實質有效匯率變動對產出之衝擊反應 以台灣與日本為例

Abstract

本文旨在研究台灣與日本的實質有效匯率變動對產出之影響。從過去文獻發現，本國貨幣貶值對於產出之影響效果並無一致性的答案。在1997年亞洲金融風暴時，很多東南亞國家之貨幣在劇烈貶值後，卻未能使得產出上升，這與傳統理論結果大異其趣，傳統國際貿易理論認為透過改變國內外財貨的相對價格，可刺激一國出口，進而使得產出增加。台灣為小型開放經濟體，而日本則為大型開放經濟體，而國際貿易對於兩國經濟皆相當重要，故本文欲研究實質有效匯率變動效果是否會因開放經濟體規模大小不同而有所差異。 本研究引用Agenor 之理論模型，輔以單根檢定、Johansen共整合檢定與向量誤差修正模型（VECM）等計量方法進行實證分析。研究兩國之時間範圍資料皆採用1980年第一季至2004年第四季之季資料。實證發現：短期內，新台幣及日圓之實質有效匯率貶值，皆對實質產出有擴張性效果。長期之下，實質有效匯率指數下跌（台幣貶值）將對台灣之實質產出有正面效果；但對日本則無顯著影響效果。從共整合分析中發現兩國之產出水準與貿易依存度之間存在一長期正向關係，顯示過去之國際貿易成長有助於經濟成長。 本國貨幣貶值效果猶如刀之兩刃，其成效決定於總合需求擴張效果與總合供給緊縮效果之相對大小，而台灣與日本之進出口貿易總值佔國內生產毛額相當大的比例，故兩國若以貨幣貶值作為刺激經濟之政策，則其成效可能將不如預期。相較於名目匯率，實質有效匯率更有助於一國匯率政策之制訂。對於台灣及日本而言，維持本國實質匯率的相對穩定，對於兩國產業在進行國際貿易時，將可減少不必要的匯率風險與成本波動，故匯率政策不應僅從單方面的價格競爭力思考，還需考慮對於國內經濟衝擊的長短期效果，以及與全球經貿環境的連動性。

This thesis intends to investigate the impact of real effective exchange rate (REER) fluctuation on Taiwan and Japan’s real output (GDP). Discovered by existing literature and previous research, the depreciation effects of domestic currency on output are not consistent. Following Asia financial crisis during 1997, many currencies of Southeast Asia Countries dramatically depreciated. Nevertheless, their outputs had not been increased. The result contradicted with traditional theories, which is considered to be stimulating economic growth by changing relative prices of goods between home and foreign countries. Taiwan is a small open economy whereas Japan is large. Therefore, international trade is very important for their economic growth, hence to examine the extent of variation on REER under different open economy scales. The empirical analysis was based on Agenor’s (1991) theoretical model and adopted econometrics methods including unit root test, Johansen cointegration test and VECM. Employing the time series data of both Taiwan and Japan was over the 1980I-2004IV period. From our empirical results: the depreciation of REER on Taiwanese NT dollar and Japanese Yen had expansion effect on output in the short-run. In the long-run, the depreciation of REER on Taiwan had expansion effect, but not significant on Japan Yen. By cointegration analysis, it discovered they had a long-run positive relationship between output and foreign trade dependence. Hence, it revealed increase in international trade benefited economic growth. The depreciation effect of the local currency is like two edges of a sword, it depends on the relative effects between the expansion on aggregate demand and the contraction on aggregate supply. Since the total amount of foreign trade in Taiwan and Japan accounts for sizable proportions of GDP, the effect may be lower than expectation if the governments desire to stimulate economic growth by depreciation. Compared with nominal exchange rate, REER contributes to one country's policy making even more. As to Taiwan and Japan, maintaining REER relative stability would reduce unnecessary exchange rate risk cost while the two counterparts proceed with trade. Consequently, the exchange rate policy is not only deliberated from price competitiveness, but is also considered as the time-span effects of impact on domestic economics, and the linkage between global economies.