本研究參考歐元通貨籃之建構,以過去十二年來中國大陸、台灣、香港三地之每人生產毛額、出口總值和淨外匯存底加權,虛擬出1992年3月至2003年12月之大中華單一中心匯率(CCU)。並利用單根檢定、因果關係檢定、共整合檢定、向量自我迴歸模型、衝擊反應分析和預測誤差變異數分解,並進一步進行穩定性檢測和殘差項檢定,探討大中華單一貨幣與消費者物價指數、短期利率、貨幣供給、關稅和貿易條件之關連性。 在通貨籃計算方面使用大中華單一貨幣CCU(SDR)和CCU(EURO)兩種計算方式進行分析。而不同的CCU計算方式和各地區占CCU中心匯率之權重,將會使得CCU與各地區經濟變數的關連性有所差異。 不論CCU以何種方式計算,在長期時經濟變數收斂結果佳,即各區域經濟變數與大中華單一貨幣在長期時所受到的干擾逐漸減少。在貨幣和貿易政策方面可知,消費者物價指數、貨幣供給和關稅易受大中華單一貨幣中心匯率變動的影響。另外,貨幣供給、貿易條件及關稅對於CCU中心匯率之影響性較高。 整體而言,台灣經濟變數對於大中華單一貨幣深具影響;而大中華單一貨幣對於各經濟變數之影響,會因為CCU計算方式之差異而產生不同結果。
Refer to the structure of EURO currency basket, this study simulates the Chinese Currency Unit(CCU)according to the weights based on GDP per capita, export and net reserves of China, Taiwan and Hong Kong from 1992/3 to 2003/12. By using measurements of Unit Root Test, Granger Causality Test, Johansen Co-integration Test and VAR model, this paper investigates the relationship among CPI, Short Interest Rate, Money Supply, Custom and Term of Trade, and CCU. Then Stability Test and Residual Test were also applied. To analyze and calculate the basket, this study utilizes two methods, including CCU (SDR) and CCU (EURO). The results show that the relationship between CCU and related variables may vary due to the different measurement and the weights of respective regions when calculating CCU. Regardless of the selection of calculation method, the variables have a better convergence over a long period. It means that the disturbance of variables of the three regions and CCU were diminished over a long period. In terms of monetary and trade policies, CPI, money supply and custom were greatly influenced by CCU. Furthermore, CCU is affected by money supply, trade term, and custom. In general, CCU is deeply influenced by the variables of Taiwan. The empirical results revealed that the impacts CCU on the variables may vary due to the different calculation method.