亞洲貨幣單一化與各國貿易之關聯性研究 —以向量自我迴歸模型為例

The Study of the Relationship between Asian Currency Unification and Trade — the Example of VAR Model

謝欣翰(Hsin-Han Hsieh)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2003年)

https://doi.org/10.6840/cycu200300345

摘要

隨著歐盟成立及歐元上市，全球區域化經濟儼然成形。以亞洲地區為標的，探討各國貨幣整合之相關研究為一項新的議題，本研究即以探討亞洲單一貨幣(ACU)與各國貿易變數之間的關聯性為核心。首先以亞洲十國(中國大陸、香港、印尼、韓國、馬來西亞、菲律賓、新加坡、泰國、台灣及日本)貿易總額、國內生產毛額及外匯存底三項變數，虛擬出亞洲貨幣單一化之中心匯率。利用單根檢定、因果關係檢定、共整合檢定、向量自我迴歸模型、衝擊反應分析、預測誤差變異數分解、穩定性檢定及殘差項檢定來探討亞洲單一貨幣(ACU)之虛擬變數與三項貿易變數(貿易量、貿易條件及貿易餘額)間的關係。

本研究發現，亞洲單一貨幣對貿易量之影響力最強、其次為貿易條件、而貿易餘額最弱。另外，各國貿易變數對亞洲單一貨幣之影響力較不明顯，而各國貿易變數間之交互影響亦不明顯。其次，日本及中國大陸二國的貿易情勢對於亞洲單一貨幣的走勢具有較深厚的影響力。而ACU變動對於中國大陸、香港、印尼、南韓、泰國等五國貿易量為負向衝擊，表示ACU匯率升值時，將造成此五國貿易量之增加。另外，印尼、南韓、泰國、日本等四國貿易量變動對於ACU為正向衝擊，表示此四國貿易量增加時，將造成ACU對美元之貶值。在ACU對於各國貿易變數之解釋能力上，以亞洲單一貨幣對於台灣的貿易情勢影響最為深遠，其次為馬來西亞、菲律賓、泰國、日本。

關鍵字

共整合 ； 貨幣整合 ； 亞洲單一貨幣 ； 穩定性檢定 ； 向量自我迴歸

並列摘要

According to the presence of EU and Euro, the regionalization of the global economics becomes a new topic to study the monetary integration in Asia. This research focuses on the relation of Asian Currency Unit (ACU) and ten East Asian Country’s Trade variables. Firstly, we use the trade balance, gross domestic product, and foreign reserve of ten Asian Countries (i.e. Mainland China, Hong Kong, Indonesia, South Korea, Malaysia, Philippine, Singapore, Thailand, Taiwan, and Japan) to calculate the central rate of ACU. This study makes use of the measures of Unit Root Test, Granger Causality Test, Johansen Co-integration Test, VAR model, and Stability Test to investigate the relation between ACU and trade variables (such as volume of trade, term of trade, and trade balance).

The empirical evidences show that ACU has a strong influence on volume of trade, followed by term of trade, and has a minor impact on trade balance. However, we found that the influence of trade variables on ACU were negligible while the interaction of trade variables were weak. The trade of Japan and Mainland China has more influential to ACU. The result revealed that variance of ACU had negative impulsion to Mainland China, Hong Kong, Indonesia, South Korea, and Thailand’s trade volume, suggesting that when ACU appreciates, it will increases in trade volume of these five countries. On the other hand, the variances of trade volume for Indonesia, South Korea, Thailand, and Japan have positive impulsion to ACU, indicating that trade volume increase may cause ACU to depreciate. Finally, Taiwan’s trade variable is more responsive to ACU, and the trade variable of Malaysia, Philippine, Thailand, and Japan come next.

並列關鍵字

Asia Currency Unit ； Monetary Integration ； Co-integration ； and Stability Test ； VAR model

參考文獻

陳志祥(2002)，亞洲單一貨幣最適目標區建構與貨幣政策關連性研究，中原大學企業管理研究所碩士論文。

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