亞洲單一貨幣之匯率變動性與壓力性的實證

The Empirical Evidence of Exchange Rate Variability and Pressures for Asian Currency Unit

郭益瑄(I-Shuan Kuo)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2009年)

https://doi.org/10.6840/cycu200900788

摘要

1958年羅馬條約(Rome Treaty)開啟歐洲單一貨幣(EU)的發展，1981年海灣阿拉伯國家合作委員會(Cooperation council for the Arab states of the gulf，又稱 Gulf Cooperation Council，GCC)以中東六國之力擬定2010年實行單一貨幣制度之經濟整合計畫。而亞洲地區單一貨幣(ACU)共識雖不集中，但也同意單一區域貨幣的經濟重要性。因此，東南亞國協 (ASEAN)，亞太經濟合作會 (APEC) 和亞洲貨幣基金 (AMF)的成立，不僅逐漸凝聚亞洲經濟勢力之整合也提昇實踐亞洲單一貨幣概念的機會。
本研究以1992年3月至2008年3月為期間，採用Panel Data模型中的固定與隨機效果模型，探討亞洲十國為標的之ACU匯率波動及壓力面對三個群組(銀行群組、財政群組與總體經濟群組，共10個變數)之間是否支持金融危機預警系統的研究結論。
研究結果指出，ACU的匯率變動與M2佔外匯存底比率、銀行脆弱性指標(BSF)及外匯存底成長率三個變數有顯著相關，而ACU的匯率壓力與國際收支經常帳佔GDP比率及工業生產指數(industrial production index)成長率存在顯著相關。此外，證實ACU區域經濟整合雖能增加亞洲地區經濟穩定，但仍需從上述五個變數監控銀行類、財政類與總體經濟類之訊息，以避免區域型之金融危機，此結論對於亞洲經濟整合與貿易機制之建立皆有重要參考性。

關鍵字

銀行群組. 財政群組. 總體經濟群組 ； 區域整合 ； Panel Data模型 ； 亞洲單一貨幣

並列摘要

The development of European Unit (EU) had begun on the Rome Treaty of 1958. As of 1981, the Cooperation council for the Arab states of the gulf (also called Gulf Cooperation Council, GCC) planned explicitly to implement the Middle East currency unit in 2010. In the past 20 years the economics environments have progressed tremendously. The establish of Association of Southeast Asian (ASEAN), Asia Pacific Economic Cooperation (APEC) and Asian Monetary Fund (AMF) have integrated the rising force of economics and increased development of possibility of Asian currency unit (ACU).
This study adopts fixed effect and random effect model of Panel Data. The sample periods covered from March 2, 1992 to December 30, 2008. For exploring the exchange rate variability and exchange rate pressures of ACU connected with Early Warning System (EWS), this study applies three different sectors of explanatory variables, Banking factors, Monetary factors and Macroeconomic factors.
The result of this study has revealed that exchange rate variability and pressure have significant relationship with the five explanatory variables. In the regression of exchange rate variability, the estimates ratio of M2 to Foreign reserves, BSF and Foreign reserves growth rate have confirmed. In the regression of exchange rate pressure, the ratio of balance on current account to GDP and industrial production index growth rate also has proved the significant relationship. To the framework of ACU, this study revealed the stabilization of bank factor, international trade and money supplies will be the core of financial crises prevention. To sum up, this study will give a reference to integrate Asian countries into the economic alliance and establish the system of international trade.

並列關鍵字

Panel Data Model ； Banking factors ； Macroeconomic factors ； Monetary factors ； Regional Integration ； ACU

參考文獻

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