本研究運用結構式向量自我迴歸(Structual Vector Autoregression, SVAR)探討國際間生產力變遷的傳遞機制,分析生產力變動衝擊透過不同傳遞管道對我國總體經濟活動之影響。實證期間自1995年第1季至2014年第4季,主要變數包括勞動生產力、產出、消費、淨出口、國內商品的相對價格、實質匯率等。 傳統觀點認為,在生產力變動影響經濟活動的過程中扮演重要角色,而本文尤重視實質匯率的探討,故嘗試將準備不同物價指數加入SVAR模型中,代入Blanchard and Quah長期限制認定條件,藉以探討生產力變遷下,商品價格變動對實質匯率的影響。實證結果顯示生產力提升對於產出與消費的確有正面的影響,但對淨出口的影響並未如預期般具有明顯的正(負)向影響,而生產力提升對於我國一般物價的影響,短期內雖如HBS理論預期,出現國內非貿易品與貿易品相對價格上升的作用,但統計上並不顯著。另一方面,相對生產力提升使國內貿易品相對國際價格下降,因而導致實質匯率下降,可能是使實質匯率貶值的原因。
The main purpose of this paper is to investigate the effects of the international transmission of productivity shocks on the macroeconomics by using the SVAR analysis. The main dataset for this paper comes from OECD Statistics and IMF over the period 1995:1-2014:4, and here the main variables include labor productivity, manufacturing output, consumption, net exports, terms of trade, the relative domestic producer price index over the domestic consumer price index and real exchange rate. A widespread view of the transmission mechanism holds that productivity shocks in macroeconomics plays an important rule. The results suggest that an increase in productivity shocks leads to increases in manufacturing output and consumption. However, the effect in net export is not significant and real exchange rate movements are dominated by movements in the terms of trade, rather than by the HBS effect. We found that because a productivity increase in the traded goods sector of a country should lower the international relative price of domestic tradables.