本文以貨幣學派的匯率分析法(monetary approach to the exchange rate)為基礎建立迴歸模型,探討總體經濟變數,包括:貨幣供給量及國內生產毛額(GDP),對於新台幣兌美元匯率是否具有顯著的影響。此外,本文亦加入實質石油價格做為解釋變數。研究期間為1984年1月至2015年12月底,使用月頻率資料,樣本數共384筆。實證結果發現,各項解釋變數皆對匯率有顯著的影響。首先,當臺灣的貨幣供給相對於美國的貨幣供給增加時,會使新台幣貶值,美元升值。其次,當美國的GDP相對於臺灣的GDP提高,則美元相對於新台幣升值。最後,因為臺灣屬於能源的進口國,當石油價格上漲時,對美元的需求就會增加,亦會造成美元升值。綜合言之,本文實證結果支持匯率分析法理論模型之預期。
This paper examines whether the macro-economy variables, including:money supply, Gross Domestic Product (GDP) and real oil prices, have significant effects on exchange rate. The sample period is from January 1984 to December 2015. We apply the method of ordinary least squares multiple regression with monthly data. Our empirical results show that all variables have significant effects on exchange rate. First, when money supply of Taiwan is higher than USA’s money supply, New Taiwan dollars will depreciate, and U.S. dollar will appreciate. Second, when USA’s GDP is higher than Taiwan’s GDP, New Taiwan dollars will depreciate, and U.S. dollar will appreciate. Finally, because Taiwan is oil-importer, increasing oil prices raise the demand for U.S. dollar. Then New Taiwan dollars depreciate, and U.S. dollar appreciate. Therefore, the empirical findings support the predictions by monetary approach to the exchange rate.