南韓總體經濟因素對消費者物價指數之影響

Abstract

全球央行最近在利率調整方面的動作頻頻，顯示「通貨膨脹」隱憂，已取代經濟復甦，成為央行最主要的課題。由於物價水準的波動對全球經濟的影響甚劇，故本文欲以物價水準做為研究的主題，並以經濟情勢與台灣相似的南韓為實 證對象。 本文以南韓於1987年1月到2005年4月的月資料為主，觀察南韓匯率、利率、貨幣供給、實質所得、國際收支餘額、物價六者之間是否具有共整合關係，採用Johansen共整合檢定法來檢測，檢定變數間長期均衡關係。根據本文實證結果，主要結論為如下。 在5%、1%的顯著水準下，Johansen 的最大特徵根檢定統計量指出此六個變數存在一組共整合關係。南韓的國內利率、匯率、貨幣供給、實質國內生產毛額，與南韓之物價水準成正向關係，此結論與本文第三章的預期結果符合。而國際收支餘額與物價水準為正向關係，我們推論，此結果可能是因南韓在匯率制度方面採取管制而造成。國際收支餘額增加時，為維持匯率致使貨幣供給增加而對物價所造成的影響，大於實質所得增加對物價的影響，使得南韓的物價水準上升。 政府在擬定相關政策時，應密切觀察不同因素對物價水準所可能產生的衝擊性，以便制訂適當的政策。而中央銀行在維持物價水準的過程中，匯率政策又該扮演何種角色？是否會因匯率政策改變了貨幣供給，進而影響了物價水準與國內經濟。這些都是值得我們深入思考的問題。

The interest rate has been frequently adjusted recently in many countries. It shows that the worries about inflation, which have already replaced economic recovery, have become the main economic subject. Because of the dramatic impact on global economy, we discuss the price level in South Korea, which its economic situation is similar to Taiwan’s. Adopting Johansen cointegration test, we used the monthly data from January 1987 to April 2005 and observed that whether the long-run relation existed between the price level and relevant macroeconomic factors. The empirical result is as follows. According to the result of Max-Eigenvalue test, one cointegration existed between these variables. When the interest rate and exchange rate raised, the money supply increased, and the real GDP decreased, the price level in South Korea raised. The results fit in with what we anticipated in Chapter Three of this thesis. The price level is positive to the balance of payment. We inferred that it might be caused by that the government intervened in the exchange rate system. When the balance of payment increased, the government bought the foreign currency to prevent the currency from appreciation and the money supply increased. As the result, the price level raised. When the government makes the relevant policies, it should be observed that each factor impacts the price level closely. When the Government wants to keep the price level steady, what kind of role should the exchange rate policy play? When the money supply fluctuates because of the intervention to exchange rate, how do the price-level and the domestic economy be influenced? These are worth considering carefully.