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    Title: 通貨替代與匯率政策的成效
    Currency Substitution and the Effects of Exchange Policy
    Authors: 孫鈺峰
    Sun,Yu-Fong
    Contributors: 曹添旺
    Tsaur,Tien-Wang
    孫鈺峰
    Sun,Yu-Fong
    Keywords: 通貨替代
    匯率基礎穩定政策
    名目匯率定錨
    通貨危機
    Currency Substitution
    Exchange-rate-based stabilization program
    Nominal exchange rate anchor
    currency crises
    Date: 2006
    Issue Date: 2009-09-18 16:02:36 (UTC+8)
    Abstract: 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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