台灣貨幣政策對新台幣匯率的影響

Abstract

本文採用不同的資料頻率，以日資料、月資料及季資料分別運用於事件研究法、結構式向量自我迴歸模型以及Johansen共整合分析法，探討台灣央行貨幣政策衝擊對新台幣名目匯率極短期、短期動態調整和中長期匯率均衡的影響效果，樣本期間為2000年至2017年。實證研究發現，貨幣政策衝擊對匯率的影響方向符合理論預期，亦即國內利率上升之衝擊會使匯率下降，新台幣升值，且匯率的衝擊反應函數於第2個月至第6個月的波動幅度具有統計上的顯著性，惟匯率的反應存在些微delayed-overshooting的現象，約延遲1個月後才開始反應，且匯率在政策衝擊發生當天的變動幅度很小，推論可能與央行一直以來穩定控制匯率的可信度有關。此研究結果亦隱含新臺幣匯率相應政策利率所產生的波動具有時間差距，Dornbusch的overshooting理論在台灣研究上似乎不成立。此外，貨幣政策對中長期新台幣名目均衡匯率的影響效果並不顯著，而實證模型中的其它經濟基本面變數大致上可以捕捉中長期新台幣匯率走勢。另一方面，實證結果亦顯示，貨幣政策以及匯率衝擊對貿易條件有很顯著的影響，寬鬆性貨幣政策和新台幣貶值的衝擊將惡化台灣的貿易條件，此外，在研究中亦觀察到央行外匯操作的影子，研究發現央行為避免新台幣升值幅度過大而進行干預，使新台幣匯率維持狹幅震盪。本文認為適度允許新臺幣匯率自由波動，並透過提升台灣產業創新能力以及建立品牌的方式，增加出口廠商的競爭優勢，減少其過度依賴在國際市場上的價格競爭力，以利台灣產業朝向更健康的結構發展。

This dissertation examine the impact effect of the New Taiwan dollar nominal exchange rate which is distinguished into the immediate, the short-run dynamic adjustment and the long-run equilibrium fluctuation in response to the central bank’s monetary policy shocks in Taiwan during 2000 to 2017. The study adopts daily, monthly and quarterly data to be estimated in the event study approach, structural vector autoregression model and Johansen cointegration method respectively. The empirical results indicate the impact direction of monetary policy on the exchange rate is consistent with economic theory expectations. Moreover, the change magnitude in the impulse response function of the exchange rate is substantial and significant, especially during the second month to sixth month. However, the response of the exchange rate generates a slight delayed-overshooting phenomenon in which there is about one month delay. In addition, the change of the exchange rate on the day of policy announcement is relatively small and we infer it maybe associates with the central bank’s credibility of stabilizing the exchange rate all the time. The finding seems to imply that Dornbusch overshooting hypothesis didn’t hold in Taiwan. Besides, the effect of policy shocks on the long-run exchange rate equilibrium is insignificant. On the other hand, the results also show monetary policy and exchange rate shocks have considerable effect on the terms of trade. Furthermore, we can observe the central bank would intervene the market to avoid exchange rate from appreciating too much and volatile. But this kind of foreign exchange operation might worsen the terms of trade in Taiwan. Therefore, we suggest the government shall allow the exchange rate more floating, coupled with helping increase export manufacturers’ competitive advantage through raising their innovative ability or establishing the brand of Taiwan. In this way, it would be more beneficial for Taiwan’s industry structure and development.