台幣匯率對我國薪資之影響

本研究探討台灣長期以來實質薪資停滯的現象是否受到匯率變動之影響。首先，藉由單根檢定與共整合檢定判斷資料之型態與變數之間的關係，而其檢定結果顯示，應以向量誤差修正模型(VECM)探討台灣實質匯率與實質薪資之間的關聯性，並且透過Granger因果關係檢定及衝擊反應函數檢查該變數之間是否存在長期的關係，樣本資料期間為台灣1982年1月至2019年11月之月資料。向量誤差修正模型(VECM)估計結果顯示，落後兩期的實質匯率對實質薪資具有顯著的負向影響，且實質匯率對實質薪資存在單向的Granger因果關係，亦即落後期的實質薪資對實質匯率並無顯著之影響。最後，進而藉由衝擊反應函數圖可以得知，實質匯率之變動會對實質薪資造成永久性的衝擊。

關鍵字

向量誤差修正模型；單根檢定；共整合檢定；衝擊反應函數；實質匯率；實質薪資

並列摘要

This study aims at exploring whether the long-term phenomenon of real wage stagnation in Taiwan can be affected by the changes in the NTD dollar exchange rate. First of all, we use unit root test and Johansen cointegration test to determine the stationarity and the cointegration of the variables respectively. After that, the results show that the research should establish Vector Error Correction Model(VECM) to examine the relationship between real wage and real exchange rate. Furthermore, we find out whether there exists a long-term relationship of variables by Granger Causality Test and Impulse Response Function. By using the data from 1982 January to 2019 November in Taiwan, the empirical results show that real exchange rate with two-period lag has significant and negative effect on real wage in the VECM model. Besides, there only exits one-way Granger causality relationship from real exchange rate to real wage. In other words, real wage with lags has no significant effect on real exchange rate. Last but not least, the results of Impulse Response Function show that the changes in real exchange rate would cause real wage a permanent shock.