人民幣與美國總體經濟之實證研究

Abstract

本研究首先找出代表美國總體經濟之典型指標以及本研究重點變數-人民幣，再利用單根檢定確定其是否為定態，當確定其現象後，在進一步作一階差分檢定確定變數皆具有同階定態。 將人民幣與各總體經濟變數兩兩為一組，利用共整合檢定以及Granger因果檢定法檢驗其關係，結果顯示人民幣對總體經濟變數有影響。 進一步將變數分成四四為一組，顯示具有一條共整合，且在誤差修正模型中可觀察到，人民幣匯率對總體經濟變數影響顯著少於經濟變數自身落後其以及其他經濟變數影響。 最後藉由衝擊函數觀察面對人民幣變動一標準差時，美國總體經濟變數的變動量與變動趨勢，研究結果顯示僅有消費與進出口受其人民幣匯率衝擊。 由以上歸納，很有可能在國際互相依賴的狀況下，有此結果產生，未能有足夠證據顯示人民幣因高度低估而嚴重地造成美國經濟衰退。

First, we find the U.S typical macroeconomic index and the most important variable- Renminbi (RMB). And then, using unit root test examines that if the variables are stable or not. After that, we further use difference stationary process to confirm that all variable are stable at the same degree. The study uses co-integration test and Granger causality test examine that whether RMB affects the macroeconomic index separately. The result is that variation of RMB affects some crucial macroeconomic index. According to results of co-integration test, there are two equations with one co-integration. And then, use the error correction model to prove that the macroeconomic variables are influenced by change of exchange rate less than the macroeconomic variables are influenced by their own and other variables past information. At last, use impulse-response function examines that when RMB changed one unit of standard deviation, how many percentages and what trend the U.S macroeconomic variables change. The study shows that only consumption, export and import are given impulses by RMB variation. The conclusion from all mentioned analysis is that it is possible to have such the test results under the situation that the globe depend on and cooperate with each other. However, there is no enough evidence to prove that underestimated RMB caused the U.S economic recession.