新台幣實質有效匯率的指數編製、預測成效與實證應用

本文旨在討論新台幣實質有效匯率指數編製過程中，包括權數與貨幣籃等兩項關鍵技術選擇的搭配議題。為此，本文透過適當的VAR模型執行out-of-sample forecast程序（其中並使用了stationary bootstrap重抽方法），檢測了32種編製方式搭配下，相應新台幣實質有效匯率指數的預測表現。根據5,000組重抽樣本下DM（Diebold and Mariano, 1995）統計量的95%信賴區間檢定結果，本文建議：(一) 在貨幣籃範圍方面，可使用與台灣雙邊貿易比重居前的18國「完整貨幣籃」；(二) 在權數方面，編製者則可依使用目的與成本效益，自行決定是否在「雙邊貿易權數」上加計「第三市場競爭權重」。最後，我們也對新編的新台幣實質有效匯率指數進行若干實證應用，例如檢視央行匯率「動態穩定政策」、穩定經濟基本面目標及估算其潛在容許區間寬度等。

關鍵字

新台幣實質有效匯率指數；貨幣籃；第三市場出口競爭權數； VAR模型；樣本外預測；靴帶抽樣法

並列摘要

The purpose of this paper is to analyze the combinations of the two relevant technical choices, including the weights and currency baskets, for constructing Taiwan’s real effective exchange rate (REER) index. Using the VAR model and the re-sampling method of stationary bootstrap, we execute the out-of-sample forecasting procedures for all the 32 possible kinds of Taiwan’s REER indices mentioned above. Based on the empirical results of 95% confidence interval test of DM（Diebold and Mariano, 1995） statistics calculated from 5,000 sets of re-sampling data, our major findings and suggestions include: (1) as for the currency basket, we can use the “complete currency basket” of 18-country (the most important 18 countries in the bilateral trade of Taiwan); (2) as for the weights types, index constructor can decide whether combining the concept of the third-market exports weight to the traditional bilateral trade weight, according to his own cost-benefit analysis. Moreover, we conduct several empirical analysis, like re-examining Central Bank’s “dynamic stabilization” policy, stabilization policy for the economic fundamentals, and estimating the potential width of the allowed interval.

並列關鍵字

Taiwan’s real effective exchange rate (REER) index ； Currency baskets ； Third-market export weights ； VAR model ； Out-of-sample forecasting ； Stationary bootstrap

參考文獻

陳旭昇，吳聰敏 (2007)，「台灣匯率制度初探」，《經濟論文叢刊》，出版中。

曹添旺，賴景昌，鍾俊文，郭炳伸與蔡文禎 (2002)，「新台幣實質有效匯率之動態分析」，《台灣經濟預測與政策》，32，頁93-130。

陳美源，陳禮潭 (2003)，「購買力平價說與結構性變動—美/台實質匯率之實證研究」，《台灣經濟預測與政策》，34，頁93-111。

Angelos, K. (2006), “Purchasing Power Parity and Markov Regime Switching,” Journal of Money, Credit, and Banking, 38, 1669-1687.

Bayoumi, T., J. Lee and S. Jayanthi (2005), “New Rates from New Weights,” IMF Working Paper, No. 99.

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新台幣實質有效匯率的指數編製、預測成效與實證應用

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