政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/105617
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140887 (78%)
Visitors : 46285357      Online Users : 874
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/105617


    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:[Department of Economics] Theses

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2529View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback