論匯率制度的選擇

1、論匯率制度的選擇on the choice of exchange rate regimes單位： 姓名： 學(xué)號： 專業(yè)： 導(dǎo)師： 摘要為了克服傳統(tǒng)的蒙代爾不可能三角對匯率制度選擇問題的分析局限，本文提出了擴展三角這個可供檢驗的假說，從而使得對此問題的全面分析成為可能?；诖思僬f，我們先建立了一個由政府主導(dǎo)時的匯率制度選擇模型。模型解的結(jié)果表明，決定匯率制度選擇的主要參數(shù)與最優(yōu)貨幣區(qū)標(biāo)準(zhǔn)是大致相符的，此時沒有哪一種匯率制度對所有國家以及所有時期都適用。這表明不可能三角或者是其擴展形式的擴展三角都不能成為“匯率制度角點解假設(shè)”的理論基礎(chǔ)。隨著金融衍生工具的發(fā)展，匯率風(fēng)險因素急劇縮小，而大規(guī)模投機

2、攻擊則成為可能。在此市場主導(dǎo)的新環(huán)境下，我們分析指出，由于中間匯率制度試圖提供免費的匯率風(fēng)險保險而導(dǎo)致的公眾道德風(fēng)險行為，以及中間匯率制度作為一種相機決策而非規(guī)則所產(chǎn)生的公眾對此政府承諾的信任危機，而內(nèi)生地招致了投機攻擊，并且投機攻擊在此中間制度下又會引發(fā)公眾恐慌。我們通過建立一個具有微觀基礎(chǔ)的匯率動態(tài)模型，并對其進(jìn)行模擬的結(jié)果表明，在中間匯率制度下，不同程度的金融改革與金融開放的匹配性和公眾恐慌誘發(fā)了各種貨幣危機。所以中間匯率制度將隨著時間的推移而消亡。在全球經(jīng)濟一體化的背景下，在建立起新的國際金融體系之前，作為規(guī)則的“角點匯率制度”將是唯一的選擇。這樣本文幾乎第一次為“匯率制度角點解假設(shè)”

3、提供了一個較為全面的理論基礎(chǔ)。關(guān)鍵詞：角點和中間匯率制度匯率制度角點解假設(shè)擴展三角公眾預(yù)期政策可信度貨幣危機致謝:我特別感謝我的導(dǎo)師易綱教授。從選題、收集材料、日常討論到最后修改定稿，都包含了他的大量心血。沒有他的悉心指導(dǎo)，這篇文章是不可能完成的。我也感謝他在做人方面對我的教導(dǎo)和生活上對我的關(guān)心。我也感謝林毅夫教授和陳平教授給我機會在他們的討論班上發(fā)言。他們的評論對本文助益很大。他們對后學(xué)的熱情鼓勵讓我滿懷勇氣和感激。我也感謝楊小凱教授和施建淮副教授對本文的建設(shè)性改進(jìn)建議。我還要感謝白金輝以及中心宏觀組的同學(xué)對我寫作本文的幫助。我也預(yù)先感謝論文評審委員會和答辯委員會的老師們的可能的建設(shè)性評論。

4、最后，我也想感謝我的父母。他們?yōu)榱宋夷芙邮芨?、更高的教育，含辛茹苦，作出了很大犧牲。我希望這是他們一生中所作出的最明智的投資決策之一。目錄. 文章的結(jié)構(gòu)與貢獻(xiàn)1一. 經(jīng)驗事實和文獻(xiàn)綜述2（一）牙買加體系下匯率制度的演化2（二）已有匯率制度選擇理論簡介31 傳統(tǒng)的固定與浮動之爭32 現(xiàn)在的角點與中間之爭43 與匯率制度選擇問題密切相關(guān)的貨幣危機理論5二基本模型：政府主導(dǎo)時的情形6（一）模型的前提假定6（二）從不可能三角到擴展三角6（三）政府的目標(biāo)函數(shù)與基本模型7（四） 最優(yōu)化結(jié)果及解釋8（五）比較靜態(tài)分析9三 中間匯率制度的危機：市場主導(dǎo)時的情形 11（一） 匯率制度與公眾預(yù)期 111. 外匯

5、市場上一般個體的行為分析112. 匯率制度對公眾預(yù)期的影響123. 投機攻擊者的行為分析134. 結(jié)果14（二） 一個具有微觀基礎(chǔ)的匯率動態(tài)模型 141 金融改革和金融開放的匹配性的影響152 投機攻擊的影響153 公眾恐慌的影響154 各方行為方程16（三） 模型模擬：中間匯率制度下的貨幣危機 16（四） 貨幣危機和金融危機的邏輯 16（五） 中間匯率制度價值的一些額外討論 19四 結(jié) 論 19參考文獻(xiàn) 21附錄一：1999年imf新的匯率制度分類標(biāo)準(zhǔn) 22附錄二：數(shù)學(xué)附錄 23附錄三：匯率動態(tài)模型的微觀基礎(chǔ)：亞當(dāng)斯密模型 25on the choice of exchange rate r

6、egimesxian tangchina center for economic research at peking universitybeijing 100871, p. r. chinamay 2001abstractbecause of the limitation of the traditional mundell impossible trinity on the choice of exchange rate regimes, a new hypothesis was put forward in this thesis: extended triangle(et, i.e.

7、 we can find an index system which quantifies independence of monetary policy, exchange rate stability and capital mobility into a continuum respectively and in which there exists an explicit trade-off among these three variables), in order to make complete analysis possible. basing on et, a model w

8、as developed when the government can dominate the market. its solutions indicate that the parameters determining the choice correspond with the optimum currency areas criteria and intermediate solutions are possible. hence no single exchange rate regime is right for all countries or at all times, ne

9、ither the impossible trinity nor its extended form et can be the theoretical foundations for the “corner solutions” hypothesis. with the development of financial derivatives, the exchange rate risk can been hedged easily and the speculative attack with large scale is possible. in this new situation,

10、 we point out that because the intermediate regimes provide free insurance for exchange rate risk, they lead to moral hazard behavior of the public. at the same time, because being discretion but not rules, they bring out trust crisis for this governments commitment when the speculative attack occur

11、s. as a result, they will endogenously incur the attack, which incurs the public panic with the failure of the public opportunities. then currency crisis is inevitable. by establishing a model of exchange rate dynamics with micro-foundations and simulating it, we find under the intermediate regimes

12、different degrees of the matching between the financial reform and openness and the public panic bring out different currency crises. so the intermediate regimes will vanish gradually along with the globalization. before establishing a new international financial architecture, the corner regimes wil

13、l be the unique choice. then this essay is almost the first to provide a complete theoretical foundation for the “corner solutions” hypothesis.keywords: corner and intermediate exchange rate regimes, “corner solutions” hypothesis, extended triangle, public expectation, hedge, credit of policy, curre

14、ncy crisiscopyright2001 by xian tang. all rights reserved.contentsi. the structure and contributions of the thesisii. the empirical facts and literature survey (i) the evolution of the exchange rate regimes in jamaica system(ii) theory on the choice of exchange rate regimes: a surveyi. the tradition

15、al debate of fixed vs. floatingii. the current debate of corner vs. intermediate solutionsiii. the theories of currency crisis which is related to the choice of exchange rate regimes closelyiii. the basic model: when the government can dominate the market(i) assumptions(ii) from impossible trinity t

16、o extended triangle(iii) the governments objective function and the basic model(iv) the solutions and implications(v) the analysis of comparative staticsiv. the crisis of the intermediate exchange rate regimes: when the market dominate(i) the exchange rate regimes and the public expectationi. the an

17、alysis of a respective persons behavior in the foreign exchange market ii. the influence of the exchange rate regimes on the public expectationiii. the analysis of the speculative attackers behavioriv. the results(ii) a model of exchange rate dynamics with micro-foundationsi. the influence of the ma

18、tching between the financial reform and opennessii. the influence of the speculative attackiii. the influence of the public paniciv. the behavior functions of all players(iii) the simulation of the model: the different currency crises under the intermediate exchange rate regimes(iv) the logic of the currency crisis and financial crisis(v) s