近年來,大量國際資金流向亞洲新興市場,為發展中國家帶來實質的經濟利益。然異常的巨額資本流入會刺激總體經濟,導致景氣過熱,增加匯率波動,甚至引發資本外逃。1997年的亞洲金融風暴,即起因於大量的資本流入與迅速撤離,使匯率大幅波動與外匯存底耗盡所致。風暴之後,各國也期望能有更緊密的金融合作,進而實施單一貨幣化,以防止危機的再度發生,降低匯率的不穩定。因此,本研究希望藉由探討短期資本流動相關變數與亞洲單一貨幣(ACU)之間的關聯性,了解在金融自由化與高度整合的環境下,研析實施ACU是否具有抑制短期資本大量流動之功能。 本研究首先以亞洲十種貨幣組成貨幣籃,採用SDR計算方法與SDR修正計算方法,分別建構ACU之中心匯率,並以此二種ACU匯率與各國匯率作為應變數,以資本流動相關變數(包括資本流動金額佔GDP比率、經濟成長率、實質利率、M2佔外匯存底比率、利率差與金融效率等六項)作為解釋變數,利用類神經模糊匯率預測模型,比較各模型對應變數之預測績效。另以預測績效最佳之ACU匯率,即使用SDR修正計算方法之ACU,作為應變數。採用ARIMAX-GARCH模型,完整納入六項變數與其落遲項,考量變數之遞延效果,藉以探討ACU與各變數間之關聯性。 研究結果顯示,使用SDR修正計算方法所建構之ACU中心匯率,其穩定程度僅次於港幣、人民幣與新加坡元,較其他七種貨幣相對穩定。而此ACU與中國大陸之資本流動金額佔GDP比率呈現負向關係,當資本流入增加時,ACU會趨於貶值,消弭吸引資金流入的匯率升值期待,且ACU之匯率風險高於人民幣,故若採用ACU,可抑制短期資本流入中國大陸。香港、新加坡與馬來西亞等變數,對建構的亞洲單一貨幣具有一致之影響,代表其總體經濟特性較為類似,可作為亞洲單一貨幣化之起點,連結東南亞國協與中國大陸等兩大經濟體,為日後更進一步之整合奠定基礎。
Large capital inflows in Asian emerging market have recently brought economic benefits to developing countries. Large and sudden capital inflows not only can fuel considerable economy booming, but also cause economic overheat. Increasing exchange rate volatility may eventually lead to capital flight. The huge capital inflows and subsequent capital flight as a result of currency instability and depleted currency reserves were the main external factors that caused the Asian financial crisis of 1997. After the crisis, Asian countries hope to have closer financial cooperation through currency unification that stabilizes the exchange rate to prevent a recurrence of crisis. This study focuses on the relation of proposed Asian Currency Unit (ACU) and the short-term capital flow among ten East Asian Countries to examine whether ACU has the effectiveness of mitigating the surges in capital inflows. At First, this study takes samples of ten currencies, including Taiwan, Hong Kong, Japan, South Korea, Malaysia, Philippines, Singapore, Thailand, China and Indonesia. The period expands from March 2, 1992 to June 30, 2007. The central rate of the ACU is valued by two methods, including ACU constructed by Special Drawing Rights (SDR) and modified ACU (SDR). The dependent variables considered here are the two kinds of ACUs and the exchange rate of ten currencies. The six variables about the short-term capital flow are the explanatory variables, including the ratio of the amount of capital flow to GDP, economic growth rate, real interest rate, the ratio of M2 to reserves, the ratio of domestic credit to GDP, and the difference between the deposit rate and London Inter Bank Offered Rate (LIBOR). This study uses a neural-fuzzy technology to forecast the exchange rate. The prediction performance is examined with the root mean squared error (RMSE) statistic, and tested against an ARIMAX-GARCH model associated with additional explanatory variables that can incorporate all variables and dynamics simultaneously. The results show that only three currencies, including the exchange rate of Hong Kong, Singapore, and China are more stable than modified ACU (SDR) because of having better forecasting performance. There is a negative correlation between the modified ACU (SDR) and the ratio of China’s amount of capital flow to GDP. It means that when the amount of capital inflows increases, the ACU with higher risk in exchange rate than the Renminbi will depreciate to mitigate the surges in capital inflows. The variables of Hong Kong, Malaysia, and Singapore have the same direction of impacts to the ACU. Their similar macroeconomic characteristics are suitable to set a common currency area which also ties with the Association of Southeast Asian Nations (ASEAN) and China that move toward Asian currency unification.
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