本研究之目的在探討台灣與主要貿易往來對象中、美、日三個國家的匯率變化及貨幣政策對台灣總體經濟之影響。本文藉由納入重貼現率的17個經濟變數的向量自我迴歸 (VAR) 模型,對取一階差分後的定態時間序列資料做衝擊反應分析,來探討2001年第一季至2017年第二季,台灣相對中、美、日的匯率、貨幣政策、總體經濟環境等之相互影響。實證結果顯示中、美、日的匯率上升會導致台灣進口顯著減少,且造成重貼現率下降,然而對出口的影響並不顯著。另外,當中、美、日三國政府採取緊縮性貨幣政策時,會導致台灣的重貼現率上升;而台灣採取緊縮性貨幣政策會對GDP產生負向衝擊,但對我國匯率、進出口及對外直接投資的影響皆不顯著。
This study aims to investigate the impact of exchange rate and monetary policy in Taiwan, China, Japan, and the United States on Taiwan’s macroeconomy. This thesis constructs a VAR model of the 17 economic variables by introducing the exchange rate, rediscount rate, and other macro variables to perform impulse response analyses on the stationary time series data after the first-order difference from 2001Q1 to 2017Q2. The empirical results show that an appreciation in the China Yuan, Japanese Yen, and US dollar will lead to a significant reduction in Taiwan's imports, and the rediscount rate will decline, while the influences of exports are insignificant. In addition, when China, Japan, or the US adopts a contractionary monetary policy, rediscount rate in Taiwan will increase; while if the Taiwan government adopts a tightening monetary policy, GDP in Taiwan will decrease, but the effects on exchange rates, exports, imports, and FDI are not significant.