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標題: | 日本名目匯率變動與其國內總體經濟數據的關係 The Impact of Nominal Exchange Rate Fluctuations of Japan on Their Macroeconomic Variables |
作者: | Yin-Hsiang Yang 楊滎湘 |
指導教授: | 陳思寬 |
關鍵字: | 匯率,產出,物價,出口,進口,利率,共整合,衝擊反應,日本, Exchange rate,Production,Export,Import,Price level, Cointegration test,Impulse response,VECM,Japan, |
出版年 : | 2013 |
學位: | 碩士 |
摘要: | 本論文研究為探討名目匯率變動對一國之總體經濟變數的影響,所討論之總體經濟變數為產出、物價、出口、進口和利率。研究之國家為一大型開放之經濟體系:日本為實證研究之對象。研究期間為1985年一月至2013年二月。
探討之主題為: 1. 匯率和產出 2. 匯率和物價 3. 匯率和進口 4. 匯率和出口 5. 匯率和利率 6. 匯率和所有探討之總體因素 本論文之研究資料樣本為時間序列,所以研究方法首先,對樣本進行單根檢定(Unit Root Test),之後使用Johansen兩階段共整合檢定(Johansen Cointegration Test)檢驗其是否共整合,接下來,進行向量誤差修正模型(Vector Error Correction Model)之分析,最後使用衝擊反應函數(Impulse Response Function),了解假使日本匯率受到一單位標準差之外生衝擊時,所討論之總體經濟變數對此匯率衝擊產生之反應之強度和方向,以探討匯率變動對日本總體經濟變數之影響和影響程度。 藉由實證結果,當日本匯率貶值會造成日本之產出、進口和利率增高,但是不利於出口、物價。此實證之結果與Mundell-Fleming的國際總體經濟理論相互比較,進口及物價之結果反應方向與經濟理論相同,但是出口及產出的方向與傳統之總體經濟理論相反。 This thesis empirically investigated the impact of nominal exchange rate fluctuations of Japan on their macroeconomic variables from January 1985 to February 2013. Those economic variables included production, price level, export, import and interest rate. We tried to look into knowing the relation between exchange rate and any of the economic variables above such as exchange rate and price level. The type of data was time series, so we used unit root test to examine whether the data is stationary or not. And then we tested the relation of cointegration by Johansen cointegration test and use vector error correction model. Finally, the method of impulse response function facilitated the understanding of the response of macroeconomic variable when the exchange rate changed. We found that for Japan, depreciation of exchange rate was a better choice for economic growth, interest rate and import, but not as good for export and price level. To conclusion, empirical result of production, import and price level was in accordance with the traditional open macroeconomic result but the result of the other variables such as export and interest rate is not. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17331 |
全文授權: | 未授權 |
顯示於系所單位: | 國際企業學系 |
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