貨幣政策與匯率轉嫁之探討－台灣之實證分析

Monetary Policy and Exchange Rate Pass-Through: The Case of Taiwan

張瑞娟(Jui-Chuan Chang) ； 欉清全(Ching-Chuan Tsong)

《應用經濟論叢》 86期 (2009/12) Pp. 37-67

https://doi.org/10.7086/TJAE.200912.0037

摘要

雖然國際經濟學家對匯率轉嫁(exchange rate pass-through)的探討行之已久，但匯率轉嫁是否受貨幣政策的影響，則是近來新開放總體經濟(new open-economy macroeconomics)文獻所矚目的焦點之一。本文擬探討台灣各類商品進口價格的匯率轉嫁幅度，並進一步探究該幅度是否會受貨幣政策的影響。方法上，本文首先將參考Bailliu and Fujii (2004)及Campa and Goldberg (2005)的模型設定，用以建構實證分析之計量模型。有別於文獻中常用最小平方法估計的向量自我迴歸模型與單一方程模型，本文採用一般動差法估計動態追蹤資料模型，並進行假說檢定。本實證結果顯示，短期匯率轉嫁幅度爲不完全轉嫁，但在長期則爲完全轉嫁，與既有文獻相符。而貨幣政策在短期會影響匯率轉嫁幅度，但該影響效果會逐漸遞減至零。這隱含政策執行者欲藉由貨幣政策對匯率轉嫁幅度的影響，進而影響其他總體經濟變數的做法，在短期有效，長期則無效。

關鍵字

貨幣政策 ； 匯率轉嫁 ； 進口價格

並列摘要

The issue of exchange rate pass-through has been discussed for a long time, but linking to the macroeconomic factors (such as monetary policy and inflation environment) has recently been concerned by one of the new open-economy macroeconomics literature. This paper attempts to investigate the pass-through of exchange rate into industry-level import prices, and to explore whether monetary policy is associated with exchange rate pass-through effects, using Taiwan monthly trading industries data. Methodologically, we first set up an empirical model by following the testable concepts of Bailliu and Fujii (2004) and Campa and Goldberg (2005). Contrary to vector autoregressive models and single-equation models utilizing least squares estimation in the literature, this paper adopts the generalized method of moments to estimate a dynamic panel data model and thereby conduct the hypothesis testing. The empirical results show that the exchange rate pass-through is incomplete in the short run while complete in the long run, in conformity with the literature. Moreover, the monetary policy does affect the degree of exchange rate pass-through in the short run, but such effects are decaying to zero over time. This implies that the monetary policy is operative in the short run but not in the long run if a policymaker undertakes a monetary policy to change the exchange rate and consequently other macroeconomic variables.

並列關鍵字

Monetary policy ； Exchange rate pass-through ； Import prices

參考文獻

曹添旺、賴景昌、鍾俊文、郭炳伸、蔡文禎(2002)。新台幣實質有效匯率指數之動態分析。台灣經濟預測與政策。32，93-130。

劉宗欣、張銘仁(2000)。進口物價的匯率轉嫁與不對稱性：台灣的實證研究。經濟論文。28，369-396。

王國樑、林淑芬(2000)。台灣中游石化業進口價格匯率轉嫁彈性之探討。經濟論文。28，97-126。

Arellano, M.,S. Bond(1991).Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.Review of Economic Studies.58,277-297.

Bailliu, J.,E. Fujii(2001).Exchange Rate Pass-through and the Inflation Environment in Industrialized Countries: An Empirical Investigation.(Bank of Canada Working Paper, No. WP 04-21).