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1、论汇率制度的选择On the Choice of Exchange Rate Regimes单位： 姓名： 学号： 专业： 导师： 摘要为了克服传统的蒙代尔不可能三角对汇率制度选择问题的分析局限，本文提出了扩展三角这个可供检验的假说，从而使得对此问题的全面分析成为可能。基于此假说，我们先建立了一个由政府主导时的汇率制度选择模型。模型解的结果表明，决定汇率制度选择的主要参数与最优货币区标准是大致相符的，此时没有哪一种汇率制度对所有国家以及所有时期都适用。这表明不可能三角或者是其扩展形式的扩展三角都不能成为“汇率制度角点解假设”的理论基础。随着金融衍生工具的发展，汇率风险因素急剧缩小，而大规模投机
2、攻击则成为可能。在此市场主导的新环境下，我们分析指出，由于中间汇率制度试图提供免费的汇率风险保险而导致的公众道德风险行为，以及中间汇率制度作为一种相机决策而非规则所产生的公众对此政府承诺的信任危机，而内生地招致了投机攻击，并且投机攻击在此中间制度下又会引发公众恐慌。我们通过建立一个具有微观基础的汇率动态模型，并对其进行模拟的结果表明，在中间汇率制度下，不同程度的金融改革与金融开放的匹配性和公众恐慌诱发了各种货币危机。所以中间汇率制度将随着时间的推移而消亡。在全球经济一体化的背景下，在建立起新的国际金融体系之前，作为规则的“角点汇率制度”将是唯一的选择。这样本文几乎第一次为“汇率制度角点解假设”
3、提供了一个较为全面的理论基础。关键词：角点和中间汇率制度汇率制度角点解假设扩展三角公众预期政策可信度货币危机致谢:我特别感谢我的导师易纲教授。从选题、收集材料、日常讨论到最后修改定稿，都包含了他的大量心血。没有他的悉心指导，这篇文章是不可能完成的。我也感谢他在做人方面对我的教导和生活上对我的关心。我也感谢林毅夫教授和陈平教授给我机会在他们的讨论班上发言。他们的评论对本文助益很大。他们对后学的热情鼓励让我满怀勇气和感激。我也感谢杨小凯教授和施建淮副教授对本文的建设性改进建议。我还要感谢白金辉以及中心宏观组的同学对我写作本文的帮助。我也预先感谢论文评审委员会和答辩委员会的老师们的可能的建设性评论。
4、最后，我也想感谢我的父母。他们为了我能接受更好、更高的教育，含辛茹苦，作出了很大牺牲。我希望这是他们一生中所作出的最明智的投资决策之一。目录. 文章的结构与贡献1一. 经验事实和文献综述2（一）牙买加体系下汇率制度的演化2（二）已有汇率制度选择理论简介31 传统的固定与浮动之争32 现在的角点与中间之争43 与汇率制度选择问题密切相关的货币危机理论5二基本模型：政府主导时的情形6（一）模型的前提假定6（二）从不可能三角到扩展三角6（三）政府的目标函数与基本模型7（四） 最优化结果及解释8（五）比较静态分析9三 中间汇率制度的危机：市场主导时的情形 11（一） 汇率制度与公众预期 111. 外汇
5、市场上一般个体的行为分析112. 汇率制度对公众预期的影响123. 投机攻击者的行为分析134. 结果14（二） 一个具有微观基础的汇率动态模型 141 金融改革和金融开放的匹配性的影响152 投机攻击的影响153 公众恐慌的影响154 各方行为方程16（三） 模型模拟：中间汇率制度下的货币危机 16（四） 货币危机和金融危机的逻辑 16（五） 中间汇率制度价值的一些额外讨论 19四 结 论 19参考文献 21附录一：1999年IMF新的汇率制度分类标准 22附录二：数学附录 23附录三：汇率动态模型的微观基础：亚当斯密模型 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
19、 Currency Crisis and Financial Crisis(V) Some Additional Discussion on the Value of Intermediate RegimesV. ConclusionsReferenceAppendix I: The New Classification for Exchange Rate Regimes by IMF in 1999Appendix II: Mathematical AppendixAppendix III: The Micro-foundations of the Model of Exchange Rate Dynamics: Adam Smith Model
