匯率與總體經濟指標之研究

The Relationship between Foreign Exchange Rate and Macro Economic Indicators

陳廷維(Ting-Wei Chen)

指導教授 ： 林左裕 ； 劉政淮

國立臺中科技大學/商管學群/事業經營研究所/碩士(2008年)

摘要

本研究自東協加六中選取六個主要國家，中國、日本、韓國、紐西蘭、新加坡、泰國加上台灣，以1997年6月到2007年6月的資料作為基礎，以單根檢定、Johansen共整合檢定及Granger因果關係檢定，來探討匯率對股市、利率、經常帳及外匯存底減去外債的差額間的關係。
實證分析得到之結果顯示，對各國的匯率等變數做單根檢定，結果發現除了新加坡為I(1)數列外，其他國家的變數皆為I(2)數列。中國的匯率波動長期受到各變數的影響，短期卻和利率無關聯；日本的匯率長期和短期變化都與變數無關；韓國的匯率的變化長期受到股市、利率及外匯存底減去外債的差額的影響，短期則是與各變數有關係；紐西蘭的匯率波動長期與變數無關，短期和股市、利率及經常帳有關聯；新加坡的匯率長期受到經常帳及外匯存底減去外債的差額影響而有所變化，而短期則是多了股市影響；台灣的匯率波動長期受到股市、利率及經常帳的影響，短期變化則和股市、利率及外匯存底減去外債的差額有關；最後，泰國長期受到利率與經常帳而有所波動，短期卻和另兩個變數有關。

關鍵字

匯率 ； 單根檢定 ； Johansen共整合檢定 ； Granger因果關係檢定

並列摘要

This research selected seven main countries, including Taiwan, from ASEAN: China, Japan, South Korea, New Zealand, Singapore, and Thailand.
With the aim of examining the correlation between exchange rate versus the stock market, interest rate, frequent account and the difference in the foreign loan subtracted from the foreign exchange reserves, this study will analyze the data (from June, 1997 to June, 2007) underling Unite Root Test, Johansen-Co integration Test, Granger Causality Test. The result of the analysis showed that Singapore is I(1) sequence and other countries’ variable is I(2) sequence underlying the Unite Root Test in regard to the exchange rates of various countries. China's exchange rate is undulated by a variety of variables in the long term; it is not relevant to the interest rate in the short-term. The exchange rate of Japan is not related to the variable in both long-term and short-term. The exchange rate of South Korea is influenced by the stock market, the interest rate, and the difference in the foreign loan subtracted from the foreign exchange reserves in the long term; its exchange rate is relevant to diverse variables in the short term. The undulation of New Zealand's exchange rate is not related to the variable in the long term; its exchange rate is relevant to stock market, the interest rate, and frequent account in the short term. Singapore's exchange rate is influenced by the frequent account and the difference in the foreign loan subtracted from the foreign exchange reserves in the long term, but its exchanged is relevant to stock market in the short term. The exchange rate of Taiwan is undulated by the stock market, the interest rate, and frequent account in the long term; it is related to the stock market, the interest rate and the difference in the foreign loan subtracted from the foreign exchange reserves. Last of all, Thailand’s exchange rate is undulated by the interest rate, frequent account; its exchange rate has something to do with another two variables in the short term.

並列關鍵字

Exchange Rate ； Unite Root Test ； Cointegration Test ； Granger Causality Test

參考文獻

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