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| Title: | 以動態追蹤分量迴歸分析台灣產業匯率轉嫁情形
Exchange Rate Pass-Through at Industry Level in Taiwan : A Dynamic Panel Quantile Regression Analysis |
| Authors: | 曾筠婷
TSENG, YUN-TING |
| Contributors: | 林信助
曾筠婷
TSENG, YUN-TING |
| Keywords: | 匯率轉嫁
動態追蹤資料
分量迴歸模型
Exchange rate pass-through
Taylor's hypothesis
Dynamic panel data
Quantile regression |
| Date: | 2024 |
| Issue Date: | 2024-07-01 12:41:50 (UTC+8) |
| Abstract: | 匯率轉嫁為名目匯率變動所造成進口物價變動的程度。匯率轉嫁非線性的特性已成為許多學者研究的領域，過去研究的範疇包括匯率轉嫁隨時間變異性與不同程度的匯率變動所造成不同程度的進口價格改變，後者從不同的自變數分量下之角度觀察匯率轉嫁係數分布，本文欲近一步探討在不同應變數的條件分量下，匯率轉嫁情況為何，因而採用Koenker（2004）提出的動態追蹤分量迴歸模型。在此模型的運用上，有別於過往文獻多半以國家為個體探討匯率轉嫁情況，本文則以產業為個體切入，估計2001年1月至2023年12月台灣16項進口產業的匯率轉嫁情況，從現有追蹤資料模型的基礎下，進一步解釋進口物價在各分量下的轉嫁情形。本文實證結果顯示，在進口物價變動的各分量下，當期新台幣貶值造成顯著的進口物價上升，且隨著進口物價變動的分量變大，進口物價受到提升的幅度增加，大致符合Taylor（2000）提及的高通膨率使得高轉嫁情形。
Exchange rate pass-through refers to the extent to which changes in nominal exchange rates cause changes in import prices. The non-linear feature of exchange rate pass-through has become a popular field of study. Previous research has studied the time-varying nature of exchange rate pass-through and the distribution of exchange rate pass-through coefficients from the perspective of different quantiles of the independent variable. This paper aims to explore the degree of exchange rate pass-through under different quantiles of the dependent variable by employing the dynamic panel quantile regression model proposed by Koenker (2004). Differing from previous literature that examines exchange rate pass-through at a national level, this paper approaches from an industry-level perspective. We estimate the exchange rate pass-through with data of 16 industries in Taiwan from January 2001 to December 2023, and examine the degree of exchange rate pass-through of import prices under various quantiles. The empirical results indicate that under different quantiles of import price changes, the depreciation of the New Taiwan Dollar during current period leads to a significant increase in import prices. Moreover, a larger import price change is also associated with higher degree of exchange rate pass-through, which is consistent with the Taylor's hypothesis that high inflation rate leads to high pass-through. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
111351005 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111351005 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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