新開放總體經濟下的貨幣購買力與匯率波動──小型開放經濟之分析

Money-Purchasing Power and Exchange Rate Volatility in a NOEM Model: An Analysis of Small Open Economy

本文在Obstfeld and Rogoff（1995）的新開放總體經濟學基礎上，擴展Lane（1997）的模型，探究在小型開放經濟體系下，貨幣幻覺在匯率動態調整過程中的角色，本文經由理論推導及模擬分析後發現，短期匯率波動方向與實質貨幣餘額的消費彈性值有關，而調整幅度則與貿易財分額及貨幣幻覺程度有關。當實質貨幣餘額的消費彈性值小於1時，匯率會產生過度調整現象，調整的幅度會隨著貿易財分額及貨幣幻覺程度的提高而增加；當實質貨幣餘額的消費彈性值等於1時，匯率立即跳到長期穩定均衡狀態水準，匯率波動程度與貿易財分額及貨幣幻覺程度無關，當實質貨幣餘額的消費彈性值大於1時，匯率會出現調整不足的情形。最後，在福利分析方面，貨幣供給量的上升，使得資金活絡程度提高，由於民眾存有貨幣幻覺，貨幣需求會增加，福利水準因此而提升。

Following the New Open Economy Macroeconomics developed by Obstfeld and Rogoff (1995), we extend the model of Lane (1997) to investigate the role of money illusion on exchange rate dynamics in a small open economy. According to theoretical analysis and simulation results, this paper found that the direction of exchange rate changes in the short run is related to the consumption elasticity of real money demand, the extent of exchange rate adjustment is depend on the share of tradable goods and the degree of money illusion. The exchange rate will overshoot if the consumption elasticity of money demand is smaller than one, and the increase of share of tradable goods and the degree of money illusion cause an increase in exchange rate volatility, if the consumption elasticity of money demand is equal to one, exchange rate will immediately jump to their new steady state positions, the extent of exchange rate volatility is independent on the share of tradable goods and the degree of money illusion, when the consumption elasticity of money demand is greater than one, exchange rate undershooting occurs. Finally, we present the analysis of the welfare and found that to expand the money supply will enhance the flow of funds, leads to an increase in money demand, and rise in welfare level if money illusion exists.