匯率變動對澳洲總體經濟之影響

The Impact of Exchange Rate Fluctuations on Australian Macroeconomics

買僑培(Chiao-Pei Mai)

指導教授 ： 陳思寬

國立臺灣大學/管理學院/國際企業學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.00972

摘要

本研究的主要目的是探討匯率變動對總體經濟變數的影響，特別是進口、出口、產出及物價等變數。以一小型開放經濟體系－澳洲為實證研究對象，利用Johansen共整合檢定(cointegration)與向量誤差修正模型(vector error correction model)進行分析，並藉由衝擊反應函數與變異數分解，觀察當匯率受到一單位標準差之外生衝擊時，各變數對此衝擊產生之反應方向和強度，及匯率對各變數之相對解釋能力，以瞭解匯率變動對澳洲總體經濟的影響。
實證結果顯示，當澳洲的實質有效匯率指數上升(代表澳幣相對一籃子通貨升值)，則實質出口、實質進口與物價呈現正向反應(上升或增加)，而實質產出在第一期之後則呈負向反應(下降或減少)。由上述之實證結果與傳統的經濟理論相對照，實質進口及實質產出所呈現出的反應方向與理論相同，但實質出口及物價的反應方向卻與一般經濟理論有相反之結果，此結果亦顯示其澳洲之經濟結構與總體經濟變數有很大的關聯性。

關鍵字

匯率波動 ； 共整合 ； 向量誤差修正 ； 衝擊反應函數 ； 變異數分解

並列摘要

The main purpose of this study is to investigate the impact of exchange rate fluctuations on macroeconomics variables, especially the imports, exports, output, prices and other variables. This study employed Johansen’s cointegration analysis and Vector Error Correction(VEC) model to test the effect of the exchange rate fluctuations on macroeconomics in a small open economy, Australia. By impulse response functions and variance decomposition, this study observes the direction and strength reaction of variables under the external shocks of exchange rate to better understand the influence of exchange rate on Australian macroeconomics.
The empirical results show that when the real effective exchange rate index increased (relative to a basket of currencies on behalf of Australian dollar appreciation), real export, real import and prices all increase. However, the reaction of real output decrease after the first phase. In contrast with the traditional economic theory, the empirical results show that real import and real output are consistent with the traditional economic theory, but real export and prices have the opposite result with it. The results indicated that there is a strong relation between the Australian economics structure and macroeconomics variables.

並列關鍵字

exchange rate volativity ； cointegration ； vector error correction ； impulse response function ； variance decomposition

參考文獻

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