台日匯率、物價之因果與時差之探討－多變數光譜分析法之應用

The Time Lag and Causality between Exchange Rates and Prices of Taiwan and Japan-The multi-variable Spectral Analysis

柯勝揮(Sheng-Huei Ko) ； 吳雪伶(Hsueh-Ling Wu)

《文大商管學報》 14卷2期 (2009/12) Pp. 53-69

https://doi.org/10.30163/BR.200912.0003

摘要

台灣對外貿易依存度甚高，係屬海島型經濟。由於地理位置相近且同屬東方文化等優勢，台灣與日本貿易往來頻繁且關係密切。長久以來台灣對日貿易逆差日愈擴大且對日本經濟之依賴亦持續加深。因此，許多文獻紛紛針對台日貿易逆差之形成原因與因應對策詳加探討。然而，根據國貿理論，匯率係影響貿易之重要因素。因此，本文擬針對台日匯率與物價間之互動關係及時差等詳加探討。 本文係在購買力平價說(Purchasing Power Parity; PPP)的理論架構下，利用屬於頻率範疇的多變數光譜分析法來探討日幣兌換新台幣之名目匯率與台日兩國相對物價水準(P(上標 *)/P)等兩變數間之因果關係及時差，再以時間範疇之迴歸分析驗證。其實證期間係界定爲台灣匯率自由化後之1991年1月至2007年12月。 根據購買力平價理論任何兩國間之匯率將反映兩國間的相對物價水準。然而，根據許多實證研究顯示，購買力平價說在短期較難成立，至於長期雖較有成立的可能，但仍有爭議之處。近年來，國內外有關購買力平價說之研究頗多，儘管在統計方法及技術方面已有顯著的貢獻與進步。然而，縱觀其所採用的分析方法，由早期的迴歸分析、單一變數互相關分析乃至於近期之共整合分析等皆局限於時間範疇分析法。因此，本研究擬以購買力平價說爲理論架構應用屬於頻率範疇(frequency domain)之多變數光譜分析法(multi-variable spectral analysis)來探討台灣與日本間之匯率、物價等之因果關係及時差，再以時間範疇之迴歸分析驗證。

關鍵字

購買力平價理論 ； 台日匯率 ； 物價 ； 因果關係 ； 時差 ； 多變數光譜分析法

並列摘要

Taiwan is the type of island economy that highly depends on foreign trade. The trade between Taiwan and Japan is frequent and close due to the advantage of geographical position and similarities in culture. The trade deficit between Taiwan and Japan has expanded day by day and continued for a long time. A lot of research discussed the reasons of the trade deficit and strategies to the solution have been carried out. According to international trade theory, the exchange rate is an important factor influencing trade. Therefore, this paper tries to discuss the interaction between exchange rates and relative price level in the two countries and also consider its time lag.
This paper is constructed under the framework of Purchasing Power Parity (PPP) theory. We use the approach of a multi-variable spectral analysis of frequency domain to discuss the causal relationship and time lag between nominal rate and relative price level. Then we use the methods of regression in time series to analyze and reexamine them. The beginning of this empirical data is after the liberalization of the exchange rate in Taiwan in January 1991 and ends in December 2007.
The theory of Purchasing Power Parity (PPP) states that exchange rates between any two currencies will adjust to reflect changes in the relative price levels of the two countries. The PPP hypothesis has been rejected in the short run by numerous studies. Whether or not such a relationship holds in the long run, however, has also not been without controversy in relevant literature. There is a lot of research on PPP theory which have made a significant contribution by applying different statistic techniques. However, these analytical approaches are confined to the time domain including regression, single variable correlation and integration analysis.

並列關鍵字

Purchasing Power Parity theory ； exchange rate of Taiwan and Japan ； price ； causality ； time lag ； multi-variable spectral analysis

參考文獻

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Enders, W.(1988).ARIMA and cointegration tests of PPP under fixed and flexible exchange rate regimes.Riew of Economics and Statistics.70,504-508.

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