匯率與總體經濟變數關聯性之實證研究─以APEC東亞三國為例

Abstract

本文旨在研究APEC東亞三國的名目匯率與總體經濟變數的關係。自從1989年亞太經合會成立以來，東亞各國之間的經貿往來日漸頻繁。隨著各國自由貿易協定(FTA)的簽署，對外貿易量也逐年成長，因此匯率的重要性與日俱增。 由於金融全球化，匯率的變動不只受到本國經濟的影響，同時也受到主要貿易夥伴經濟情況的牽動。有關匯率方面的議題也引起了許多學者的重視。 為了分析匯率與總體變數之關係，本文採用2000年1月至2014年12月的月資料作基礎，佐以單根檢定、共整合檢定法、誤差修正模型、衝擊反應函數及變異數分解結果，對同屬APEC東亞地區會員國的台灣、韓國、日本的總體資料進行估計，希望能瞭解匯率和總體經濟變數之間的關係。 研究結果顯示：台幣匯率的變動會影響出口，而出口又是帶動國內產出的重要因素。故我們可以發現台灣的央行經常透過匯率的調整來影響出口，進而透過出口去帶動經濟成長。由出口値的變異數分解可以得知，台灣的生產多數用以出口。產出對於進口的解釋力最大，顯示所得效果不小。 韓圜貶值對於韓國產出有負面影響，可能為貶值對於投資的影響效果不同所致。至於貶值對於南韓一般物價水準的影響，如同預期般出現推升物價上揚的作用。南韓匯率對於產出的解釋力高於利率，這也反映了韓國開放經濟體系的性質。 日圓貶值對於日本的產出有相當程度的正面影響效果。貶值對於物價的影響則透過匯率的轉嫁效果使進口品價格上漲，從而使日本整體物價上揚。在影響出口的因素中，全球的景氣和所得效果，較匯率因素和價格效果來得重要。

The purpose of this paper is to analyze the relationship between exchange rates and macroeconomic variables from three East Asia countries of APEC. From the establishment of APEC in 1989, the trade among East Asian countries has become more frequent. With the signing of Free-Trade Agreement, the volume of trade with East Asian countries has increased year after year. Therefore, the importance of exchange rates is steadily on the increase. Because of the financial globalization, the exchange rates’ variation is not only affected by national economy, but dependent on the trade partners’ economic condition. The issues about exchange rates are highly valued by many scholars. To analyze the relationship between exchange rates and macroeconomic variables, this thesis uses monthly data from January 2000 to December 2014 to estimate macroeconomic indicators for APEC East Asian countries including Taiwan, South Korea and Japan. Empirical analysis relies on cointegration test, vector error correction model, impulsive response function and variance decomposition. The results demonstrate that the exchange rate variation has influenced on export and which is one of the important factors that contribute to domestic output. Therefore, we discover that the central bank of China often manipulates exchange rates to affect export and further promote the growth of economy. From variance decomposition on export, we see most productions are used to export. The imports are explained mostly by domestic output, which shows that income effect is large. Korea is similar to Taiwan in their economic structure. Both of them are small open economy. Korean won depreciation has a negative effect on Korean output. It may have resulted from different effects on depreciation to investment. In regard to the depreciation effect on price level, it pushes prices up as anticipated. The output is largely explained by exchange rates instead of interest rates. It also implies Korea is an open economy. Japanese yen depreciation has a large positive effect on output. The depreciation effect on price raises up imported-goods price by exchange rates pass-through effect and thus, increases the price level of Japan. Among the factors which influence export, the world economic prosperity and income effect are more important than exchange rates and price effect.