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  • 學位論文

亞洲單一貨幣化與海外投資政策關聯性分析

A Study of the Relationship between Asian Currency Unification and Foreign Investment Policy

指導教授 : 陳若暉

摘要


亞洲區域經濟整合的共識及發展,在東協諸國與日本、中國及韓國的的推波助瀾下日趨成熟。亞洲開發銀行近期積極的推動亞洲單一匯率通貨籃的組合及權重的整合,期望透過單一貨幣的實施促使亞洲區域的經濟快速整合,使之成為世界第一大的經濟貿易區域。 本研究針對過去十三年的東協成員國,印尼、新加坡、馬來西亞、泰國、菲律賓、寮國,越南、緬甸、柬埔寨及日本、中國、韓國等十二國為樣本。首先以上述十二國之貿易總額、國內生產毛額及外匯存底三項變數,虛擬亞洲單一貨幣之中心匯率。利用共整合檢定、穩定性檢定、向量自我迴歸模型及向量誤差修正模型,探討亞洲單一貨幣與工業生產指數、短期利率、海外直接投資、進口保護程度和所有權優勢等五項變數間的關連性與動態影響。 本研究發現,亞洲單一貨幣對於工業生產指數的影響力最強,其次為短期利率、再其次為進口保護程度,對於海外直接投資與所有權優勢的影響力最弱。而影響亞洲單一貨幣的變數以工業生產指數最為顯著,其餘變數則較不明顯。中國的海外直接投資與短期利率,以及柬埔寨的進口保護程度與所有權優勢間有顯著的雙向因果關係存在。 亞洲單一貨幣與印尼、韓國、馬來西亞、寮國、緬甸與柬埔寨六國之海外直接投資相關變數間存在長期共整合關係,反應出長期變動的解釋能力。 實證結果顯示長期經濟變數的收斂效果佳,即各區域經濟變數與亞洲單一貨幣在長期所受的干擾逐漸減少。同時發現印尼、越南、日本及中國對與亞洲單一貨幣的走勢具有深厚影響力。而亞洲單一貨幣對於工業生產指數的影響最強、其次為進口保護程度、海外直接投資、所有權優勢,對於短期利率的影響最弱。 在預測誤差變異數分解的實證結果發現,亞洲單一貨幣長期以短期利率與海外直接投資為較強的解釋變數;印尼對亞洲單一貨幣有較大的影響能力。韓國受亞洲單一貨幣的影響最深遠,其次為日本。 在向量誤差修正模型實證結果發現, ACU 受本身落後一期及落後一期的馬來西亞海外直接投資、馬來西亞短期利率,緬甸落後一、二期的所有權優勢及工業生產指數的影響。

並列摘要


Abstract Based on the aggressive involvement by ASEAN and countries like Japan, China and Korea, the consensus and the development of the integration of Asian regional economy have grown mature. Recently, Asian Development Bank promotes the combination of Currency Basket and the integration weights of Asian Currency Unit (ACU) in order to accelerate the accomplishment of ACU and makes Asia become one of the biggest economy zones. This study focused on 9 ASEAN nations which including Indonesia, Singapore, Malaysia, Thailand, Philippine, Laos, Viet Nam, Cambodia, Myanmar, Japan, PRC and Korea as sample for the last 13 years. The central rate of ACU was simulated via Exports, GDP per capita and International Reserves for selected nations. We applied Johansen Co-integration Test, VAR model, Stability test and VECM model to analyze the relationship between ACU and other factors such as Industry Production Index, Short-term Interest, Foreign Direct Investment, Manufacturing Imported Ratio and Ownership Specific Advantage and examined dynamic reactions. This research found that ACU has the most powerful impact on Industry Production Index. The Interest comes second and Manufacturing Imported Ratio to be next. Foreign Direct Investment and Ownership Specific Advantage have the worst influence power. On the other hand, Industry Production Index has great influence to ACU. Other variables have only few effects. There existed bilateral relationship between Foreign Direct Investment and Short-term Interest of PRC, as well as Manufacturing Imported Ratio and Ownership Specific Advantage of Cambodia. In addition, this study indicated that long-term co-integration relationship between ACU and related Foreign Direct Investment of Indonesia, Korea, Malaysia, Laos, Myanmar and Cambodia in response of the long-term changes. The empirical results show that a better convergence effect of long term economy variables, revealing that the interference between ACU and regional economic factors is lessen gradually. Moreover, we found that Indonesia, Viet Nam, Japan and PRC have significant impact on ACU which in turn affect Industry Production Index most. The next one is Manufacture Imported Ratio, followed by Foreign Direct Investment and Ownership Specific Advantage. The minor one is Short-term Interest Rate. In regard to the experiment result on prediction of variance decomposition, we found that Short-term Interest and Foreign Direct Investment can be the explanatory variables for influencing ACU. Interestingly, Indonesia has greatest influence to ACU. In the mean time, we found that ACU has the most powerful influence on Korea and Japan comes next. The empirical results of VECM model showed that ACU is influenced by itself of lag 1, Foreign Direct Investment and Short-term Interest of Malaysia of lag 1 and Industry Production Index and Ownership Specific Advantage of Myanmar of lag 1 and 2.

參考文獻


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被引用紀錄


高秀貞(2016)。亞洲匯率指數與指數型基金之預測分析-以ARFIMA-FIAPARCH模型為例〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu201600445
謝之庭(2015)。大中華貨幣單一化與短期資本流動之關聯研究 -以灰關聯和類神經模型分析〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu201500533
楊淨萍(2010)。亞洲單一貨幣化與貨幣危機預警模型 —外匯壓力指數關聯性研究〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu201000463
呂湘君(2010)。亞洲單一貨幣化與風險值(VaR)之相關研究〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu201000232
鄭誌逸(2008)。大中華貨幣單一化與總體經濟指標之關聯性-以模糊類神經和ARIMAX-GARCH模型分析〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu200800397

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