匯率目標區和股價之穩定

Abstract

Krugman (1991)建立一個包括商品市場、貨幣市場、債券市場與外匯市場之小型開放模型，說明當政府對匯率設立目標區，將會導致匯率有蜜月效果，此文獻為目標區理論之經典之作。本文則增加股票市場的考慮，據以探討政府實施匯率目標區政策，匯率是否會產生如Krugman (1991)所言之「蜜月結果」。本文發現，當經濟體系之預期匯率變動對匯率的影響小於預期股價變動對匯率的影響時，經濟體系不論出現貨幣市場干擾或出現股票市場干擾，設立匯率目標區，「蜜月效果」將不存在；且本文亦發現，Krugman (1991)之結論為本文之特例。

Krugman's target zones theory (1991) is well-Known in toe economic literature. In a small open-economy model, which includes the commodity, money, bond, and currency exchange markets, he argues that there will be a ”honeymoon effect” in the currency exchange market if the government adopts a target zones policy. This study extends his arguments to the stock market and examines whether the target zones policy will lead to the ”honeymoon effect” as described by Krugman. We find that the establishment of exchange-rate target zones may not exhibit the ”honeymoon effect” if the expected exchange-rate fluctuation is smaller than the influence of the expected stock price fluctuation on the exchange rate, no matter whether the shocks originate from the money market or the stock market. The paper also shows that Krugman's conclusion is in fact a special case of our general theory.