過去實證研究顯示，匯率轉嫁程度並非一成不變，而是具有隨時間變動的特性。因此，有別於過去文獻大多採用滾動相關係數，本文則是使用Engle(2002)提出的動態條件相關係數模型，估計台灣於1982年至2014年間匯率變動與進口價格變動間的動態條件相關係數；並以其做為匯率轉嫁的代理變數，進而探討台灣匯率轉嫁的時間變動趨勢。我們的實證結果顯示，不論是用滾動相關係數還是動態條件相關係數，台灣的匯率轉嫁都明顯具有隨時間變動的特性。雖然5年期與10年期的滾動相關係數均在1997年前後分別呈現上升與下降的趨勢，動態條件相關係數則無類似的現象。然而，由於滾動相關係數容易受到滾動視窗樣本大小或滾動視窗有無包含極端值的影響，使得此方法較無法看出匯率轉嫁變動的準確時間點，而動態條件相關係數模型則可避免此問題。此外，本文實證發現，通膨環境與匯率波動是造成台灣匯率轉嫁隨時間變動的主要因子，對匯率轉嫁皆有顯著的正向影響。在排除1986年匯率轉嫁與進口滲透率呈現短暫負向關係的資料後，進口滲透率與匯率轉嫁的正向關係變為顯著，而進口滲透率也成為影響匯率轉嫁的原因之一。 / According to past empirical studies, it is believed that exchange rate pass -through (ERPT) has the time-varying nature. In this paper, we apply the Dynamic Conditional Correlation (DCC) model of Engle (2002), rather than the rolling correlation coefficient prevalently used by other studies, to analyze the time trend of ERPT for Taiwan. We estimate the dynamic condition correlation between the changes of exchange rate and the changes of import price using monthly data from 1982 to 2014 and use this correlation as a proxy for the degree of ERPT. Our empirical results show that ERPT for Taiwan, whether measured by the DCC or the rolling correlation coefficient, has a significant time- varying nature. In addition, both 5-year and 10-year window rolling correlation coefficient increase before 1997 and decline after 1997, which does not show in the DCC. However, the rolling correlation coefficient does not provide precise timings in the changes in ERPT, because of the dependence on the size of windows and whether or not outliers exist in the window. In contrast, the DCC does not have this kind of problem. Another important empirical result of this paper is that the inflation environment and the exchange rate volatility are main factors which explain the time-varying ERPT, and both of them have positive relation with ERPT. Moreover, the import penetration becomes positively significant after excluding data which shows temporary negative impact of the import penetration on ERPT in 1986.
| Identifer | oai:union.ndltd.org:CHENGCHI/G1023510011 |
| Creators | 沈睿宸, Shen, Juei Chen |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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