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題名：新開放總體經濟下的市場運行不對稱性與匯率動態調整
書刊名：亞太經濟管理評論
作者：賴宗福 引用關係
出版日期：2011
卷期：14:2
頁次：頁31-54
主題關鍵詞：市場訂價不對稱性；外匯干預不對稱性；匯率動態；匯率轉嫁；新開放總體經濟學；Asymmetric pricing-to-market；Asymmetric foreign exchange intervention；Exchange rate dynamics；Exchange rate pass-through；New Open Economy Macroeconomics
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:11
  • 點閱點閱:33
本文嘗試將現實經濟體系中普遍存在的兩種不對稱現象納入新開放總體經濟學(New Open Economy Macroeconomics; NOEM)的架構中，修正並擴展Betts and Devereux (1996; 2000)的對稱性模型設定，分別探究生產面及政府行為面的不對稱設定對匯率動態的影響，不同於傳統Dornbusch (1976)以及Da Silva (2001)文獻強調利率在匯率過度調整過程中所扮演的角色，本文透過理論推演，進一步發現即使利率傳遞管道不存在，只要兩國市場訂價或央行對外匯市場的干預行為具有不對稱性，且貨幣需求的消費彈性小於或等於1，匯率就會出現過度調整的現象。另外，短期匯率波動程度與兩國市場訂價(pricing-to-market; PTM)比例有關，隨著本國市場訂價比例愈高，外國市場訂價比例愈低，匯率波動程度就愈大，而且會比對稱性市場訂價情形來的大。
This paper attempts to incorporate two common kinds of asymmetric phenomenon in the reality into the New Open Economy Macroeconomics model, and to investigate how two types of asymmetric settings on production side and government behavior side affect the exchange rate dynamics by revised and extended symmetric model of Betts and Devereux (1996; 2000). Instead of emphasizing interest rates play an important role on the dynamics of exchange rates in existing traditional literature (e.g., Dornbusch, 1976; Da Silva, 2001), this paper found that as long as the existence of asymmetry in pricing-to-market and central bank foreign exchange intervention behavior, as well as the consumption elasticity of money demand is less than or equal to one, then the exchange rate will generate overshooting behavior with the monetary shocks, even if the channel of interest rates doesn't exist. Moreover, the exchange rate volatility in the short-run is dependent on the percentages of domestic and foreign pricing-to-market (PTM) firms, if the percentage of domestic PTM firms is higher than that of foreign PTM firms, exchange rate volatility will higher than the symmetric PTM case.
期刊論文
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8.賴宗福(20110300)。市場取價不對稱性與匯率行為。多國籍企業管理評論，5(1)，72-90。new window  延伸查詢new window
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21.Menon, J.(1995)。Exchange Rate Pass-Through。Journal of Economic Surveys，9，197-231。  new window
22.Dornbusch, R.(1987)。Exchange Rates and Prices。The American Economic Review，77，93-106。  new window
23.張雅君、Taylor, S. J.(1998)。Intraday effects of foreign exchange intervention by the Bank of Japan。Journal of International Money and Finance，17，191-210。  new window
24.Feenstra, R. C.、Gagnon, J. E.、Knetter, M. M.(1996)。Market Share and Exchange Rate Pass-through in World Automobile Trade。Journal of International Economics，40，187-207。  new window
25.Gagnon, J. E.、Knetter, M.(1995)。Markup Adjust and Exchange Rate Fluctuations: Evidence from Panel Data on Automobile Exports。Journal of International Money and Finance，14，289-310。  new window
26.Tange, T.(1997)。Exchange Rates and Export Prices of Japanese Manufacturing。Journal of Policy Modeling，19(2)，195-206。  new window
27.Obstfeld, M.、Rogoff, K.(1995)。Exchange Rate Dynamics Redux。Journal of Political Economy，103，624-660。  new window
28.Liviatan, N.、Livitan, N.(1981)。Monetary Expansion and Real Exchange Rate Dynamics。Journal of Political Economy，89，1218-1227。  new window
29.Park, Woo Soon(1987)。Crawling Peg, Inflation Hedges and Exchange Rate Dynamics。Journal of International Economics，23，131-150。  new window
30.Knetter, Michael M.(1993)。International Comparisons of Pricing-to-market Behavior。The American Economic Review，83(3)，473-486。  new window
31.Calvo, Guillermo A.(1983)。Staggered Prices in a Utility-maximizing Framework。Journal of Monetary Economics，12(3)，383-398。  new window
32.Beine, Michel、Laurent, Sebastien、Lecourt, Christelle(2003)。Official Central Bank Interventions and Exchange Rate Volatility: Evidence from a Regime-switching Analysis。European Economic Review，47(5)，891-911。  new window
33.Devereux, Michael B.、Engel, Charles、Storgaard, Peter E.(2004)。Endogenous Exchange Rate Pass-through when Nominal Prices Are Set in Advance。Journal of International Economics，63(2)，263-291。  new window
34.Devereux, M.、Engel, C.(2003)。Monetary Policy in the Open Economy Revisited: Price Setting and Exchange Rate Flexibility。Review of Economic Studies，70，765-783。  new window
35.Roper, D.、Turnovsky, S. J.(1980)。Optimal Exchange Market Intervention in a Simple Stochastic Macro Model。Canadian Journal of Economics，13(2)，296-309。  new window
36.Betts, C.、Devereux, M. B.(2000)。Exchange Rate Dynamics in a Model of Pricing-to-Market。Journal of International Economics，50，215-244。  new window
37.Zhang, Y.(2006)。The Household Preference Structure and Pricing-to-Market in the New Open Economy Macroeconomics Models。International Review of Economics and Finance，15，505-524。  new window
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39.Chen, C. N.、Tsaur, T. W.(1983)。Currency Substitution and Foreign Inflation。Quarterly Journal of Economics，98，177-184。  new window
40.Devereux, M.、Shi, K.、Xu, J.(2007)。Global monetary policy under a dollar standard。Journal of International Economics，71(1)，113-132。  new window
41.Landry, Anthony(2009)。Expectations and Exchange Rate Dynamics: A State-Dependent Pricing Approach。Journal of International Economics，78(1)，60-71。  new window
42.Branson, W. H.(1977)。Asset market and relative prices in exchange rate determination。Sozialwwissenschaftliche Annalen，1，69-89。  new window
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46.Shi, K.、Xu, J.(2010)。Intermediate goods trade and exchange rate pass- through。Journal of Macroeconomics，32，571-583。  new window
47.Kim, Y.(1990)。Exchange rate and import prices in the United States: a varying-parameter estimation of exchange rate pass-through。Journal of Business and Economic Statistics，8，305-315。  new window
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49.Mathieson, D. J.(1977)。The impact of monetary and fiscal policy under flexible exchange rates and alternative expectations structures。IMF Staff Papers，24，535-568。  new window
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圖書
1.Arndt, S. W.、Richardson, J. D.(1987)。Real-Financial Linkages among Open Economies。Cambridge, MA：MIT Press。  new window
2.Duarte, M.、Rogoff, M.(2007)。Monetary Policy in the Open Economy Revisited: The Case for Exchange-Rate Flexibility Restored。Berkeley：Mimeo, Federal Reserve Bank of Richmond and University of California。  new window
其他
1.Da Silva, S.(2001)。Overshooting and Foreign Exchange Intervention in the Redux Model，http://www.angelfire.com/id/SergioDaSilva/ofredux.pdf。  new window
2.Devereu, M.，Engel C.(1998)。NBER Working Paper。  new window
3.Kollman, R.(1997)。IMF Working Paper。  new window
4.Obstfel, M.(2006)。NBER Working Paper, No. 12699。  new window
5.Pontines, V.，Rajan, S. R.(2008)。‘Fear of Appreciation’ not ‘Fear of Floating’? Foreign Exchange Market Intervention in Emerging Asia，http://www.apeaweb.org/confer/bei08/papers/pontines-rajan.pdf。  new window
 
 
 
 
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