The exchange rate target zone has been paid much attention in the early 1990 initially by Krugman (1991).It expressed when exchange rate surpasses the band of exchange rate that implicitly or explicitly determined by the central bank, the central Bank will intervene the foreign exchange by buying or selling foreign exchange to ensure the exchange rate staying inside the band, otherwise, the exchange rate will be allowed to fluctuate inside the band freely.According to Krugman (1991), when economic system faces random disturbances, the exchange rate target zone regime is helpful to narrow down the exchange rate volatility contrast to that in the floating exchange rate regime. That is, the exchange rate target zone has more essential stability,which is called ``honeymoon effect". In recent decade, Krugman's exchange rate target zone model has been tested empirically.In this thesis, the smooth transition autoregression with target zone (STARTZ) proposed originally by Lundbergh and Ter"{a}svirta (2006) and logistic smooth transition regression with two thresholds (LSTR2) are used to make comparisons for in-sample fitness and out-of-sample forcastability.Furthermore, we also test two important assumptions of the exchange rate target zone model: the credibility assumption and marginal interventions. The data are constructed with 755 daily spot exchange rates, denominated in Eurpean Currency Unit (ECU), from January 14, 1987 to December 29, 1989, in German, France, and Italy.We split the sample into in-sample (570 observations), and out-of-sample (185 observations), and make use of STARTZ-GARCH and LSTR2-STGARCH to fit the in-sample regimes, and apply Rapach and Wohard (2006)'s Bootstapping to generate the out-of-sample forecasts. Finally,we make use of Diebold and Mariano (1995)'s predictive accuracy tests to compare the out-of-sample forecastability between STARTZ and LSTR2 models.According to the empirical results, we can find that LSTR2 model has not bad performance in fitting the in-sample and forecasting the out-of-sample data compared to STARTZ model.

本文係以Sutherland (1995)的模型為基礎，放寬資本完全移動的特殊假定，引進總合供給面的隨機性干擾，據以探討名目工資僵固、實質工資僵固及充分就業三種情況下，當經濟體系遭逢來自於貨幣需求面、商品需求面乃至於總合供給面外生隨機性干擾的衝擊之際，以本國物價水準穩定為政策目標的央行，於採行物價目標區政策後，對各總體變數的穩定效果為何。 由本文的討論中，我們可以獲得以下幾點結論： 1、於名目工資僵固的情況下，當經濟體系所面臨的隨機性干擾來自於貨幣需求面或商品需求面，則產出與物價二者間呈現完全正相關；當經濟體系所面臨的隨機性干擾來自於總合供給面，則產出與物價呈現負相關。 2、就Keynes學派的說法，若名目工資不再具有僵固性，而可隨著物價自由調整(即實質工資僵固)，則總合供給曲線會呈一垂直線，產出固定在一水準下。此時產出雖未達充分就業下的產出水準，但其所分析出的結果卻會與充分就業下所分析出的結果相一致。 3、在實質工資僵固或是經濟體系已達充分就業的情況下，產出僅為外生隨機干擾項的線性函數。因而，央行在採行物價目標區後，並不需要以產出的減少作為代價，亦即物價與產出間不再具有抵換關係。 4、當經濟體系面臨來自貨幣需求面的隨機性干擾時，在名目工資僵固的情況下，物價、產出及匯率皆具有蜜月效果，而利率不具有蜜月效果；在實質工資僵固及充分就業的情況下，物價及匯率具有蜜月效果，而利率亦不具有蜜月效果。 5、當經濟體系面臨來自商品需求面的隨機性干擾時，在名目工資僵固的情況下，物價、產出及利率皆具有蜜月效果，而匯率不具有蜜月效果；在實質工資僵固的情況下，物價具有蜜月效果，而物價所減少的變異，則由匯率或利率所吸收(意指若匯率有蜜月效果，則利率即不具有蜜月效果；或反之)；在充分就業的情況下，物價及利率具有蜜月效果，而匯率不具有蜜月效果。 6、當經濟體系面臨來自總合供給面的隨機性干擾時，在名目工資僵固的情況下，僅物價具有蜜月效果，產出不具有蜜月效果，而匯率及利率是否具有蜜月效果則視資本移動程度大小而定，當資本移動程度愈大時，匯率及利率愈不易具有蜜月效果；在實質工資僵固及充分就業的情況下，所得到的結論與名目工資僵固的情況下相一致，只是減少了對產出水準的探討。

本文藉由圖形分析法來探討在新興古典學派、凱因斯學派、實質景氣循環學派以及古典學派四種不同總體隨機模型的觀點下，當經濟體系面臨總合供給面與總合需求面外生衝擊時，貨幣當局是否能藉由物價目標區政策的實施，達成穩定經濟體系的目標？另外，也透過數學分析法引入隨機過程轉換的技巧，採用Itô’s Lemma來求解模型中的預期變數，得到各內生變數之一般解（General Solution）。由於所得之物價、產出與利率方程式中皆包含複雜的雙曲線三角函數（Hyperbolic Function）之非線性項，無法直接從方程式中明顯看出各內生變數在目標區內的走勢，所以我們進行數值模擬，藉由明確的數值變化來為我們的分析作驗證。

This thesis consists of four papers, of which paper 1 and 4 are co-written with Mikael Bask. Paper [1] implements chartists trading in a sticky-price monetary model for determining the exchange rate. It is demonstrated that chartists cause the exchange rate to "overshoot the overshooting equilibrium" of a sticky-price monetary model. Chartists base their trading on a short-long moving average. The importance of technical trading depends inversely on the time horizon in currency trade. The exchange rate's perfect foresight path near long-run equilibrium is derived and it is demonstrated that the shorter the time horizon, the greater the exchange rate overshooting. The aim of Paper [2] is to see how the dynamics of the basic target zone model changes when chartists and fundamentalists are introduced. Chartists use technical trading and the relative importance of technical and fundamental analyses depend on the time horizon in currency trade. The model also includes realignment expectations, which increase with the weight of chartists. The introduction of chartists may significantly reduce and reverse, the so-called "honeymoon effect" of a fully credible target zone. Further, chartists may cause the correlation between the exchange rate and the instantaneous interest rate differential to become either positive or negative. Using a chartist-fundamentalist set-up, Paper [3] derives the effects on the current exchange rate of central bank intervention. Fundamentalists have rational expectations and chartists use so called support and resistance levels in their trading. This technique results in chartists having both bandwagon expectations and regressive expectations. Chartists may enhance or suppress the effect of intervention depending on their expectations. The results indicate that a chartist channel exists. The aim of Paper [4] is threefold; (i) to investigate if there is a unique rational expectations equilibrium (REE) in a new Keynesian macroeconomic model augmented with technical trading, (ii), to investigate if the unique REE is adaptively learnable and, (iii), to investigate if this unique and adaptively learnable REE is desirable in an inflation rate targeting regime. The monetary authority is using a Taylor rule when setting the interest rate. A main conclusion is that a robust Taylor rule implies that the monetary authority should increase (decrease) the interest rate when the CPI inflation rate increases (decreases) and when the currency gets stronger (weaker).

There are much economic and financial data which are restricted by some bounds, such as expenditure shares, unemployment, norminal interest rate, or target zone exchange rate. How to interpret and analyze time series whose behaviors can be well approximated by means of integrated processes, I(1), but are ¡§limited¡¨ in the sense that their range is constrained by fixed bounded is what this thesis develops. One method to analyze bounded variable of this paper is ¡§The Bounded Unit Root¡¨ which provided by Cavaliere (2005), and the other is using Gibbs sampling simulation and trying to recover the part of hidden variables. We would examin some empirical problems that has often been tackled in the literature and we give three time series which include Danish kron/Deutshe mark, Belgium Franc/ Deutshe mark, and Japan 1 mouth interbank interest rate for examples. We conclude that these three time series data are I(0) in classical unit root test framework, but are all I(1) in The Bounded Unit Root test framework. And the results of Gibbs sampling simulation are that Danish kron/Deutshe mark and Belgium Franc/ Deutshe mark are I(0), but Japan 1 mouth interbank interest rate is I(1).

這篇論文主要探討的是現任央行總裁彭淮南上任後，央行對於匯率管理上的政策行為。 我們觀察從19991年到2009年這段期間的名目有效匯率發現，雖然匯率波動於一個區間之內， 但名目有效匯率在大部份的期間都是被低估的，尤其是近幾年來更是相當的偏低。 所以我們懷疑臺灣央行所管制的匯率目標區他們較希望能維持新臺幣在被低估的水準，當新臺幣匯率受到高估時，央行則希望能將其下修。 為了探討這個情況，我們透過Krugman(1991)所發表的匯率目標區模型來試著得到新臺幣的最適匯率行為。又因為臺灣的特殊經濟背景， 我們融合了Chen，Funke和Glanemann(2009)的寬鬆邊界匯率目標區模型和Torres(2000)的隨機邊界內的央行干預模式來修正傳統的Krugman模型。 然而，傳統的Krugman模型我們得到最重要的結論是，當匯率越接近上下邊界時會有越強烈的蜜月效果，也就是說匯率的波動越平緩。 但是當我們融入上面兩種修正在配合新臺幣的名目有效匯率實際資料時，我們發現蜜月效果僅僅存在於下界，就算是央行所保護的區間有變動時， 在下界還是相對於上界穩定相當多。這就是因為在下界存在著強烈的蜜月效果，所以匯率在越接近下界時會越穩定，甚至有很大機率維持在下界附近。 這個結論跟我們觀察實際資料所發現的現象是相當符合的，所以能夠解釋為什麼新臺幣的名目有效匯率會總是被低估。 / This paper discusses the policy rule used by Central Bank of the Republic of China(Taiwan) with target zone to the exchange rate dynamics. We focus on the recent phenomena on the exchange rate of NTD, and try to figure why the NEER of NTD is always underestimated. Due to the regime of Central Bank of the Republic of China(Taiwan), we combine two extensions into the basic Krugman(1991) target zone model which are Chen, Funke and Glanemann's soft edge target zone model(2009) and Torres's stochastic intra-marginal intervention pattern. And we estimate the parameters with simulated method of moments(SMM). By this two extensions, we conclude that there is strong honeymoon eect to the exchange rates at the lower bound, but the honeymoon eect is very weak at the upper bound. This conclusion is matched with the empirical data, and explains why the NEER of NTD is always underestimated.

This paper studies the endogenous evolution of investment behaviour under the various macroeconomic circumstances, which might be relatively constructed by free-float, fixed and target zone regimes as the economic stability policy. It applies the issues of stock price target zone policy to a simultaneous stochastic differential equation system. We construct the stochastic macro model which utilized the basic conception of Dornbusch [1976] with the different price adjustment mechanism. In addition, we intend to apply the topological method which used by Miller and Weller [1991] to analyze the general economic property from the non-recursive model. The main purpose of this paper is to discuss how the public’s expectation affects the dynamic loci of commodity and stock price when the public agents have the perfect or imperfect credibility. We utilize this model to investigate whether stock price target zone regime will have honeymoon effect or not, when the government announce to execute the stock price target zone policy in the various situations. Moreover, we discuss whether stock price target zone can simultaneously stabilize other variables in the different situations.

本文主要嘗試引進泡沫於匯率目標區中，藉由調整政府政策來避免含泡沫 之匯率路徑，不符合匯率目標區之限制。最後分別比較匯率目標區與浮動 匯率兩制度的匯率變異性。