進口物價的匯率轉嫁與不對稱性：台灣的實證研究

Exchange Rate Pass-Through and Asymmetry to Import Prices: An Empirical Analysis of Taiwan

劉宗欣(Zong-Shin Liu) ； 張銘仁(Ming-Jen Chang)

《經濟論文》 28卷4期 (2000/12) Pp. 369-396

摘要

1980年代中之後，台灣在貿易及匯率政策上都有了重大改變，不但讓貿易自由化，也讓新台幣匯率開始呈現大幅波動，1989年並改變匯率制度為浮動匯率。本文的主要目的為估計1986年後，新台幣匯率的大幅波動對台灣進口物價的長短期轉嫁程度，並探討新台幣升值與貶值時長短期匯率轉嫁效果是否具有不對稱性。實證結果顯示，進口物價的長短期匯率轉嫁效果皆頗高，但為不完全轉嫁。無論新台幣升值或貶值，短期匯率轉嫁效果皆約為0.83，無顯著差異，且皆低於長期轉嫁效果。新台幣升值時長期轉嫁效果較大，約為0.87，貶值時約為0.84，呈現不對稱性，顯示長期而言新台幣升值比貶值對貿易的影響效果大。無論是長期或短期，匯率變動皆是影響台灣進口物價最重要的因素。政策涵義上，因匯率轉嫁效果為不完全，故若政府擬以變動匯率來影響貿易餘額及經濟情況效果將減低；但若以穩定匯率來穩定進口物價以期減輕國內通貨膨脹壓力，將會有顯著效果，因匯率是影響進口物價最重要的因素。

關鍵字

進口物價 ； 成本加成 ； 長期與短期匯率轉嫁 ； 不對稱性

並列摘要

Trade and exchange rate policies in Taiwan have substantially changed since the mid-1980s. Not only has trade been liberalized, but exchange rates of the New Taiwan Dollar (NT$) were also allowed to fluctuate. In addition, Taiwan switched to and operated a flexible exchange rate regime in 1989. The main purpose of this study is to estimate the long-run and short-run pass-through effects (PT) of NT$ exchange rates on import prices since 1986. The asymmetries of the long-run and short-run PTs of exchange rate depreciation and appreciation are also examined. Several empirical findings are obtained. First, both the long-run and short-run PTs are high, but incomplete. Second, the short-run PTs are around 0.83 for both exchange rate depreciation and appreciation, appearing to show insignificant asymmetry. Third, the long-run PT of appreciation is about 0.87 which is larger than the long-run PT of depreciation which is about 0.84, and also shows significant asymmetry. The long-run PT asymmetry implies that impacts on the trade balance of an NT$ appreciation eventually would be larger than that of an NT$ depreciation. Fourth, either in the long run or in the short run, changes in the exchange rate are the main factors that result in import price changes. Accordingly, there are two main policy implications. (l) If government authorities intend to affect trade balances and macroeconomic activities by exchange rate adjustments, then the effects should be lower due to incomplete exchange rate pass-through effects. (2) If the central bank targets mild inflation pressure, then in order to stabilize exchange rate fluctuation thereafter, stabilizing import prices would be an effective way and should have significant effects.

並列關鍵字

Import price ； Markup ； Long-run and short-run exchange rate pass-through ； Asymmetry

參考文獻

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