J. A.,Rodriguez, C. A.(1982).Exchange Rate Dynamics and the Overshooting Hypothesis.IMF Staff Papers,29,1-30.
30. Gagnon, J. E.,Knetter, M.(1995).Markup Adjust and Exchange Rate Fluctuations: Evidence from Panel Data on Automobile Exports.Journal of International Money and Finance,14,289-310.
31. Gray, M.,Turnovsky, S. J.(1979).The Stability of Exchange Rate Dynamics under Perfect Myopic Foresight.International Economic Review,20,643-660.
32. Hooper, P.,Mann, C.(1989).Exchange Rate Pass-Through in the 1980s: the Case of U.S. Imports of Manufactures.Brookings Papers on Economic Activity,1,297-337.
33. Johdo, W.(2010).The Effects of Monetary Policy under Habit Persistence: A Two-Country Analysis.Journal of International and Global Economic Studies,2(2),1-14.
34. Kim, Y.(1990).Exchange Rate and Import Prices in the United States: A Varying-Parameter Estimation of Exchange Rate Pass-Through.Journal of Business and Economic Statistics,8,305-315.
35. Knetter, M. M.(1993).International Comparisons of Pricing-to-Market Behavior.American Economic Review,83(3),473-486.
36. Kollmann, R.(1997).IMF Working Paper, No.7IMF Working Paper, No.7,未出版
37. Kouri, P. J. K.(1976).The Exchange Rate and the Balance of Payments in the Short Run and the Long Run: A Monetary Approach.Scandinavian Journal of Economics,78,255-275.
38. Lai, C. C.,Chu, Y. P.(1986).Exchange Rate Dynamics under Dual Floating Exchange Rate Regimes.Southern Economic Journal,53,502-508.
39. Landry, A.(2009).Expectations and Exchange Rate Dynamics: A State-Dependent Pricing Approach.Journal of International Economics,78,60-71.
40. Levin, J. H.(1994).Fiscal Policy, Expectations, and Exchange-Rate Dynamics.Review of International Economics,2,50-61.
41. Livitan, N.(1981).Monetary Expansion and Real Exchange Rate Dynamics.Journal of Political Economy,89,1218-1227.
42. Marston, R.(1990).Pricing to Market in Japanese Manufacturing.Journal of International Economics,29,217-236.
43. Mathieson, D. J.(1977).The Impact of Monetary and Fiscal Policy under Flexible Exchange Rates and Alternative Expectations Structures.IMF Staff Papers,24,535-568.
44. Menon, J.(1995).Exchange Rate Pass-Through.Journal of Economic Surveys,9,197-231.
45. Moreno, R.(1996).Intervention, Sterilization, and Monetary Control in Korea and Taiwan.FRBSF Economic Review,3,23-33.
46. Obstfeld, M.(2006).NBER Working Paper, No. 12699NBER Working Paper, No. 12699,未出版
47. Obstfeld, M.,Rogoff, K.(2000).New Directions for Stochastic Open Economy Models.Journal of International Economics,50,117-153.
48. Obstfeld, M.,Rogoff, K.(1995).Exchange Rate Dynamics Redux.Journal of Political Economy,103,624-660.
49. Park, W.(1987).Crawling Peg, Inflation Hedges and Exchange Rate Dynamics.Journal of International Economics,23,131-150.
50. Patureau, L.(2007).Pricing-to-Market, Limited Participation and Exchange Rate Dynamics.Journal of Economic Dynamics & Control,31,3281-3320.
51. Poole, W.(1970).Optimal Choice of Monetary Policy Instruments in a Simple Stochastic Macro Model.Quarterly Journal of Economics,84,197-216.
52. Roper, D. E.,Turnovsky, S. J.(1980).Optimal Exchange Market Intervention in a Simple Stochastic Macro Model.Canadian Journal of Economics,13,296-310.
53. Rubinstein, R. Y.(1982).Generating Random Vectors Uniformly Distributed Inside and on the Surface of Different Regions.European Journal of Operational Research,10(2),205-209.
54. Shaked, M.(1984).Extensions of the Freund Distribution with Applications in Reliability Theory.Operations Research,32(4),917-925.
55. Shi, K.,Xu, J.(2010).Intermediate Goods Trade and Exchange Rate Pass-Through.Journal of Macroeconomics,32,571-583.
56. Tange, T.(1997).Exchange Rates and Export Prices of Japanese Manufacturing.Journal of Policy Modeling,19(2),195-206.
57. Turnovsky, S. J.(1981).The Asset Market Approach to Exchange Rate Determination: Some Short-Run, Stability, and Steady-State Properties.Journal of Macroeconomics,3,1-31.
58. Wilson, C. A.(1979).Anticipated Shocks and Exchange Rate Dynamics.Journal of Political Economy,87,639-647.
59. Zhang, Y.(2006).The Household Preference Structure and Pricing-to-Market in the New Open Economy Macroeconomics Models.International Review of Economics and Finance,15,505-524.
60. 賴宗福(2010)。本國偏誤、資本移動性、定價行為與匯率制度抉擇。台灣經濟學會2010 年年會，台北: