實質匯率在不同匯率制度下的內生波動

Endogenous Fluctuations of Real Exchange Rates under Different Exchange Rate Regimes

本論文利用非線性景氣循環文獻中的開放經濟體系疊代模型，假設其分別在浮動或固定匯率制度下與世界其他國家貿易，我們發現可以產生實質匯率的內生波動。實質匯率的週期循環與定態太陽黑子均衡的存在，可以藉由利用flip分歧理論來證明；且與兩個重要變數有關：主觀的折現率與跨期替代彈性。我們更發現本文所建立之動態系統的穩定性與此二變數有非常密切的關聯性。此外我們也比較了在不同匯率制度下產生實質匯率內生波動的不同條件。

This paper purports to show that real exchange rate fluctuations may be generated endogenously through nonlinear business cycles in a simple overlapping generations economy which trades with the rest of the world under flexible or fixed exchange rates. The existence of periodic cycles or stationary sunspot equilibria near the steady state in this economy is established by applying the flip bifurcation theorem and may involve two important parameters: the subjective rate of discount; and the elasticity of intertemporal substitution. We find a close link between the non-explosiveness and stability of the system and the two parameters. We also compare the different conditions for the endogenous fluctuations of the real exchange rate between the two exchange rate regimes.