台灣與東協國家匯率及總體經濟動態關聯性分析

Dynamic Associated Analysis of the Exchange Rate and Macroeconomic Factors in Taiwan and ASEAN

王明昌(Ming-Chang Wang) ； 丁裕家(Yu-Jia Ding)

《健行學報》 33卷4期 (2013/10) Pp. 59-78

摘要

東協國家對我國貿易總值正逐年快速成長，已成為我國不可忽視的新興市場。世界經濟活動逐漸朝向全球化，國際外匯市場有著密切的連動性。本研究對象為與我國經貿關係密切之東協國家，應用共整合分析、VAR模型等時間序列方法，建構各國匯率及總體經濟變數模型觀察其動態關連性。研究結果發現台灣與東協國家總體經濟對於其匯率呈現共整合關係，表示總體經濟變動對其匯率走勢有著關鍵性影響，並存在著央行干預匯率情形，且東協國家貨幣中印尼盾長期具有大幅度調整特性，在經貿環境變動時可能形成各國貨幣匯率波動連鎖效應。而物價為顯著影響多數東協國家匯率及經濟因素。建議各國央行減少匯率干預以真實反映經濟基本面，台灣與東協國家應建立加強經貿合作，避免區域貿易失衡與金融危機。

關鍵字

東南亞國家協會 ； 匯率 ； 總體經濟 ； 共整合檢定 ； 向量自我迴歸模型

並列摘要

The total trade of ASEAN on Taiwan quickly growing and become the emerging markets would can't be ignored. Gradually the world economy has become globalized, international foreign exchange markets closely connected mobility. The subjects of this study is ASEAN which economic and trade exchanges with Taiwan closely, apply the cointegration analysis, VAR model and other time series methods to construct each national model of exchange rate and macroeconomic variables connected to observe the dynamic nature. The results find the cointegration relationship exist among Taiwan and ASEAN countries show the overall economic change has a crucial impact on its exchange rate, and the existence of central bank intervention rate case. The IDR have significantly huge adjustment characteristics in the long term. When the economic environment shocked, fluctuations in exchange rates of national currencies may form a chain reaction. In addition, prices significantly affect exchange rates and economic factors of most ASEAN countries. We therefore suggest that central banks intervene should be reduced to reflect economic fundamentals, Taiwan and the ASEAN countries to strengthen economic and trade cooperation should be established in order to reduce regional imbalances and the financial crisis occurred.

並列關鍵字

ASEAN ； Exchange Rate ； Macroeconomy ； Cointegration Test ； VAR Model