本研究旨在運用向量自我迴歸模型(VAR)以及Granger因果關係檢定等方法,探討兩岸在簽署了《兩岸貨幣清算合作備忘錄》,以及實施「兩岸貨幣清算機制」的前後共三個階段,人民幣匯率與新台幣匯率之間連動性的變化,以此探討《兩岸貨幣清算合作備忘錄》的簽訂,乃至於「兩岸貨幣清算機制」的實施,能否有助於加強兩岸貨幣的互動。本研究的主要發現為:由向量自我迴歸模型的結果,發現《兩岸貨幣清算合作備忘錄》的簽署與「兩岸貨幣清算機制」的實施,確實可以提高雙方貨幣匯率之間的連動關係,而由Granger因果關係檢測的結果,亦證實了,《兩岸貨幣清算合作備忘錄》的簽署及「兩岸貨幣清算機制」的實行,會提高雙方貨幣匯率之間的雙向因果關係(two way causality)。綜合以上的兩點發現,本研究推測上述兩項政策的實施,將可以在未來為兩岸的經貿以及金融往來帶來不小的助益。
This study employed the Vector Autoregressive Model (VAR) and the Granger causality test to investigate the variations of the interaction relation between RMB and NTD around the practices of the MOU of monetary liquidation and cooperation and the Mechanism of monetary liquidation between China and Taiwan. The main findings demonstrated that with the practices of the MOU of monetary liquidation and cooperation and the Mechanism of monetary liquidation between China and Taiwan significantly reinforce the short-run relations and the two way causality relations between the RMB and NTD. The two policies significantly increase the interaction relation between RMB and NTD, and it would advantage for the trade and financial exchange between China and Taiwan.