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博碩士論文 etd-0713111-154400 詳細資訊
Title page for etd-0713111-154400
論文名稱
Title
匯率轉嫁之不對稱性:台灣實證研究
Asymmetry of Exchange Rate Pass-Through for 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
61
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
2011-06-29
繳交日期
Date of Submission
2011-07-13
關鍵字
Keywords
內生門檻迴歸模型、匯率轉嫁效果
endogenous threshold model, THRET, pass-through
統計
Statistics
本論文已被瀏覽 5738 次,被下載 2430
The thesis/dissertation has been browsed 5738 times, has been downloaded 2430 times.
中文摘要
台灣通常被視為一個小型的開放經濟體系,經濟成長對貿易的依存度一直相當的高。並且在1990年代以後,台灣在匯率以及國際貿易政策上都有了極重大的改變,不但讓貿易自由化,也讓新台幣匯率開始呈現大幅度的波動,而在2008年美國雷曼兄弟投資銀行倒閉後,全球面臨了金融危機的衝擊,而使得台灣面臨著台幣升值的壓力下,迫使央行總裁彭淮南採行貨幣政策試圖穩定台幣匯率,此行為也使得匯率呈現大幅度的波動。故本研究主要為1990年橫跨2008年金融危機至今的資料,採用Kourtellos, Stengos and Tan (2007) 所提出具有內生性的門檻變數且工具變數的門檻迴歸模型以及結合擴充型菲力普曲線,在針對經濟景氣因子的大方向下(即以國內實質產出缺口作為門檻變數),來探討台灣存在非線性的匯率轉嫁效果是否顯著,以及短期轉嫁效果是否具有不對稱性。實證結果顯示,台灣確實存在有非線性的匯率轉嫁效果,且在實質產出缺口高於某一數值(門檻值)時,台灣的短期匯率轉嫁效果較大並且呈現不對稱性,而在此也符合了Goldfajn and Werlang (2000), Carneiro, Monteiro and Wu (2002), Muinhos (2001) 等人所提出的景氣循環(business cycle)理論。
Abstract
Taiwan is usually considered as a small open economy. Trade and exchange rate policies in Taiwan have substantially changed since 1990s.Not only has trade been liberalized, but exchange rates of the New Taiwan Dollar(NTD) were also allowed to fluctuate.
This paper applies the Threshold Regression with Endogenous Threshold Variables(THRET) Model that puted forward Kourtellos, Stengos and Tan (2007) and combines the expectation-augmented Phillips curve with a threshold for the pass-through. The paper examines whether the short-run magnitude of the pass-through is affected by the business cycle. For that purpose, the important variable is tested as thresholds: output gap change. The results indicate that the short-run pass-through is higher when the the economy is booming, as well as the exchange rate depreciates above some threshold. And showed in this has conformed to the business cycle theory which Goldfajn and Werlang (2000) , Carneiro, Monteiro and Wu (2002) , Muinhos (2001) proposed.
目次 Table of Contents
[1] 緒論 ...1
[1.1] 研究動機...1
[1.2] 研究目的...2
[1.3] 文章架構...2
[2] 理論模型與文獻回顧...4
[2.1] 匯率轉嫁理論模型...4
[2.2] 非線性匯率轉嫁模型...6
[2.3] 模型的內生性問題...7
[2.4] 文獻回顧...8
[2.4.1] 國外文獻回顧...8
[2.4.2] 國內文獻回顧...9
[3] 研究方法...11
[3.1] 單根檢定...11
[3.1.1] ADF單根檢定...12
[3.1.2] Phillips-Perron 單根檢定...13
[3.1.3] DF-GLS 單根檢定...16
[3.2] 門檻模型...18
[3.2.1] 門檻模型的緣起...19
[3.2.2] 模型(model)...21
[3.2.3] 估計(estimation)...24
[3.2.4] 門檻效果檢定(Testing for a threshold)..26
[3.2.5] 檢定統計量(Test statistics)...28
[4] 實證結果分析...31
[4.1] 資料來源與符號定義...31
[4.2] 單根檢定結果...33
[4.3] 門檻檢定結果...34
[4.3.1] 過度確認限制的檢定問題...34
[4.3.2] 門檻迴歸模型實證結果...35
[5] 結論與建議...37
[附錄]...38
[A、] J曲線效應...38
[B、] 匯率轉嫁...39
[C、] 內生性(Endogenous)...40
[D、] 條件假設...41
[E、] GMM與過度確認限制J檢定...44
[F、] 變數之時間趨勢圖...46
[參考文獻] ...48
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