換率의 決定에 있어서 現代的 資本市場의 Monetary Approach와 Portfolio Balance 比較分析

A Comparitive Analysis Between Monetary Approach and Portfolio Balance of Exchange Rate in Modern Capital Market.

Financial markets are assumed to clear instantaneously, with perfect capital mobility ensuring Uncovered Interest Rate Parity(UIRP) is maintained at all times. Market expectations are for the exchange rate to depreciate at a rate proportional to the gap between its current level and its long-run equilibrium value. In the goods market, The price level is sticky, adjusting over time at a rate proportional to the excess demand. The conclusions of the monetary model are pressrved in Long-Run equilibrium. In the immediate term, since the price level is fixed, shocks which create excess supple (demand) in the money market have liquidity effects, requiring a fall (rise) in the interest rate to clear the domestic money market. The change can only be reconciled with UIRP if there is a simultaneous exoectation of exchange rate appreciation (deperciation). Given the assumption about the way market expectations are formed, this in turn is only possible if the exechange rate jumps to a level beyond (in other woeds, overshooting) its longrun equilibrium. The original Dornbusch model can be extended in a number of different directions to make it more realistic. However, there modifications result in models which sometimes exhibit under than overshooting. One derivative of the Dornbusch model, developed by Frankel, has been extensively tested, with results that are generally disappointing. Apart from a short period in the 1970s, it fails either to track or forecast the exchange rate adequately. Portfolio balance models concentrate not simply on the demand for money, but on the demand for a menu of assets. The demand for each type of asset is seen in the context of a general portfolio allocation problem and, since it is the proportion of total wealth to be help in a particualr form which is to be decided, the determining variable assets. So the demand for any asset as a proportion of wealth will tend to rise when its own return rises, and fall when the return on competing assets increases. We assume domestic resdents hold only three types of asset: domestically issued money and bonds, and foreign currency bonds issued by a foreign government or central bank. As in the Dornbusch model, (goods) prices are taken as fixed in the short-run. Under these conditions and assuming financial markets clear at all times, short-run equilibrium will be obtained whenthe exchange rate and (domestic) interest rate are at a level such that demand is equal to supply for any two of the three assets. Open market purchases of either domestic or foreign bonds will cause depreciation and a fall in the interest rate in the short-run, the reprcussion on the exchange rate being greater and on the interest rate smaller, in the case of operations in the market for foregign securities. Increas in the stock of foreign bonds can only come about as a result of current account surpluses. The short-run impact on financial markets is an appreciation, keepion the domestic currency value of foreign bonds constant. Long-run equilibrium is characterized by a zero balance on current account, as well as static prices, interest rates and exchange rate. The production sector adjusts to a disturbance as a resuit of changes in the real exchange rate. As the price level moves during the adjustment phase, it interacts with the (nominal) exchange rate to change the balance of aggregate demand and supply, hence generating a current account surplus or deficit which persists until the stock of foregin currency assets has erached a level consistent with long-run equilibrium. In practice, the portfolio balance model is difficult to apply and the approximations tested have not been very successful in explaining the facts.