我國長期利率與匯率之關係

A Study of the Relationship Between Long-term Interest Rate and Exchange Rate

李筱鈞(Shiao-Chun Lee)

指導教授 ： 林炯垚

共同指導教授 ： 孫嘉祈

淡江大學/商管學院/國際企業學系碩士班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00927

摘要

本研究主要在探討我國長期利率與匯率之關係，在兩者之間是否存在明顯影響的可能性。使用Eviews研究以金融海嘯過後2009年至2016年月數據當作研究資料，設定應變數為匯率，自變數為長期實質利率五年期及十年期與風險溢酬率五年期及十年期。首先找出是否有相關性過高之變數，而後以單根檢定檢驗資料是否為定態，再以多元迴歸進行分析。
實證研究發現在長期資料中：長期實質利率五年期及十年期與風險溢酬率五年期及十年期，四項研究變數對於匯率並沒有顯著影響之關係。由研究結果我們發現長期利率的變動性，與匯率之間並沒有存在明顯的關係。而央行彭總裁說要從四個角度思考匯率決策，「市場本質、對外貿易、短期資本移動、總體經濟」，其內容不只考慮了長短期因素、資本流通因素、貿易國之國情等，各因素與匯率之間可能沒有直接的影響力，但在考慮各種因素後會將會直接或間接地影響匯率波動。

關鍵字

匯率 ； 長期利率 ； 風險溢酬率

並列摘要

This study aims to explore the relationship between Taiwan’s long-term interest rates and exchange rates, and whether there is a predictability that influences each other. We use Eviews to analyze data in the period of 2009 and 2016 after financial tsunami, and set exchange rates as dependent variable, long-tern real interest rates and risk premium rates for the period of five and ten years as independent variable. First of all, we analyze variables whether their correlation coefficients are statistically significantly or not. Furthermore, analyzing data via unit root test in order to discriminate whether the data is stationary, and taking advantage of multiple regression method to analyze data.
The result shows that long-tern real interest rates and risk premium rates during the period of 5 and 10 years are no statistically significant to exchange rates. According to the result, we find that there is no obvious relationship between the volatility of long-term interest rates and exchange rates. Central bank President Peng said that people need to think exchange rates decision from four perspectives including the essence of the market, foreign trade, short-term capital movement, the overall economy. They do not have any impact to exchange rates accordingly, but these factors will directly or directly influence the fluctuations of exchange rates once we take all of them into consideration.

並列關鍵字

exchange rate ； long-term interest rate ； risk premium rate

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