Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/24617
標題: 我國貿易順差對美元兌新台幣匯率變動研究
A study on the impact of trade surplus on the movement of exchange rate of U.S. Dollar against NT Dollar
作者: 王渝樺
Wang, Yu-Hua
關鍵字: http://etds.lib.nchu.edu.tw/etdservice/view_metadata?etdun=U0005-0708200916375900;匯率;貿易順差;多元迴歸法;台灣OBU存款;日圓匯率;變異數影響因子
出版社: 高階經理人碩士在職專班
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摘要: 
摘要

本論文主要在研究我國貿易順差對美元兌台幣匯率變動的研究。我國自經濟起飛及1989年開啟外匯自由化後,其進出口貿易順差常成為決定美元兌新台幣匯率升值之關鍵因素。除此因素外,本研究亦加入其他總體經濟面或金融面之變數來解釋與美元兌新台幣匯率波動的關連性。 希望透過本研究, 提供我國投資人於國內外資產配置或企業經營者面對匯率變動所做決策之參考,以期儘量降低匯率變動所帶來的風險或損失。
除貿易順差此自變數外,再加入六個自變數分別為台灣貨幣供給額年增率、美元兌日幣匯率、美元兌韓圜匯率、外匯存底變動率、台灣OBU存款變動率、台灣加權平均股價指數等總共七項自變數進行實證研究。各自變數資料選取期間自1991年1月至2008年12月止共18年,合計216筆月資料。研究方法,首先進行自變數共線性分析--變異數影響因子(Variance Inflation Factor,VIF);然後再以簡單迴歸分析及多元迴歸分析模式,來探討匯率與自變數的關係。得到以下結論:
ㄧ、台灣貿易餘額(順差)淨額自變數對美元兌台幣匯率升值效應,經簡單迴歸及
多元迴歸檢定後,此變數與匯率之間仍存在顯著性,但迴歸解釋能力已逐漸
降低;且其變數係數(符號正號)方向與傳統國際收支理論預期方向不一致。
二、應用多元迴歸模式分析,其實證結果顯示自變數與美元兌台幣升值之間息息
相關。在顯著水準5%下,除外匯存底淨變動率與美元對台幣匯率未達顯著情
形外,其他自變數分別有台灣貿易餘額淨額、台灣貨幣供給額年增率、美元
兌日幣匯率、美元兌韓圜匯率、台灣OBU存款淨變動率、台灣加權平均股價
指數與美元兌新台幣匯率達到顯著。
三、實證研究中所加入六個自變數,其實証係數符號,除台灣貨幣供給額年增率
係數呈現負數與貨幣學派理論預期之正向不一致外,其餘五個自變數實證係
數與理論預期呈現一致的關係。
四、台灣在金融及外匯改革下,配合產業外移、出口貿易特性,台灣進出口企業
調整公司業務營運及財務管理或資金調度移轉至國際金融業務分行帳戶
(OBU)上運作,故此OBU資金餘額可視為台灣經常帳餘額(貿易收支)的延伸,
以台灣OBU存款變動率為解釋變數對匯率之關聯性具有顯著性,其實證係數符
號(負號)亦與國際收支理論的預期呈現一致。
綜上所述,本研究認為貿易順差雖對美元兌台幣匯率的升值有關聯,但其解釋能力已降低。惟影響匯率的因素或總體變數多,本研究希望從日常生活中垂手可得的資訊裡,提供一個簡單及快速判斷美元對新台幣匯率走勢的參考方法。

關鍵字:匯率、貿易順差、多元迴歸法、台灣OBU存款、日圓匯率、變異數影響因
子(Variance Inflation Factor,VIF)

Abstract

This paper aims to research the impact of Taiwan's trade surplus on the movement of the NT dollar against the US dollar. The trade surplus has become a key factor that affects the movement of the NT dollar against the US dollar. In addition, this paper associates macroeconomic and other financial variables with fluctuations in the NT / US exchange rate. Hopefully, this research may function as a reference tool for investors and organizers in Taiwan when allotting assets to decrease losses and risks caused by fluctuations in the exchange rate.

Besides the trade surplus, this empirical study also takes six other variables into consideration: monetary supply, the exchange rate of the US dollar against the Japanese Yen, the exchange rate of the US dollar against the KRW (Korean Won), the change in the rate of foreign exchange reserves, ratio of changes of Taiwan OBU deposit, and TaiEX index, respectively. The research data was collected from 216 points of data per month in January 1991 to December 2008, and was examined initially by Variance Inflation Factor (VIF), followed by simple and multiple regression analyses to explain the relationship between the NT / US dollar exchange rate and variables. This paper finds:

1. Taiwan's trade surplus manifests a significant influence on the movement of the exchange rate of the NT/US dollar, as derived from both simple regression and multiple regression analyses. However, the explanatory evidence is shaky as shown in the regression model. The resulting positive variable coefficient symbol is not consistent with the negative direction expected as per the balance theory of international payment.
2. The result derived from the multiple regression analysis proves that variables are strongly related to the appreciation of the NT dollar against the US dollar. All variables in this research, except the change in the rate of foreign exchange reserves, are at the significance level - 0.05 - that influence the exchange rate of the NT dollar against the US dollar.

3. In this empirical study, all six variables (except for monetary supply which indicates a negative relationship with that expected in monetary school theory), show a positive relationship as expected.

4. With the reform in Finance and Foreign Exchange policy in Taiwan and the characteristics of industry relocation and trading business nature, Taiwan's enterprises adjust and transfer their business operations, financial management, fund inflow and outflow into accounts of OBU. Namely, the OBU funding balance could also be regarded as an extension of Taiwan's trade surplus. A significant relationship exists within the association of ratio of changes of Taiwan's OBU deposit with the volatility of exchange rates, and its negative variable coefficient symbol shows consistency with that expected in balance theory of international payment.

To conclude, this paper proposes that the trade surplus has a tremendous impact on the appreciation in the exchange rate of the NT dollar against the US dollar. This paper hopes to provide a simple and effective method to better evaluate the trends behind the exchange rate of the NT dollar against the US dollar using widely available information.

Keyword: Exchange Rate, Trade Surplus, multiple regression analyses, Taiwan OBU deposit, Dollar against Yen, Variance Inflation Factor.
URI: http://hdl.handle.net/11455/24617
其他識別: U0005-0708200916375900
Appears in Collections:高階經理人碩士在職專班

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