海峽兩岸貨幣清算合作備忘錄對臺灣經濟影響之分析

Effects of the Cross-Strait Currency Clearing Cooperation Memorandum on Taiwan's Economy

賴琬臻(Wan-Jnen Lai)

指導教授 ： 官德星

國立臺北大學/社會科學學院/經濟學系/碩士(2013年)

摘要

本論文目的在於探討在簽署海峽兩岸貨幣清算合作備忘錄後對臺灣經濟的影響。藉由文獻
探討建立理論模型，利用現金交易限制將消費分為現金財及信用財，用來估計換匯的交易成本。
本文先使用一般化動差估計法（generalized method of moment，GMM）估計簽署貨幣清算
備忘錄前的交易成本。簽署貨幣清算備忘錄後對臺灣的影響的部分，作者根據未拋補利率平
價定理（uncovered interest rate parity，UIP）選取變數，使用向量自我迴歸模型（vector
autoregression model，VAR）的衝擊反應函數圖去觀察利率及匯率之間的影響。在簽署海峽兩
岸貨幣清算合作備忘錄後，交易成本會下降，臺灣金融業隔夜拆款利率對於匯率變動率的影
響會減少。
關

關鍵字

人民幣 ； 交易成本 ； 貨幣清算

並列摘要

This research analyzes the effects of the Cross-Strait Currency Clearing Cooperation
Memorandum on Taiwan's economy. We establish a theoretical model with a cash-in-advance
constraint, which is applied to the purchase of a subset of goods, to estimate the swap transaction
costs.
We use generalized method of moment （GMM）to estimate the swap transaction costs before
signing the Cross-Strait Currency Clearing Cooperation Memorandum. According to the
uncovered interest rate parity（UIP）, we choose variables to analyze the impulse response
functions of the vector autoregression（VAR）model. After signing the Cross-Strait Currency
Clearing Cooperation Memorandum, the swap transaction costs has dropped, and the response of
the rates of change in the exchange rate to Taiwan interbank offered rate has been narrowed
down.

並列關鍵字

cross-strait currency settlement ； Renminbi ； transaction cost

參考文獻

蔡佩君 (2003)， 「貨幣為生產要素之通貨替代模型」 ，國立政治大學經濟研究所，碩士論文。

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Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072.

Frenkel, J. A., & Levich, R. M. (1975). Covered interest arbitrage: unexploited profits?. The Journal of Political Economy, 325-338.