體制崩潰、投機程度對現貨匯率與遠期匯率動態走勢的影響：以商品市場衝擊為例

The Impact of Price Regime Collapse and Speculation Degree of Speculator on the Dynamic Path of Spot Exchange Rate and Forward Exchange Rate: An Example of Commodity Market Stochastic Shock

10.30401/RSS.201712_11(2).0002

廖培賢(Peir-Shyan Liaw)；洪偉盛(Wei-Shang Hung)

價格體制崩潰 ； 遠期匯率 ； 投機者投機程度 ； 貿易餘額的實質匯率反應係數 ； 銀根緊縮效果 ； price regime collapsing ； forward exchange rate ； the speculation degree of speculator ； real exchange rate of trade balance reaction coefficient ； the tight money effect

社會科學論叢

11卷2期（2017 / 12 / 01）

59 - 115

繁體中文

本文以(1)Dornbusch（1976）探討匯率動態調整，(2)Eaton and Turnovsky（1982, 1984）、賴景昌（2006）考量遠期外匯市場的開放經濟一般均衡模型為基礎，納入Komiya（1966）、Mundell（1971）、Chen（1973）、Lai and Chen（1984）等所強調的貨幣貶值銀根緊縮效果（tight money effect），進而建構一個包含遠期外匯市場的開放經濟一般均衡體制崩潰（regime collapsing）模型，藉以討論：一旦經濟體系遭逢商品市場需求面有利衝擊，貨幣當局為了阻擋物價水準進一步上漲，進而利用減少名目貨幣供給的措施將本國物價水準釘住在某一固定水準的情況下，相關總體經濟變數所呈現的動態調整風貌。研究結果發現：(1)貨幣當局所能忍受的本國物價門檻上限水準不僅與本國物價體制崩潰時機有關，其也是決定本國物價體制是否會崩潰的重要關鍵樞紐因素，(2)(a)「貿易餘額的實質匯率反應係數」與「銀根緊縮效果」兩者的相對大小、(b)投機者投機程度的相對大小這兩項關鍵因素，在決定遠期匯率動態走勢上也占了舉足輕重的角色。

This paper constructs an open economy general equilibrium macroeconomic model is characterized by the Dornbusch (1976) exchange rate dynamic adjustment model and Eaton and Turnovsky (1982‚1984)‚ Lai (2006) open economy forward foreign exchange market model. We use the ＂implicit function technique＂ of regime collapsing‚ which is offered by Chang and Lai (1990) to analyze if the monetary authority tend to curb the rising price level through the tight monetary policy which the economy is facing a beneficial shock on the demand side of the commodity market. Under the former economic circumstances‚ what will be the dynamic effect of the relevant macroeconomic variables if the monetary authority executes the policy? The major findings are (i) not only the price ceiling threshold level is the key factor of price regime collapsing time‚ but also is the important determinant of the price regime collapsing whether or not? (ii) (a) the relative amplitude of ＂real exchange rate of trade balance reaction coefficient＂ and ＂the tight money effect＂ (b) the relative amplitude of ＂the speculation degree of speculator＂ are the two key factors to decide the dynamic path of the forward exchange rate.

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