The Impact of Price Regime Collapse and Speculation Degree of Speculator on the Dynamic Path of Spot Exchange Rate and Forward Exchange Rate – An Example of Commodity Market Stochastic Shock

• Main Authors: Hong, Wei-Sheng, 洪偉盛
• Other Authors: Liaw, Peir-Shyan
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/wa8t2v

碩士 === 東海大學 === 經濟系 === 102 === This paper constructs a open economy general equilibrium macroeconomic model is characterized by the Dornbusch (1976) exchange rate dynamic adjustment model and Eaton and Turnovsky (1982‚1984)‚Lai (2006) open economy forward foreign exchange market model. We use the “implicit function technique” of first generation regime collapsing‚ which is offered by Chang and Lai (1990) to analyze if the monetary authority tend to curb the rising price level through the tight monetary policy which the economy is facing a beneficial shock on the demand side of the commodity market. Under the former economic circumstances‚ what will be the dynamic effect of the relevant macroeconomic variables if the monetary authority executes the policy? The major findings are (i) not only the price ceiling threshold level is the key factor of price regime collapsing‚ but also is the important determinant of the price regime collapsing whether or not? (ii) if the price ceiling threshold level is between the initial price level and the new long run equilibrium price level‚ then (a) the relative amplitude of “real exchange rate of trade balance reaction coefficient” and “the tight money effect”(b) the relative amplitude of“ the speculation degree of speculator” are the two key factors to decide the dynamic path of the forward exchange rate.