廠商直接投資之匯率問題研究：台灣與東南亞國協貨幣之長期關係

Research on the exchange rate of direct investment: The long-term relationship between Taiwan and ASEAN currencies

吳靖東(Jing-Tung Wu)

《東吳經濟商學學報》 103期 (2021/12) Pp. 67-82

摘要

中美貿易戰下，台灣廠商因應現今政治與經濟環境，進行直接投資的重新規劃。廠商生產與營運地區的轉移，必須面對有關的匯率問題，其中以匯率水準值最受關注。若匯率變動具有長期關係，則匯率水準值可能落於某一區間，如此可大幅降低匯率問題。因此本文採用自我迴歸分佈式滯後模式（Autoregressive distributed lag model：ARDL），來探討各國匯率間長期的關係。研究對象為近年來政府推動新南向政策的國家，即東南亞國協（The Association of Southeast Asian Nations，ASEAN）與台灣之匯率。結果發現，這些國家的匯率長期關係十分緊密。代表廠商在這些國家投資設廠，面對類似的匯率問題。

關鍵字

台灣 ； 自我迴歸分佈式滯後模式 ； 東南亞國協 ； 匯率

並列摘要

Under the China-US trade war, Taiwan companies have re-planned direct investment in response to the current political and economic environment. As companies shift their production and operating regions, they must face the relevant exchange rate issues, among which the exchange rate level value is themost concerned. If the exchange rate changes have a long-term relationship, the exchange rate level may fall within a certain range, which can greatly reduce the exchange rate problem. This article uses autoregressive distributed lag model (ARDL) to explore the long-term relationship between the exchange rate of various countries. The research objects are the exchange rates of The Association of Southeast Asian Nations (ASEAN) and Taiwan, to illustrate the impact of its changes on companies. It turns out that the long-term relationship between these countries' exchange rates is very close. It represents that companies direct invest in these countries face similar exchange rate issues.

並列關鍵字

Taiwan ； Autoregressive distributed lag model ； The Association of Southeast Asian Nations ； exchange rate

參考文獻

吳靖東(2012)，「總體經濟因素對兩岸匯率變動的影響」，東吳經濟商學學報，第 76期，頁 99-112。

陳坤銘、郭炳伸、林信助、林家慶(2012)，「新台幣實質匯率與產業升級及對外投資關係」，中央銀行季刊，第 34 卷第 1 期，頁 3-38。

Baillie, R.T. and T. Bollerslev (1989), “Common Stochastic Trends in a System of Exchange Rates.”The Journal of Finance, 44, pp.167-181.

Baillie, R.T. and T. Bollerslev (1994), “Cointegration, fractional cointegration, and exchange rate dynamics.” The Journal of Finance, 49, pp.737-745.

Chen, K.M., H.H. Rau, and C.C. Lin (2006), “The impact of exchange rate movements on foreign directinvestment: market-oriented versus cost- oriented.” The Developing Economies, 44, pp.269-287.