帳號:guest(54.196.27.122)          離開系統
字體大小: 字級放大   字級縮小   預設字形  

詳目顯示

以作者查詢圖書館館藏以作者查詢臺灣博碩士論文系統以作者查詢全國書目
作者(中文):楊智任
作者(外文):Yang, Jhih-Ren
論文名稱(中文):匯率對台灣貿易的影響
論文名稱(外文):The Effect of Exchange Rate on the Trade in Taiwan
指導教授(中文):冼芻蕘
指導教授(外文):Sin, Chor-Yiu
口試委員(中文):黃朝熙
陳奕奇
口試委員(外文):Huang, Chao-Hsi
Chen, Yi-Chi
學位類別:碩士
校院名稱:國立清華大學
系所名稱:經濟學系
學號:101072524
出版年(民國):103
畢業學年度:102
語文別:中文
論文頁數:72
中文關鍵詞:匯率SVAR模型相對價格貿易比例央行干預
外文關鍵詞:exchange rateSVAR modelrelative pricestrade proportionsthe central bank intervention
相關次數:
  • 推薦推薦:0
  • 點閱點閱:468
  • 評分評分:*****
  • 下載下載:32
  • 收藏收藏:0
本研究欲探討匯率對於台灣與美國、日本之間主要貿易商品的影響,以及這些主要貿易商品於台灣產出的影響。更參考王泓仁(2005)的作法,將央行在外匯市場的干預放入模型當中,分別探討單純匯率升貶值以及央行干預外匯市場使得匯率升貶值的影響。本研究首先根據國貿局進出口統計資料,找出台灣與美國、日本兩國進出口貿易中比重最大的三項商品,並且每組商品建立一個包含五個變數的結構性向量自我回歸模型(SVAR),透過衝擊反應函數圖形以及衝擊反應的值進行分析,討論匯率及央行干預對於這些進出口商品之相對價格、貿易比例的影響以及貿易比例對於台灣產出的影響。
本研究採用2000M1-2013M10共167筆的月資料。結果顯示,當受到台幣兌美金匯率下降1元衝擊時,與美國進出口貿易中的相對價格與貿易比例的部分又以對光學儀器及鋼鐵類的影響最大,分別可以使得光學儀器之相對價格最高上升0.067%及貿易比例下降1.328%;而若受到台幣兌換日圓匯率下降1元衝擊時,與日本進出口貿易中的相對價格與貿易比例的部分則以對核子機械零件類及光學儀器類的影響對大,分別可使核子機械零件類的相對價格與光學儀器類貿易比例分別上升0.178%及下降0.617%。此外,本研究也發現,短期而言,比較匯率下降以及央行持有國外資產下降衝擊對於相對價格、貿易條件,又普遍以匯率下降衝擊對上述變數的影響較為大,但長期而言效果皆顯疲弱。在美國部分以受到電機零件類及光學儀器類的貿易比例上升1單位衝擊最大,皆使得產出上升約0.0126%;日本則是以電機零件類之貿易條件上升1單位的衝擊最大,使得產出上升0.0513%。最後,本研究也驗證了吳中書(1995)匯率對於商品價格的影響,會因為商品或產業的差異而有所不同的論點。

關鍵字:匯率、相對價格、貿易比例、SVAR模型、央行干預
The study wants to investigate the effect of exchange rate on the trade of Taiwan’s major trade commodities between United States and Japan, and we also want to investigate how these major trade commodities affect the Taiwan's output. And we refer to Wang Hung-Jen (2005) approach, taking the Central bank intervention in the foreign exchange market into the model, discussing the effect as well as the Central bank revalued the exchange rate and the exchange rate appreciation. In this study, according to Board of Foreign Trade and export statistics we find the largest proportion of the three export and import commodities between United States and Japan , and we establish a Structural Vector Autoregression model (SVAR) included five variables in each commodity. We discuss the effect of exchange rates and central bank intervention on the relative price and the trade proportion and the effect of trade proportion on the Taiwan’s output.
The study included 2000M1-2013M10, a total of 166 data. The results showed that when the NT dollar appreciate 1 dollar by US dollar the greatest impact on optical instrument’s relative prices and steel’s trade proportion with the U.S., respectively, it can make the highest optical instrument’s relative prices rose 0.067% and 1.328% decline in the trade proportion of steel ; whereas when the NT dollar appreciate 1 dollar by Japan dollar the greatest impact on nuclear mechanical’s relative prices and optical instrument’s trade proportion with Japan , respectively, relative prices can make the highest optical instruments rose 0.067% and 1.328% decline in the optical instrument’s trade proportion. And we also find that the effects are significant weakness no matter the exchange rate shock or the Central bank shock. Finally, this study also verified the Wu Chung-Shu ’s (1995) arguments “ Differences in commodity or industry varies may the effect of exchange on the commodity prices.”

Key Word:exchange rate , relative prices , trade proportions, SVAR model , the central bank intervention
1緒論 5
2.實證模型架設與資料蒐集 12
2.1 實證模型架設與資料敘述 13
2.2模型認定(Identification) 23
3.實證結果與探討 26
3.1最適落後期數的選擇 26
3.2 美國 29
3.3日本 45
3.4 對於反應值加總與討論是否存在長期效果 62
4.研究結論與未來方向 67
4.1研究結論 67
4.2未來研究方向 70
5.參考文獻 71

(1) 王泓仁(2005),「台幣匯率對我國經濟金融活動之影響」,中央銀行季刊。第27卷第1期,頁13-46。
(2) 吳中書(1995),「台灣進口物價匯率轉嫁效果之探討」,開放總體經濟論文集,頁43-62。
(3) 林柏君、吳中書(2013),「通膨與通縮之匯率轉嫁」,台灣經濟預測與政策,中央研究院經濟所,第42卷第2期,頁51-81。
(4) 徐千婷(2006),「匯率與總體經濟變數之關係:台灣實證分析」,中央銀行季刊,第28卷第4期,頁13-42。
(5) 陳旭昇(2013),「央行「阻升不阻貶」?-再探台灣匯率不對稱干預政策」,經濟論文叢書,即將出版。
(6) 陳旭昇(2013),「時間序列分析-總體經濟與財務金融之應用,修訂版」,東華書局。
(7) 黃裕烈、管中閔(2014),「向量自我迴歸模型-計量方法與R程式」,雙葉書廊有限公司。
(8) Blanchard, Olivier and Danny Quah (1989), “The Dynamic Effects of Aggregate Demand and Supply Disturbance,” American Economic Review, 79, 665-673.
(9) Choudhri, Ehsan U. and Dalia S. Hakura (2001), “Exchange Rate Pass-Through to Domestic Price: Does the Inflationary Environment Matter?” Journal of International Money and Finance, 25, 614–639.
(10) Fang, Wen Shwo and Stephen M. Miller (2004), “Exchange Rate Depreciation and Exports: The Case of Singapore Revisited,” Applied Economics, 39, 273-277.
(11) Jarkko Jaaskela and Penelope Smith (2011), “Terms of Trade Shocks:What are They and What Do They Do,” Economic Record, 89, 145–159.
(12) Kikuchi, Toshihiro (2004), “The Impact of Exchange Rate Volatility Bilateral Exports in East Asian Countries,” Manuscript, University of Tsukuba.
(13) Kim, Soyoung (2003), “Monetary Policy, Foreign Exchange Intervention, and The Exchange Rate in a Unifying Framework,” Journal of International Economics, 60, 355–386.
(14) Kim, Soyoung, and Nouriel Roubini (2000), “Exchange Rate Anomalies in the Industrial Countries: A Solution with Structural VAR Approach,” Journal of international Economics, 45, 561-586.
(15) Kroner, Kenneth , F and Lastrapes William , D. (1993), “The Impact of Exchange Rate Volatility on International Trade: Reduced Form Estimates Using GARCH-in-mean Model,” Journal of International Money and Finance, 12, 298-318.
(16) Taylor, John B. (2000), “Low Inflation, Pass-Through, and the Pricing Power of Firms,” European Economic Review, 44, 1389-1408.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
* *