亞洲國家外匯市場與國際油價之間的關聯性與因果分析

Abstract

近年來國際原油價格一路高升，2002∼2006年間，國際市場西德州原油價格由每桶26美元上漲至每桶66美元，翻了2.54倍，漲幅達153.85％，年均漲幅為38.5％，同時期引發亞洲貨幣的升值。本論文將藉著亞洲地區包含印度、日本、韓國、馬來西亞、印尼、新加坡、菲律賓、泰國以及台灣等九個亞洲國家匯率，以及世界平均油價(Average of U.K. Brent, Dubai, and West Texas Intermediate)，實証期間由1980年至2009年的月資料來研究亞洲國家實質油價與實質匯率之間長期關係，並以此揭示兩者之間的因果關係。我們同時考慮追蹤資料(panel data)與各別單一國家時間序列資料，以共整合檢定方法(Pedroni(2004)panel cointegration tests、Engle and Granger(1987)兩階段程序)，探討實質匯率和實質油價是否具長期均衡關係。此外透過因果關係檢定(Granger-Causality Test)探討實質匯率與實質油價是否存在領先落後的因果關係。最後，利用VAR分析，經由衝擊反應函數(Impulse Responses）說明在實質油價衝擊下，對實質匯率的動態影響及其遞延效果。並且以變異數分解探討在不同預測區間下，油價衝擊對於匯率變動的解釋力大小。

The oil price has been rising in recent years. From 2002 to 2006 the West Texas Cruel Oil price was increasing from $26 to $66 per barrel, almost 2.54 doubles. The rising level of price was reaching high to 153.85％ and the annual level was to 38.5％. At the same time, it caused the foreign exchange appreciation for all the Asian countries. This paper examines the long-term relationship between real exchange rate and real oil price and its causality using the monthly data from 1980 to 2009 for nine Asian countries including India, Japan, Korea, Malaysia, Indonesia, Singapore, Philippines, Thailand and Taiwan. We also simultaneously consider the panel data and unilateral country’s time series data by applying the co-integration test including Pedroni(2004)panel cointegration tests、Engle and Granger(1987) two stage procedures to discuss if there exists the long-term relationship between real exchange and real oil price. Besides, this paper studies the leading and the lagging relationship between the two variables through the Granger-causality test. Finally, we can explain the recursive and dynamic impact of real oil price shock on real exchange rate via impulse response function by the VAR. Also, through the variance decomposition, we can see explanatory power under the different prediction intervals.