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    Title: 不同匯率轉嫁程度下,外匯管理政策之總體經濟效果
    Macroeconomic effects of foreign exchange policies under alternative exchange rate pass-through
    Authors: 陳建勳
    Chen, Chien-Hsum
    Contributors: 黃俞寧
    Hwang, Yu-Ning
    陳建勳
    Chen, Chien-Hsum
    Keywords: 國際金融
    匯率轉嫁
    匯率制度
    International finance
    Exchange rate pass-through
    Foreign exchange policies
    Date: 2016
    Issue Date: 2017-01-04 12:03:39 (UTC+8)
    Abstract: 近年來,由於國際化的開展,國際貿易愈來愈普及,匯率因此扮演一個重要的角色。貶值固然可以提高一國的出口競爭力,卻可能造成通貨膨脹而不利本國消費,激烈的匯率波動更會造成兩國間貿易的不確定性。因此,各國中央銀行為了穩定外匯市場及商品市場,並為了追求低而穩定的通貨膨脹率而干預匯率波動。依據Devereux and Engle (2003),跨國廠商在訂貿易財價格時可採生產者貨幣訂價法(producer-currency pricing, PCP)或當地貨幣訂價法(local-currency pricing, LCP),在此兩種訂價方式下,匯率的轉嫁程度會有所不同,此亦可能會改變貨幣政策的總體經濟效果。
    本文在一小型開放的動態隨機一般均衡模型(DSGE)下,加入央行的資產負債表與貨幣政策法則,探討當外生衝擊發生時,在不同的匯率轉嫁程度下,央行採取彈性匯率或管理浮動匯率對總體經濟變數產生的影響。
    With the development of the global economy, the international trade has become more common. When the country trades with other countries, exchange rate plays an important role. The currency depreciation may generate the current account surplus, but may lead to higher inflation and hurt the domestic consumption. Drastic exchange rate fluctuations may result in the uncertainty in trades. As the result, central banks may intervene in the foreign exchange market to stabilize exchange rate movements. Devereux and Engle (2003) build up the two-country DSGE model to examine macroeconomic effects of monetary policy under different degree of exchange rate pass-through. They consider two cases: producer-currency-pricing (PCP) where the exchange rate pass-through is complete and expenditure-switching effect exists, and local-currency-pricing (LCP) where the exchange rate pass-through is incomplete and there is no expenditure-switching effect.
    In the paper, we follow the small-open-economy DSGE model in Kollmann (2002) by including the balance sheet and alternative monetary policy rules of the monetary policy to examine the different macroeconomic effects under different degrees of exchange rate pass-through.
    Reference: References
    黃俞寧,2013,動態隨機一般均衡架構在臺灣貨幣政策制定上之應用,中央銀行季刊35,3-34
    Betts, C. and Devereux, M.B. (2000), “Exchange rate dynamics in a model of pricing-to-market,” Journal of International Economics, 50, 215-244
    Betts, C. and Devereux, M.B. (2001), “The International Effects of Monetary and Fiscal Policy in a Two-Country Model,” Money, Capital Mobility, and Trade: Essays in honor of Robert A. Mundell, 9-52
    Calvo, G.,1983. “Staggered prices in a utility maximizing framework,” journal of Monetary Economics 12,383-398
    Devereux, M.B. and C. Engel (2003), “Monetary Policy in the Open Economy Revisited: Price Setting and Exchange Rate Flexibility,” Review of Economic Studies,70,765-783.
    Devereux, M.B. ,Shi, K. and Xu, J (2007), “Global Monetary Policy under a Dollar Standard,” Journal of International Economics, v.71, iss.1, 113-132
    Guillermo J.E. (2012), “A DSGE model for a SOE with Systematic Interest and Foreign Exchange policies in which policymakers exploit the risk premium for stabilization pruposes”
    Hwang Y. (2015), “Welfare Implications of Policy Responses to Foreign Monetary Expansion: Quantitative Assessment with a Dynamic Stochastic General Equilibrium Model”
    Kollmann,R. (2002), “Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles,” Journal of Monetary Economics, 49(5), 989-1015.
    Krugman, P.R.(1979), “A Model of Balance-of-Payments Crises,” Journal of Money, Credit, and Banking 11:311-325.
    Krugman, P.R.(1996), “Are Currency Crises Self-Fulfilling?” NBER Macroeconomics Annual. MA Cambridge: MIT Press.
    Lopez-Salido, D.,(2000), “Work in progress, Bank of Spain”
    Mundell, R.A. (1968), “International Economics,” Macmillan, New York.
    Obstfeld, M. and Rogoff, K.(1995), “Exchange Rate Dynamics Redux,” Journal of Political Economy, v.103, no.3, 624-660
    Obstfeld, M. (2006), “Pricing-To-Market, the interest rate rule and the exchange rate,”
    Sutherland, A. (2005), “The Expenditure Switching Effect, Welfare and Monetary Policy in a small Open Economy, ”Journal of Economic Dynamics and Control, 30(7), 1159-1182.
    Teo,W.L. (2009), “Can exchange rate rules be better than interest rate rules?,” Japan and the World Economy, v.21, iss.3, 301-311.
    Description: 碩士
    國立政治大學
    經濟學系
    103258022
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103258022
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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