美國貨幣政策對不同匯率制度國家總體經濟影響之比較

Abstract

美國貨幣政策的衝擊常常會經由一些國際傳遞(international transmission)管道影響其他國家的總體經濟變數。本研究嘗試探討在不同匯率制度下，美國貨幣政策的國際傳遞效果。而本文分別選擇亞洲國家之中國、泰國當作本文的固定匯率制度國家代表，日本、韓國當作浮動匯率制度國家代表。實證期間為1998年9月~2010年7月。 本研究利用VAR模型中的Granger因果關係檢定及衝擊反應分析來進行美國貨幣政策國際傳遞效果的驗證。在確定各個國家受到美國貨幣政策衝擊時，皆有產生反應的情形下，再利用分配落遲模型及預測誤差變異分解檢定來比較不同匯率制度下，美國貨幣政策的國際傳遞效果。 本研究的實證結果發現，當各個國家受到美國貨幣政策的衝擊時，總體經濟變數的確會有明顯的反應，證實貨幣政策的國際傳遞理論。此外，浮動匯率制度國家因為有易受國外經濟衝擊、開放程度大等特性，面對美國貨幣衝擊時會產生較大的反應結果。

The U.S. monetary policy will often affect macroeconomic variables in other countries through international transmission channels. And this study attempts to explore the international transmission effects of U.S. monetary policy under different exchange rate regimes. We Select China and Thailand as countries of fixed exchange rate, and Japan and South Korea as countries of floating exchange rate. And the range of data is September 1998 to July 2010. This study uses Granger causality test and impulse response analysis to prove the international transmission effects of U.S. monetary policy. And after the effects of international transmission of U.S. monetary policy were proved, we use distributed-lag model and variance decomposition to compare the effects of international transmission under different exchange rate regimes. The empirical results of this study: some macroeconomic variables of all countries in this study were affected by the impact of U.S. monetary policy. And it means the effects of international transmission of U.S. monetary policy were proved. Besides, because the countries of floating exchange rate are vulnerable to external economic shocks and have the open economy, the U.S. monetary policy have a greater impact on their macroeconomic variables.