| Abstract: | 本文主要研究目的有二,一為因應我國對外經貿結構轉變,進行新台幣有效匯率指數新編,其次,利用新編有效匯率,進行新台幣匯率之一般化購買力平價(Generalized PPP)理論檢定與比較。 在新編指數中,我們以李紀珠(1992a,b)為基礎,並新加入與我國貿易急劇成長之大陸及印尼二地通貨在籃中,且權數分配上採交叉貿易彈性權數,以適切反應我國與籃內各國之貿易流量,以及因兩國間匯率變動,而產生之直接貿易效果和在第三國市場之間接貿易效果。在利用Johansen共積(Cointgration)法,對我國與籃內各國之進出口函數估計時,我們發現大陸產品在美國及日本市場,對我國產品確實具相互替代及競爭性,因此,我們除利用較適宜之交叉貿易彈性權數計算出各國在籃內權數外,亦發現一般有效匯率指數常用之貿易權數,對籃內各國之權數,將有低估(如大陸、馬來西亞、菲律賓等)或高估(如日本、印尼)的現象,亦即分別高估或低估籃內各國匯率變動,對我國之影響,且以貿易權數加權之有效匯率指數,作為調整匯率法則,將出現過度調整現象,此外,若以固定實質有效匯率角度來看,過去台幣匯率常有被低估的現象,近年方較接近基期均衡值。而在利用Johansen共整合分析法,進一步對我國進出口函數與新編有效匯率進行敏感度分析時,發現新編有效匯率指數對我國進出口函數具相當敏感性。 而當我們再利用Johansen共積檢定法,對新台幣匯率進行一般化購買力平價檢定時,發現在觀察期間內(1989年1月到1995年6月),不論是以交叉貿易彈性權數、貿易彈性權數或貿易權數加權之有效匯率,一般化購買力平價理論皆不成立,且除了以交叉彈性加權得到的有效匯率,對國內外物價變動較為敏感之外,以彈性加權或貿易加權之有效匯率,皆不能反應出國內外物價的變動。
The research focuses on two subjects---the Taiwan`s effective exchange rate index modification and the generalized purchasing power parity (PPP) test. In order to reflect Taiwan`s foreign trade structure change, we not only add RMB and Indonesia ruble in the currency basket but also rearrange the weights in REER index. The new weight combination can reflect the relative competitiveness as well as the sensitivity of the trade flow between Taiwan and those countries in the basket. By using Johansen cointegration approach, we find Taiwan and Mainland China`s products are highly competitive in major export market, and find the trade-share weight which is commonly used in practice has serious bias. Besides, the modified REER index has more tight relationship with Taiwan`s export and import than other REER indexes. Furthermore, we use modified REER to test the generalized PPP of N.T. dollar, and find it`s not existed. However, the modified REER here could reflect the domestic and foreign prices change best among three different weighted REER indexes. |
