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.

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。

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).