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| Title: | 台幣兌美元匯率走勢因子研究—製造業採購經理人指數
Using Manufacturing Purchasing Manger Index To Assess USD/TWD Foreign Exchange Movement |
| Authors: | 李仲軒
Lee, Chung-Hsuan |
| Contributors: | 岳夢蘭
Yueh, Meng-Lan
李仲軒
Lee, Chung-Hsuan |
| Keywords: | 製造業採購經理人指數
匯率
台幣
美元
Manufacturing Purchasing Managers’ Index
Foreign Exchange
Taiwan Dollar
U.S. Dollar |
| Date: | 2021 |
| Issue Date: | 2021-08-04 14:43:51 (UTC+8) |
| Abstract: | 製造業採購經理人指數（Manufacturing Purchasing Managers’ Index）在近幾十年來逐漸受到市場的重視，成為投資人重點關注的指標。而為何造業採購經理人指數會受到市場重視與青睞呢？過去研究發現到製造業採購經理人指數是良好的總體經濟指標，因為其具有衡量經濟狀況（Kauffman（1999）、Lindsey and Pavur（2005））以及預測美國央行利率的能力（Koenig（2002））。
Dornbusch（1976）的Sticky Monetary Model中，利用貨幣供給數、生產、利率以及通膨等總體經濟參數來估計匯率的波動。而如果採購經理指數作為良好總體經濟指標，將該指數加入模型中，是否能提高模型的解釋力呢？因此本文希望藉此探討該指數是否能解釋台幣兌美元的匯率走勢。
本研究建立三個模型，並藉此討論製造業採購經理人是否具有解釋匯率的能力。在模型一中，參考Dornbusch（1976）的Sticky Monetary Model，利用M2、GDP、I以及CPI建立了模型一。並考量了台灣央行干預匯率的因素，加入央行干預變數形成模型二。最後在模型二中再加入台灣與美國製造業採購經理人指數的變數。本研究透過最小平方法（Ordinary Least Square Estimation, OLS）進行回歸分析，以及使用F檢定檢測模型間的解釋力是否提高。發現到製造業採購經理人指數的變數在95%的信賴區間下顯著，且可以提高模型的解釋力。並認為製造業採購經理人指數具有解釋台幣兌美元匯率走勢的能力，當台灣製造業PMI比起美國ISM高出10%時，會使得台幣貶值0.1。
Kauffman（1999）, Lindsey and Pavur（2005）showed that Manufacturing Purchasing Managers’ Index can be used to assess economics condition. Koenig（2002）found that the Index can forecast FED Target Federal Fund Rate. And other research had also found that Manufacturing Purchasing Managers’ Index is a good macroeconomics index.
Dornbusch（1976）formed Sticky Monetary Model by using macroeconomics index such as, Quantity of Money, Output, Interest, and Inflation to explain movement of foreign exchange rate. And since Manufacturing Purchasing Managers’ Index is also a good macroeconomics index, I want to analyze whether adding Manufacturing Purchasing Managers’ Index can improve the model.
In this paper, I will discuss three models. First, I will use Dornbusch（1976）Sticky Monetary Model method to form Model 1. Second, I will add Taiwan Central Bank foreign intervention variable into Model 1 to form Model 2. Third, I will add Manufacturing Purchasing Managers’ Index into Model 2 to form Model 3. And this paper will use Ordinary Least Square Estimation and F-test to test the models.
My result shows that Manufacturing Purchasing Managers’ Index not only is significant under 95% confidence interval, but also can increase Model’s R-square. This paper proves that Manufacturing Purchasing Managers’ Index can be used to explain USD/TWD exchange movement. When Taiwan Manufacturing Purchasing Managers’ Index is 10% more than U.S. Manufacturing Purchasing Managers’ Index, USD/TWD will increase 0.1. |
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吳聰敏、陳旭昇（2008）。台灣匯率制度初探。經濟論文叢刊，36-2，P147-182。
陳旭昇（2016）。央行「阻升不阻貶」？－再探台灣匯率不對稱干預政策。經濟論文叢刊， 44-2， P187 – 213
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| Description: | 碩士
國立政治大學
財務管理學系
108357005 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108357005 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100688 |
| Appears in Collections: | [財務管理學系] 學位論文
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