台灣美元存款的決定因素 —重大事件與政策影響

Abstract

著金融自由化與全球化發展，又有鑑於台灣的資金外流嚴重，本文特地探討造成外幣存款的決定因素。決定台灣的外幣存款餘額主要由需求面決定，投資人持有外幣存款的動機主要為衡量報酬與避險動機。除了衡量國內外股市、利率、與台灣的產出、物價、匯率之外，也透過虛擬變數代表發生重大事件，觀察投資人持有外幣存款的避險動機是否顯著。透過回歸方程式的實證結果進行篩選，可以得到底下結論。 (1) 報酬方面：影響外幣存款的主要因素為台灣股價指數、香港恆生指數與前一期外幣存款餘額的變動。 (2) 避險方面：投資人的確會因為為了避險而增加持有外幣存款。 顧及外幣存款屬於流動性較低的「準貨幣」，過多的資金流向外幣存款將會造成國內環境緊縮的問題。決策當局不能忽視這樣的問題，因此必須透過財政政策及貨幣政策改變國內的投資環境，誘使投資人減少持有外幣存款。尤其是在發生重大事件時，當投資人受避險動機之驅使而增加持有外幣存款，決策當局是否能夠透過政策有效地改善資金外移的問題。透過回歸方程式的實證結果，得到底下結論。 (1) 寬鬆的財政政策將會導致外幣存款餘額的增加。發生重大事件期間，財政政策並無法有效地減緩資金移向外幣存款。 (2) 寬鬆的貨幣政策將會導致外幣存款餘額的增加。發生重大事件期間，貨幣政策並無法有效地減緩資金移向外幣存款。

Due to the financial liberalization, globalization development and serious problem of assets outflow in Taiwan, I would like to discuss the determinants of US dollar deposits. Demand decides the US dollar deposits’ investment balance in Taiwan. The motif for investors to hold is high return of investment and risk aversion. In addition to measuring the national and overseas stock markets, interest rate, price level, productivity and exchange rate in Taiwan, I also find out some results by regressive function to see if the motivation of holding foreign currency for investors is obvious. 1. Return of investment: The main factors of affecting foreign currency’s deposit are Taiwan stock index, Hong Kong Hang-Seng index and the movement of US dollar deposits in the former period. 2. Risk aversion: Investors will choose to hold foreign currency because of avoiding the risk. Because US dollar deposit is not the money with high liquidity, holding too much foreign currency will cause the deflation. The authority needs to improve domestic investment environment through monetary policy and financial policy to induce investors to reduce holding US dollar deposits. Here are the results after experimenting regressive function whether the authority can improve assets outflow issue with financial policy especially when investors increase their holding of foreign currency due to the domestic emergencies. (3) Expansionary fiscal policies will increase the amount of US dollar deposits. During the period time of serious events happened, fiscal policies don’t work efficiently on diminishing the fund transferred into foreign deposits. (4) Expansionary monetary policies will increase the amount of US dollar deposits. During the period time of serious events happened, monetary policies don’t work efficiently on diminishing the fund transferred into foreign deposits. Keywords : US dollar deposits, Cross Effect, Interest Rate Parity, Impact of Events, Dummy Variable for Events.