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    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/86264


    Title: 匯率對台灣貿易的影響
    Authors: 楊智任
    Yang, Jhih-Ren
    Description: GH02101072524
    碩士
    經濟學系
    Date: 2014
    Keywords: 匯率;SVAR模型;相對價格;貿易比例;央行干預
    exchange rate;SVAR model;relative prices;trade proportions;the central bank intervention
    Abstract: 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
    URI: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/86264
    Source: http://thesis.nthu.edu.tw/cgi-bin/gs/hugsweb.cgi?o=dnthucdr&i=sGH02101072524.id
    Appears in Collections:[經濟學系] 博碩士論文

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