匯率目標區體制下匯率與利率差之波動：異質民眾預期的研究

Exchange Rate and Interest Rate Variability in Exchange Rate Target Zones: The Study of Heterogeneous Expectations Model

本文嘗試在政策不具完全可信度下，分析民眾匯率預期對目標區政策成效影響。明確地說，我們想根據異質民眾預期模型來分析：當政府宣告實施匯率目標區政策時，對匯率是否亦會產生如Krugman (1991)所說的「蜜月效果」；同時也將探討此項干預政策對利率差，是否可能需要付出波動更加劇烈的代價。與傳統文獻之差異為：除了假設在異質民眾的預期下，分析兩類民眾相對比例的多寡不僅會影響匯率動態走勢，亦將探討其對利率差走勢之影響。而本文重點為：將影響異質民眾預期之因素，如目標區寬度、民眾對政策敏感度、重整規模大小及市場基要偏離的大小等一一提出，個別討論其和異質民眾比例之關係；再藉由兩類民眾比例之變化，以數值模擬之方法，來觀察其對匯率變動與利率差兩者的影響。從數值模擬分析，本文所得之結論為：首先，若民眾具有邊界干預與浮動匯率之異質預期下，匯率皆具有蜜月效果，且匯率變動與利率差波動的抵換關係亦一定存在，此和Krugman (1991)的結論相同。其次，若民眾具有邊界干預與目標區重整之異質預期下，只有在信任政府民眾的給定比例較多或當市場基要在中心平價附近(即經濟干擾較小)時，匯率將具有蜜月效果，且抵換關係仍然存在；反之，則兩者關係將不存在，此和歐洲貨幣體制之實證經驗相符。凡此異質民眾預期模型的不同結果，或許可作為政府實行匯率目標區政策之參考。

This paper develops a heterogeneous expectations target zone model, where the weight of the non-credible agents is an increasing function of the distance of the market fundamental from its central parity, band width and sensitive of a realignment changes, but a decreasing function of the realignment size. With the plausible parameter values, the conclusion of this paper is as follows. If the heterogeneous expectations is combined between marginal intervention and float type, an announcement of exchange rate target zones has the honeymoon effect and the trade-offs relationship between exchange rate volatility and the interest rate differential is also exist. However, if the heterogeneous expectations is combined between marginal intervention and realignment type, both the honeymoon effect and trade-offs relationship will not exist under the larger agents' realignment expectations weight or the exchange rate is close to the edges of the band. These results partial support the evidence from the EMS, and can be taken as a possible way to solve the conflicting outcome between Krugman’s prediction and existing empirical observations.