港元汇率制度应何去何从

香港樹仁學院經濟學系WorkingPaperSeriesTheCostofCurrencyStability:HongKong’sExperiencesChe-cheongPoonDecember2001EconomicsDepartmentHongKongShueYanCollegeWorkingPaperSeriesDecember2001AllRightsReservedISBN:962-8719-27-0Copyright©2003byHongKongShueYanCollegeInformationontheWorkingPaperSeriescanbefoundonthelastpage.Pleaseaddressanycommentsandfurtherinquiriesto:Mr.Wai-KeeYuenWorkingPaperCoordinatorDepartmentofEconomicsHongKongShueYanCollege10WaiTsuiCrescentBraemarHillRoadNorthPointHongKongFax:28068044Tel:[phone]Email:[e-mail]1TheCostofCurrencyStability:HongKong’sExperiencesChe-cheongPoonDepartmentofEconomicsAbstractThisstudyprovidesanargumentagainsttheeconomicjustificationofthelinkedexchangeratesysteminHongKongbecausethecurrenteconomicenvironmentismuchdifferentfromthatin1983.Thepaperconsistsoffivesections.Thefirsttwosectionsexaminetheempiricalaswellastheoreticalrelationshipbetweenexchangeratesandthekeymacroeconomicvariables.Thethirdsectionderivesaparadigmtoillustratethetransmissionprocessofeconomicforcesunderthesystem.ThefourthsectionsusetheparadigmtoanalyzeHongKong’seconomicperformancesincetheintroductionofthesystemandgiveanaccountforthecostofcurrencystability.Thefinalsectiongivesabriefconclusion.Keywords:PurchasingPowerparityTheorem;ExchangeEquation;InterestRateParityTheorem;Fisher’sEquationofInterest;LinkedExchangeRateSystem;DefensiveOperation;BeamBalanceParadigm;EastAsianFinancialCrisis;Negativeequity2___________________________________________________________“Aparticularlysadfeatureofeconomiclifeisthat,nosoonerhavewecollectivelyachievedsomedegreeofunderstandingofcauseandeffect,thancircumstanceschangesoradicallythatthepainfullyacquiredknowledgeisalreadyoutofdate.”(Hogon&Pearce,pp.14)__________________________________________________________(A)TheTheoreticalRelationshipbetweenExchangeRateandtheKeyMacroeconomicVariablesTwofundamentaleconomictheoremscanbeusedtoanalyzetherelationshipbetweenexchangerateandmacroeconomicvariables:theyarePurchasingPowerParitytheoremandInterestRateParitytheorem.Theformerisfromtheangleofthepublicandinthelongrunperspectivetoseethecurrentaccountofthecountry’sbalance-of-payments,thelaterisonthegroundofindividualsandintheshortrunperspectivetoseethecapitalaccount.WhilethePurchasingpowerParitytheorem,whichisbasedonthelawofoneprice,revealsthefactthattherelativeexchangeratesandtherelativepricelevels(especiallyfortradedgoods)intwocountriesareininverseproportion;theInterestRateparitytheorem,whichassertstheconvergenceofratesofreturnoninternationalfinancialsecurities,demonstratestherelativeexchangeratesandrelativeinterestratesintwocountriesareindirectproportion.Thesetwotheoremscanbedescribedasfollows:1.PurchasingpowerparitytheoremEHK/US=f1(PHK/PUS;X)-------------------------------------------------------(1)WhereEHK/USisthespotexchangerateoftheHKdollaragainsttheUSdollar,expressedindirectway(HKdollarperunitofUSdollar);PHKandPUSarethepricelevelsofHongKong3andtheUnitedStatesrespectively;‘X’isarowvectorofexogenousvariablesthatmayaffectthedegreeofassociationbetweenEHK/USandPHK/PUS.Forsimplicityofpresentation,weassumeXremainsunchanged;takethelogarithmofbothsidesofequation(1)anddifferentiatewithrespecttotime,andthenusethediscrete-timecounterpartofdifferencequotient‘ΔEHK/US/Δt’toreplacethederivative‘dEHK/US/dt’.BylettingΔt=1,wemayrewriteequation(1),whichrepresentstheexternalequilibriumconditionforaneconomy,asfollowsREHK/US=f2(RPHK-RPUS)=f2(DRP)---------------------------------------------(2)WhereREHK/USistheannualrateofchangeintheexchangerate,RPHKandRPUSaretheconsumerinflationratesofHongKongandtheUnitedStatesrespectively,andDRPrepresentstheinflationratedifferential.Inaddition,weusethecash-balanceversionoftheQuantityEquation[1]expressedintermsofannualratesofchangetodemonstrateaneconomy’sinternalequilibriumcondition.Iftheincomevelocityremainsconstantovertime,forHongKongandtheUnitedStates,theequationscanbewrittenasRMHK=RPHK+RYHKorRPHK=RMHK-RYHK--------------------------------------------------------------(3)RMUS=RPUS+RYUSRPUS=RMUS-RYUS--------------------------------------------------------------(4)WhereRMHKandRMUSaretheannualratesofchangeinmoneysupplyofHongKongandUnitedStatesrespectively;RYHKandRYUSareannualrateofchangeinrealGDPofHongKongandUnitedStatesrespectively.Bysubstitutingequations(3)and(4)intoequation(2)andrearranging,wegetRPHK-RPUS=(RMHK–RMUS)-(RYHK–RYUS)------------------------------(5)4ToincorporatetheExchangeEquationsintothePurchasePowerParitytheorem,wesubstituteequation(5)intoequation(2).Theresultingequationmaybethroughofastheconditionsforaneconomytoachieveinternalbalanceontheonehand,andcurrentaccountbalanceontheotherhand.REHK/US=f2(RPHK-RPUS)=f2{(RMHK–RMUS)-(RYHK–RYUS)}------------(6)orREHK/US=f2(DRP)=f2(DRM-DRY)-----------------------------------------------(7)WhereDRMisthedifferentialinmoneysupplygrowthandDGYisthedifferentialsineconomicgrowthbetweenHongKongandtheUnitedStates.2.InterestRateParityTheorem[(EeHK/US)t=1–(EHK/US)t]/(EHK/US)t=f3(IHK-IUS；Z)------------------------------(8)SincetheEeH