分類進口物價指數的不對稱匯率轉嫁效應-台灣的實證研究

Asymmetric Exchange Rate Pass-Through of Categorized Import Price Index : An Empirical Study of Taiwan

陳姿螢(Tzu-Ying Chen)

指導教授 ： 曾翊恆

元智大學/管理學院/經營管理碩士班(國際企業學程)/碩士(2011年)

摘要

由於大部分之文獻皆專注於研究進口物價總指數之不對稱匯率轉嫁的現象，然而，不同的商品類別其所估計出來的結果可能與進口物價總指數所估計出來的結果會有所差異，因此，本研究主要著重於分析各商品類別之轉嫁效果與門檻效應，並藉由門檻迴歸模型檢測，其實證結果顯示不同的商品確實有各自的門檻值，除此之外，所有的類別均有顯著的門檻效應。

關鍵字

不對稱效應 ； 匯率 ； 匯率轉嫁 ； 門檻迴歸模型

並列摘要

Most of researches focused on the asymmetry in exchange rate pass-through (ERPT) to general import price. However, the result of regression for different categories of commodity may diverge from the general products. Therefore, the main purpose of this thesis is to investigate different categorized commodity would bring about different threshold value and threshold effect or not. Using the threshold regression model, the empirical results shows that different categorized commodity has respective threshold value and all of them have threshold effect.

並列關鍵字

Asymmetry Effect ； Exchange Rate ； Exchange Rate Pass-Through ； Threshold Regression Model

參考文獻

Chang, J. C., Shi, M. S. and Lin, C. Y. (2006), “Investigating the asymmetries of exchange rate volatility on Taiwan's exports of electro-mechanics and textiles: The implication of grid search and dummies”, Taiwan Economic Forecast and Policy, 36, 115-139.

Chang, J. C. and Tsong, C. C. (2009), “Monetary policy and exchange rate pass-through: The case of Taiwan”, Taiwan Journal of Applied Economics, 86, 37-67.

Huang, E. E., Lan, C. Y. and Kuo, B. S. (2007), “Asymmetry in Exchange Rate Pass-Through to Taiwan Import Prices: The Potential Role of Menu Costs”, Academia Economic Papers, 35, 439-472.

Tseng, Y. H. and Tsaur, T. W. (2008), “A Practical Study on Construcing Taiwan's Real Effective Exchange Rates Index: Prediction Performance for Combination of Currency Baskets and Weights Choices”, Taiwan Economic Forecast and Policy, 39, 97-143.

Wang, K. L. and Lin, S. F. (2000), “A Study of Exchange Rate Pass-Through Elasticities in Taiwan's Import Prices of Midstream Petrochemical Industries”, Academia Economic Papers, 28, 97-126.