長短期利率與國際收支對匯率的影響

The Impact of Long-Term & Short-Term Interest Rate and Balance of Payments on the Exchange Rate of New Taiwan Dollar

詹淑華(Shu-Hua Chan)

指導教授 ： 林烱垚

淡江大學/商管學院/國際企業學系碩士在職專班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00843

摘要

當國家政府機構、私人公司和房屋持有人考量外匯決定因素。一國的外匯匯率不僅影響了這個國家的進出口，而且也影響了政府支出，商業投資和居民消費等經濟發展條件。
本研究資料取2009年1月1日至2016年12月31日之期間，主要在探討重貼現率、基本放款利率、隔夜拆款加權平均利率、商業本票31-90天期次級市場利率、十年期政府公債次級市場利率、經常帳變動量、貿易商品變動量、金融帳變動量、金融帳變動量、直接投資變動量、證券投資變動量、準備資產變動量、外匯存底變動量、本國逾放比率、消費者物價指數年增率與新台幣兌換美元匯率的關聯性，因此研究的對象為上述15變數的變動，新台幣兌換美元匯率的影響，我們應用了多元迴歸模型，提供了相關分析、ADF單根分析和基本的統計迴歸分析。為了得到合理的實驗結果，我們考察了迴歸係數的t值，並對回歸的R2，調整R2，F值，DW，AIC，Schwarz，HQ，Log可能性進行了研究。
本研究目的不是為預測台灣外匯政策的變量及其走勢，而是討論及分析台灣金融市場貨幣政策變量與匯率之間的關係。實證結果顯示，外匯存底是一個存量的變數，顯示出支持測試假設的重要證據。結論證明，外匯存底應被視為調整台灣外匯政策的關鍵要素。

關鍵字

長短期利率 ； 國際收支 ； 匯率 ； 購買力平價 ； 利率評價理論

並列摘要

The determinants of a country foreign exchange have been noticed by this country’s government bureaus, private corporations and house - holders. A country's foreign exchange rate not only influence this country’s import and export, but also influence the economic development conditions such as government spending, business investment and householders consumption.
The purpose of this paper is examining the impacts of a country's monetary policy variables on the movements of this country's foreign exchange rate. We are taking the financial markets of Taiwan as the study subject.
The research study time length is taking the time period from 2009 .1.1 to 2016.12.31 and the monetary policy variables are including discount rates, prime lending rates, commercial paper rates, 10 years government bond rates, changes in current accounts, changes in trading accounts, changes in financial accounts, foreign direct investment accounts, changes in capital investment in securities markets, foreign exchange reserves, and consumer price index.
We applied the multiple regression models, and provided the basic statistical properties analysis, ADF unit root analysis, and correlation analysis. For receiving the reasonable experimental results, we examines the value for regression coefficients, and investigated the R2, Adjusted R2, F value, DW, AIC, Schwarz, HQ, Log likelihood, for the regressions.
The output is not to dedicate the predictions of the foreign exchange policy variables in Taiwan, but it is for examining the relationship between the monetary policy variables and foreign exchange rate in Taiwan's financial markets.
The finding result has concluded the foreign exchange reserves which is a level variable does show significant evidences in supporting the testing hypothesis. The ending conclusive remark is indicating that foreign exchange reserves should be considered as a critical element in adjusting the foreign exchange policies in Taiwan.

並列關鍵字

Long-Term & Short-Term Interest Rate ； Balance of Payments ； Exchange Rate ； Purchasing Power Parity Theory ； Interest Rate Parity Theory

參考文獻

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