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通貨替代,公共支出與匯率的動態調整陳政郎, CHEN, ZHENG-LANG Unknown Date (has links)
自1973年以後,各主要工業國家紛紛改採浮動匯率,因此匯率的決定與調整便成
為國際金融領域裡,廣受注意的研究課題,而由實際資料得知:短期匯率變動常超過
長期均衡水準,故學者紛紛提出理論試圖解釋此一現象;而這些模型在探討此類問題
,除少數例外均甚少涉及通貨替代,然社會大眾為了交易,預防,投機動機,或多或
少都有保有通貨多元化的傾向,故吾人有必要研究在通貨替代下,匯率是如何進行調
整。
本文將建立一個雙元通貨-完全預期-浮動匯率的小國開放經濟模型,藉以研究不同
的政策(包含通貨膨脹與政府支出增加)對於國內物價。匯率以及外匯存量的衝擊效
果與長期影響,進而探討這些變數的動態調整路徑。在分析的過程中發現影響貨幣中
立與否的關鍵因素是通貨替代的程度,而此又與匯率的動態調整息息相關,如果貨幣
是中立,則短期間匯率有調整過度的現象;若貨幣非中立,則各種結果皆有可能,若
政府部門支出增加是花費在貿易財或非貿易財上,對於一匯率的影響,則須視兩種財
貨的生產替代彈性而定,本文的實際政策涵意為,一個被過度扭曲,致使幣值過份低
估(即匯率過分高估)的經濟體系,有必要擴大公共部門的支出,以糾正失此項偏失
。
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通貨替代,經濟成長與匯率動態王自青, WANG, ZI-GING Unknown Date (has links)
一般在討論通貨替代與匯率調整時,其所得的研究結果都能支持貨弊中立性。值得注
意的是,此些研究報告都假設經濟社會處於靜態,也就是所得水準處於充分就業,經
濟並未成長,但我們知道,於今日的經濟環境中,若尚假設產出水準固定,似乎不太
周延,尤其是如我國維持每年高成長的國家,正因為如,此而引發了我的研究動機。
事實上,即使所得未成長,貨幣中立性也未必能成立,因為在一通貨替代的模型裡,
貨幣中立與否其關鍵因素是通貨替代的程度。而當導入經濟成長時,貨幣中立性必然
不能成立,因為最適資本會因之而有所變動。
本論文之模型架構是以曹添旺老師所著的「通貨時代、通貨膨脹、匯率調整、與貨幣
中立性」一文中的模型為主,再融入新古典的貨幣成長模型。文中以經濟成長為骨幹
,探討-雙元貨幣的小型開放經濟中,貨幣成長率變動對模型的內在變數有何影響,
進而可比較其與於靜態社會中所得之結果又有何不同。在分析的過程中我們發現,當
經濟處於開放時,本國貨幣成長率增加,會使得每人最適資本下降,也就是使得每人
產出下降,此結果與於封閉社會中所得之結論背道而融。除此之外,其對實質匯率的
影響也與在靜態社會中所得之結果不同。
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管理浮動匯率與通貨替代張傳章, ZHANG, CHUAN-ZHANG Unknown Date (has links)
自一九七0年以來,通貨替代問題的研究已蔚成國際金融的一個新領域;它對於解釋
國外干擾隔絕問題與政策相對有效性問題,有著創造行的見解,但此等研究卻僅囿於
自游浮動匯率,且未考慮總體經濟的供給面,如此難免有遺珠之憾。
本文的模型為:納入總供給曲線的管理浮動匯率與通貨替代模型,研究的主題有二,
第一為外匯市場干預程度(│F’│)公開市場沖銷程度(θ)之不同與通貨替代彈
性(6)之大小對國外干擾隔絕的影響;第二為│F’│,θ之不同與6之大小,對
貨幣政策與財政政策有效性的影響。
全文共分三章,首章為導論,第二章為管理浮動匯率與通貨替代的總體模型,第三章
為結論。
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通貨替代與匯率的動態決定吳榮昌, Wu, Rong-Chang Unknown Date (has links)
一個小型開放體系受外生干擾後,短期中,其名目匯率之變動是否大於一般價格水準
之變動(此稱overshooting現象),一直是近代學者研究的課題。Dornbuch以各市場
回復均衡的調整速度不同;Calve, Rodriguez, Frenkel 等人以資產持有者之不同的
資產選擇行為,來分析此問題,而分別得到了不同的結論。
本文擬建立一個較具一般化的非貿易財模型,並引入通貨替代現象,來說明由於外生
干擾,在短期下,名目匯率之變動產生overshooting或unbershooting 之條件;長期
下實質匯率之決定,並分析匯率變動的動態調整過程。
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貨幣為生產要素之通貨替代模型蔡佩君 Unknown Date (has links)
本文為一採行浮動匯率的小型開放經濟體系,在完全預期的預期模式下,我們設立一代表性個人最適化的通貨替代模型。我們採用的模型是以Liviatan (1981)貨幣進入效用函數的模型為基礎,納入Fisher (1983)視實質貨幣為可節省如勞動、資本等其它生產要素的一種投入要素,而將實質貨幣直接引入生產函數之概念,設立一最適化模型。藉以分析當本國貨幣成長率增加時,對外國貨幣名目存量、本國貨幣實質餘額、實質匯率水準等經濟變數的長期均衡與動態調整行為所產生的影響。本文得到不同於Liviatan (1981)的結果,即長期實質匯率水準會上升,而短期實質匯率水準,則有調整不足、錯向跳動和調整過度等現象。
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壟斷性競爭市場下貨幣供給成長率對經濟體系影響之研究 / In the Monopolistic Competition Market, the Effect of Money Supply Growth Rate Expansion to the Economy林玫足, Lin, Mei Tzwu Unknown Date (has links)
在這篇論文中,我們應用Obstfeld and Rogoff (1994)兩國對稱和集權經濟的處理方式與Zou (1993)兩國不對稱的模型架構,討論在一個整合的封閉經濟體系以及二國體系下,將壟斷性競爭市場的特性放入其中,考慮貨幣供給成長率變動對總體變數如消費、產出、價格與實質貨幣餘額的影響效果,並利用需求彈性來比較與完全競爭市場差異之處,以了解分析壟斷性競爭市場的貢獻。在此我們得到商品型態的不同,及價格彈性的不同是構成生產者壟斷力的原因之一。此外,在比較靜態的分析上,我們探討貨幣供給成長率改變的效果,比完全競爭市場多了相對價格與產出兩個變數,同時也證明出貨幣超級中立性在壟斷性競爭市場中並不成立。
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通貨替代與匯率政策的成效 / Currency Substitution and the Effects of Exchange Policy孫鈺峰, Sun,Yu-Fong Unknown Date (has links)
本文研究目的有四:(1) 研究以本國通貨貶值率為政策工具的影響效果與相關的議題。(2) 探討由固定匯率到爬行釘住匯率再到浮動匯率崩潰的過程,並且分析有何關鍵因素,會影響匯率制度崩潰時間。(3) 討論匯率定錨政策失敗的原因,並提出以往文獻可能忽略的因素。(4) 分析通貨替代性是否會影響匯率政策的效果,甚至使匯率政策遭遇困難而失敗。為了達成研究目的,本文內容共分五章,除了第一章的緒論和第五章的總結外,其餘各章的內容為:
第二章延伸Calvo (1981) 的架構,加入Chen, Tsaur and Chou (1981)、曹添旺 (1987) 及張文雅、賴景昌和曹添旺 (1991) 的觀點,並仿照Liviatan (1891)、Engel (1989)、Calvo (1985) 的作法,設立一個具有通貨替代環境的小型開放經濟模型,探討本國通貨貶值率上升對經濟體系的影響。文中發現通貨之間若有較高 (較低) Edgeworth 替代關係,則本國通貨貶值率上升,經常帳會因此改善 (惡化)。本章亦針對通貨替代程度的不同,分析提升本國通貨貶值率政策對社會福利的影響效果,其中發現:不論是通貨替代程度大小,提升本國通貨貶值率政策對社會福利的影響均有兩種不同的情況,其中的一種是確定福利下降,另一種是不確定。
第三章仍然依據Chen, Tsaur and Chou (1981)、曹添旺 (1987) 及張文雅、賴景昌和曹添旺 (1991) 所強調通貨能提供流動性勞務,降低交易成本的功能,將本國通貨和外國通貨放入模型內,建立一個以交易功能為基礎的貨幣模型,探討由固定匯率崩潰到爬行釘住匯率,再由爬行釘住匯率崩潰到浮動匯率的過程,有何關鍵因素,會影響匯率制度崩潰時間。結果發現:(1) 不論是通貨替代、通貨互補或是通貨獨立的環境下,實際發生匯率制度崩潰的時間早於自然崩潰的時間。(2) 制度崩潰的時點由通貨替代或是通貨互補的程度決定,通貨替代性越是極端 (例如:完全互補或完全替代) 將使通貨危機越早發生,而通貨替代關係越低將使通貨危機發生時間延後。(3) 當固定匯率轉換到爬行釘住匯率時,所產生的外匯存底流失的額度將會是決定爬行釘住匯率制度是否能夠執行的關鍵。
第四章以代表性個人最適化模型的架構,加入Végh (1995) 主張外國通貨能提供流動性勞務,降低交易成本的觀點,建立一個具有通貨替代環境的交易成本貨幣成長模型,分析名目匯率定錨政策崩潰的過程與通貨替代程度的關連性,結果發現匯率定錨政策失敗的主因可能是名目匯率定錨政策違反經常帳跨期平衡所致。為了避免通貨危機提早發生,匯率政策須視通貨替代程度的高低作適當的調整。通貨替代程度較高時,貨幣當局應當在政策執行時,大幅的降低本國通貨貶值率,可使政策崩潰的時間延後;而通貨替代程度較低時,貨幣當局應當採用小幅度降低本國通貨貶值率,可拖延政策崩潰發生的時間。 / This paper has four purposes: (1) Research in the influence and relevant topics about adopting depreciation rate of the domestic currency as policy instrument. (2) Show the dynamics transition process from the fixed, to the crawling peg, and then to the flexible exchange rate regimes, and analyze the central factor about time of collapse of exchange rate regimes. (3) Research in the reason about the exchange-rate-based stabilization program fails, and it may be ignored by the existing literature. (4) Analyze the influence of the currency substitutability affects the effect of exchange rate policy, even to cause difficulty and failure. In order to achieve the research purposes, the content of this paper divides into five chapters, except that chapter 1 is the introduction and chapter 5 is conclusion; the rest is organized as follows:
In chapter 2, this paper expands Calvo (1981) model, combining the spirit of Chen, Tsaur and Chou (1981), Tsaur (1987), Chang, Lai and Tsaur (1991) and the approach of Liviatan (1891), Engel (1989), Calvo (1985), we set up the framework for small open economy with currency substitution environments to explore the policy effects of a rise in the rate of devaluation domestic currency on economy. We find that if two currencies are higher (lower) degree of Edgeworth substitution, then a rise in the rate of devaluation domestic currency induced a current account surplus (deficit) on the transition path. This chapter also aims at the currency substitution degree the difference, the analysis about a rise in the rate of devaluation domestic currency to the social welfare influence effect. We show that no matter is the currency substitution degree size, a rise in the rate of devaluation domestic currency to have two kind of different situations to the social welfare influence, one is the definite welfare drops; another is an ambiguous.
In chapters 3, we investigate the relationship between the collapse timing of exchange rate regime and degree of substitutability of foreign currency for domestic currency as a medium of exchange. According to the spirit of Chen, Tsaur and Chou (1981), Tsaur (1987), Chang, Lai and Tsaur (1991), we set up a transaction-based monetary model in which money provides liquidity services to reduce transaction costs, domestic and foreign currencies are introduced into the system. The results of study show (1) no matter what degree of substitutability of foreign currency for domestic currency, the collapse timing of the exchange rate regime is earlier than the natural collapse timing, and (2) the collapse timing depends on the degree of currency substitution or complement. We find that the extreme degree of substitutability of currencies led to earlier currency crisis; however, moderate degree of substitutability of currencies prolong currency crisis. We also explore the dynamic transition process from the fixed to the crawling peg, and then to the flexible exchange rate regimes. We find that the extent of the decrease in foreign exchange reserves is the key whether the fixed exchange rate is able to transform into the crawling peg exchange rate regime.
In chapter 4, we investigate the relationship between the failures of exchange-rate-based stabilization program and degree of foreign currency substitutability. According to Végh (1995), we set up a transaction-based monetary model with currency substitution in which foreign currencies provides liquidity services to reduce transaction costs. The reason of failure on exchange-rate-based stabilization program is that it violates intertemporal current account balance constraint. In order to prolong the time of the currency crisis occurs, the exchange-rate-based stabilization program must regard the degree of currency substitution. When the degree of currency substitution is high, the monetary authority must reduce the rate of devaluation domestic currency largely, and when the degree of currency substitution is low, the monetary authority must narrow scale to reduce the rate of devaluation domestic currency, and prolong time of policy collapse occurrence.
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台灣通貨替代的實證研究 / Currency Substitution in Taiwan邱琇玲, Chiu, Hsiu Ling Unknown Date (has links)
自從1973年主要工業國家紛紛放棄可調整固定匯率制度,改採浮動匯率以來,通貨替代的命題一直是許多國家注意的焦點。其主要的影響可分為下列二方面來說明:
1.通貨替代的存在,將引起匯率的大幅波動。
2.通貨替代的存在,將一國的貨幣干擾傳遞至其它國家,造成國際間各國貨幣政策有相依性,降低當局控制本國貨幣的自主性。
本文嘗試以資產組合相對報酬率之觀念,建立短期動態通貨替代實證模型,利用民國68年2月至民國83年12月之月資料,來探討台灣是否存在"通貨替代"的現象。得到下列的結論:
1.在整個樣本期間的估計結果,我們獲得解釋變數的係數符號與理論要求一致,且係數估計值顯著,而殘差項亦大致符合OLS基本假設中的規定。
2.從半彈性的估計值中,我們發現:M1A與美元的持有比例對實際匯率變動率之半彈性估計值,顯然比M1B與美元的持有比例對實際匯率變動率之半彈性估計值為大,這表示當匯率變動率發生變化時,人們較易改變其M1A與美元間的通貨組合。
由以上的結果,本文得到台灣的確存在"通貨替代"的現象。
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兩種通貨經濟體系下之通貨競爭 / Currency Competition in a Two-Currency Economy林淑芬, Sue-Fen Lin Unknown Date (has links)
Abstract
The controversy about the monetary regime of the EC between the Britain and the other member countries made economists to study currency competition and currency substitution widely.
This dissertation constructs a one-good, two-currency Brock model in discrete time. In the determinate model, we show the Gresham’s Law results as those in Weil’s. And we demonstrate the existence and uniqueness of a class of first-order Markov stationary sunspot equilibria. The existence of sunspot equilibria expresses another situation of currency competition that future situations may depend on the possibility of people’s expectations, not the growth rates of currencies and tries to provide another explain for the phenomena above.Britain and the other member countries made economists totudy currency competition and currency substitution widely .his dissertation constructs a one - good , two - currencyrock model in discrete time . In the determinate model , wehow the Gresham' s Law results as those in Weil's . And weemonstrate the existence and uniqueness of a class of firstorder Markov stationary sunpot equilibria . The existencef sunspot equilibria expresses another situation of currencyompetition that future situations may depend on the possibi-ity of people' s expectations , not the growth rates of cu -rencies and tries to provide another explain for the pheno -ena above .
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通貨競爭--不同時點下的貨幣理論模型之研究 / Currency competition - M.I.U. model under different timing basis楊建昌, Yang, Jian-Chung Unknown Date (has links)
本文基本上承襲 Weil(1991)的分析架構,以貨幣在效用函數模型(money-in-the utility model)來分析通貨替代的問題,也就是研究在一個整合的經濟體中,兩種通貨可替代時,高成長率通貨與低成長率通貨彼此競爭流通市場所可能產生的結果。本文改採不連續時間的模型,並引用 Fukuda(1997)的分析,分別以期末實質貨幣餘額及期初實質貨幣餘額放入效用函數中,比較其結果的差異。我們發現期初貨幣模型之各組恆定均衡解(steady state equilibrium)均可能出現多重收斂路徑,如此一來,Weil(1991)所提出的「劣幣逐良幣」現象未必會成為通貨競爭的必然結果。
除此之外,我們以兩個特定的效用函數為例(log-linear, CRRA),以求進一步了解 Weil(1991)結論的模型適應性(robustness)。我們發現在線性對數效用函數的推導下,期初、期末貨幣模型所得到的結果並沒有明顯的分別,但 CRRA 模型的結果則顯示,期初貨幣模型的結論不同於 Weil(1991)。 / The study issues and analytical framework of this thesis follow Weil(1991). We apply the money-in-the-utility model (M.I.U. model) to analyze several issues in currency substitution. We want to investigate the monetary equilibria and their stability when there are two substitutable currencies in an integrated economy. Specifically, we want to know whether the faster growing currency will drive the slower growing ones out of the market, or vise versa. Unlike Weil(1991), we base our model on a discrete-time basis Following the study of Fukuda(1997), we use two different approaches to put the real money balances in the utility function. One is "end-of-the-period" M.I.U. model, and the other is "beginning-of-the-period" M.I.U. model. We make the comparison of the result of the two alternative approaches. Furthermore, we contrast our outcomes against those of Weil(1991).
Besides the analysis based upon the general utility form, we also provide analysis of two specific utility functions. Except for the log-linear utility function, we find that there are significant differences between the two alternatives timing framework. The "beginning-of-the-period" M.I.U. model shows that "Gresham's Law" would not necessarily be the inevitable outcome of the economy with two perfectly substitutable currencies. Thus, it limits the validity of the conclusion of Weil(1991).
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