政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/58675

政大典藏 > College of Social Science > Master for Eminent Public Administrators > Theses > Item 140.119/58675

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/58675

Title:	匯率與總體經濟關聯性之實證研究-以中國大陸為例 The empirical research on the correlation between Foreign exchange rates and Macroeconomics, taking Mainland China as an example
Authors:	李素英 Lee, Su Ying
Contributors:	黃智聰 Huang, Jr Tsung 李素英 Lee, Su Ying
Keywords:	向量自我迴歸單根檢定 Gragner因果關係總體經濟傳導能力 Vector Autoregression Unit Root Test Granger Cauality Macroeconomics Pass-Through
Date:	2012
Issue Date:	2013-07-01 17:09:21 (UTC+8)
Abstract:	本研究係探討匯率與總體經濟之關聯性，以中國大陸1996第一季至 2013年第一季之總體經濟變數，共計樣本數為69筆季資料。先以1996第一季至 2013年第一季全期數據進行實證分析。再以2005年7月為分界點，分為1996年第一季至2005年第二季及2005年第三季至2013年第一季數據分別進行實證分析。本論文就REER、GDP、CPI、M2、UNEMP、CHIBOR、FDI、OPEN等總體經濟變數，以單根檢定及建構向量自我迴歸模型進行實證分析，並以Granger因果關係檢定、衝擊反應分析及預測誤差變異數分解，以了解匯率與總體經濟相互間之關係。實證結果發現，中國大陸匯率與總體經濟間的關係自2005年7月21日匯率改革後逐漸增強，但整體言之匯率與總體經濟間之傳導能力仍然不大，人民幣匯率的變動主要受其自身影響較多，受總體經濟變數的相互影響較小，顯示其外匯市場的開放程度與一個真正開放的經濟體還是有些許差距。 This research examines the correlation between foreign exchange rates and macroeconomics by using the data of economic variables of China from the 1st quarter of 1996 to the 1st quarter of 2013. The sample contains 69 quarterly data during the entire period, while the reform of Chinese exchange rate on 21st July 2005 is a crucial division. In order to find the correlation between foreign exchange rates and macroeconomics, the research examines the economic variables such as REER, GDP, CPI, M2, UNEMP, CHIBOR, FDI, and OPEN by using unit root test, vector autoregression model, Granger causality test, impulse response function and variance decomposition impulse response function. The result of the tests indicates that after the reform of Chinese exchange rate on 21st July 2005, the correlation between exchange rates and macroeconomics has been enhanced, but the connection is not prominent. In other words, the fluctuation of Renminbi is mainly affected by the nation’s policy instead of its macroeconomic factors. Hence, the openness of the Chinese foreign exchange market is still distant from a real open economy.
Reference:	一、中文部分中國國家統計局編印（2008-2012），《2008-2012年中國統計年鑑》。北京：中國統計出版社。李祺（2006），「人民幣均衡匯率：一般均衡下單方程協整模型研究」，《當代財經》（南昌），2006（1），頁54-58。巴曙松、朱元倩（2007），「2006年人民幣實際有效匯率的測算及趨勢展望」，《海南金融》（北京），2007（4），頁13-42。徐千婷（2006），「匯率與總體經濟變數的關係:台灣實證研究分析」，《中央銀行季刊》（台北），28（4），頁13-42。奚君羊、譚文（2004），「影響人民幣匯率若干宏觀因素的實證檢驗」，《上海財經大學學報》（上海），2004（3），頁1-7。趙文軍（2010），「人民幣匯率、FDI與中國貿易收支-基於中國製造業行業視角的實證分析」，《世界經濟研究》（上海），2010（1），頁3-9。張志柏（2012），「人民幣實際匯率决定的向量自回歸分析」，《商業時代》（北京），2012（16），頁18-20。張曉朴（2002），《人民幣均衡匯率研究》。北京：中國金融出版社。施建淮、余海豐（2005），「人民幣均衡匯率與匯率失調：1991-2004」，《北京大學經濟研究-討論稿系列》（北京），2005（1），頁34-45。陳安（2012），「人民幣匯率波動對宏觀經濟運行影響的實證分析」，《經濟經緯》（鄭州），2012（3），頁156-161。黃智聰、高安邦、余姿瑩（2004），「外來投資在中國大陸各地區分佈不均度之分析」，《中國大陸研究》（台北），47（2），頁33~56。二、英文部分 Allison, P. D. (1999), Multiple Regression: A Primer, Thousand Oaks: Pine Forge Press. Beine, M., J. Lahaya, S. Laurent, C. J. Neely, and F. C. Palm (2007), “Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components.” International Journal of Finance & Economics, 12(2), 201-223. Castellano, R., R. Cerqueti, and R. L. D`Ecclesia (2009). “A Disutility-Based Drift Control for Exchange Rates.” Department of Economic and Financial Institutions, University of Macerata, 2009(56), working paper. Clark P. B. and R. MacDonald (2004), “Filtering the BEER: A Permanent & Transitory Decomposition.” Global Finance Journal, 15(1), 29-56. Edwards, Sebastian (1989), Real Exchange Rates, Devaluation, and Adjustment: Exchange Rate Policy in Developing Countries. Cambridge, MA: The MIT Press. Engle, R. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica, 50(4), 987-1007. Engle, R. F. and C. W. J. Granger (1987), “Co-Integration and Error-Correction: Representation, Estimation and Testing.” Econometrica, 55(2), 251-276. Elbadawi, I. A. (1994), “Estimating Long-run Equilibrium Real Exchange Rates.” In J. Williamson (Ed.), Estimating Equilibrium Exchange Rates, 93-133. Washington, DC: Institute for International Economics. Hill, R. Carter, William E. Griffiths, Guay C. Lim (2011), Principles of Econometrics, 4th Edition, Wiley. Huang, Rulu (2012), “Studies on the Change Mechanism of RMB Exchange rate with Non-Recurrent Events,” International Journal of Financial Research, 13(1), 49-56. Jin, Guo (2009), “Examining the Exchange Rate Regime for China.” International Research Journal of Finance and Economics, 25, 64-77. Jin, Xiaowen (2012), “An Empirical Study of Exchange Rate Pass-Through in China.” Panoeconomicus, 59(2), 135-156. Prasad E. S., T.Rumbaugh, and Q. Wang (2005), “Putting the Cart Before the Horse? Capital Account Liberalization and Exchange Rate Flexibility in China.” IMF Policy Discussion Paper, No. 05/1. Rogers, John H. (1999). “Monetary Shocks and Real Exchange Rates.” Journal of International Economics, 49(2), 269-288. Sims, C. A. (1980), “Macroeconomics and Reality.” Econometrica, 48(1), 1-48. Stigler, Stephen M. (1989). "Francis Galton`s Account of the Invention of Correlation." Statistical Science 4 (2): 73–79. Su, Chi-Wei (2012), “The Relationship between Exchange Rate and Macroeconomic Variables in China.” Proceedings of Rujeka Faculty of Economics – Journal of Economics and Business (Zb. rad. Ekon. fak. Rij.) , 30(1), 33-56. Wang Y., X. Hui, and A. S. Soofi (2007), “Estimating Renminbi (RMB) Equilibrium Exchange Rate.” Journal of Policy Modeling, 29(3), 417-429. Yu, Jinping and Yao Cheng (2010), “An Empirical Study of the Effects of RMB Exchange Rate on China’s Inflows of FDI.” Journal of International Economic Studies, 24, 99-111. 三、網際網路中國國家統計局網站，<http://www.stats.gov.cn/>. 中華人民共和國商務部，<http://www.mofcom.gov.cn/>. 世界貿易組織統計資訊，<http://www.wto.org/english/res_e/statis_e/statis_e.htm/>. 中國投資指南，<http://www.fdi.gov.cn/pub/FDI/wztj/lntjsj/default.jsp>. 全球台商服務網，<http://twbusiness.nat.gov.tw/>. 國際清算銀行(Bank of International Settlements)，<http://www.bis.org/>. People’s Bank of China, Monetary Policy Report, various issues. <www.pbc.gov.cn>. “China: the evolution of foreign exchange controls and the consequences of capital flows”, People’s Bank of China, BIS Papers No 44, <http://www.bis.org/publ/bppdf/bispap44.htm>, 2008.
Description:	碩士國立政治大學行政管理碩士學程 100921212 101
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0100921212
Data Type:	thesis
Appears in Collections:	[Master for Eminent Public Administrators] Theses

Files in This Item:

There are no files associated with this item.

社群 sharing

Loading...