雙邊匯率、多方匯率、與總體經濟基本面：以我國為例

理論上，國內外總體經濟基本面的變化，將反映在匯率的波動上。因此在實務的層面，如何驗證出兩者之間的關連，也一直是實證研究的重點。但基本面變數難以解釋匯率的走勢，明顯存在新臺幣兌美元的雙邊匯率問題上。因此，本研究從多方匯率的角度，並以臺灣對各大貿易對手國雙邊貿易比重，作為衡量與貿易對手國的相互依存程度。我們發現在僅考慮臺灣/美國的雙邊匯率模型，難以找出匯率與基本面變數的實證相關性；然而，隨著納入通貨籃國家數的增加而建構較為全面的有效匯率，將可找出匯率與基本面變數的共整合關係，驗證出匯率模型的實證可信度，並助於判讀臺灣與世界各國總體經濟的相關性。換句話說，多方匯率提供實證上更為完整的資訊，助於改善傳統匯率模型應用於實證上的解釋能力。

關鍵字

雙邊匯率；多方匯率；貨幣所得模型；泰勒法則模型；共整合

並列摘要

In theory, changes in domestic and foreign macroeconomic fundamentals will be reflected in the exchange rate fluctuations. Thus, it's important to verify the relationship between exchange rate and fundamentals in empirical research. But it's difficult to explain exchange rate movement by fundamentals, especially in bilateral Taiwan-U.S. exchange rate. This study use major trading partner countries on the proportion of bilateral trade of Taiwan as a measure of the degree of interdependence. We found that is difficult to find the empirical relevance between exchange rate and fundamentals by bilateral Taiwan-U.S. exchange rate models. However, with increasing the number of countries into currency baskets to build the effective exchange rate, we can find the cointegrating relationship between exchange rate and fundamentals, verifying the empirical feasibility of exchange rate models. In other words, multilateral exchange rate provides more complete information to improve the explanatory ability of traditional exchange rate models.