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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35734


    Title: 理性投機與即期匯率、遠期匯率波動
    Authors: 吳佳陵
    Contributors: 朱美麗
    吳佳陵
    Keywords: 理性投機
    即期匯率
    遠期匯率
    Date: 2002
    Issue Date: 2009-09-18 15:53:12 (UTC+8)
    Abstract: 摘　　要
    本文主旨在於探討理性投機者的投機行為與匯率穩定性的關係，運用Driskill and McCafferty (1980a) 的方法，同時考慮理性預期行為一致性限制式和投機行為一致性限制式，以更為嚴謹的方式將理性投機者的行為內生化。首先討論在單一即期外匯市場中，當理性投機者面臨不同的暫時性外生衝擊時，其投機行為是否有助於穩定即期匯率。接著加入遠期外匯市場，同時綜合現貨交易者、套利者與理性投機者之間的互動關係，分析理性投機者風險趨避程度的改變與其投機操作對於即期匯率與遠期匯率波動的影響。
    我們的分析得到下列幾項結論：
    一、僅考慮單一即期外匯市場時：
    （一）當暫時性的外生衝擊不會直接影響理性投機者所欲持有之外匯資產部位時，諸如發生在經常帳的衝擊，則理性投機者在即期外匯市場中的投機行為有助於減緩匯率的波動。
    （二）當暫時性的外生衝擊會直接影響理性投機者所欲持有之外匯資產部位時，諸如利率差距變動的衝擊，則理性投機者在即期外匯市場中的投機行為會擴大匯率的波動。
    （三）當以上兩種衝擊同時發生時，若市場上投機活動偏高，則投機活動會增加匯率波動的幅度；若市場上投機活動偏低，則投機活動可降低匯率波動的幅度。
    二、同時考慮即期外匯市場與遠期外匯市場時：
    （一）當只有經常帳的衝擊存在時，理性投機者在遠期外匯市場上的投機行為會降低即期匯率與遠期匯率的波動。
    （二）當只有利率變動的衝擊存在時，理性投機者在遠期外匯市場上的投機行為縱使得以穩定遠期匯率，但卻必須付出即期匯率波動加劇的代價。
    Reference: 參考文獻
    賴景昌(2003)，遠期外匯市場，手稿。
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    Baumol, W. (1957), “Speculation, profitability, and stability,” Review of Economics and Statistics, 39, pp. 263-271.
    Carlson, J. A., and C. L. Osler, (2000), “Rational Speculators and Exchange Rate Volatility,” European Economic Review, 44, pp. 231-253.
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    Turnovsky, S. J., (1995), Methods of Macroeconomic Dynamics. Cambridge, Mass : MIT Press
    Description: 碩士
    國立政治大學
    經濟研究所
    90258006
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090258006
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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