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題名：最適即期匯率目標區與物價目標區的決定--即期匯率與股價雙預期經濟變數的考量
書刊名：經濟論文叢刊
作者：廖培賢 引用關係
作者(外文)：Liaw, Peir-shyan
出版日期：2018
卷期：46:2
頁次：頁235-295
主題關鍵詞：目標區；蜜月效果；即期匯率預期變動效果；貨幣需求的股利彈性；股價預期變動效果；Target zone；Honeymoon effect；The stock dividend elasticity of money demand；The effect of spot foreign exchange rate expectation shift；The effect of stock price expectation shift
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(2) 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:30
  • 點閱點閱:18
本文目的是結合Eaton and Turnovsky (1982), Eaton and Turnovsky (1984)與Blanchard (1981)，建構一個可以詮釋即期外匯市場、遠期外匯市場與股票市場互動關係的開放總體經濟模型。本文分析一旦貨幣當局同時宣佈實施「即期匯率目標區」與「物價目標區」政策,各種資產市場的干擾是否對相關總體經濟變數具有安定效果,以及如何選擇最適「即期匯率目標區」與「物價目標區」區間。本文的結論顯示：(A) (i)「貨幣需求的股利彈性」大於抑或小於1, (ii)「即期匯率預期變動效果」與「股價預期變動效果」的相對大小這兩項因子在決定對相關總體經濟變數具有安定的效果上扮演了舉足輕重的角色；(B) (i)「貨幣當局相對較為重視即期匯率抑或本國物價的波動」，(ii)「即期匯率預期變動效果」與「股價預期變動效果」的相對大小這兩項因素在判定最適「即期匯率目標區」與「物價目標區」區間的決定上也占了關鍵樞紐的角色。
This paper constructs a stochastic open macroeconomic model based on Eaton and Turnovsky (1982) and Eaton and Turnovsky (1984), and the Blanchard (1981) stock price dynamic adjustment model. We examine what will be the effect of alternative asset market exogenous disturbances on the possible honeymoon effect of relevant macroeconomic variables if the monetary authority synchronously executes a spot exchange rate and price target zone policy? Additionally, we analyze how the monetary authority chooses the optimal spot exchange rate and price target zone band? The major findings are: (1) the stock dividend elasticity of money demand and the size of the effect of a spot foreign exchange rate expectation shift relative to the effect of a stock price expectation shift are the two key factors determining the relevant macroeconomic variables exhibiting the honeymoon effect, (2) (a) the relative importance the monetary authority attaches to the fluctuations in the spot foreign exchange rate and the domestic price output level, (b) the relative size of the effect of a spot foreign exchange rate expectation shift and the effect of a stock price expectation shift are the two key factors to determine how the monetary authority chooses the optimal spot exchange rate and price target zone band.
期刊論文
1.廖培賢(20120100)。即期匯率目標區下的蜜月效果分析--即期匯率與股價雙預期變數的考量。經濟研究，48(1)，81-138。new window  延伸查詢new window
2.黃秋瓊、胡士文(20080600)。匯率目標區和股價之穩定。交大管理學報，28(1)，169-203。new window  延伸查詢new window
3.Aydemir, Oguzhan、Demirhan, Erdal(2009)。The Relationship between Stock Prices and Exchange Rates Evidence from Turkey。International Research Journal of Finance and Economics，23，207-215。  new window
4.Sutherland, Alan(1995)。Monetary and Real Shocks and the Optimal Target Zone。European Economic Review，39(1)，161-172。  new window
5.Svensson, Lars E. O.(1999)。Price Level Targeting versus Inflation Targeting: A Free Lunch?。Journal of Money, Credit and Banking，31，277-295。  new window
6.Doong, Shuh-Chyi、Yang, Sheng-Yung、Wang, Alan T.(2005)。The dynamic relationship and pricing of stocks and exchange rates: empirical evidence from Asian emerging markets。Journal of American Academy of Business，7，118-123。  new window
7.Siklos, Pierre L.(1999)。Inflation-Targeting Design: Changing Inflation Performance and Persistence in Industrial Countries。Federal Reserve Bank of St. Louis Review，81，47-58。  new window
8.方中柔、賴景昌(2002)。Targeting Nominal Income versus Targeting Price Level: A Target Zone Perspective。International Review of Economics and Finance，11(3)，229-249。  new window
9.Gilchrist, Simon、Leahy, John V.(2002)。Monetary policy and asset prices。Journal of Monetary Economics，49(1)，75-97。  new window
10.Bernanke, Ben S.、Mishkin, Frederic S.(1997)。Inflation Targeting: A New Framework for Monetary Policy?。The Journal of Economic Perspectives，11(2)，97-116。  new window
11.Bernanke, Ben S.、Gertler, Mark L.(2001)。Should Central Banks respond to movements in asset prices?。American Economic Review，91(2)，253-257。  new window
12.Ajayi, Richard A.、Mougouė, Mbodja(1996)。On the Dynamic Relation Between Stock Prices and Exchange Rates。Journal of Financial Research，19(2)，193-207。  new window
13.Kenen, Peter B.(1985)。Forward Rates, Interest Rates, and Expectations Under Alternative Exchange Rate Regimes。Economic Record，61(3)，654-666。  new window
14.Holmes, Mark J.(2001)。Some New Evidence on Exchange Rates, Capital Controls and European Union Financial Integration。International Review of Economics and Finance，10，135-146。  new window
15.呂麗蓉、戴孟宜、胡士文、廖培賢(20080600)。農產品市場干擾與最適農產品價格目標區。農業與經濟，40，1-44。new window  延伸查詢new window
16.Abeysekera, Sarath P.、Turtle, Harry J.(1995)。Long-Run Relations in Exchange Markets: A Test of Covered Interests Parity。Journal of Financial Research，18，431-447。  new window
17.Kamin, Steven B.、Klau, Marc(2003)。A Multi-country Comparison of the Linkages between Inflation and Exchange Rates。International Journal of Finance and Economics，8，167-184。  new window
18.Lai, Ching-Chong、Chang, Juin-Jen、Fang, Chung-Rou(2011)。Is the Honeymoon Effects Valid in the Presence of Both Exchange Rate and Output Expectations? A Graphical Analysis。International Review of Economics and Finance，21，140-146。  new window
19.朱美麗、曹添旺(19870900)。產出水準、股票市場與滙率動態調整。經濟論文，15(2)，45-59。new window  延伸查詢new window
20.Taylor, John B.(1993)。Discretion versus Policy Rules in Practice。Carnegie-Rochester Conference Series on Public Policy，39，195-214。  new window
21.Blanchard, Olivier J.(1981)。Output, the Stock Market, and Interest Rates。American Economic Review，71(1)，132-143。  new window
22.Eaton, Jonathan、Turnovsky, Stephen J.(1982)。Effects of Monetary Disturbances on Exchange Rates with Risk Averse Speculation。Journal of International Money and Finance，1(1)，21-37。  new window
23.Eaton, Jonathan、Turnovsky, Stephen J.(1984)。The Forward Exchange Market, Speculation, and Exchange Market Intervention。Quarterly Journal of Economics，99(1)，45-70。  new window
24.Frisch, Helmut、Staudinger, Sylvia(2003)。Inflation Targeting versus Nominal Income Targeting。Journal of Economics，78(2)，113-137。  new window
25.Krugman, Paul R.(1991)。Target Zones and Exchange Rate Dynamics。Quarterly Journal of Economics，106(3)，669-682。  new window
26.Lai, Ching-Chong、Chang, Juin-Jen(2001)。A Note on Inflation Targeting。Journal of Economic Education，32，369-380。  new window
27.Lai, Ching-Chong、Fang, Chung-Rou、Chang, Juin-Jen(2008)。Volatility Trade-offs in Exchange Rate Target Zones。International Review of Economics and Finance，17(3)，366-379。  new window
28.Popescu, Iulian Vasile(2013)。Price-Level Targeting versus Inflation Targeting: A Theoretical Approach。Journal of Economics and Business Research，19(2)，167-178。  new window
29.Kempa, Bernd、Nelles, Michael、Pierdzioch, Christian(1999)。Exchange Rate Target Zones and Stock Price Volatility。International Journal of Finance and Economics，4，297-311。  new window
30.Driskill, Robert A.、McCafferty, Stephen(1982)。Spot and Forward Rates in a Stochastic Model of the Foreign Exchange Market。Journal of International Economics，12(3/4)，313-331。  new window
31.Achsani, Noer A.、Fauzi, Arie J. F. A.、Abdullah, Peter(2010)。The Relationship between Inflation and Real Exchange Rates: Comparative Study between ASEAN+3, the EU and North America。European Journal of Economics, Finance & Administrative Sciences，18，69-76。  new window
研究報告
1.Debelle, Guy(1997)。Inflation Targeting in Practice (計畫編號：WP/97/35)。International Monetary Fund。  new window
學位論文
1.陳淑華(1996)。匯率目標區政策與物價目標區政策的抉擇(碩士論文)。輔仁大學。  延伸查詢new window
2.陳秀華(2004)。最適匯率目標區：圖形的解析(碩士論文)。國立臺灣大學。  延伸查詢new window
3.王景鋒(2008)。物價與匯率雙重預期下最適物價目標區之探討--以總合供給面干擾為例(碩士論文)。東海大學。  延伸查詢new window
4.吳宜貞(2003)。遠期外匯市場下即期匯率目標區的安定效果：理論及圖形分析(碩士論文)。國立政治大學。  延伸查詢new window
5.吳建興(2008)。物價與匯率雙重預期下最適物價目標區之探討--以商品市場需求面干擾為例(碩士論文)。東海大學。  延伸查詢new window
6.李嘉興(2005)。物價目標區與匯率目標區的比較：物價與匯率雙重預期的考量(碩士論文)。國立臺灣大學。  延伸查詢new window
7.迮嘉衍(2006)。匯率目標區在遠期外匯市場下的安定效果：物價與匯率雙重預期的考量(碩士論文)。國立臺灣大學。  延伸查詢new window
8.黃君瑋(2005)。最適的物價區間管制政策(碩士論文)。國立政治大學。  延伸查詢new window
9.廖志興(2000)。物價目標區於開放經濟體系的安定效果:圖形的解析(碩士論文)。逢甲大學。  延伸查詢new window
10.黃嘉貞(2003)。物價目標區政策有效性之理論與圖形分析(碩士論文)。國立政治大學。  延伸查詢new window
圖書
1.Leiderman, Leonardo、Svensson, Lars E. O.(1995)。Inflation Targets。London：Center for Economic Policy Research。  new window
2.Froyen, Richard T.、Guender, Alfred V.(2007)。Optimal Monetary Policy under Uncertainty。Edward Elgar Publishing Limited。  new window
3.Mishkin, Frederic S.(2004)。The Economics of Money, Banking, and Financial Markets。Addison-Wesley Publishing Company。  new window
4.Abel, Andrew B.、Bernanke, Ben S.、Croushore, Dean(2011)。Macroeconomics。Hoboken, New Jersey：Pearson Education Inc.。  new window
5.Hubbard, Glenn R.(2005)。Money, the Financial System, and the Economy。New York：Addison-Wesley。  new window
6.Mishkin, Frederic S.(1998)。The Economics of Money, Banking and Financial。New York：Addision-Wesley。  new window
7.Mishkin, Frederic S.(2007)。The Economics of Money, Banking and Financial Market。New York：Addision-Wesley。  new window
8.賴景昌(1994)。國際金融理論：進階篇。茂昌出版社。  延伸查詢new window
圖書論文
1.Fillon, Jean-Francois、Tetlow, Robert(1994)。Zero-Inflation or Price-Level Targeting? Some Answers from Stochastic Simulations on a Small Open Economy Macro Model。Economic Behaviour and Policy Choice under Price Stability。Ottawa。  new window
 
 
 
 
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