國際原油價格變動對台灣地區匯率對稱與非對稱影響之探討

The Symmetric and Asymmetric Effects of Crude Oil Price Change on Exchange Rates

吳曼華(Man-Hwa Wu) ； 王麗惠(Lie-Huey Wang) ； 蕭博仁(Bo-Ren Siao)

《管理資訊計算》 3卷1期 (2014/03) Pp. 39-47

https://doi.org/10.6285/MIC.3(1).03

摘要

原油價格變動與匯率之間的關係，隨著兩次原油危機和最近油價的升高而再度受到關注，本研究利用2004年1月1日至2006年12月31日期間之國際原油價格與台幣兌換美元匯率的日資料，檢視國際原油價格變動對台灣地區匯率對稱與非對稱的影響。實證結果發現，原油價格變動領先於匯率的變動，匯率變動反應油價變動的衝擊影響僅為第1、2期，而原油的變動僅能解釋部份匯率的變動。另外，油價的上漲、下跌對於匯率存在非對稱的影響，前期油價為高變動且為下跌狀態以及前期油價為低變動且為上漲狀態時，油價變動皆會造成匯率的上升，本國貨幣呈現貶值的現象。

關鍵字

原油價格 ； 匯率 ； VAR模型 ； 馬可夫轉換模型

並列摘要

This paper attempts to examine the symmetric and asymmetric effects of crude oil price changes on exchange rate by using the exchange rate of the NT dollars to US dollars and crude oil price from 2004/1/1 to 2006/12/31. Our results find that the oil price changes lead exchange rates, the relationship between the oil price changes and exchange rates is negative, and the innovation of oil price changes to account for the response of in exchange rates is not strong, and the oil price changes affect Exchange rates asymmetrically.

並列關鍵字

Oil price ； Exchange rate ； VAR model ； Markov switch model

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