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(Li-Chi Cheng)

指導教授 ： 吳博欽 ； 潘聖潔

中原大學/商學院/國際經營與貿易研究所/碩士(2012年)

https://doi.org/10.6840/cycu201200951

摘要

摘要
台灣是一個以出口為導向的國家，出口容易受到匯率波動的影響。台灣自1986年放寛新台幣釘住美元的匯率政策後，再於1989年起改採管理浮動匯率制度，使出口面對更大的匯率波動之挑戰。本文的目的為研究廠商如何將匯率變動轉嫁到出口價格上。實證上，本研究以占台灣貿易總額前四名國家為分析對象，探討出口商在面對匯率變動時，出口價格的轉嫁程度。實證方法上，本研究採用panel data估計方法中的固定效果模型及誤差修正模型進行分析，以改進傳統使用普通最小平方法所存在偏誤的問題。
實證結果如下:
1. 由固定效果模型估計結果得知，出口價格顯著地皆受到市場集中度、消費物價指數、兩國利差及匯率 (遠匯及即期) 的影響。即期匯率的估計係數為負，表示外幣升值，以外幣計價的台灣出口財價格將下降，有助於台灣的出口，符合理論的預期。出口的市場集中度愈高，我國的出口財價格愈高，即可能的原因在於這四個國家對於台灣的出口依賴度相當高，且一旦依賴度提高，更不易尋找其他的替代市場，進一步造成出口價格提升。當外國的進口替財價格上升時，我國的出口財價格亦隨之上漲，顯示台灣在搶進外國市場時，並未因灘頭堡效果的限制而完全降低出口價格。
2. 以即期匯率所估計之出口價格誤差修正模型中，出口價格之調整係數為-0. 045312，表示當前一期的出口價格偏離長期均衡水準時，會有 4.53﹪的誤差於下一期的出口價格向下加以調整。以遠期匯率所估計之出口價格誤差修正模型中，出口價格之調整係數為-0.072363，表示當前一期的出口價格偏離長期均衡水準時，會有 7.23﹪的誤差於下一期的出口價格向下加以調整。此外，以即期匯率所估計之出口價格誤差修正模型中的調整係數小於以遠期匯率所估計之出口價格誤差修正模型。

關鍵字

Panel data ； 匯率轉嫁 ； 固定效果模型 ； 誤差修正模型

並列摘要

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.

並列關鍵字

Fixed effects model ； Exchange rate pass-through ； Panel data ； Error correction model

參考文獻

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