匯率與股價之總體計量分析

Abstract

本文主要的研究目的為建立台灣總體計量模型，並藉由模型模擬匯率波動以及股價波動對於台灣總體經濟所造成的影響。依據台灣目前現況，分別考量在不同情境下的評估以及分析：(1)新台幣兌美元匯率：由實證結果可知，新台幣貶值對於實質輸出的確有正面的影響，或者說，新台幣升值對於實質輸出有不利影響。此外，由於我國為一開放經濟，出口表現和總體經濟的表現息息相關，因此，台幣升(貶)值也連帶地具有減緩(刺激)經濟成長的效果。而台幣升值對於台灣消費者物價指數出現緩和物價上揚壓力的作用，表示新台幣匯率變動之後，將透過轉嫁效果，傳遞至進口物價以及國內一般物價水準。(2)股價指數：由實證結果可知，股票指數的上漲的確帶來財富效果，除了伴隨著景氣呈現擴張的情況，也使得民間實質消費增加。相反地，股票指數的下跌使得股票報酬的財富減少，使得民間實質消費減少。(3)美國經濟成長率：由實證結果可知，當美國經濟成長高於預期時，將提高我國經濟成長率，並且有助於改善我國失業率以及促進民間投資。

The main purpose of this study is constructing a macroeconomic model of Taiwan, and simulating how exchange rate and stock index fluctuations affect Taiwan's overall economy. Based on the current status of Taiwan, analysis: (1) The NT dollar exchange rate: the empirical analyses show NT dollar depreciation does have a positive impact on real exports and NT dollar appreciation would decrease real exports. In addition, since Taiwan is an open economy, the total value of exports and overall economic performance are closely related; therefore, NT appreciation (depreciation) have the effect to slow down (stimulate) overall economy. Not only affect the real output, the value of NT dollar can also affect consumer price index; for example , appreciation of NT dollars can slow down the rate of increasing consumer price index. (2) Stock Index: The empirical results also provide us a suggestion that the increase of stock index can bring positive wealth effect for people. In addition to increase during the expansion of economy, it also makes private consumption increased in real terms. Besides the expansion of economy, it also increases the real private consumption. On the contrary, the decline in the stock index reduces the wealth, making reduction in private real spending. (3) U.S. economic growth: The empirical results suggest that when the U.S. economic growth is higher than expected, it will enhances Taiwan's economic growth and help to improve the rate of unemployment and to promote private investment.