紐幣匯率變動因素之實證研究

Abstract

澳大利亞與南非是生產並出口豐富原物料的國家；紐西蘭則是全世界生產與出口最多乳製品的國家，於2008年金融海嘯前、正值全球景氣盛況時，紐幣與澳幣匯率波動巨大，誘使很多投資人進場賺匯差，或是長期持有紐幣或澳幣。再加上，由於在當時兩種貨幣的存款利率都很高，且有相當多的銀行推出以這兩種貨幣計價的金融商品，故吸引非常多的投資人參與投資相關的金融商品。 同樣為原物料出口大國，雖然有許多文獻針對澳幣的波動因素進行討論，但卻對於紐幣的研究鮮少。紐西蘭為乳製品出口大國，其匯率究竟是否如同澳幣一般，深受乳製品之價格與數量變動而影響，抑或有其他可能的總體變數導致波動，是本研究欲做深入探討的議題。 本研究以ADF單根檢定及自我向量迴歸模型(VAR)為研究方法，並採用1995年1月至2015年6月的月資料進行實證研究。結果發現，如同澳幣，紐幣亦受到乳製品的出口價格與數量的影響而變動；但特別的是，乳製品的價格與紐幣卻有著同向變動的關係，且除了乳製品價格與數量外，出口至美國的總量及央行的外匯準備等變數，也與紐幣匯率有顯著的影響。

Australia and South Africa is rich in national production and export of raw materials; New Zealand is the world's most national production and export of dairy products, the time before the 2008 financial crisis, when the global economy pomp, New Zealand and Australian dollar exchange rate fluctuations huge entice many investors entering earner is poor, or long-term holding New Zealand or Australian dollars. Plus, since the two currencies at the time of deposit rates are high, and there are quite a number of banks to the introduction of these two currencies denominated financial products, it is attracting a lot of investors to participate in investment-related financial products. The same as the major exporter of raw materials, there are many studies discuss about the factors of AUD fluctuation but seldom for NZD. New Zealand is the chief dairy products export country. We are going to search whether the NZD will be fluctuated by the price and the quantity of dairy products, or by other variables. This study is based on Augmented Dickey–Fuller test (ADF) and Vector Autoregression model (VAR) and monthly data from Jan-1995 to Jun-2015. We can approve NZD will fluctuated by the price and quantity of export dairy products, like AUD; they will change in the same direction. Besides, the total quantity to export to USA and foreign exchange reserves are positive to NZD exchange rate.