2000୍ֻ5௹ࣁ ವ ࣮,2000(ሹ239௹)٤नޙष٢ࣜ࠶༯֥߸ੱъᆴིႋ朱 奕(ഈݚҍࣜն࿐ࣁವ࿐ჽ,ഈݚ൧200083) ᅋ ေ:၂ݓᆟکൌീъᆴᆟҦѩ٤ሹ൞ԛႿڿݓ࠽൬ᆦሑঃ֥ॉ੮,Ⴕൈ൞ູਔ๙ݖъᆴঘຓ҆ླ,ՖطՏࠗӁԛᄹࡆb൞๙ݖष٢ྟࣁವ൧ӆ֥ቔႨ,ъᆴّݖট္߶႕ཙݓଽླ,ᄝଖུӆކିՏࠗଽླঔն,ᄝ۷؟֥౦ঃ༯߶ӁളোරႿҍᆟঔᅦൈ֥ࠪԛིႋb֒ᆃᇕࠪԛིႋቀܔնൈ,ຓླ֥ঔնႵॖିФଽླ֥ࡨഒ෮ַཨ,ՖطمᄹࡆሹླၛՏࠗӁԛbᄝᆃᇕ౦ঃ༯,ᆟک֥ъᆴᆟҦьႮႿष٢ྟࣁವ൧ӆഈҕაᆀ֥ކყ௹ط൙ൌഈാಀਔ၂ᇁྟbܱՍ:٤नޙࣜ࠶;ऺضථൔാြ;ବनޙᇏٳোݼ:F830 ໓ངѓ്:A ໓ᅣщݼ:1002-7246(2000)05-0049-57一a引言及相关概念1.ܱႿ٤नޙࣜ࠶ ႮႿགྷൌᇏ֥ࡎ۬ສສ҂ऎႵቀܔ֥ྟၛЌᆣ෮Ⴕ֥൧ӆିԛౢ,ၹՎࣜ࠶ᄎྛ֥ӈѩ٤ೂຐغঘ෮૭ඍ֥ପဢԩႿ၂Ϯनޙb۴ऌϘઅބ۬અථણ(Barro&Grossman,1971)֥Էྍྟં໓,٤नޙ֥ࣜ࠶ॖିԩႿၛ༯ඹᇕሑ:ֻ၂ᇕၛሹุӑح܂۳ູหᆘ,ࠧഅ൧ӆაস൧ӆनթᄝӑح܂۳,Фӫ ູऺضථൔാြ ;ֻؽᇕᄵປಆཌྷّ,ၛሹุӑحླູหᆘ,Фӫ ູၝൔ๙ᅮ ;ֻᇕሑ༯,ӑحഅླϴෛሢӑحস܂۳,൞ ູܞׅൔാြ ;ቋު၂ᇕᄵ൞ӑحসླაӑحഅ܂۳ѩթ,၂Ϯࢠഒؿളᆃᇕ౦ঃ bؓႿ҂֥٤नޙሑ,၂ᆟҦ൭؍ིݔ൞҂,֥бೂঔᅦྟҍᆟᆟҦؓႿܞׅൔാြࣼݸ᮸ၭ,ၹູࣉ၂҄ঔնਔഅ֥ӑحླ,ؓႿऺضථൔാြ(KU)ᄵఞݺؓᆡ༯ူbၛՏࠗሹླູଢ֥طൌീъᆴᆟҦ,൬۠ರ௹:2000-04-01ቔᆀࡥࢺ:ᇫᒲ(-)୯,ࡾ්ဘᇜದ,ഈݚҍࣜն࿐ࣁವ࿐ჽݓ࠽ࣁವህြණൖ࣮ള,ᇶေ࣮ٚཟ൞ຓ߸ંaݓ࠽ࣁವંb49
၂ϮඪটᄝKUሑ༯ࢠູॖྛbЧ໓ࡼࣇཋႿؓऺضථൔാြሑ֥ٳ༅b2.ܱႿष٢ࣜ࠶༯֥߸ੱᆟҦ҃ূؘ೦ਟุ༢Щᆭު, ઙࡆླྀၰ ᄍྸ۲ݓሱႮ࿊ᄴ۲ሱ֥߸ੱᇅ؇,Ⴟ൞ӯགྷԛೂࣂᆃᇕ؟ဢ߄֥ݓ࠽߸ੱุ༢:۲ᇶေࠊлᆭࡗሱႮڜ,طՑေࠊлᄵؓଖ၂ࠇଖུᇶေࠊлൌྛסᇾᇅbሱੂa୍սၛު,ં൞ંഈߎ൞ൌᇏ,ܥק߸ੱაڜ߸ੱංႪංਜᆭᆚࣼ၂ᆰીႵקં,൙ൌഈࠫެ෮Ⴕݓࡅ֥߸ੱᇅ؇ԩႿປಆሱႮڜބປಆܥקᆃਆ۱ࠞ؊ᆭࡗ,ᆟکҐ౼֥ࢠູᅼᇓ֥෮ ໌ܵڜᇅ؇ ,၂ٚ૫ିཚ൳ڜ߸ੱ֥ၭԩ(бೂٝᆸݓຓ๙ᅮ֥ൻೆ),ਸ਼၂ٚ૫๙ݖ൧ӆۄყٝᆸ߸ੱݖٳѯ,ၛ໗קࣜ࠶ᄎྛbሱႮڜ༯֥ъᆴ(depreciation)҂Ⴟܵڜ༯֥ъᆴ(de-valuation),ުᆀ҂ᄜ൞ປಆႮ൧ӆथק֥ଽളэਈ,ط൞Ӯູᆟکିࡆၛ০Ⴈ֥၂ཛᆟҦ۽ऎbЧ໓෮ട֥ࠣъᆴनᆷުᆀb3.໙ี֥ิԛሱ30୍ս֥ൗࢸࠊлնᅞၛট,ᆟکൌྛъᆴᆟҦ၂Ϯ൞ԛႿਆ۱ଢ:֥၂൞๙ݖᄹࡆԛ१ၝᇅࣉ१টڿݓ࠽൬ᆦሑ;ؽ൞๙ݖъᆴঘຓླՏࠗݓଽӁԛbֻ၂۱ଢ֥֥ൌགྷႵঠႿઔཱུغ-ীବ่ࡱ֥ડቀ,ᆃѩ٤Ч໓ܱྏ֥ࢊׄbЧ໓ܱᇿ֥൞ֻؽ۱ଢ֥ିᄝ؟ն֥ӱ؇ഈ֤ၛൌགྷb၇ᅶᆞ֥ऺضථླܵᆟҦ֥ᆷ֝නམ,֒ࣜ࠶ԩႿKUሑ༯ൈ,ᆟکсྶఓሹླট߫گनޙbᄝС࿊֥ᆟҦ൭؍ᇏ,ࡌೂᆟک࿊ᄴਔࡼࠊлъᆴ֥Ϸم ,ପહᆞೂ༯໓෮ࢣൕ,֥ъᆴؓӁԛᄹࡆ෮ቔ֥܊ང൞م൙༵ಒק,֥ၹູ࣐ܵъᆴॖၛঔնຓ,ླൈ๙ݖࣁವ൧ӆ֥ቔႨࢹᇹ০ੱ႕ཙଽ,ླѩᄝն؟ඔ౦ঃ༯ᆃᇕ႕ཙ൞ၝᇅྟ֥bೂݔᆃᇕིႋቀܔն,ຓླ֥ঔնႵॖି҂ቀၛҀଽླ֥ࡨഒ,ପહֻؽ۱ଢ֥ࣼၛൌགྷbष٢ྟࣁವ൧ӆഈҕაᆀ֥ྟყ௹,ؓᆟکъᆴᆟҦི֥ݔఏሢᇗေ֥ቔႨ,ᄝъᆴൌീᆭభ֥၂؍ൈࡗ,ᆃᇕъᆴყ௹߶ࣉ၂҄ذ߄ࣜ࠶ྙ൝,ࡆखሹླ֥ࡨഒ,ᆞ൞ᆃᇕყ௹֥թᄝສສᆟک֥ъᆴᆟҦ҂ऎႵ၂ᇁྟb二a假设前提1.Фٳ༅ݓ൞նݓࣜ࠶,ၹط҂൞ࡎ۬ࢤ൳ᆀ(pricetaker),Чݓԛ१ਈࡼ൳ԛ१ࡎ۬ඣ႕ཙ,ൈൗࢸ൧ӆѩ҂ି་൬וޅඣ֥Чݓԛ१ਈb2.ࣜ࠶ᆞࣜ൳ሢാြაሹླ҂ቀ֥චᇗಠ,ࠧԩႿKUሑb3.ࣁವ൧ӆؓຓष٢,ሧЧॖၛሱႮੀb4.ൌྛܵڜࠇסᇾ߸ੱᇅ,ൈᆟکႵቀܔ֥ຓ߸ԥСၛົӻଢѓ߸ੱ,ၹطъᆴॖၛӮູՂե֥ଽളэਈ,ࠧᆟک҂߶Ф௧ൌྛъᆴbਸ਼ຓູٳ༅ࡥ߄,ࡌק߸ੱѯ֥ଢѓູ 0%,ࠧ߸ੱܥקb5.۴ऌ൧ӆႵིྟ֥ࡌഡ,ࡌק܄ᇙႵປಆྟ֥ყ௹,ၹطॖၛሙಒყҩ֞Члъᆴ֥ږ؇აྍ֥߸ੱඣbᆃ၂ࡌഡ߶ᄝ༯໓֥ଖֹུٚቔсေ֥٢ॺࠇྩᆞb6.֒ྛູᇶุᄝ൧ӆഈ૫ਢඔਈჿඏൈ,۷ౠཟႿࣉྛඔਈטᆜط٤ࡎ۬טᆜ,50
෮ၛᇀഒᄝ؋௹ଽॖၛࡼࡎ۬ඣ൪ቔܥקb7.അ൧ӆഈ֥טᆜતႿࣁವ൧ӆഈ֥bᆃ၂ࡌഡሱ؟ض҃(Dorndusch,1976)ၛট,ၘᇯࡶູದ܄ಪb8.ቋުႄࣉਆ۱ඌྟࡌק:ሹุูսྟࡌקބॖٳྟࡌק b三a非均衡的国内商品市场和开放的金融市场1.ऺضථാြሑ༯֥ݓଽഅ൧ӆᄝKUሑ༯,ӌഅᄝഅ൧ӆഈ൳֞۳,طंᄵᄝস൧ӆഈ൳֞۳bሹӁԛ҂൞οᅶӌഅ֥০ቋն߄ჰᄵ֝ԛ,֥ط൞Ⴎ൳֞স൧ӆഈ܂۳حཋᇅ֥ሹླ෮थק:֥Y^=X+D^(1)X=X*(P/E,i,Y*);x1= X<0;x2= X (P/E) *<0;x3= X Y*>0(2)D^D^=D^(P,i,Y^);D^ D^= P<0;D^ D^2 <0;D^ 3= Y^>0(3)ഈඍٚӱቆ૭ඍਔKUሑ༯֥ݓଽഅ൧ӆ:Y^ູӌഅ֥ჿඏྟӁԛ,ႮଽླD^აຓླXथקbXູຓݓंؓЧݓഅ(Їওসༀ)֥ླ(Їওሧླބཨٮླ);D^ູं൳֞স܂۳حཋᇅൈؓݓଽഅ֥ሹླ(ဢЇওሧაཨٮ);i,Yٳљіൕ০ੱބ൬ೆ,ഈѓ * սіຓݓэਈ:P൞ݓଽࡎ۬ඣ:Eູ߸ੱ,ၛຓл֥Члࡎ۬іൕ,ܣЧлъᆴൈEᆴഈശ;ೂݔ҂ॉ੮ॖસၞഅބ҂ॖસၞഅᆭٳ,P/Eьіൕၛຓл࠹ᆴ֥Чݓഅԛ१ࡎ۬bླ൞ࡎ۬a০ੱބ൬ೆ֥ݦඔ,భਆᆀّཟ႕ཙླඣ,ުᆀᆞཟ႕ཙbླေඪૼ֥൞,০ੱ֥ഈശ,၂ٚ૫ၝᇅሧླ,ਸ਼၂ٚ૫္๙ݖࡨഒٳ௹ڱॻ֩ྐႨཨٮྙൔၝᇅਔཨٮླbطD^3൞ш࠽ᆦԛౠཟ,၂Ϯඪট0<D^3<1,ၹູ൬ೆY^ᆭᇏႵ၂҆ٳႨၛԥྐྵ,၂҆ٳႨၛࣉ१,ᆺႵ၂҆ٳႨႿܓઙݓଽഅbࡼ(2)a(3)սೆ(1)ѩಆັٳ,ॖ֤ :dY^=x1=dP(E-pE2dE)+x2d*i+x3dY*+D^1dP+D^2di+D^3dY^(4) ҂ٞഡԚࡎ۬ඣބ߸ੱඣູ1,P=E=1,ᆃဢၩሢPaE֥э߄ࡼၛϤٳбটіൕbࡌೂݓຓэਈඣЌӻ҂э,d*i=dY*=0,ႻႮࡌഡ6:֤dP=0,ܣ1dY^=1-D^(D^2 di-x1 dE) ఃᇏ:1-D^3>0(4 )3 ॖၛु֞,Ӂԛ֥э߄၂ٚ૫౼थႿъᆴི֥ݔ,-x1 dE>0(ъᆴࡼᄹࡆӁԛ),ਸ਼၂ٚ૫္൳֞০ੱэ߄֥႕ཙbᄝᇏݓ,ࣁವ൧ӆ҂ष٢ࠇ০ੱഉໃ൧ӆ߄,ᄵ߸ੱބ০ੱࠎЧഈ൞ཌྷۯ,֥ъᆴᆺ๙ݖ၂ᇕࣥ႕ཙӁԛ-x1 dE:dY^=1-D^>0b3ᄝ০ੱ൧ӆ߄aࣁವ٢ष֥౦ঃ༯,ъᆴࣼ߶ႄఏ০ੱ֥э߄,Ֆط႕ཙଽ,ླY^֥э߄ࣼၛ൙༵ಒקਔb2.ष٢֥ࣁವ൧ӆA:҂թᄝᅏಊྙൔ֥ሧӁ51
ႮႿЧݓं҂ӻႵຓлᅏಊሧӁ,ၹՎࠊлࣼӮਔື၂֥ҍڶྙൔb֒ሧӁ൧ӆष٢ൈ,ݓ࠽ሧЧԛႿส০֥ࠏࡼੀೆࠇੀԛھݓb၂۱Ⴕི֥൧ӆࡼ߶ཨԢޅॖିթᄝ֥ส০ࠏ߶bൈሧӁྙൔ֥ֆ၂္ၩሢਅݺู֥սྟ,ၹطҀ֥০ੱࡎ(uncoveredinterestrateparity)ࡼӮ৫:-Ei=*Eei+E(5)Eіൕགྷྛ߸ੱඣ,၇ࣸοഈ໓ࡌק,E=1:Eeіൕ܄ᇙყ௹֥߸ੱඣbࡌೂषൈຓ߸൧ӆԩႿ໗קनޙሑ,ᄵყ௹ඣაགྷྛඣЌӻ၂ᇁ:Ee=E=1b္ࣼ൞ඪ܄ᇙ࠻ໃӁളъᆴყ௹,္ໃӁളശᆴყ௹,ߐᆭ,ࠧݓଽ০ੱФ෭קᄝݓ࠽ඣഈ:i=*ibࡼ(5)ൔಆັٳ*,ѩdi=0,Ee=E=1,ᄵ:di=dEe-dE(6)ࡼ(6)ൔսೆ(4 ),ॖ֤:1dY^=D^2(dEe-dE)-x1dE(7)1-D^3Ֆ(7)ൔॖၛु֞:ೂݔᄝᆟکൌീъᆴᆭభ,܄ᇙၘӁളਔ௴ђ֥ъᆴყ௹,ପહႮdE=0,dEe>0,ၹՎ1dY^=D^1-D^2 dEe<0,ݓଽӁԛࡼ߶ၹࣉ၂҄൳֞ჿඏطࡨഒbᆃ൞3ၹູъᆴყ௹ᄯӮਔໃটຓ߸ശඣ,Ֆطิۚਔ০ੱ,ၝᇅਔݓଽླ;طຓླಏಯົӻ҂э,෮ၛъᆴყ௹ࣉ၂҄෪ਔሹླ,ࡨഒਔӁԛbᆟکൌീъᆴᆟҦᆭ,ުຓླ֥ঔնႮႿъᆴᄯӮ֥ԛ१ࡎ۬༯ࢆطӮູགྷൌ,൞Ⴕਆ۱ჰၹૌم؎קሹӁԛ൞ڎ၂ק߶ᄹࡆ:ֻ၂,ૌ҂ᆩ֡ъᆴᆭ,ު০ੱ߶ႮႿ܄ᇙ֥ࣉ၂҄ყ௹طೂޅэ߄;ֻؽ,ૌ҂ᆩ֡ຓླ֥ঔն(ࡆഈࠇႵ֥ଽླঔն)൞ڎቀၛҀՖъᆴყ௹Ӂള֞ъᆴؿളᆃ௹ࡗ০ੱഈശᄯӮ֥Ӂԛ༯ࢆbъᆴު০ੱ֥ࣉ၂҄э߄၇ঠႿࣁವ൧ӆഈ܄ᇙቔԛޅᇕყ௹bೂݔ܄ᇙಪູъᆴ൞၂Ցྟ,֥ପહъᆴުࡼᄜՑൌགྷ໗קनޙ,ყ௹߸ੱඣ֩Ⴟགྷྛ߸ੱඣ,০ੱႻᄜՑ߭֞*iඣ,ࠧડቀࡌഡ5(dEe=dE),෮ၛdY^1=1-D^(-x1) dE>0,ѩ٤ၹູຓླ3֥ঔնބଽླ֥҂эطᄹࡆbಖطൌ࠽ളࠃᇏࡌഡ5ѩ҂ሹି֤ၛડቀ,൙ൌഈ܄ᇙࠫެޓഒಪູъᆴ൞၂Ցྟ,֥ࠎႿؓЧлྐྏ֥ဨ,ؓસၞࣩᆚؓ൭ىъᆴ֥քྏ,ሹ൞Ⴕԉٳ֥Ⴎყ௹ྍ֥ъᆴ,ପહ০ੱࡼࣉ၂҄ഈശ,ଽླࣉ၂҄൳ၝᇅ,Ӂԛ֥ᄹࡆࡼ߶Фַཨ,ೂݔD^2֥धؓᆴቀܔն,طx1धؓᆴቀܔཬ,ପહӁԛമᇀႵॖିࡨഒbೂݔᆃൈᆟکಪູъᆴ֥৯؇҂ܔطᄜՑъᆴ,ᄵၐࡆ఼ਔ܄ᇙ֥ъᆴყ௹,০ੱࣉ၂҄ഈശ,Ⴟ൞ᆟکᄀؿၛൌགྷᆟҦଢѓ,ྙӮ ሱ఼߄֥ذྟ࿖ߌ (aself-reinforcingviciouscircle)bሸഈ෮ඍ,ъᆴི֥ݔࡼႮႿଽླ֥҂ಒקྟطၛ؎,ъᆴႄఏ֥ຓླᄹࡆޓॖିФଽླ֥ࡨഒطַཨb3.ष٢֥ࣁವ൧ӆB:թᄝᅏಊሧӁᅏಊሧӁ֥ԛགྷࠊл҂ᄜӮູື၂֥ҍڶྙൔ,ЧݓंࡼఃҍڶሹਈWٳљ52
ᇂႿ҂֥ሧӁྙൔ,бೂЧݓᅏಊBaຓݓᅏಊF֩֩bᆃ္πൕਆᇕሧӁѩ҂ିປಆูսbૌҐႨTobin-Markowitz֥ሧӁቆކંࣉྛٳ༅:Ms=m(i,Ee,Y^*,i) WBs=*b(i,Ee,Y^,i) WE Fs=*f(i,Ee,Y^,i) WW=Ms+Bs+E Fsm1= m/ i<0;m2= m/ Ee<0b1= b/ i>0;b2= b/ Ee<0(8)f1- f/ i<0;f2= f/ Ee>0ഈඍٚӱቆაѓሙ֥ሧӁቆކંᄝྙൔഈႵ҂,ૌ၇ऌॖٳྟࡌഡ,ಞEeބ*iٳљࣉೆሧӁླݦඔ;طᄝѓሙંᇏ,ᆃਆཛކѩᄝ၂ఏФुቔຓݓᅏಊ֥ყ௹൬ၭ(ੱၹູࡌഡਔE=1,෮ၛEe҂іൕध֥ؓ߸ੱඣ,ط൞սіਔყ௹֥߸ੱэ߄Ϥٳб)bܒӮຓݓሧӁ൬ၭੱ֥၂҆ٳ,ၹՎૌॖ۴ऌሹุูսྟࡌഡ֤:֞f1+f2>0;b1+b2>0;m1<m2<0(9) ԛႿაࡌഡE=1ဢ֥Ⴎ,ॖࡌഡW=1,ၹՎಸၞुԛ:m+b+f=1;m1+b1+f1=0;m2+b2+f2=0ࡼ(8)ൔಆັٳ,ѩ۴ऌࡌഡ7ႵdY^=0*,ᄜdi=0,Ⴟ൞Ⴕ:dMs=m1di+m2dEe+m dWdBs=b1di+b2dEe+b dWE dFs+FsdE=f1di+f2dEe+f dW(10)dW=dMs+dBs+E dFs+Fs dEႮ(10)ൔഡdE=0,֤:di/dEem2|dMs=0=-m1b2di/dEe|dBs=0=- :b1f2di/dEe|dFs=dE=0=-f1m2b2f2di/dEe|dE=0=-(m++)= (11)1b1f1Ⴎൔm2b2f2f2(9)ൔॖ:֤0<m<1;-1<1b<0;<-1,෮ၛm2b2m+1b+<0,ࠧ >0b1f11f1෮ၛೂݔъᆴభ܄ᇙၘࣜӁളਔ௴ђ֥ъყ௹,ପહႮdi= dEe,০ੱࡼഈശ,ೂݔսೆ(4 ),ᄵD^dY^2=Ee<0,ሹӁԛ൳֞ၝᇅطࡨഒ,ᆃა҂թᄝᅏಊሧӁ֥ࣁವ൧1-D^ d3ӆ౦ঃ൞၂ᇁ֥bъᆴؿളުଽླ֥э߄(ࠇᆀᆰࢤඪ൞০ੱ֥э߄)ဢ၇ঠႿ܄ᇙ֥ყ௹ࠏᇅ,ᆃ53
֤ૌၛ൙༵؎ъᆴିڎᄹࡆӁԛb൮༵,ೂݔૌ٢ॺࡌഡ5,ಪູ܄ᇙౠཟႿყ௹ࣉ၂҄ъᆴ,ᆃၩሢყ௹֥ъᆴږ؇ေնႿൌ࠽֥ъᆴږ؇,ъᆴѩໃཨԢъᆴყ௹,Ⴟ൞ഈ໓֥ٳ༅ࡼᄝъᆴުྍ֥߸ੱඣE2ഈᇗྍࣉྛ၂Ց,ࢲંࡼ൞০ੱഈശbଽླࡨഒ,ᇯַ҄ཨຓླ֥ঔն;ఃՑ,ೂݔૌົӻࡌഡ5,ପહъᆴުྍ֥߸ੱඣࡼఞݺູE1,ࠧьೂՎૌಯمಒᆩi0ބi ଧ۱۷ۚ ;ᄜՑ,ࡌೂъᆴږ؇ӑݖყ௹֥ږ؇,ᄵ܄ᇙࡼ߶Ӂളശᆴყ௹,০ੱࡼ༯ࢆ,ଽླՖطӁԛૼಒᄹࡆ,ᆃᆞ൞ᆟҦᇅקᆀஏຬ֥ࢲݔ,္൞༯໓෮ඪ ၩຓളӁݦඔ ֥၇ऌ෮ᄝbࠧೂՎ,ᆟک֥ъᆴᆟҦಯສສಌك၂ᇁ,ྟࣼའЧ໓ֻඹࢫ෮ٳ༅֥ପဢbᇀՎॖၛඪ,֒ᆟکམ၇ौъᆴটঔնӁԛൈ߶ӵ൳ޓն֥ڄག:၂টᄝъᆴభࡼӵ൳۷ູࡆख֥ླ҂ቀ;ؽটъᆴު֥ൌ࠽౦ঃ္ၛЌᆣଢѓ၂קିൌགྷ;টႮႿъᆴࠫެሹ൞ၝᇅଽླ,֩ႿࡼЧݓڞ০ཟݓຓሇ၍,ၹՎᄝᆟᇍഈ္ॖିၛົӻb四a汇率博弈 :贬值的动态不一致性Чࢫ෮ࡹ৫֥ଆႮKyland&Prescott(1977)֥ࠊлᆟҦଆؿᅚطট,Ѱᒮචູٚᆟکބ܄ᇙb܄ᇙ࿊ᄴყ௹֥߸ੱEe(ႮႿࡌקਔE=1,ၹՎ܄ᇙ࿊ᄴ֥ൌ࠽ഈ൞ყ௹߸ੱэ߄)ੱ,ಖު၇ऌEeᄝࣁವ൧ӆഈሱ֥࠭ሧӁቆކ൬ၭቋն߄,ᆃࡼ๙ݖഈ໓ٳ༅֥౻֡႕ཙ০ੱ,ࣉط႕ཙݓଽླބӁԛbູٳ༅ࡥ߄,ૌࡌഡ܄ᇙ֥ປಆྟყ௹ఞݺຓླ֥ᄹӉປಆФଽླ֥ᄹࡆ෮ַཨ,ၹطӁԛીႵэ߄bᄝ۳ק܄ᇙ࿊ᄴ֥౦ঃ༯,ᆟک࿊ᄴൌ࠽֥߸ੱඣ,ၛቋն߄ሱ֥࠭ଢѓݦඔbࡌഡᆟکܱྏਆ۱ଢѓ:(1)ԉٳࣼြ༯֥ൌ࠽Ӂԛ;(2)ೂݔေ๙ݖъᆴটൌགྷଢѓ(1),ᄵ࣐ਈъᆴ҂ᇀႿᄯӮຓᅏڵքݖᇗ,ߐओ߅ඪ,ᆟکູൌགྷԉٳࣼြ჻ၩӵ൳၂קӱ؇ຓᅏڵքࡆᇗ,ܣᆟک֥ଢѓݦඔॖഡ:U(E,Y)=-(Y-k Y2)-c (E-E 2)(12) ҕᅶKyland&Prescott֥ଆ,ૌဢႄೆk>1ᆃ۱ܱྟࡌഡ(k>1֥ݣၬॖҕ베ົ႒,1996);(12)ൔ֥ު၂ཛіૼ,֒Ӂԛ҂ؿളэ߄ൈ,ᆟک۷ொݺႿົӻགྷྛ߸,ੱޅэࡼᆟکི֥Ⴈࡨഒ(ჰၹ൞؟ٚ૫֥:бೂъᆴࡼࡆᇗຓᅏڵք,طശᆴᄵ҂০ႿЧݓഅԛ१ )bਸ਼ຓࡌഡᆟکߎ൳ೂ༯ჿඏ:Y= Y+h (E-Ee) h>o(13)Y սіԉٳࣼြӁԛbഈൔࠧ෮໌ ֥ၩຓളӁݦඔ ఃݣၬ൞ᆺႵъᆴ֥ൌ࠽ږ؇ӑݖਔ܄ᇙ֥ყ௹,ӁԛҌ߶ᄹࡆ,ᆃఃᇏ֥ჰၹૌᄝഈ໓ֻࢫቋުၘቔݖඪૼbࢳ༯૫ቋն߄໙ี:maxU(E,Y)=-(Y-k Y2)-c (E-E 2) Y= Y+h (E-Ee)ࡼ(13)ս(ೆ12),ᄵ֤:֞maxU(E)=-[(1-k)Y +h (E-Ee2)]-c (E- E2) U E=-2h [(1-k) Y+h (E-Ee)]-2c (E-E )(14)Ⴎ(14)֤֞ᆟکّ֥ႋݦඔ:ູ54
E2-12-1=(c+h) 2h Ee+(c+h)[c E -h (1-k) Y](15) ᆟکބ܄ᇙّ֥ႋݦඔॖіൕ༯: ֒ᆟک֥ъᆴᆟҦປಆໃФ܄ᇙყ௹֞ൈ,܄ᇙّ֥ႋݦඔູEe= E,Ⴎ(14)֤֞ᆟک֥ቋႪ࿊ᄴູE) Y f=E h (1-k-2,ᆟکི֥ႨඣູUf=-c [(1-k2)Y ]2(fսіc+hc+hfooling,ᆷᆟکჃ୫ਔ܄ᇙ)),ׄF( Eh(1-k, E-2 Y)ູ၂۱ବनޙbc+h֒ᆟک֥ъᆴᆟҦປಆФ܄ᇙყ௹֞ൈ,܄ᇙّ֥ݦඔູEe=E,Ⴎ(14)֤֞ᆟک֥ቋႪ࿊ᄴູEr=E h- 1-k)Y 2](1-k) Y ,ིႨູUr=-c [(c2(rսіrational,܄ᇙ൞c+hྟ)֥,ׄR(E h- (1-k) Y ,E h- (1-k)Y ູਸ਼၂cc۱ବनޙb бࢠEfބErॖၛؿགྷ,֒܄ᇙປಆყ௹֞ᆟک֥ъᆴඣൈ,नޙ֥ъᆴӱ؇ေնႿ܄ᇙປಆીႵყ௹֞ൈ֥ъᆴӱ؇bطбࢠUfބUrॖၛؿགྷ,ೂݔᆟک֥ъᆴФ܄ᇙປಆყ௹֞ਔ,ପહི֥Ⴈඣࡼ֮Ⴟ܄ᇙીႵყ௹֞ൈ֥౦ঃ,ᆃ൞ၹ,ູႮႿ܄ᇙ֥ކყ௹,ིႨݦඔᇏֻ֥၂ཛીႵڿ,طֻؽཛذ߄ਔbࡌೂᆟکӵ୶҂ъᆴ,ପહࡼؓႋႿᇏ֥Pׄ(E ,E ),ં܄ᇙႵປಆყ௹,ᆟکሹିࠆ֤Up=-[(1-k)Y 2]ི֥Ⴈඣ(pսіprecommitment ӵ୶),ૌؿགྷႵUf>Up>ur,ᆟکӵ୶҂ъᆴི֥ႨေۚႿъᆴطФყ௹֞ൈ֥ඣ,ପູહᆟک҂ྐ൯୶?ᆃ൞ၹູೂݔᆟکӵ୶҂ъᆴѩ܄ᇙཌྷྐਔ,ᄵᄝ۳ק܄ᇙّ֥ႋݦඔEe=E ൈ,ᆟک֥ቋႪᅞູъᆴᇀEfඣ,ၹູUf>Up,෮ၛᆟکીႵࠒࠞྟྐ൯bՖᇏॖౢԣ֥ुԛP҂൞၂۱҂(ׄFҌ൞),ၹطP҂൞ବनޙb൙ൌഈRສສҌ൞ቋᇔିൌགྷ֥ବनޙb五a结论与启示ࣜݖഈ໓֥ٳ༅,ૌරެಯ҂ିಒᆩौъᆴটՏࠗӁԛିᄝ؟նӱ؇ഈሽི,ૌॖၛड़ק:(1)ೂݔъᆴభ܄ᇙၘӁള௴ђ֥ъᆴყ௹,ପહӁԛࡼ߶ࣉ၂҄൳֞ၝᇅ,ં܄ᇙ൞ڎӻႵᅏಊሧӁ;(2)ъᆴ,ު၇ऌ܄ᇙ҂֥ყ௹ࠏᇅ,০ੱ߶Ⴕ҂֥э߄ٚཟ,ᄝ؟ඔ౦ঃ༯߶ഈശ,Ֆطၝᇅଽླ bᄝ০ੱഈശ֥౦ঃ༯,Ӂԛᄹࡆაڎߎ၇ঠႿሧ֥০ੱૹۋӱ؇ބԛ१അ֥ࡎ۬ྟਆᆀ֥նཬܱ༢,ࠧD^2ބx1,ೂݔթᄝ|D^2|>>|x1|,ପહӁԛࠫެड़ק༯ࢆbᇏݓࣜ࠶ࣉೆ1998୍ުࠎЧԩႿKUሑ,ࡆഈתଲࣁವາࠏ֥Ԋࠌ,ఓሹླӮູᇏݓᆟک֥֩ն൙,थҦᆀᇶေҐ౼ਔҍᆟᆟҦ൭؍,੫ྛਔؓຓ෮ቔԛ֥ದл҂ъᆴ֥ӵ୶bࣇࣇࣼЧ໓֥ٳ༅ॿࡏط,ᄝགྷࢨ؍ମᇀࣂު၂؍ൈ௹֥ᇏݓ,ъᆴؓႿՏࠗሹླ,ᄹࡆӁԛಯ൞၂ᇕႵི൭؍,ჰၹႵ:ֻׄ၂,ᇏݓ֥ࣁವ൧ӆߎໃؓຓ55
ष٢,০ੱ္ໃ൧ӆ߄;ં܄ᇙႵહဢ֥ъᆴყ௹,҂߶ؓ০ੱᄯӮહ႕ཙbֻؽ,ࠧъᆴ๙ݖࣁವ൧ӆഈ܄ᇙყ௹ၛຓ֥౻֡ᄯӮਔݓଽ০ੱഈᅨ,෮֝ᇁ֥ଽླࡨഒ္҂߶ޓն,ၹູ؟୍࠹߃ุᇅ֥ު၌ᆡն؟ඔݓႵఒြ֥ሧ০ੱૹۋӱ؇ࢠ,֮طᄝᇏݓྐႨཨٮ֥ྙൔߎ҂௴ࠣbֻ,ᄝᇏݓ֥ԛ१ࢲܒᇏ,সૡࠢӁ෮ᅝ֥бᇗࢠն,ᆃোӁ֥бࢠႪ൝ᇶေุགྷᄝࡎࣩ۬ᆚ৯ഈ,ၹطԛ१֥ࡎ۬ྟ൞ࢠ֥ۚ,෮ၛъᆴିᄯӮࢠն֥ຓླᄹࡆbഈඍ่ჰၹࠎЧॖЌᆣъᆴު֥ӁԛิۚbಖطՖӉჹটु,ഈඍ่ᆦӻъᆴ֥Ⴎࡼ҂گթᄝ:൮,༵ࣁವ൧ӆ֥ष٢൞ն൝෮,০ੱ൧ӆ߄۷൞ᄪၘิԛ,໓ᇏ෮ٳ༅֥ъᆴ๙ݖࣁವ൧ӆ႕ཙ০ੱ֥ࠏᇅࡼؿߨቔႨ;ఃՑ,ᇏݓᆟکၘૼಒิԛေᄝ3୍ӞָࢳथݓႵఒြ໙ี,ೂݔିӮۿ,ᄵၩሢఒြሧؓ০ੱ֥ૹۋӱ؇ࡼᄝໃটᇯࡶิ;ֻۚ,ෛሢԛ१ࢲܒ֥ശࠩߐս,ԛ१֥Ⴊ൝ࡼᄀটᄀഒֹ၇ौࡎ,۬ԛ१֥ࡎ۬ྟࣼ߶ᇯࡶэཬ,ъᆴջট֥ຓླᇯࡶ္ࡼն҂ೂభb۷ູᇗေ֥൞,၂۱ᆟک,Ⴍః൞ԩႿࣜ࠶ሇ݅ൈ௹֥ᆟک,ླေ๙ݖ໗קлᆴটඎ৫܄ᇙؓЧл֥ྐྏ,ඎ৫ሱ࠭ਅݺ ֥ലუ (reputation)b҂ഒ໓ངӂૼਔᆟک ֥ലუ ؓႿлᆴ֥໗קބࣁವ൧ӆ֥໗Ⴕᇗေ֥ቔႨbBensaid&Jeanne(1997)ᆣૼਔऎႵਅݺ ലუ ֥ᆟکିӾമᇀٝᆸࠊлາࠏ֥֞ট,ലუ҂ݺ֥ᆟکᄵࡼъᆴყ௹ ሱൌགྷ (Self-fulfilling),ՖطႺؿࠊлາࠏb྆(1996)ࢲކ1994୍ದл߸ੱѩ,݅ඪૼਔ൞ᆟک֥ലუ(ࠣ܄ᇙၹՎӁള֥ྐྏ),ط҂൞ԉቀ֥ຓ߸ԥС,ᄝ߸ੱᇅ؇ሇ֥݅ݖ؈௹ଽϲဆਔ໗קఖ֥࢘bᄝЧ໓֥ٳ༅ᇏ,ъᆴު܄ᇙ֥ყ௹္൞ࡹᇽᄝؓᆟکലუ֥ࡎഈ,֥ലუݺ֥ᆟکିཨԢ܄ᇙࣉ၂֥҄ъᆴყ௹:ലუҵ֥ᆟکҧ҂,ିၹطъᆴղ҂֞ყ௹֥ଢ֥bᆟکູՎࡆնъᆴ৯؇,ၐࡼࣉ၂҄ࡆധ܄ᇙ֥ყ௹,ྙӮ၂۱ذྟ࿖ߌbᇿ: ᆃᇕٳোٚمॉ੮ਔস൧ӆაഅ൧ӆ֥٤नޙ,൙ൌഈࣁವ൧ӆ္Ⴕॖିԛགྷ٤नޙb࣐ܵࣁವሧӁࡎ۬טᆜႵྟ,ᄝଖུ౦ঃ༯,бೂܥק߸ੱᇅ,٤नޙሑঃಯॖିؿളb ॖၛഡམھᆟک၂টڋڠ֣ણᄵ ֆ၂ࠊлܿ߃ ,ؽটᱦ ྐࡁ Ϙઅ֩ࡎק ,ၹط҂ॉ੮ࠊлᆟҦބҍᆟᆟҦ,ᆃဢॖٳ༅ࡥ߄b ࡌഡ6a7ॖۀও ູࡎ۬טᆜતႿӁਈטᆜ,ӁਈטᆜતႿࣁವ൧ӆטᆜ bࡌഡ8֥ݣၬၛࠣᄝ٤नޙष٢ࣜ࠶ᇏ֥ᄎႨॖҕᄇॏ๓ؘ֩,1992b Y^൞ႮX,D^थק֥Ӂԛ,ൈቔູ൬ೆᄝਈഈ֩Ⴟ۽ሧ൬ೆࡆഈ০൬ೆ:Y^=w L+ ,ఃᇏ L൞ंᄝসP൧ӆഈ෮૫ਢ֥۳b֒ъᆴՏࠗਔຓླᆭު,স܂۳֥ჿඏ Lࣼ߶٢ॺ,ၹູԛ१Ӂ֥ളӁӌഅࡼܦႛ۷؟֥۽ದb L֥٢ॺ၂ٚ૫๙ݖ൬ೆ֥ᄹࡆ႕ཙሹླ,ਸ਼၂ٚ૫ߎ߶๙ݖഅა༽༫ู֥սིႋ႕ཙሹླ,ֻؽ่ࣥࢠູگᄖ,ࡌഡ8ᇏ֥ॖٳྟࡌഡૌॖᆺॉ੮ֻ၂่ࣥ,ܣಆັٳᆭުॖ֤֞ೂ(4)֥іղྙൔbҕᄇॏ๓ؘ֩,1992b Obstfeld(1994)ᄻႨ၂۱ਆࢨ؍ଆᆣૼਔؓъᆴ֥ყ௹ࡼิۚݓଽ০ੱՖطъᆴሱൌགྷb ܱႿ߸ੱѰᒮଆ֥໓ངߎॖBensaid&Jeanne(1997)ބObstfeld(1996)bభᆀܱᇿ൞ᆟکູົӻܥק߸ੱᇅطა൧ӆሧᆀࣉྛ֥Ѱᒮ;ުᆀ֥ٳ༅ॿࡏაЧ໓ࢤ࣍,नႮKyland&Prescottଆؿᅚطট,љᄝႿObstfeldႨ֥൞߸ੱэ߄ੱ,طЧ໓Ⴈ֥ᄵ൞धؓ߸ੱඣb ᄝBensaid&Jeanneᇏ,ᆟکؓགྷྛ߸ੱ֥ொݺࠢᇏіགྷູթᄝ၂۱෮໌ ֥ԛӮЧ (optingcost):ᆟکэ߸ੱ56
(ંശߎ൞ъ)߶ӁളӮЧbᆃུӮЧԢਔЧ໓ᇏ෮ิ֥֞ຓ,ॖିߎЇও:(1)߸ੱ֥э߄ॖିႄఏસၞ่ࡱ֥ѯ,Ֆط႕ཙસၞ֥ࣉྛ;(2)ھݓԩႿ၂۱ࣜ࠶၂ุ߄֥თᇏ,ପહ߸ੱ֥ശъߎࡼఠട҂ഒ֥ླྀטӮЧ;(3)߸ੱݖ؟֥ѯ҂০Ⴟᆟک ֥ലუ ,֒൧ӆഈႵߊཨ༏ൈ,߶ࡆख܄ᇙ֥ъᆴყ௹,ᄹࡆࠊлາࠏؿള֥ॖିྟbBensaid&Jeanneᄝ໓ᇏᆣૼᆟک֥ലუቀܔݺࡼႵᇹႿཨԢ܄ᇙ֥ъᆴყ௹,ߏമᇀٝᆸາࠏ֥Еؿb ࡌೂߐ၂۱࢘؇,٢ॺࡌഡ6,ପહೂݔളӁေᇏࣉ१֥б২ࢠն,ࠧ҂ॉ੮০ੱ,ъᆴ္ࡼ๙ݖิۚࣉ१ჰਘࡎ۬টၝᇅሧླ,ิۚࡎ۬ሹඣটၝᇅཨٮླbҕॉ໓ང1 ॏ๓ؘ,֩,1992, ष٢ࣜ࠶٤नޙޡܴࣜ࠶࿐ ,ᇏၲЧ,ഈݚၲ໓ԛϱഠ2 ॓௴ধ,1992, ߸ੱაݓ࠽ࣁವ ,ᇏၲЧ,ᇏݓࣁವԛϱഠ3 ؟ض҃,֩,1990, ष٢ࣜ࠶:ؿᅚᇏݓࡅᆟҦᇅקᆀ֥۽ऎ ,ᇏၲЧ,ᇏݓҍࣜԛϱഠ4 क़সຯ,1990, ष٢ࣜ࠶༯֥ޡܴࣜ࠶ ં,ᇏၲЧ,ᇏݓࣁವԛϱഠ5 ᅦົ႒,1996, Ѱᒮંაྐ༏ࣜ࠶࿐ ,ഈݚದԛϱഠ,ഈݚ৳6 ྆,1996, ᇏݓࣁವᇅ؇֥࿊ᄴ ,ഈݚჹתԛϱഠ7 Barro,.&Grossman,(1971), AGeneralDisequilibriumModelofIncomeandEmployment ,AER,,82-938 Bensaid,B&Jeanne,O(1997), TheinstabilityofFixedExchangeRateSystemswhenRaisingtheNominalInterestRateisCost-ly ,EER,,1461-14789 Dornbusch,R(1976) TheTheoryofFlexibleExchangeRateRegimesandMacroeconomicPolicy ,in TheEconomicsofExchangeRates ,,etal,Addison-WerleyPublishingCompany,197810 Kyland,F&Prescott,(1977), RulesratherthanDiscretion:TheInconsistencyofOptimalPlans ,JPE,,76-7911 Obstfeld,M(1994), TheLogicofCurrencyCrises ,CahiersEconomiesetMon taire,,189-21312 Obstfeld,M(1996), ModelsofCurrencyCriseswithSelf-fulfillingfeathures ,EER,,1037-1047Abstract:Devaluationpolicyisnotnecessarilyimplementedtoimproveinternationalbalanceofpay-ment,butsometimestopullupexternaldemand,,throughtheeffectofopenfinancialmarket,devaluationcouldalsoinfluencedomesticdemand,,theincreaseinexternaldemandcouldpossiblybesetoffbythedecreaseindomesticdemand,:Non-balancedeconomy;Keynesianunemployment;Nashequilibrium(特约编辑:王素珍)57
