台幣與總體經濟及亞洲各國匯率之關聯性分析

Testing the Co-movement between New Taiwan Dollar and Macroeconomic Factors and Asian Foreign Exchange Markets

林俊宏(JYUN-HONG LIN)

指導教授 ： 簡明哲

國立臺北大學/社會科學學院/經濟學系/碩士(2016年)

摘要

影響外匯市場的因素一直是國內外學者所熱衷研究的議題，本文針對台幣兌美元匯率與股價、利率及國際原油價格等總體經濟因素及與台灣貿易往來頻繁或競爭激烈的亞洲各國貨幣的關聯性進行探討。由於傳統的共整合檢定法只能檢定總體經濟及亞洲各國匯率與台幣是否具長期均衡關係，但無法分析其間連動關係的強弱，本文採用Yang et al. (2014) 提出的均等變異數檢定來探討台幣與總體經濟及亞洲各國匯率連動關係的緊密程度。

研究結果顯示台幣匯率與股價、利率及原油價格並不存在長期均衡關係，但在短期存在連動關係且隨著不同研究期間而有所變動，第一次金融風暴後股價及油價與台幣之關聯性較利率與台幣之關聯性強，亦即國際金融市場對台幣匯率的影響在第一次金融風暴之後逐漸加深。台幣與亞洲各國匯率關聯性的強弱亦會隨著研究期間的不同而改變，本研究結果顯示台幣兌美元匯率與新加坡幣、韓圜、馬來西亞幣、泰銖與港幣存在長期均衡的關係，在全樣本期間及第一次金融風暴時泰銖及馬來西亞幣對台幣的關聯性最強，第二次金融風暴時新加坡幣及澳幣與台幣的關聯性開始逐漸轉強並延續至2015年年底。

關鍵字

均等變異數檢定 ； 匯率

並列摘要

Factors influencing foreign exchange market had been heavily studied by researchers. The major objective of this study is to test the co-movement between New Taiwan Dollar (NTD) and some macroeconomic factors such as stock prices, interest rate, and oil prices and those foreign exchange markets of major trading partners of Taiwan in Asia. Other than traditional co-integration test which can only analyze the existence of long run equilibrium relationships, this study utilizes the equal variance test proposed by Yang et al. (2014) to analyze the co-movement relationships between NTD and some macroeconomic factors and Asian foreign
exchange markets.
Results show that there exist no long run equilibrium relationships between NTD and stock prices, interest rate, and oil prices. Different sample periods exhibit different co-movement relationships between NTD and stock prices, interest rate and oil prices. Among these, periods after Asian financial crisis, the co-movement relationships between NTD and stock and oil prices are found to be stronger than that of interest rate. It implies that NTD is more closely affected by the international financial market after Asian financial crisis. Long run equilibrium relationships are found existed between NTD and Singapore, Korean, Malaysia, Thailand, and Hong Kung currencies. Among these, Thailand and Malaysia are found to have stronger co-movement relationships with NTD during Asian financial crisis. Co-movement relationships between NTD and Singapore and Australia currencies become stronger
after the second financial crisis.

並列關鍵字

Equal Variance Test ； Exchange Rate

參考文獻

2. 柏婉貞 (2010)，「油價可以解釋實質匯率之走勢嗎?亞洲新興國家之驗證」，

21. Lee, C., F. S. Shie, and C. Y. Chang (2012),“How Close a Relationship Does a

2. Amano, R.A., and S. Norden (1998),“Oil Prices and the Rise and Fall of the U.S.

Real Exchange Rate,”Journal of International Money and Finance,17,299-316.

Rate Policy on Exchange Rates: A Reexamination of the Asian Financial Crisis,