銀行體系、匯率波動與產業垂直整合

Bank System, Exchange Rate Volatility and Industrial Vertical Integration

吳傳欽(Po-Chin Wu) ； 金祥玉(Hsiang-Yu Chin)

《中原學報》 32卷4期 (2004/12) Pp. 467-475

https://doi.org/10.6358/JCYU.200412.0467

摘要

本文利用1981年至2003年間台灣九大產業的資料及固定效果模型，分析銀行體系與匯率風險對於各產業垂直整合是否存在顯著的效果。實證結果顯示經濟成長、銀行體系的比重、進口所得彈性及實質匯率波動將影響產業的垂直整合。各變數對於各產業垂直整合的影響，差異甚大，其中實質匯率波動愈大，僅有助於水電燃氣業的垂直整合；銀行體系的比重愈高，有助於水電燃氣業或製造業的垂直整合，對於工商服務業或運輸及通訊業則反之。

關鍵字

匯率波動 ； 垂直整合 ； GARCH模型 ； 固定效果模型

並列摘要

This paper adopts fixed effect model to analyze the effect of bank system and exchange rate volatility on industrial vertical integration. In evidence, we use Taiwan's nine industries and sample period is selected from 1981 to 2003. Empirical results show that real economic growth rate, the role of bank to financial system, the elasticity of import and real exchange rate fluctuations will influence each industrial vertical integration. These variables have different influence on industrial vertical integration according to different industries. The greater the real exchange rate fluctuation is, the more the water and electricity industry's vertical integration is. As the role of bank to financial system increases, the degree of vertical integration in water and elasticity industry also increases. But the conclusion on transport and communications industry is opposite.

並列關鍵字

Systematic Risk ； Vertical Integration ； Generalized Autoregressive Conditional Heteroskedasticity ； Fixed Effect Model