貨幣市場短期利率與匯率的關係

本論文主要探討貨幣市場短期利率與匯率之間的關聯性，以月資料走勢分析跨不同主要國家貨幣的兌換匯率的關係，透過迴歸分析為實證研究方法，觀察利率與匯率之間的關係。使用E-views實證以金融海嘯過後2009至2015日資料平均月資料為實證時限，貨幣政策自變數設定為貨幣市場短期利率:基本放款利率、重貼現率、銀行拆放利率、短期商業本票月資料。應變數為新台幣兌美元、歐元、日圓、人民幣名目匯率變動量。首先找出個變數之間是否有相關性問題，接著利用ADF單根檢定檢測資料是否為定態，再進行多元迴歸分析。本研究所得的實證結果，(1) 本國短期利率如：重貼現率、短期商業本票、銀行拆放利率上升，導致國外的資本會流入臺灣、投入本國資產，進而提升資本報酬，引起台幣需求的增加，此時新台幣會升值。(2)基本放款利率之走勢對於新台幣兌美元的匯率變動量皆存在顯著正向影響關係。若是銀行調升基本放款利率，企業向銀行融資成本增加，此時會影響企業獲利，而企業之出口商品競爭力下降，導致總體經濟出口額減少，此時經常帳減少，國際收支由順差轉向逆差，此時新台幣貶值。

關鍵字

名目匯率；短期名目利率；相關性分析；單根檢定；多元迴歸分析

並列摘要

This paper discusses the empirical study of the relationship between short-term interest rate and exchange rate in monetary market. In order to analyze the relationship of exchange rate among different major currencies in different countries and to conduct a comprehensive analysis to enrich the empirical structure, then we analyze the relationship between interest rate and exchange rate by means of regression analysis, which is taken as an empirical study. The time range of this research starts after the financial tsunami, from 2009 to 2015, and monetary policy variables include exchange rates in major countries, independent variables are prime rate, re-discount rate, inter-bank offered rate and, short-term commercial paper. We apply the multiple regression models, and provide the basic statistical properties analysis, ADF unit root analysis, and correlation analysis. For receiving the reasonable experimental results, we examine the t value for regression coefficients, and investigate the R2, Adjusted R2, F value, DW, AIC, Schwarz, HQ and, Log likelihood, for the regressions. In the empirical results, we find that the short-term interest rate in monetary market can explain the fluction of the exchange rate so that the Interest Rate Parity can be held. The research uses samples from prime rate, re-discount rate, inter-bank offered rate and, short-term commercial paper significantly affect the relationship between exchange rates. Taiwan's short-term interest rates such as, discount rate, short-term commercial cashier's checks, bank lending rates rise which led to foreign capital and the capital flow will go into Taiwan, investing their own assets. Therefore, enhancing capital compensation which resulting in increased demand for Taiwan, NT will appreciate. The trend of the basic lending rate has a significant positive impact on the exchange rate of the Taiwan dollar against the US dollar. If the bank raise the basic lending rate, the company to the bank financing costs will increase, then it will affect the enterprise’s profits, and the competitiveness of enterprises to reduce the decline in exports, resulting in the overall economic exports decreased, at same time the international current account would reduce the balance of payments from the surplus to the deficit, and NT will be depreciated.

並列關鍵字

Nominal exchange rate ； Short-Term Nominal interest rates ； Pearson Product-Moment Correlation Cofficient ； Augmented Dickey-Fuller test ； Multiple Regression

參考文獻

楊雅惠（2005）「新台幣匯率與央行干預行為」，台灣經濟預測與政策，中央研究院經濟研究所

沈中華和李卿企（2005）「央行公開市場操作對貨幣市場利率的影響」，財務金融學刊

賴宗福（2012）「資本移動性、定價行為與匯率制度抉擇」，東吳經濟商學學報

何芝琳（2016）「美國量化寬鬆對匯率影響之探討-以台灣與南韓為例」，成功大學財務金融研究所碩士在職專班學位論文

陳家鋐（2010）「探討金融風暴期間亞洲國家匯率對我國匯率的影響」，國立臺北大學國際財務金融碩士在職專班

國際替代計量

貨幣市場短期利率與匯率的關係

全文下載

主題瀏覽