政策跨時搭配、政策不確定與匯率的動態調整－雙元匯率制度下的分析

Intertemporal Policy Mix, the Policy Uncertaintyand Exchange Rate Dynamics-The Analysis under Dual Exchange Rate Regime with Neutral Intervention Operations

10.29724/TMR.200507.0010

廖培賢(Peir-Shyan Liaw)；楊立均(Li-Chun Yang)

調整不及 ； 調整過度 ； 錯向調整 ； 政策跨時搭配 ； 資本移動性的相對大小 ； 貨幣政策與財政政策之政策劑量效果的相對大小 ； 貨幣政策及財政政策之宣示效果的相對大小 ； misadjustment ； undershooting ； overshooting ； intertemporal policy mix ； the relative magnitude of capital mobility ； the relative magnitude of policy increment effect under fiscal and monetary policy ； the rela

東海管理評論

7卷1期（2005 / 07 / 01）

203 - 254

繁體中文

本文以Liaw(2000)中立干預操作雙元匯率制度的「確定性政策」模型爲基礎，予以延伸至不確定的情況下，來從事當經濟體系面臨財政政策當局「單一政策宣告」與「政策跨時搭配」時的政策效果分析，結果得到： 1.當經濟體系面臨財政當局「財政政策政策劑量宣告不確定的跨時政策搭配」時，到底金融匯率會呈現調整不及、調整過度抑或錯向調整反應的關鍵決定因素中，「資本移動性的相對大小」、「貨幣政策與財政政策之政策劑量效果的相對大小」與「貨幣政策及財政政策之宣示效果的相對大小」這三項因素扮演了舉足輕重的角色，其中「貨幣政策及財政政策之政策劑量效果的相對大小」這項因素則是則是Liaw (2000)「確定性政策」模型所未考慮到的重要決定因子。 2.當經濟體系面臨財政政策當局「單一政策宣告」或「政策跨時搭配」的不確定性時，則在政策宣告迄政策執行前，經濟變數的預期調整路徑即是實際的調整路徑；到了財政當局真正亮出政策執行劑量的底牌時，若所執行的政策劑量正如民眾事先所預期，則經濟變數的預期調整路徑也仍是實際的調整路徑；但若財政當局真正所執行的政策劑量與民眾事先所預期的並不一致時，民眾就會立即修正預期，使經濟體系水平跳動到另一實際的馬鞍收斂路徑上，再沿著該一收斂的馬鞍路徑走向長期均衡點。因此，財政當局在政策執行時，若財政當局真正所執行的政策劑量與民眾事先所預期的並不一致，則金融匯率除了在政策宣告的時刻會跳動之外；另外，在政策執行的時刻也會產生跳動的反應。

This paper extends the theoretical framework of Liaw's (2000) 「policy certainty」 model into the fiscal policy uncertainty situation. In a dual exchange rate regime with neutral intervention operations, this paper studies the effects of intertemporal policy mix on dynamic paths of financial exchange rates under the fiscal policy uncertainty. The major findings are (1) the key factors of financial exchange rates will be characterized by misadjustment, undershooting or overshooting are 「the relative magnitude of capital mobility」、「the relative magnitude of policy increment effect under fiscal and monetary policy」 and 「the relative magnitude of policy announcement effect under fiscal and monetary」, among the upper determinants, 「the relative magnitude of policy increment effect under fiscal and monetary policy」 is the key factor which Liaw's (2000) 「policy certainty」 model doesn't take into account (2) if the policy increment of the authority actual executes and ex ante anticipation of the public are inconsistent, then on the instants of policy announced and actual executed, the financial exchange rates will be jumped.

1. Aoki, M.(1985).Misadjustment to Anticipated Shocks: An Example of Exchange Rate Response.Journal of International Money and Finance,4,415-420.
2. Bhandari, J. S.(1981).Exchange Rate Overshooting Revisited.Manchester School,49,165-172.
3. Buiter, W. H.(1984).Saddlepoint Problems in Continous Time Rational Expectations Models: A General Method and Some Macroeconomic Examples.Econometrica,52,665-680.
4. Burmeister, E.,Feiwel, G. (ed.)(1985).Issues in Contemporary Macroeconomics and Distribution.London:Macmillan.
5. Calvo, G. A.,Rodriguez, C. A.(1977).A Model of Exchange Rate Determination under Currency Substitution and Rational Expectations.Journal of Political Economy,85,617-625.
6. Chang, W. Y.,Lai, C. C.(1997).Election Outcomes and the Stockmarket: Further Result.European Journal of Political Economy,13,143-155.
7. Daniel, B. C.(1989).One-Side Uncertainty about Future Fiscal Policy.Journal of Money, Credit, and Banking,21,176-189.
8. Dornbusch, R.(1976).Expectations and Exchange Rate Dynamics.Journal of Political Economy,84,1161-1176.
9. Frenkel, J. A.,Rodriguez, C. A.(1982).Exchange Rate Dynamics and Overshooting Hypothesis.IMF Staff Papers,29,1-30.
10. Gandoflo, G.(1980).Economic Dynamics: Methods and Models.Amsterdam:North-Holland.
11. Gardner, G. W.(1984).Dynamic Stability in a Model of Dual Exchange Rates.Economics Letters,14,67-72.
12. Gray, M.,Turnovsky, S.J.(1979).The Stability of Exchange Rate Dynamics under Perfect Myopic Foresight.International Economic Review,20,643-660.
13. 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.
14. Lai, C. C.(1990).Exchange Rate Determination under Flexible and Two-Tier Exchange Rate Regimes.Eastern Economic Journal,16,115-123.
15. Lai, C. C.,Chang, W. Y.(1987).Dynamic Stability under a Dual Exchange Rate Regime with Neutral Intervention Operations.Economics Letters,25,67-70.
16. Liaw, P. S.(2000).Dual Exchange Rate Regime with Neutral Intervention Operations, Intertemporal Policy Mix and Exchange Rate Dynamics.Taiwan Journal of Political Economy,3,95-129.
17. Muth, J.(1961).Rational Expectations and the Theory of Price Movements.Econometrica,29,315-335.
18. Niehans, J.(1977).Exchange Rate Dynamics with Stock/Flow Interaction.Journal of Political Economy,85,1245-1257.
19. Obstfeld, M.,Rogoff, K.(1986).Ruling out Divergent Speculative Bubbles.Journal of Monetary Economics,17,349-362.
20. Obstfeld, M.,Rogoff, K.(1984).Exchange Rate Dynamics with Sluggish Prices under Alternative Price-Adjustment Rules.International Economic Review,25,159-174.
21. van der Ploeg, F.(1989).Election Outcomes and the Stock Market.European Journal of Political Economy,5,21-30.
22. Willman, A.(1987).Speculative Attacks on the Currency with Uncertain Monetary Policy Reactions.Economics Letters,25,75-78.
23. Wilson, C. A.(1979).Anticipated Shocks and Exchange Rate Dynamics.Journal of Political Economy,87,639-647.
24. 李瑞苓(2002)。逢甲大學經濟學系。
25. 姚睿(1988)。國立臺灣大學經濟學研究所。
26. 張文雅、溫學華、賴景昌(1994)。83年度行政院國科會經濟學門專題研究成果發表會會議論文。台北:國科會。
27. 陳師孟、蔡雪芳(1988)。完全預期下之政策跨時搭配與匯率動態。經濟論文叢刊，16(1)，1-23。
28. 楊立均(2004)。東海大學經濟學研究所。
29. 溫學華(1993)。東吳大學經濟學研究所。
30. 賴景昌(2004)。總體經濟學。台北雙葉書廊。
31. 賴景昌、張文雅(1990)。預料到的干擾與錯向調整：幾何圖形的分析。人文及社會科學集刊，3(1)，107-123。

1. 廖培賢,曾生富(2018)。跨時政策搭配、Holmes－Smyth效果與股價的動態調整。東海管理評論，20(1)，1-49。
2. 廖培賢,陳海貞(2016)。總體經濟政策劑量宣告不確定與股價的動態調整－Holmes-Smyth效果的考量。東海管理評論，18(1)，99-152。
3. 廖培賢、陳睿廷(2013)。總體經濟政策宣告與股價動態調整─政策增量不確定情況下的分析。東海管理評論，15(1)，93-144。