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博碩士論文 etd-0629112-104818 詳細資訊
Title page for etd-0629112-104818
論文名稱
Title
實質匯率決定因素---臺灣實證分析
The Determinants of Real Exchange Rate --- The Empirical Analysis of Taiwan
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
76
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2012-06-23
繳交日期
Date of Submission
2012-06-29
關鍵字
Keywords
生產差、貿易項、央行干預、VAR模型、實質匯率
central bank intervention, terms of trade, Real exchange rate, VAR model, productivity differential
統計
Statistics
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The thesis/dissertation has been browsed 5706 times, has been downloaded 149 times.
中文摘要
本研究主在探討台灣的實質匯率決定因素。採用1982年第一季至2011年第二季的樣本資料,且變數包含實質匯率、貿易項、生產差、實質油價、準備差、實質利率以及淨國外資產等。實證結果指出,台灣的實質匯率與貿易項、生產差、實質油價、準備差、實質利率以及淨國外資產等變數並不存在長期共整合關係。此外,在VAR模型下,本研究發現除了央行會干預匯率之外,總體經濟相關變數亦是影響實質匯率的因素之一。在5%顯著水準之下,生產差的增加導致實質匯率貶值。再者,從因果關係檢定發現,生產差與央行干預變數分別與實質匯率為單向因果關係。本研究發現,央行對於匯率的干預效果約持續一季,而生產差對於實質匯率的影響約三季。因此,欲預測未來實質匯率走勢,除了評估央行可能採取的政策之外,生產差異亦是我們可以考慮的因素之一。
Abstract
The subject of this study is to examine the determinants of the real exchange rate in Taiwan. The sample period is from the first quarter of 1982 to the second quarter of 2011, and the variables include the real exchange rate, terms of trade, productivity differential, the real oil price, reserve differential, real interest rate differential, and the net foreign assets of Taiwan and America. The empirical results show that there is no cointegration between the real exchange rate and independent variables. Using a VAR model, this study finds that although the central bank of Taiwan would intervenes the real exchange rate, the variable related to the economic growth is still significant. At 5% significance level, an increase in the productivity differential leads the real exchange rate to depreciate. In addition, from the result of the granger causality test, this study finds that there exists unidirectional causality from the productivity differential and central bank intervention respectively to the real exchange rate. The effect of central bank intervention on the real exchange rate only persists one period, and the effect of the productivity differential persists two more periods. Therefore, it can be concluded that when estimating the future real exchange rate, it may be useful to take the productivity differential into account.
目次 Table of Contents
論文審定書………………………………………………………………………………i
致謝………………….......................................................................................................ii
摘要…………………………………………………………………………………. …iii
Abstract………………………………………………………………………………….iv
1. Introduction .............................................................................................................. 1
2. A literature review .................................................................................................... 6
3. Data and methodology .............................................................................................. 9
3.1 Data sources and sample selection ..................................................................... 9
3.2 The definition and measure of variables ........................................................... 10
3.3 Methodology ..................................................................................................... 17
3.3.1 Unit root test .......................................................................................... 19
3.3.2 Testing for cointegration in regression .................................................. 21
3.3.3 Lag order selection criteria .................................................................... 22
3.3.4 The VAR model ..................................................................................... 24
3.3.5 The causality test ................................................................................... 28
4. Empirical result ...................................................................................................... 29
4.1 Summary and descriptive statistics................................................................... 29
4.2 The correlation of variables .............................................................................. 30
4.3 The result of unit root test ................................................................................. 31
4.4 The result of cointegration test ......................................................................... 32
4.5 The result of lag order selection criteria ........................................................... 33
4.6 The result of VAR ............................................................................................. 35
4.7 The result of causality test ................................................................................ 36
5. Robustness .............................................................................................................. 50
6. Conclusion .............................................................................................................. 59
Reference ........................................................................................................................ 61
Figure 3-1 The patterns of the natural logarithms of the real exchange rate, terms of trade, productivity differential, the real oil price, reserve differential, and the real interest rate differential. ........................................................................ 15
Figure 3-2 The trend of the natural logarithms of the real exchange rate, terms of trade, productivity differential, the real oil price, reserve differential, and the real interest rate differential respectively. ........................................................... 16
Figure 3-3 The patterns of terms of trade and their predicted values. …………………17
Figure 3-4 The procedures of this study. ………………………………………………18
Figure 4-1 The plots of Impulse responses for model 1. The responsiveness of the real exchange rate (ERE) to a shock to itself over time. …………………… 41
Figure 4-2 The plots of Impulse responses for model 1. The responsiveness of the real exchange rate (ERE) to a shock to the productivity differential (PD) over time. .............................................................................................................. 42
Figure 4-3 The plots of Impulse responses for model 1. The responsiveness of the real exchange rate (ERE) to a shock to the reserve differential (RD) over time..42
Figure 4-4 The plots of Impulse responses for model 1. The responsiveness of the real exchange rate (ERE) to a shock to the interest rate differential (RIRD over time. .............................................................................................................. 43
Figure 4-5 The plots of Impulse responses for model 1. The responsiveness of the real exchange rate (ERE) to a shock to terms of trade (TT) over time. .............. 43
Figure 4-6 The plots of Impulse responses for model 1. The responsiveness of the real exchange rate (ERE) to a shock to the real oil price (RO) over time. .......... 44
Figure 4-7 The plots of Impulse responses for model 2. The responsiveness of the real exchange rate (ERE) to a shock to itself over time. ..................................... 44
Figure 4-8 The plots of Impulse responses for model 2. The responsiveness of the real exchange rate (ERE) to a shock to the productivity differential (PD) over time. .............................................................................................................. 45
Figure 4-9 The plots of Impulse responses for model 2. The responsiveness of the real exchange rate (ERE) to a shock to the reserve differential (RD) over time. 45
Figure 4-10 The plots of Impulse responses for model 2. The responsiveness of the real exchange rate (ERE) to a shock to the interest rate differential (RIRD) over time. ............................................................................................................ 46
Figure 4-11 The plots of Impulse responses for model 2. The responsiveness of the real exchange rate (ERE) to a shock to the fitted value of terms of trade (TT) over time. .................................................................................................... 46
Figure 5-1 The plots of Impulse responses for robust test. The responsiveness of the real exchange rate (ERE) to a shock to itself over time. ..................................... 56
Figure 5-2 The plots of Impulse responses for robust test. The responsiveness of the real exchange rate (ERE) to a shock to the productivity differential (PD) over time. .............................................................................................................. 56
Figure 5-3 The plots of Impulse responses for robust test. The responsiveness of the real exchange rate (ERE) to a shock to the interest rate differential (RIRD) over time. .............................................................................................................. 57
Figure 5-4 The plots of Impulse responses for robust test. The responsiveness of the real exchange rate (ERE) to a shock to terms of trade (TT) over time. .............. 57
Figure 5-5 The plots of Impulse responses for robust test. The responsiveness of the real exchange rate (ERE) to a shock to central bank intervention (INT) over time. ...................................................................................................................... 58
Figure 5-6 The plots of Impulse responses for robust test. The responsiveness of the real exchange rate (ERE) to a shock to government spending (GC) over time. . 58
Table 3-1 Summaries of variable, definition, expected sign, and source ....................... 14
Table 4-1 The summary and descriptive statistic of variables. ....................................... 30
Table 4-2 The correlation of variables. ........................................................................... 31
Table 4-3 The result of Augmented Dickey Fuller (ADF) and Phillips and Perron (1988) (PP) unit root test statistic. ............................................................................. 32
Table 4-4 The result of lag order selection criteria ......................................................... 34
Table 4-5 The result of VAR ........................................................................................... 37
Table 4-6 The result of causality test .............................................................................. 39
Table 4-7 The result of variance decompositions for model 1. ...................................... 48
Table 4-8 The result of variance decompositions for model 2. ...................................... 48
Table 5-1 The result of VAR for robust test .................................................................... 53
Table 5-2 The result of causality test for robust test ....................................................... 54
Table 5-3 The result of variance decompositions for robust test .................................... 59
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