探討金融風暴前及風暴期間亞洲國家匯率對我國匯率的影響

Discussion before financial storm, and financial storm period Asian country exchange rate to our country exchange rate influence

陳家鋐(CHIA-HUNG CHEN,)

指導教授 ： 池祥麟

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2010年)

摘要

在全球金融風暴前及金融風暴期間，因為國際金融市場間有著高度的關聯性，因此單一的匯率無法隔絕與其他各國匯率的變動，故本研究將針對新台幣與亞洲主要國家貨幣間之匯率變動，利用E-View計量工具，分析彼此互動關係，做為全球化佈局的企業及投資人規避匯率風險之參考。本研究取樣期間自2005年1月3日至2009年12月31日之新台幣、日圓、韓圜、人民幣、新加坡幣及泰銖兌換美元匯率之日收盤價資料，樣本數共1,252筆。運用此六種貨幣兌換美元匯率之日變動率資料探討相互間匯率變動是否存在因果關係？彼此間又有何種因果關係？及彼此間之長、短期關係影響？及根據2000年至2009年共10年期間的總體經濟變數年資料，就國內部份，來掌握國際匯率危機的預測，經由實證研究結果發現如下：
一. 新台幣與亞洲主要貨幣匯率變動率之Granger因果關係檢定：在金融風暴前新台幣匯率變動與日圓匯率變動、韓圜匯率變動及新加坡幣匯率變動間不具任何關係，而新台幣匯率變動僅具有單向領先與人民幣匯率或泰銖匯率變動關係；在金融風暴期間新台幣匯率變動與韓圜匯率變動間、人民幣匯率變動間，具有單向因果關係；新台幣匯率變動與新加坡幣匯率變動間、泰銖匯率變動間，具有雙向因果關係，而與日圓匯率變動間，仍不具有任何因果關係。
二. 新台幣與亞洲主要貨幣匯率變動率之共整合檢定：新台幣與日圓及人民幣具有共整合關係，所以可以了解新台幣與日圓及人民幣間具有長期穩定均衡關係；而與其他貨幣間便不具長期穩定的均衡關係。
三. 新台幣與亞洲主要貨幣之誤差修正模型分析：在風暴前，新台幣匯率本期的波動會受前一期變動的影響，表示新台幣匯率的波動，因前一期的波動而受影響；而在金融風暴期間新台幣匯率的前期波動反而會影響到亞洲各國匯率當期的波動。
四. 根據匯率危機預測模型分析：我國在2009年就國內部份檢測，有2項不符合沈中華的指標數據，乃因全球金融風暴期間，正值全球經濟衰條，加上韓國為能爭取出口訂單，韓圜大幅貶值，我國為能因應經濟衰條及維繫經濟穩定發展，而有些微幅度的貶值。

關鍵字

單根檢定、因果關係檢定、共整合檢定、誤差修正模型、匯率危機機預測模型

並列摘要

Before whole world financial storm and financial storm period, because between the international money market has the high relatedness, therefore the sole exchange rate is unable to separate 絕 with other various countries' exchange rate change, therefore this research will aim at new Taiwan dollar and between the Asian major country currency the exchange rate change, uses the E-View metering outfit, analyzes each other interaction relations, does dodges reference of the exchange rate risk for the globalized layout enterprise and the investor.

This research sample period from the January 3rd, 2005 to new Taiwan dollar, Japanese Yen, Han Huan, Renminbi, Singapore coin and date of closing price material Thai bhat exchange US dollar exchange rate December 31, 2009, sample number altogether 1,252. Daily variation of pace material discussion exchange rate using this six kind of currency exchange US dollar exchange rate changes mutually whether to have the causal relation? Each other also has what kind of causal relation? And each other long, short-term relations influence? And acted according to from 2000 to 2009 altogether 10 year period overall economic variable year material, on the domestic part, grasped the international exchange rate crisis's predict that was as follows by way of the empirical study result discovery:

1. New Taiwan dollar and Granger of causal relation examination Asian principal currency exchange rate mobility rate: Before the financial storm the new Taiwan dollar exchange rate change with Japanese Yen exchange rate change, Han celestial body exchange rate change and the Singapore coin exchange rate change does not have any relations, but the new Taiwan dollar exchange rate change only has is in the lead one way with the RMB rate or the Thai bhat exchange rate change relations; In the financial storm period new Taiwan dollar exchange rate change with the Han celestial body exchange rate change, the RMB rate change, has the one-way causation; The new Taiwan dollar exchange rate change with the Singapore coin exchange rate change, the Thai bhat exchange rate change, has the bidirectional causal relation, but with the Japanese Yen exchange rate change, still did not have any causal relation.
2. New Taiwan dollar and Asian principal currency exchange rate mobility rate altogether conformity examination: The new Taiwan dollar has altogether the conformity relations with Japanese Yen and the Renminbi, therefore may understand that the new Taiwan dollar has the long-term stability balanced relations with Japanese Yen and the Renminbi; But then does not have the long-term stability with other currencies between the balanced relations.
3. New Taiwan dollar and of error correction model analysis Asian principal currency: Before the storm, the new Taiwan dollar exchange rate this issue's fluctuation will receive the preceding phase of change the influence, indicated that the new Taiwan dollar exchange rate's fluctuation, will receive because of the preceding phase of fluctuation affects; But will instead affect to the Asian countries exchange rate will work as the time in the financial storm period new Taiwan dollar exchange rate's earlier period fluctuation the fluctuation.
4. According to exchange rate crisis forecast model analysis: Our country in 2009 on the domestic partial examination, some 2 items does not conform to the Shen China's target data, because whole world financial storm period, just when the global economic fades the strip, in addition South Korea for can strive for the export order, the Han celestial body depreciates largely, our country for can fade the strip in accordance to the economy and the maintenance economic stability development, but has slightly the scope depreciation.

並列關鍵字

Panel Unit Root Test、Granger Causality Test、Error correction model、Exchange rate crisis prediction model

參考文獻

2. 江金全（2009），「新台幣與亞洲主要貨幣兌換美元匯率波動關聯性之分析」，國立台北大學國際財務金融在職專班研究所碩士論文。

5. 林俊宏（1997），「外匯匯率預測-不同模型之比較」，國立成功大學企業管理研究所碩士論文。

1. Aggarwal, R. (1981), Exchange Rates and Stock Prices: A study of U.S.

Capital Market under Floating Exchange Rates, Akron Business and

Economic Review, vol. 12, pp.7-12.