非線性的匯率轉嫁：縱橫平滑轉換迴歸模型之應用

Nonlinear exchange rate pass-through - An application of panel smooth transition regression model

戴世鴻(Shih-Hung Tai)

指導教授 ： 吳博欽

中原大學/商學院/國際經營與貿易研究所/碩士(2015年)

https://doi.org/10.6840/CYCU.2015.00200

摘要

過去在匯率轉嫁的研究上，許多文獻採用線性模型進行估計。此意味著，不論外部環境如何變動，匯率轉嫁的程度都是固定的。然而，這跟實際上出口價格呈現狀況轉換的現象不符。因此，本研究試著建構一個隨著情況而變化的模型來估計匯率轉嫁。

本研究使用縱橫平滑轉換迴歸模型來評估匯率轉嫁效果，且運用國家負債占國民生產毛額的比例當作模型中的轉換變數，藉此探討負債比對於匯率轉嫁所產生的門檻效果。實證上，以OECD國家為對象，而研究期間則為1994年至2013年。

實證結果顯示：(1)出口價格會隨著負債比在不同的區間，呈現非線性且平滑的轉換。(2)匯率轉嫁效果會隨著不同時間和不同國家的負債比而變動(3)在較高的負債比狀態下，匯率轉嫁程度是相對較低的，意味著較高負債比不利於匯率轉嫁。(4)負債比的區間轉換門檻值為36.29%。

關鍵字

縱橫平滑轉換迴歸模型 ； 負債比 ； 匯率轉嫁

並列摘要

Most previous studies on exchange rate pass-through employed linear models to estimate the exchange rate pass-through. Under the circumstance, the exchange rate pass-through is constant in spite of the change in external environment. However, this result cannot satisfy the practical regime-switching of export price level. Thus, this study tries to construct an environment-varying nonlinear model and estimate the level of exchange rate pass-through.

To this end, we use the panel smooth transition regression (PSTR) model to investigate the level of exchange rate pass through, and use the debt ratio of a country as the transition variable. Through this model, we can discuss the threshold effect of debt ratio on exchange rate pass-through. To perform the empirical estimation, we choose the OECD member countries as sample objects. The sample period is from 1994 to 2013.

The empirical results are summarized as follows. (1) The export price level displays a nonlinear and smooth process, depending on the debt ratio in different regimes. (2) Exchange rate pass-through varies with time and across countries, depending on the debt ratio in different regimes. (3) The larger the debt ratio is, the lower the exchange rate pass-through would be. (4) The threshold for debt ratio to generate regime-switching is 36.29%.

並列關鍵字

debt ratio ； panel smooth transition regression (PSTR) model ； exchange rate pass-through

參考文獻

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