金融海嘯對台灣、新加坡匯率衝擊之探討 羅子斐、陳美玲
E-mail: [email protected]
摘 要
本研究是在自我迴歸向量模型裡，將集中討論四個主要內生變數：工業生產指數、失業率、實質工資和消費者物價指數。
檢視金融海嘯下台灣和新加坡匯率衝擊之影響，再將工業生產指數、失業率與實質工資並加入消費者物價指數做迴歸式分 析，用 來檢驗四變數變動是否對匯率造成衝擊。
關鍵詞 : 自我迴歸向量模型(VAR)，匯率(exchange rate)，衝擊(shock) 目錄
中文摘要．．．．．．．．．．．．．．．．．． iii 英文摘要．．．．．．．．．．．．．．．．．． iv 誌謝辭．．．
．．．．．．．．．．．．．．．． v 內容目錄．．．．．．．．．．．．．．．．．． vi 表目錄．．．．．．．．．．
．．．．．．．．． vii 圖目錄．．．．．．．．．．．．．．．．．．． ix 第一章緒論．．．．．．．．．．．．．．
．．． 1 第一節研究背景與動機．．．．．．．．．．．． 1 第二節研究目的．．．．．．．．．．．．．．． 5 第三節 研究流程．．．．．．．．．．．．．．． 5 第二章文獻探討．．．．．．．．．．．．．．． 7 第一節匯率變動之探討
．．．．．．．．．．．． 8 第二節GDP 與匯率之相關文獻．．．．．．．．． 11 第三節失業率與匯率之相關文獻．．
．．．．．． 12 第四節實質工資與匯率之相關文獻．．．．．．． 13 第五節消費者物價指數與匯率之相關文獻．．．．
13 第三章研究方法．．．．．．．．．．．．．．． 15 第一節研究資料敘述．．．．．．．．．．．．． 15 第二節單根 檢定．．．．．．．．．．．．．．． 16 第三節共整合檢定．．．．．．．．．．．．．． 19 第四節誤差修正模型．．
．．．．．．．．．．． 21 第五節因果關係檢定．．．．．．．．．．．．． 23 第六節向量自我迴歸模型．．．．．．
．．．．． 25 第七節衝擊反應函數．．．．．．．．．．．．． 27 第四章實證結果分析．．．．．．．．．．．．． 30 第一節基本統計量分析．．．．．．．．．．．． 30 第二節單根檢定．．．．．．．．．．．．．．． 32 第三節共整合 檢定結果．．．．．．．．．．．． 33 第四節誤差修正模型檢定結果．．．．．．．．． 36 第五節因果關係檢定結果．
．．．．．．．．．． 38 第六節向量自我迴歸模型結果．．．．．．．．． 40 第七節衝擊反應函數結果．．．．．．．
．．．． 46 第五章結論與建議．．．．．．．．．．．．．． 51 第一節研究結論．．．．．．．．．．．．．．． 51 第二節後續研究建議．．．．．．．．．．．．． 52 參考文獻．．．．．．．．．．．．．．．．．． 53
參考文獻
一、中文部份 行政院主計處(1998)，人力資源調查統計結果[線上資料]，來源: http://www.dgbas.gov.tw/mp.asp?mp=1 [2010, May 3]。 中 華經濟研究院資料庫(2001)，東亞經貿投資研究[線上資料]，來源: http://sear.cier.edu.tw/zlk.htm [2010, April 5]。 汪惠慈(2005)，區域整 合對東亞的影響，企業季刊，9(3)，21-34。 吳家興(2000)，金融風暴後韓國企業的重整，主要國家經貿政策月刊，113(2)，92-101。 范芝 萍(2000)，政府規模、外貿、投資與經濟成長的因果關係－台灣之實證研究，國立台北大學經濟學系未出版之碩士論文。 徐千婷(2005)，
台灣的匯率管理與匯率反應函數－兼論新加坡的匯率政策，中央銀行季刊，27(3)，79-96。 陳建助(2003)，從全球化觀點解析新加坡國家 機關、經濟市場與市民社會之三角互動，國立成功大學政治經濟研究所未出版 之碩士論文。 蔡雅萍(2005)，小型開放經濟下之能源衝擊 與景氣循環，中原大學國際貿易學系未出版之碩士論文。 楊長霏(2005)，以向量自我迴歸模式探討台灣股價及國際油價之關聯性，南華 大學管理科學未出版之碩士論文。 蘇筱容(2001)，價格指數之選取對長期購買力平價說成立之影響－美國與其亞洲之主要貿易國之實證
，佛光人文社會學院經 濟學研究所未出版之碩士論文。 謝明瑞(2009)，金融海嘯的探討與對策，企業季刊，21(2)，56-62。 二、英文部 份 Agnes, C., & Balazs, V. (2002). The role of the exchange rate in the transmission mechanism in hungary. Journal of International Money and Finance, 31(2), 1-38. Artis, M. J., & Ehrmann, M. (2000). The exchange rate-a shock absorber or source of shocks? A study of four open economies.
Journal of International Money and Finance, 25(2), 874-893. Anderson, H., Kwar, N. S., & Vahid, F. (1999). Does international trade synchronise business cycles? Journal of International Money and Finance, 36(2), 8-99. Aaker, D. A. (1989). Managing assets and skills: The key to a sustainable competitive advantage. California Management Review, 31(2), 99-106. Alun, T. (1997). Macroeconomic shocks in Euroland vs the UK:
Supply,demand, or nominal? Journal of International and Finance, 66(2), 96-121. Bjornland, C. (2000). The role of the exchange rate as a shock absorber in a small open economy. Journal of International Money and Finance, 23(4), 24-42. Blanchard, J. O., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(2), 655-673. Boynton, A. C., & Zmud, R. W. (1984). An assessment of critical success factor. Journal of International Money and Finance, 25(4), 17-27. Buiter, W. (2000). Optimal currency areas scottish
economic society /royal bank of scotland annual lecture 1999. Scottish Journal of Political Economy , 47(3), 213-249. Campbell, J. Y., & Mankiw, G. N. (1987). Are output fluctuations transitory? Quarterly Journal of Economics, 102(3), 857-80. Canzoneri, M. B., Valles, J., & Vi?狒ls, J. (1996).
Do exchange rates move to address international macroeconomic imbalances? Journal of International Money and Finance, 65(2), 1498. Clark, P.
(1987). The cyclical component in U.S. economic activity.Quarterly Journal of Economics, 65(2), 797-814. Cochrane, J., (1988). How big is the random walk in GNP. Journal of Political Economy, 96(3), 893-920. Clarida, R., & Gali, J. (1994) Sources of real exchange rate fluctuations:How important are nominal shocks? Journal of International Money and Finance, 95(3), 46-58. Christiano, L. J., & Eichenbaum, M. (1992). Liquidity effects and the monetary transmission mechanism. Journal of Monetary Economics, 82(1), 346-353. Cushman, D. O., & Zha, T. (1997). Identifying monetary policy in a small open economy under flexible exchange rates. Journal of Monetary Economics, 39(2), 433-448. Dibooglu, S., & Kutan, A. M. (2001). Sources of real exchange rate fluctuations in transition economies: The case of Poland and Hungary. Journal of Comparative Economic, 29(4), 257-275. Drabek, Z., & Brada, J. C. (1998). Exchange rate regimes and the stability of trade policy in transition economies.
Journal of Comparative Economics, 26(3), 642-668. Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Journal of Comparative Economics, 49(4), 1057-1072. Dornbusch, R. (1976). Expectations and exchange rate dynamics.Journal of Political Economy, 84(2), 1167-1176. Engle, R. F., & Granger, C. W. J. (1987). Cointegration and error correction:Representation, estimation, and testing. Journal of Comparative Economics, 55(2), 251-276. Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(2), 987-1007. Funke, M. (2000). Macroeconomic shocks in Euroland vs the UK:supply, demand, or nominal? Journal of Comparative Economics, 61(2), 110-135. Gerlach, S., & Smets, F. (1995). Financial structure and the monetary policy transmission mechanism, bank for international settlements: Journal of Comparative Economics, 91(3), 122-130. Granger, C. W. J. (1969).
Investigating causal relation by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438. Granger, C. W. J., & Newbold, P.
(1974). Spurious regressions in econometrics. Journal of Econometrics, 21(1), 111-120. Hakkio, C. (1986). Does the exchange rate follow a random walk? A montecarlo study of four tests for random walk. Journal of international Money and Finance, 74(2), 221-230. Halpern, C., & Wyplose, C.
(1997).A hateroskedastiity consistentcovariance matrix estimator and a direct test forheteroskedasticity. Journal of Economic Dynamics and Control, 59(2), 31-54. Johansen, S. (1988). Statistical analysis of cointegration vectors.Journal of Economic Dynamics and Control, 12(2), 231-254.
Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration-with application to the demand for money.
Journal of Econometrics, 27(1), 169-210. Katie, F., & Gert, P. (2006). Is the exchange rate a shock absorber or a source of shocks? New empirical evidence. Journal of Money, Credit, and Banking, 38(4), 941-961. Krugman, P. (1989). Exchange rate instability. Journal of Econometrics,38(2), 69-81. Lark, C. (1987). The monetary framework in Norway. Journal of Econometrics, 49(1), 171-183. Lastrapes, W. D. (1992). Sources of fluctuations in real and nominal exchange rates. Journal of international Money and Finance, 96(2), 530-539. Lacus, C. (1977). Functional relationships in an hierarchical phonology.Journal of Econometrics, 38(2), 473-79. Michael, A., & Michael, E. (2000). The exchange rate. A shock-absorber or source of shocks? A study of four open economies. Journal of Econometrics, 38(2), 3-34. MacKinnon, J. G. (1991). Critical values for cointegration tests. Unpublished manuscript, University of California at San Diego. Nemenyi, J. (1997). Monetary policy in hungary: Strategies, instruments and transmission mechanism. Journal of Econometrics, 72(2), 131-161. Ng, C., & Benigno, M. (2004). Monetary policy’s role in exchange rate behavior. Journal of Monetary Economics, 50(7), 1403-1424. Obstfeld, M., & Rogoff, K. (1995). Exchange rate dynamics redux.Journal of Political Economic, 103(3), 624-660. Obstfeld, M., & Rogoff, K. (2000). New directions for stochastic open economy models.
Journal of International Economics, 50(2),117- 153. Obstfeld, M. (1985). Floating exchange rates: experience and prospects.Brookings Papers on Economic Activity, 69(1), 369-450. Sims, C. A. (1980). Macroeconomics and Reality. Journal of Econometrics,48(3), 1-48. Said, S. E., & Dickey, D.
A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometriac, 71(3), 599-607. Schwartz, G. (1978).
Estimating the dimension of a model. Journal of Econometrics, 61(2), 461-464. Shapiro, M., & Watson, M. (1988), Sources of business cycle fluctuations.Journal of Econometrics, 95(2), 111-148. Thomas, A. (1997). Is the exchange rate a shock absorber? The case of Sweden. Working Paper of the International Monetary Fund, 10(2), 97-106. Zivot, E., & Andrews, D.W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics, 10(2), 251-270.
