台美匯率、相對物價之因果與時差之探討一向量自我回歸模型之應用

The Time Lag and Causality between Exchange Rate and Relative Price of Taiwan and U.S.-Vector Autoregression Model

柯勝揮(Sheng-Huei Ko) ； 徐俊智(Chun-Chih Hsu)

《華人前瞻研究》 8卷2期 (2012/11) Pp. 1-13

https://doi.org/10.6428/JCTF.201211.0001

摘要

台灣是高貿易依存度的困家，以持續發展對外貿易創造台灣經濟奇績。長期以來，美國不論在外交、經濟貿易上，一直都是台灣重要的策略夥伴之一，美國亦提供台灣廣大的消費市場。過去許多文獻著眼探討影響台美貿易因素，並根據國際貿易與國際金融理論，提出匯率係影響相對物價之重要因素。然而，根據購買力平價說（簡稱PPP理論），在長期情況下，若PPP成立則兩國相對物價將是影響匯率的主要因素，因此，本文擬針對台美匯率與相對物價之因果關係及時差等進行分析。本文係利用時間序列分析方法中之向量自我回歸模型分析台美匯率與相對物價之因果關係及時差。本研究以台灣匯率自由化之後的1991年1月至2011年12月之月資料為研究期間。本研究結果發現名目匯率係影響相對物價之因，當名目匯率變動將顯著影響兩國的相對物價，且約需七個月才能促使相對物價作較全面的調整。

關鍵字

向量自我回歸模型 ； 購買力平價說 ； 匯率 ； 相對物價 ； 因果關係 ； 時差

並列摘要

Taiwan is high trade dependence country, by continuing to develop foreign trade created Taiwan's economic miracle. For a long time, the United States whether in diplomatic, economic and trade, Taiwan has been an important strategy of one of the partners, the United States also provide Taiwan vast consumption market. Many papers focus to explore Taiwan-US trade factors, and according to the international trade and international financial theory, puts forward exchange rate is an important determinate of relative prices. However, according to theory of purchasing power parity, in the long run, if the two countries established P.P.P phase, relative price will be the main factor that affects exchange rate. Therefore, this article plans in view of the causality and time lag of the Taiwan-US exchange rate and relative price.This article is using time series analysis method of the Vector Autoregression model to analysis the causality and time lag of Taiwan-US exchange rate and relative price .The beginning of this empirical data is after the liberalization of the exchange rate in Taiwan in January 1991 to December 2011. The results of this study found that nominal exchange rate will affect the relative price, when the nominal exchange rate changes will significantly influence the relative prices of the two countries, and it needs seven months to make relative price for comprehensive adjustment.

並列關鍵字

Vector Autoregression model ； Purchasing Power Parity ； exchange rate ； relative price ； causality ； time lag