- 學位論文
我國與亞洲五國匯率變動相關性之探討
Study on the Interrelationships of Exchange Rate Among TWD, JPY, CNY, KRW, HKD and SGD
摘要
金融海嘯後迄今，亞洲新興經濟體的資本流入，已達歷史新高的規模，除了帶動亞洲國家貨幣急劇升值外，各國總體經濟政策管理也變得更複雜，由於這些國家都屬於小型開放型經濟體系國家，雖然資本市場的開放與金融交易的自由化有助於這些國家的經濟發展，但是龐大的資本流入也使得各國曝露在資本突然停止流入甚至反轉流出的風險之中。由於台灣與鄰近亞洲各國，經濟貿易與投資關係一向相當密切，2007年起台灣十大貿易伙伴中，就有七個位處東亞和東南亞，已超越美國成為第三大貿易伙伴。鑑於國際金融市場間具有高度的關聯性，因此單一的匯率變動無法隔絕與其他各國匯率的變動，因此本研究係主要針對亞洲區域內地域與經濟皆與我國連繫緊密的主要國家貨幣，如日圓、人民幣、港幣、韓圜、新加坡幣及新台幣等六種貨幣兌美元近19年來匯率變化相關性研究，實證結果如下： 一、我國與亞洲其他5國貨幣匯率間，不具有長期均衡之共整合關係。 二、由Granger因果關係檢定結果發現: 1.完全不具因果關係：人民幣與其他5種貨幣間，完全不具任何因果關係。 2.單向領先落後之關係: 日圓卅港幣、韓圜卅港幣、新加坡幣卅港幣、新台幣卅港幣及日圓卅新加坡幣、日圓卅台幣匯率間皆僅具有單向領先落後關係。 3.雙向回饋關係：日圓卅韓圜、新加坡幣卅韓圜、台幣卅韓圜、台幣卅新加坡幣等兩兩匯率之間皆具有雙向回饋的因果關係。顯示此四國貨幣相互牽動彼此的走勢，形成互有領先落後之雙向回饋關係。 三、我國與亞洲其他5國貨幣匯率衝擊反應分析結果:各幣別在衝擊反應分析上皆具有效性，且各變數發生自發性變動時，皆對本身在短期內的衝擊影響最大。對其他的變數的衝擊以韓圜匯率反應最大，日圓及台幣次之，而港幣則是受自身衝擊反應程度最弱者，且其上升一單位標準差對其他幣別匯率之衝擊影響亦是最不顯著的。 四、預測誤差變異數分解: 除新加坡幣相對較容易受到其他幣別匯率波動的影響與解釋外，其他幣別對自身解釋的能力都相當高，尤其人民幣對自身的解釋程度最高達99.78%，日圓及港幣則高達97%以上，台幣與韓圜次之，惟亦皆有90%以上之水準，表示此5種貨幣均不易由外在因素來加以影響及解釋。
並列摘要
Since the financial tsunami, the scale of capital flows to Asian emerging economies has reached a record high, not only driving the rapid appreciation of Asian currencies, but also complicating the policy management of the national macro-economy. As these countries are small open economies countries, the opening of capital markets and the liberalization of financial transactions will help the economic development of these countries; however, large capital inflows make these countries exposed to the risk of a sudden stop of capital inflows or even a reverse of capital flow. The relations in economy, trade and investment have always been very close between Taiwan and neighboring Asian countries. Since 2007, seven of the top ten trading partners of Taiwan locate in East and Southeast Asia. The total trade volume of these seven countries has surpassed that of the U.S., making the group of seven countries the third largest trading partner of Taiwan. In view of the highly inter-related international financial markets, an exchange rate of one country cannot be isolated from exchange rates of other countries. Therefore, this study focused on the correlation of currency exchange rates among such Asian countries that have close geographic and economic links with Taiwan. The currencies under study are Yen, RMB, HK, Korean won, Singapore dollar and New Taiwan dollar. The research data comprises 19-year exchange rates of this six currencies against the US dollar. The empirical results are as follows: First, the currency prices of NT dollar and each of other 5 Asian currencies do not have the long-run equilibrium of the co-integration relationship. Second, the Granger causality test results showed that: 1.Completely non-causality: RMB does not have any causal relationship with other 5 currencies. 2.One-way lead-lag relationship: One-way lead-lag relationship was identified in the currency pairs of yen / HK dollar, Korean won / HK dollar, Singapore dollar / HK dollar, NT dollar / Hong Kong dollar, Yen / Singapore Dollar, and Japanese Yen / NT dollar. 3.Two-way feedback relationship: Both cause and effect relationship was found in the currency pairs of the Japanese yen / Korean won, Singapore dollar / Korean won, Taiwan dollar / Korean won, and Taiwan dollar / Singapore Dollar., The movement of one currency has affected the movement of the other, demonstrating a two-way feedback relationship. Third, The results of the impulse response analysis for New Taiwan Dollar and other Asian currencies: All currencies have valid results in the impulse response analysis. Spontaneous changes in the currency variables have the greatest short-term impact on themselves. As for the impact to other currency variables, Korean won has the greatest exchange rate reaction, followed by Japanese yen and New Taiwan dollars. Among all currencies Hong Kong dollar has the least reaction to the spontaneous impulse and to the impact of increasing one unit of standard deviation of the exchange rate against other currencies. Fourth, the forecast error variance decomposition: Except Singapore Dollar which is relatively more vulnerable to the exchange rate fluctuations than other currencies, the rest of the currencies have high degree of self-interpretation ability. The RMB has up to 99.78% level, followed by 97% level in Japanese yen and HK dollar and 90% level in NT dollar and Korean won, indicating that these 5 currencies are not easy to be affected by external factors and explanations.