油價可以解釋實質匯率走勢嗎？亞洲新興國家之驗證

Can the Real Oil Price Explain Real Exchange Rate Movements? Evidence from Emerging Asian Countries

柏婉貞(Wan-Chen Po)

《東吳經濟商學學報》 69期 (2010/06) Pp. 29-46

https://doi.org/10.29735/SJEB.201006.0002

摘要

本文擴展Meese及Rogoff(1988)所建構的匯率模型來驗證實質油價是長期實質匯率均衡決定因素。本研究利用DOLS(dynamic OLS)技術來估計異質性的追蹤共整合向量並檢視亞洲新興國家實質匯率、實質利率與實質油價之長期關係。研究發現匯率模型考慮實質油價後其利率平價假說將成立，油價上升（下跌）衝擊會加深亞洲石油淨進口（淨出口）國家貨幣貶值，意指實質油價可用來解釋亞洲新興國家實質匯率的走勢，實質油價是未來實質匯率變動的關鍵性因素。研究結果不僅有助於解釋亞洲新興國家實質利率平價說失敗的原因，亦說明實質油價對於實質匯率的走勢存在重要的意涵。

關鍵字

實質油價 ； 實質匯率 ； 追蹤共整合

並列摘要

This paper extends the monetary model of Meese and Rogoff (1988) to demonstrate the role of the real oil price as a determinant of the long-run equilibrium real exchange rate. The study is based on the dynamic OLS and new heterogeneous panel cointegration techniques in that it investigates the relationship between the real interest rate differential, the real oil price and the real exchange rate for emerging Asian countries. The results indicate that real oil prices have a significant effect on the real exchange rate in the long run. An increase (decrease) in oil prices will lead to a depreciation in the currencies of the emerging Asian net oil-importing (net oil-exporting) countries. The results not only explain the failure of real interest parity in emerging Asian countries but also show that real oil prices may have been the dominant source of real exchange rate movements.

並列關鍵字

Real oil price ； Real exchange rate ； Panel cointegration

參考文獻

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