匯率變動對開放總體經濟活動之影響－台灣、日本SVAR模型實證分析

Abstract

本研究用SVAR模型探討台灣與日本貨幣政策反應函數與匯率制度關係。模型包含國內利率、消費者物價指數、工業生產指數、名目匯率、國外利率五個經濟變數資料，期間從1989年5月到2006年6月，共206筆月資料。利用實證方式檢驗台灣與日本的匯率政策是作為穩定經濟的功能，還是匯率變動即是造成經濟衰退的原因。 實證研究結果發現台灣與美國之間匯率的衝擊是屬於對稱的衝擊，亦即美國利率上升，台灣也跟著升息，我國貨幣政策受到國外經濟變數衝擊的影響較大，因此本國無法用匯率作為吸收國外經濟衝擊，以使經濟穩定。對台灣來說，加入最適貨幣區域放棄匯率政策或貨幣政策這類自主的工具來穩定國內經濟，比利用這些政策工具來維持經濟穩定還來得有效。 對日本而言，與美國之間的匯率衝擊是屬於不對稱的衝擊，日本大部分的匯率變動是由外匯市場所造成的，貨幣政策對供給面衝擊與需求面衝擊的反應顯著。匯率的可以減緩國外的經濟衝擊，隔絕國外衝擊的效果較佳。故對日本來說，擁有獨立的貨幣政策，作為應對國外經濟衝擊的反應工具，對穩定國內經濟是比較有利的。

The thesis presents a relationship of monetary policy reaction function and exchange rate regime in open economy of Taiwan and Japan using SVAR model. The economic variables of the model are including domestic interest rate, consumer price index, industrial index, nominal exchange rate, and foreign interest rate. The research uses 206 panel data, from 1989:05 to 2006:06 to examine the role of exchange rate as a shock-absorber or source of shocks. The results of the empirical research are summarized as follows: The shock between Taiwan and United States belongs to symmetric shock. The interest rates of United States and Taiwan respond in the same way to real shock, so foreign monetary policy shock has a great effect on domestic monetary policy. It is little need for the exchange rate to act as a shock-absorber to stabilizing economy. It is effective for Taiwan to join optimal currency area than use exchange rate policy or monetary policy to stabilizing economy. The shocks are idiosyncratic between Japan and United States，so the exchange rate can absorb such shocks. Exchange rate market disturbance resulted in exchange rate variation; the reactions of monetary policy to supply shock and demand shock are influential. For Japan, it is better to have independent of monetary policy and exchange rate policy as shock absorption to stabilize economy.