不確定的貨幣政策宣告與商品價格之動態走勢

The Uncertainty of Monetary Policy Announcement and Dynamic Adjustment of Commodity Prices

近二十年來，有關貨幣供給量變動對農產品價格與製造業產品價格衝擊效果的實證文獻頗多，但均無動態分析的理論模型。直到Frankel (1986)才首先提出聯結貨幣市場、農產品市場與製造業產品市場的分析架構，並據以探討民眾具有理性預期形成時，政府採行未預料到的寬鬆貨幣政策對產品價格的影響。之後，Lai, Hu and Wang (1996)建構涵蓋農產品及製造業產品市場的兩部門模型，討論政府若採行預料到的寬鬆貨幣政策時，農產品價格與製造業產品價格的動態走勢。然而，前述文獻所言的政策宣告均為明確的政策宣告，但在現實社會中，政府透過新聞媒體向民眾宣告未來擬採寬鬆貨幣政策時，往往沒有明確宣告政策執行的時機，或貨幣供給增加的幅度。是故，本文以Frankel(1986)模型為基礎，分析貨幣供給增加幅度不確定與政策執行時機不確定的政策宣告，對經濟體系中農產品價格與製造業產品價格的動態走勢所產生的影響。

Over the last two decades, a substantial body of empirical studies has been devoted to the question of the dynamic responses of agricultural product prices and manufactured product prices to money shock. However, comparing with empirical studies, few theoretical models are set out to highlight the dynamic patterns of both agricultural and manufactured product prices. Frankel (1986) develops a theoretical model that links money market, agricultural product market, and manufactured product market. He examines how unanticipated monetary policy might affect product prices given that the public's expectation formation is rational. Lai, Hu and Wang (1996) develop a model that involves agricultural and manufactured sectors. They investigate how the agricultural and manufactured product prices will exhibit when the monetary authorities announce that the money supply will experience a permanent rise at a specific time in the future. In the real world, the message from the authorities that an expansionary monetary policy will be undertaken in the future, is not as clear as it is supposed to be. Based on the Frankel (1986) model, this paper develops a rigorous model to address the uncertainty of monetary policy announcement. Two issues are addressed in this paper. First, how the dynamic adjustment of the agricultural and manufactured product prices will react given that the amount of expansionary money supply is uncertain. Second, how the dynamic adjustment of the agricultural and manufactured product prices will exhibit given that the timing of money policy implementation is uncertain.