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| Title: | 遠期外匯市場干預、投機程度與貨幣政策的宣示效果
Forward Exchange Market Intervention, the Degree of Speculation and Announcement Effects of Monetary Policy |
| Authors: | 溫祐宇
Ｗen, You-Yu |
| Contributors: | 賴景昌
Lai, Ching-Chong
溫祐宇
Ｗen, You-Yu |
| Keywords: | 宣示效果
遠期外匯市場干預
投機程度
動態調整
Announcement Effect
Forward Foreign Exchange Market Intervention
The Degree of Speculation
Dynamic Adjustment |
| Date: | 2023 |
| Issue Date: | 2023-08-02 13:42:29 (UTC+8) |
| Abstract: | 本文參考Eaton and Turnovsky (1982)的模型架構，以及Dornbusch (1976)商品市場之物價緩慢調整設定，再假定央行會干預遠期外匯市場，建立一開放經濟體系模型，藉此探討貨幣政策宣示後，央行干預遠期外匯與投機程度的不同，會如何影響匯率的長期均衡與動態調整，並與央行直接干預遠期外匯市場做比較。
我們發現，當政府實施貨幣政策時，在長期均衡下，若投機程度愈大，即期匯率與遠期匯率之波動度皆會增加；若央行干預程度愈大，即期匯率與遠期匯率之波動幅度則皆會減少。當央行直接干預遠期外匯市場時，卻是完全相反的結果，若投機程度愈大，即期匯率與遠期匯率之波動度會減少；若央行干預程度愈大，即期匯率與遠期匯率之波動度則會增加。
此外，在貨幣政策宣告後，受投機程度、央行干預程度的影響，使得即期匯率的長短期調整共有三種路徑，分別為「即期匯率長期均衡上升且短期正向調整」、「即期匯率長期均衡下降且短期正向調整」、「即期匯率長期均衡下降且短期負向調整」。若是央行直接購買遠期外匯以干預市場，在宣告後，則僅有「即期匯率長期均衡上升且短期正向調整」這種路徑。
This thesis builds model based on Eaton and Turnovsky (1982) and incorporates the slow price adjustment in the goods market proposed by Dornbusch (1976). Additionally, we assume central bank could intervene the forward foreign exchange market. The main objective is to examine how different degrees of central bank intervention in the forward foreign exchange market, combined with varying levels of speculation, affect the long-run equilibrium and dynamic adjustment of the exchange rate, compared to direct central bank intervention.
The findings suggest that higher speculation levels increase the volatility of spot and forward exchange rates, while greater central bank intervention reduces their volatility. However, when the central bank directly intervenes in the forward market, the results are opposite.
Furthermore, after the announcement of monetary policy, the adjustment of the spot exchange rate is influenced by speculation levels and the degree of central bank intervention, leading to three possible paths: "long-run equilibrium of spot exchange rate rises with short-term positive adjustment," "long-run equilibrium of spot exchange rate falls with short-term positive adjustment," and "long-run equilibrium of spot exchange rate falls with short-term negative adjustment." However, if the central bank directly intervene in the market, only the path of "long-run equilibrium of spot exchange rate rises with short-term positive adjustment" is observed after the announcement. |
| Reference: | 賴景昌(2007)，《國際金融理論：基礎篇》第2版，第4章。台北：華泰。
賴景昌(2022)，「遠期外匯市場」，研究所上課講義。
Carlton, D. W. (1986), “The Rigidity of Prices,” The American Economic Review 76, pp.637-658.
Chang, W. Y., Lai, C. C., and Tsai, H. F. (1999), “Misadjustment to Anticipated Shocks: A Clarification,” Journal of Finance and Economics 4, pp.335-351.
Dornbusch, R. (1976), “Expectations and Exchange Rate Dynamics,” Journal of Political Economy 84, pp.1161-1176.
Eaton, J. and Turnovsky, S. J. (1982), “Effects of Monetary Disturbance on Exchange Rates with Risk Adverse Speculation,” Journal of International Money and Finance 1, pp.21-37.
Eaton, J. and Turnovsky, S. J. (1984), “The Forward Exchange Market, Speculation, and Exchange Market Intervention,” Quarterly Journal of Economics 1, pp.45-69.
Fleming, J. M. and Mundell, R. A. (1964), “Official Intervention on the Forward Exchange Market: A Simplified Analysis,” IMF Staff Papers 11, pp.1-19.
Levin, J. H. (1988), “The Effects of Government Intervention in a Dynamic Model of the Spot and Forward Exchange Markets,” International Economic Journal 2, pp.1-20.
Meese, R. A. (1984), “Is the Sticky Price Assumption Reasonable for Exchange Rate Models?,” Journal of International Money and Finance 3, pp.131-139.
Mussa, M. (1986), “Nominal Exchange Rate Regimes and the Behavior of Real Exchange Rates: Evidence and Implications,” Carnegie-Rochester Conferences Series on Public Policy 25, pp.117-214.
Rotemberg, J. J. (1982), “Sticky Prices in the United States,” Journal of Political Economy 90, pp.1187-1211.
Spraos, J. (1959), “Speculation, Arbitrage and Sterling,” The Economy Journal 69, pp.1-21.
Tai, M. Y., Chao, C. C., Hu. S. W., Lai, C. C., and Wang, V. (2014), “Monetary Policy and Price Dynamics in a Commodity Futures Market,” International Review of Economics and Finance 29, pp.372-379.
Tsiang, S. C. (1959), “The Theory of Forward Exchange and Effects of Government Intervention on the Forward Exchange Market,” IMF Staff Papers 7, pp.75-106. |
| Description: | 碩士
國立政治大學
經濟學系
110258021 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110258021 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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