市場集中度、避險措施與匯率轉嫁

鄭麗琪

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市場集中度、避險措施與匯率轉嫁

Market Concentration, Hedging and Exchange Rate Pass-through

鄭麗琪 , Masters　　Advisor：吳博欽;潘聖潔　　

繁體中文

Panel data ；匯率轉嫁；固定效果模型；誤差修正模型； Fixed effects model ； Exchange rate pass-through ； Panel data ； Error correction model

Abstract │ Reference (25) │ Times Cited (1) │ Altmetrics

Abstract 〈TOP〉

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Abstract
Taiwan is an export-oriented country; therefore, export and economic growth are easily disturbed by the volatility of exchange rates. Since 1986, Taiwan has released the regulation of the exchange rate of New Taiwan dollar with respect to the US dollar. In 1989, Taiwan began to adopt the managed exchange rate system, which will enlarge the impact of exchange rate volatility on export. The aim of this paper is to evaluate the degree of pass-through, as the exporters face the change in exchange rates. In performing empirical estimation, we take the top four trade partners of Taiwan as sample objects, and employ the fixed effects model and error correction model. The estimation methods we use can improve the shortcoming originated from traditional least square method.
Empirical results can be summarized as follows:
1. According to the estimation results of the fixed effects model, export prices are significantly influenced by market concentration ratio, consumer price level, interest rate differentials, and exchange rates (spot rate and forward rate). The negative estimated coefficient of spot rate reveals that the appreciation of foreign currency is helpful for Taiwan’s exporters to increase their export, satisfying the expectation of theoretical model. Additionally, the higher the market concentration ratio is, the larger the export price would be. The reason may be that these four countries have high dependence on the exports from Taiwan; therefore, as the concentration ratio increases, they are unable to search other import substitution, which in turn stimulate Taiwan’s export prices. Finally, as the prices of import substitutes increase, Taiwan’s export price also rise, implying that the beach effect for Taiwan’s exporters is not clear.
2. In the error correction model of export price measured by spot rate, the adjustment coefficient is -0.045312, meaning that as the last period of export price is not in its long-term equilibrium level, it will have a downward adjustment at the speed of 4.5312% in the next period. However, in the error correction model of export price measured by forward rate, the adjustment coefficient is -0.072363, meaning that as the last period of export price is not in its long-term equilibrium level, it will have a downward adjustment at the speed of 7.2363% in the next period. Evidently, the adjustment speed of the former model is smaller than the latter one.

Reference ( 25 ) 〈TOP〉

2. 吳博欽、陳本盛 (2001)，出口不穩定、避險措施與匯率轉嫁—台灣電子資訊與通信產業之實證分析，中原大學國際貿易學系碩士論文。
連結：
3. 莊春發 (1981)，貿易集中度、出口不穩定、經濟成長－台灣之研究，經濟研究，23，139-51。
連結：
8. 陳美玲、王凱立、吳家豪 (2004)，台灣對外直接投資、出口及匯率動態關聯之研究：多變量時間序列模型之應用，農業經濟半年刊，76期。
連結：
1. Ahtiala, P. and Y.E. Orgler (1995),“The Optimal Pricing of Exports Invoiced in Different Currencies,” Journal of Banking and Finance, 19, 61-77.
連結：
2. Carew, R. and W. J. Florkowski (2003), “Pricing to Market Behavior by Canadian and U.S. Agri-food Exporters: Evidence from Wheat, Pulse, and Apples,” Dornbusch, R. (1987),”Exchange Rate and Price,” The American Economic Review,77, 93-106.
連結：

Times Cited (1) 〈TOP〉

楊明芳(2015)。利率與物價對依時變動匯率轉嫁的影響。中原大學國際經營與貿易研究所學位論文。2015。1-63。

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