原物料價格與商品貨幣之關聯性分析-以澳幣、加幣、南非幣為例

Abstract

本文使用共整合檢定、向量誤差修正模型以及Granger因果關係檢定探討1980年至2016年間，澳洲、加拿大以及南非貨幣與原物料價格之間的關聯。這三個國家的匯率與原物料價格存在很高的聯動，素有商品貨幣之稱。本文以國際收支理論為架構分析匯率與原物料價格的關係，同時就單一國家分別使用三種不同的原物料價格指數(R/J CRB 期貨商品指數、世界銀行卑(貴)金屬指數以及按出口比重編製的原物料價格指數)比較結果。本文實證結果如下: (一)長期而言，三種不同原物料指數與三個國家匯率存在共整合關係，其中R/J CRB 期貨商品指數對澳洲、加拿大以及南非貨幣的影響是一致的，均呈現負向關係，亦即R/J CRB 期貨商品指數上升時，將使這三國貨幣升值。 (二)短期而言，澳洲、加拿大以及南非的匯率會受到原物料價格指數落後期、貨幣供給量落後期的修正調整。短期影響澳洲匯率的因素，還包含淨國外資產落後期因素；就南非匯率而言，貿易財生產力的落後項也是短期調整匯率重要因子。 (三)各國在原物料價格指數與匯率領先與落後關係有很大的差異。澳洲匯率領先原物料價格指數；加拿大的匯率與能源價格指數呈現雙向回饋關係，顯示加國的匯率與能源類價格緊密關聯；至於南非則是原物料價格指數(以貴金屬為主)領先南非匯率。

This paper investigates the relationship between the commodity price and exchange rate behavior (Australian dollar, Canadian dollar and South African rand) of using cointegration test, vector error correction (VEC) Model and Granger causality test during the period of 1980 to 2016. This paper is based on the balance of international payment theory proposed by MacDonald (1995) and uses three different kinds of commodity price indexes (R/J CRB, World Bank Base MetalPrecious Metal index and commodity price index calculated by the proportion of export commodity value) to investigate the effects on exchange rate. The findings are stated below: 1.In the long run, there is cointegration between three commodity price indexes and the exchange rates of Australia, Canada and South Africa. Among of them, the relation between R/J CRB and these tree commodity currencies is negative. 2.In the short run, three commodity currencies are affected by lag of commodity price index and the lag of money supply. In the short term, Australian dollar is also influenced by the lag of net foreign asset. As for South African Rand, the lag of the tradable goods productivity is an important factor to adjust the deviation of exchange rate. 3.The results of Granger causality between commodity price and exchange rate are totally different for these three countries. In Australia, the exchange rate behavior leads commodity price. In term of Canadian dollar, there is feedback relationship between Canadian exchange rate and Energy price index. As for South African Rand, Precious Metal Price index leads its exchange rate.