台灣為一個海島型國家,在缺乏天然資源的情況下,經濟發展相當依賴進出口貿易。從過去的文獻研究中,我們可以發現匯率走勢的變化對於經濟成長的影響,有正向亦有負向。新台幣匯率的走勢一直是政府當局與許多經濟學者所關注的議題,如果新台幣匯率的升貶會影響經濟成長,那麼對於經濟成長的組成變數之影響為何,是本文想要研究的目標。 本文研究方法為利用 ADF 單根檢定、向量自我迴歸 (VAR) 模型、 Granger 因果關係檢定、衝擊反應函數與預測誤差變異數分解等時間序列方法,來探討變數間的關聯。樣本資料時間選自1961年第二季到2011年第四季,變數為國內生產毛額季增率、民間消費支出季增率、政府最終消費支出季增率、商品與勞務輸出季增率、商品與勞務輸入季增率及固定資本形成毛額季增率等六個變數,來分別探討與新台幣匯率升貶值季增率之關聯。 所得之綜合實證結果論歸納如下:新台幣匯率升貶值季增率與國內生產毛額季增率及政府最終消費支出季增率,彼此存在著短期互動關係;新台幣匯率升貶值季增率單向影響民間消費支出季增率、商品與勞務輸入季增率和固定資本形成毛額季增率;新台幣匯率升貶值季增率和商品與勞務輸出季增率的關聯性不高。
Taiwan is a small island with limited natural resources, and therefore the economy relies on international trade deeply. From the past theses, we can find positive and negative influence of economic growth by foreign exchange rates. The trend of USD/TWD exchange rate is always a major subject and highly monitored by the government and many economists. In this study, we investigate the relationship between the appreciation or depreciation rate of USD/TWD and the components of Gross Domestic Product. We employ Unit Root Test, Granger Causality Test, Impulse Response, and Variance Decomposition to investigate the lag relationship between USD/TWD exchange rate quarter-on-quarter (QoQ) and the six of Taiwan macroeconomic variables:Gross Domestic Product QoQ、Private Final Consumption Expenditure QoQ、Government Final Consumption Expenditure QoQ、Exports QoQ、Imports QoQ、Gross Fixed Capital Formation QoQ during 1961 Q2 to 2011 Q4. The study results indicate that USD/TWD exchange rate QoQ has short-term interactive relationship with Gross Domestic Product QoQ and also with Government Final Consumption Expenditure QoQ. And USD/TWD exchange rate one-way affects Private Final Consumption Expenditure QoQ、Imports QoQ and Gross Fixed Capital Formation QoQ respectively. However, the correlation is quite low between USD/TWD exchange rate QoQ and Exports QoQ.