匯率轉嫁對進口物價與消費者物價的影響台灣實證分析

Abstract

本篇文章的目的為分析台灣在1981年1月至2010年12月期間匯率對進口物價與一般消費者物價的影響。首先，以外國出口廠商的訂價行為作出發點，探討匯率對進口物價的影響，並且使用Quandt-Andrews方法發現變數之間的關係於1999年7月發生結構性轉變。接著，以此結構轉變點劃分樣本，就本國進口廠商的訂價行為，探討匯率對一般消費者物價的影響。 實證結果顯示，相較於1981年1月至1999年6月期間，1999年7月至2010年12月期間進口匯率轉嫁幅度較小，我們認為此現象與現任央行總裁彭淮南對匯率政策的操作手段有關。另外，匯率與本國所得對一般消費者物價的影響皆不顯著；而且，相較於1981年1月至1999年6月期間，1999年7月至2010年12月期間外國廠商生產成本對一般消費者物價的影響較大，此現象與台灣進口貿易依存度愈來愈高有關。

The purpose of this paper is to analyze how the exchange rate influences import prices and general consumer prices in Taiwan during January, 1981 to December, 2010. First, based on the price setting behavior of foreign exporting firms, we discuss the impact of exchange rate on import prices, and use the Quandt-Andrews approach to discover the structural break among variables in July, 1999. And then, we separate the whole sample into two subsamples by this structural break and observe how the exchange rates affect general consumer prices based on the price setting behavior of domestic importing firms. The empirical result shows that the degree of exchange rate pass-through for import prices is smaller during July, 1999 to December, 2010 than during January, 1981 to June, 1999. We think the result is correlated with the exchange rate policy of the current central bank president, Huai-Nan Peng. In addition, we find that exchange rate and domestic income have no significant effects on general consumer prices in the two subsamples. On the other hand, the production costs of foreign firms have a greater influence on general consumer prices over the period 1999M7-2010M12 in comparison with the period 1981M1-1999M6 due to the rising of import trade dependence.