不同匯率制度下貨幣政策的有效性──東亞國家之實證

Abstract

中央銀行總裁實行貨幣政策以達到某些總體經濟目標，而影響總體經濟的變數有很多，其中匯率制度是影響實行貨幣政策有效性的一大因素，蒙代爾─弗萊明模型 (Mundell-Fleming model) 是在討論匯率制度與政策有效性的文獻中，最具有代表性的開放總體經濟模型，根據Mundell-Fleming模型推導出的結論，採行浮動匯率制度的國家，貨幣政策影響國內產出較為有效。本研究的目的即是以結構式向量自我迴歸模型 (structural vector autoregression model, SVAR model) 證實Mundell-Fleming模型的結論，模型中包括七個變數，並自日本、臺灣、韓國、印度尼西亞、馬來西亞和中國大陸這六個東亞國家的官方網站以及OECD Statistics資料庫中蒐集1998年至2007年的月資料。實證結果大致上符合Mundell-Fleming模型的推論，故原為固定匯率制度的國家若欲增加貨幣政策實行以促進經濟成長的有效性，未來可以考慮改採獨立浮動匯率或管理浮動匯率制度。

Monetary policies are implemented to achieve some macroeconomic targets. Many variables could affect macro economy, and the exchange rate regime is a more important one among them. Mundell-Fleming model, the representational open macroeconomic model concerning exchange rate regimes and policies effectiveness, indicates that monetary policies affect domestic output more in countries under more flexible exchange rate regimes. An aim of this empirical research is to confirm the conclusions of Mundell-Fleming model. In this research, the structural vector autoregression model (SVAR model) is constructed, and it involves seven economic variables. The monthly data from 1998 to 2007 is collected from official websites of research countries and OECD Statistics Extracts, and six East Asian countries, including Japan, Taiwan, Korea, Indonesia, Malaysia, and China are incorporated into this study. Empirical results approximately support what Mundell-Fleming model demonstrates. The findings suggest that countries with fixed exchange rate regimes could consider changing the regimes into more flexible ones in the future to promote the effectiveness of the monetary policies.