人民幣與新台幣通貨替代之研究

Abstract

本文研究台灣人民幣替代程度波動之問題，以新台幣廣義供給量中人民幣佔的比例作為人民幣替代程度的指標、人民幣對於新台幣的匯率升值預期；中國與台灣的物價差距等三個觀察變數進行研究。採用向量自我迴歸（VAR）模型來分析台灣境內的人民幣替代問題。實證結果發現，人民幣替代成長率受到長期人民幣交易需求與投機動機影響，然而，中國境內物通貨膨脹問題影響人民幣匯率貶值，間接對於人民幣替代成長率產生負面衝擊。本文透過Chow檢定得知，2014年3月中國人民銀行擴大了人民幣每日交議價的波動區間；2015年8月中國人民銀行宣佈調整人民幣兌換美元匯率的中間價之計算方式，此兩則經濟事件對於本國民眾持有人民幣狀況產生影響。

In order to study the fluctuation of the substitution the RMB for NTD in Taiwan, this paper selects the following three variables: the proportion of RMB in the NTD supply in broad definition as the index of RMB substitution, the expectation of exchange rate of RMB and NTD, and the difference of price level between China and Taiwan. The paper applies the vector auto regressive (VAR) model to analyze the RMB substitution in Taiwan. We found that the increasing rate of RMB substitution affected by the long term RMB transaction demand and speculative motive. However, the price inflation in China affects RMB, which indirectly has a negative impact on the increasing rate of RMB circulation. We use Chow test to check the following three economic events affecting ratio of RMB holding in Taiwan: in March 2014, the People's Bank of China(PBOC) expanded the fluctuation range of the daily quota of RMB; in June 2014, the central parity of the RMB exchange rate against the US dollar, the People's Bank of China has an irregular increase; in August 2015, the People's Bank of China (PBOC) announced the adjustment of the central parity of the RMB exchange rate.