新凯因斯DSGE模型与货币政策法则之汇率动态分析

Dynamic Analysis of the Exchange Rate Under the New Keynesian DSGE Model and the Monetary Policy Rules

对于小型开放经济而言,当经济存在价格僵硬的情况下,中央银行在面对不同冲击发生时,各政策法则执行对汇率波动的影响及动态调整过程差异较大。从中国台湾地区的情况为案例来看,在稳定汇率波动方面:当国内技术冲击时,货币法则优于利率法则;当国外通货膨胀时,利率法则优于货币法则;当国外利率冲击时,执行利率法则或货币法则,其结果无显著差异。在汇率动态调整方面:当国外利率调升时,中央银行执行利率法则与货币法则下,汇率的瞬时反应为过度贬值;当国外物价膨胀时,执行利率法则与货币法则下,汇率的瞬时反应表现为立即升值;当国内技术进步冲击时,因为国外冲击对小型开放经济体系影响力道较强,使得国内技术进度对体系的影响相对较小,其中在利率法则下,汇率微幅贬值,而在货币法则下,汇率微幅升值。

Given a small open economy in which prices are rigid, when the central bank responds to shocks of various kinds by implementing different policy measures, the effects those measures have on exchange rate fluctuations and the process of dynamic adjustment can differ greatly. Take the case of Taiwan, China. When its exchange rate fluctuations are stable, monetary rules are superior to interest rate rules for dealing with domestic technological shocks, and interest rate rules are superior to monetary rules for dealing with foreign inflation, but there is little to choose between the two for dealing with foreign interest rate shocks. When its exchange rates are undergoing dynamic adjustment and the central bank adopts both interest rate rules and monetary rules： when foreign interests rise the exchange rate will immediately fall too far, and when foreign inflation occurs, the exchange rate will immediately rise. Because the effect of foreign shocks on a small open economy are rather significant, when foreign technological shocks occur, they result in domestic technological progress having a relatively small effect on the economy, and interest rate rules slightly lower the exchange rate, while monetary rules slightly raise it.