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系統識別號 U0002-2106201215245000
中文論文名稱 政府政策目標與匯率投機攻擊賽局
英文論文名稱 Objective of Government Policy and Speculative Currency Game
校院名稱 淡江大學
系所名稱(中) 國際企業學系碩士班
系所名稱(英) Master's Program, Department Of International Business
學年度 100
學期 2
出版年 101
研究生中文姓名 郭馨淳
研究生英文姓名 Shin-Chun Kuo
電子信箱 sun7768@hotmail.com
學號 699551007
學位類別 碩士
語文別 中文
口試日期 2012-06-03
論文頁數 52頁
口試委員 指導教授-蔡政言
指導教授-蔡明芳
委員-鮑世亨
委員-張淑惠
委員-陳財家
中文關鍵字 貨幣攻擊  貨幣賽局  單一均衡 
英文關鍵字 Currency Attack  Currency Game  Unique Equilibrium 
學科別分類
中文摘要   在固定匯率制度下,政府的政策目標,為維持匯率的穩定、物價的穩定或利率的穩定等。在外匯市場中有許多參與者,包含了匯率的投機者,他們預期匯率的升值或貶值,並予以投資或投機性的攻擊。因此,我們探討國際間的投機者如何形成一個重覆合作賽局並選擇策略,並引入央行的成本函數和針對央行如何在外匯市場中進行操作、政府如何維持政府目標、以及如何避免遭受匯率攻擊進行討論,以進一步分析經濟體系最後所形成的長期均衡狀態。
  本文沿用Kandori, Mailath and Rob(1993)之演化性賽局模型為基本架構,考量投機者之預期心理因素,並討論央行的成本函數以建構出其目標方程式,及分析央行所採取的策略,此外,透過國際間投機者所形成的貨幣賽局,探討投機者採取的策略與預期報酬之間的關聯性。
  本研究顯示出三個主要結果: (1)央行持有之名譽成本多寡將會影響到固定匯率制度崩潰的時間點。(2)投機者在預期報酬高於其交易成本時,投機者才會進行貨幣攻擊。(3)當國際間投機者組成合作賽局並聯合攻擊一經濟體系後,經濟體系所形成的均衡為單一均衡,亦即攻擊均衡狀態。
英文摘要   The purpose of this study is to explore how the foreign currency speculator chooses the optimal strategy in the currency game and how the government policy effect the exchange rate regimes.
  This paper develops an evolutionary model from Kandori, Mailath and Rob(1993) (henceforth KMR).The forex market is consists of heterogeneous speculator, each of whom are learning through imitation and experimentation in the coordination game.
  Our model involves the central bank’s loss function, International Fisher Effect and the speculator self-fulfilling expectation in currency attacks. We construct the central bank’s loss function to analyze the central bank optimal strategy in abandon the fix exchange rate regime.
  The results of this study reveal as follows: (1) The optimal strategy for the central bank is to abandon the fix peg if and only if the foreign exchange reserves is inadequate. (2) In any period t, the optimal strategy for a speculator is to attack the currency if and only if the expected payoff is higher than the transaction costs. (3)The result of evolutionary dynamic will converges to a unique long run equilibrium, which is the “attack” equilibrium.
論文目次 謝 辭 I
目錄 IV
圖目錄 V
表目錄 VI
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究方法 3
第四節 研究架構 4
第二章 文獻探討 6
第一節 賽局理論介紹 6
第二節 政府政策目標 14
第三節 貨幣危機模型介紹 16
第三章 理論模型 31
第一節 KMR模型 31
第二節 基本模型 33
第一項 國際費雪效果、中央銀行與投機者預期心理 33
第二項 外匯交易市場與貨幣賽局 38
第四章 模型之均衡 41
第一節 確定性動態均衡 41
第二節 馬可夫鏈之均衡 44
第五章 結論 47
參考文獻 48
圖目錄
圖1-1 研究架構流程圖…………………………………………………………….5
圖2-1 賽局理論互動模型………………………………………………………….8
圖2-2 在共同訊息下,固定匯率的值與匯率影子價格………………………… 27
圖2-3 在共同訊息並考慮投機攻擊下,固定匯率的值與匯率影子價格……….29
圖3-1 賽局…………………………………………………………………………31
圖3-2 貨幣賽局……………………………………………………………………38
圖4-1 賽局…………………………………………………………………………44
表目錄
表2-1 賽局的種類與對應之均衡概念……………………………………………11
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