澳洲的匯率和原物料價格變動之間的關係

Abstract

本研究探討澳洲的匯率與它出口原物料價格的關係。澳洲的匯率自採用浮動匯率的制度後，面臨激烈的波動。實際上，傳統的匯率決定鋰論對匯率變動的解釋力較弱。本文使用不同原物料價格的指標來研究其對澳洲匯率的影響力。本文研究的非能源物價指標不包括煤炭：澳洲的原物料出口量除了煤炭，大部分由黃金、鐵和鋁，非能源的原物料，而組成的。本研究採用誤差修正模型來探討原物料與澳洲匯率之間的關係，發現若緊盯非能源的原物料的價格波動，則可藉此對匯率的未來走勢方向得出一個大致的輪廓。此外，本研究另發現其他原物料指標，有可能因為相對大宗原物料出口是少量的關係，所以無法影響到匯率變動。本研究主要結論有三：一、匯率和原物料的數列在I(1)下，無明顯的趨勢•二、由Johansen的軌跡檢定量指出：長期而言，匯率還是跟所用的變數有一個長期和均衡的關係。三、透過誤差修正模型的檢測，發現一些非能源的原物料價格變動時，匯率會大約落後三個月才能反映原物料價格的變動。

This paper looks at the relationship between the real exchange rate and commodity prices. After the adoption of a floating exchange rate, the Australian exchange rate has encountered a lot of highs and lows. As seen in various other studies, traditional exchange rate determination theory finds it hard to explain exchange rate fluctuation. This paper uses three different commodity price indexes to investigate their effect on the exchange rate. Coal is not considered in this study, rather, Australia’s other largest commodity exports, namely non-energy commodities: gold, aluminium and iron are. This paper uses an error correction model to further investigate the Australian exchange rate and its relationship to commodity prices. We find there is significant evidence to suggest that the non-energy commodity price index is an accurate predictor of the Australian exchange rate’s future direction. In addition to the above, we find that other commodity price indexes do not have a significant relationship with the exchange rate. This paper’s main conclusions are: (1) no time trend is seen when first differences are taken of the exchange rate and commodity price time series data; (2) there is a long term relationship between the Australian exchange rate and commodity prices; (3) after investigation by error correction model analysis, we find the Australian exchange rate responds to non-energy commodity prices after approximately three months.