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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/152075

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题名:	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
作者:	曾筠婷 TSENG, YUN-TING
贡献者:	林信助曾筠婷 TSENG, YUN-TING
关键词:	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
日期:	2024
上传时间:	2024-07-01 12:41:50 (UTC+8)
摘要:	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.
參考文獻:	王國樑與林淑芬（2000）。台灣中游石化業進口價格匯率轉嫁彈性之探討。經濟論文，28(1)，97-126。張瑞娟與欉清全（2009）。貨幣政策與匯率轉嫁之探討─臺灣之實證分析。應用經濟論叢，86，31‐67。莊家彰、管中閔（2005)。台灣與美國股市價量關係的分量迴歸分析。經濟論文，33(4)，379-404。黃敬庭、蕭富駿、張銘仁（2023）。臺灣不同產業類別進口物價的匯率轉嫁特性分析。人文及社會科學集刊，35(1)，1-47。劉宗欣與張銘仁（2000）。進口物價的匯率轉嫁與不對稱性：台灣的實證研究，經濟論文，28(4)，369-396。 Bailliu, J., and Fujii, E. (2004). Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation. Bank of Canada Working Paper. No. 2004-21. Betts, C. M., and Devereux, M. B. (2000). Exchange Rate Dynamics in a Model of Pricing to Market, Journal of International Economics, 50, 215-244. Bussiere, M. (2013). Exchange Rate Pass-through to Trade Prices: The Role of Nonlinearities and Asymmetries, Oxford Bulletin of Economics and Statistics 75(5), 731-758. Casas, C. (2020). Industry Heterogeneity and Exchange Rate Pass-Through. Journal of International Money and Finance, 106(7): 102182. Cheikh, N. B., and Rault, C. (2015). The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis. CESifo Working Paper Series 5341. Cheikh, N. B., and Zaied, Y. B. (2020). Revisiting the Pass-Through of Exchange Rate in the Transition Economies: New Evidence from New EU Member States. Journal of International Money and Finance, 100, issue C. Chou, K. W. (2019). Re-examining the time-varying nature and determinants of exchange rate pass-through into import prices. The North American Journal of Economics and Finance, 49, 331-351. Choudhri, E., and Hakura, D. (2006). Exchange rate pass-through to domestic prices:Does the inflationary environment matter? Journal of International Money and Finance, 25(4), 614-639. Colak, Y., and Erden, L. (2021). Exchange rate pass-through: an analysis of a panel quantile regression. Economics and Business Letters, 10(2), 148-156. Devereux, M. B., Engel, C., and Storgaard, P.E. (2004). Endogenous Exchange Rate Pass-through when Nominal Prices are Set in Advance. Journal of International Economics, 63, 263-291. Devereux, M. B., and Yetman, J. (2002). Price Setting and Exchange Rate Pass-through: Theory and Evidence, In Price Adjustment and Monetary Policy. Ottawa: Bank of Canada: 347-371. Hooper, P., and Mann C. L. (1989). Exchange Rate Pass-Through in the 1980s: The Case of U.S. Imports of Manufactures. Brookings Papers on Economic Activity, 1989(1), 297-337. Imbs, J., Mumtaz, H., Ravn, M., and Rey, H. (2005). PPP Strikes Back: Aggregation and the Real Exchange Rate. The Quarterly Journal of Economics, 120(1), 1-43. Ihrig, J., Marazzi, M., and Rothenberg, A. (2006). Exchange rate pass-through in the G-7 economies. International Finance Discussion Paper 851. Judson, R. A., and Owen, A. L. (1999). Estimating dynamic panel data models: a guide for macroeconomists. Economics Letters, 65(1), 9-15. Kim, K.‐H. (1998). US inflation and the dollar exchange rate. Applied Economics, 30, 613‐619. Kreinin, M. (1977). The Effect of Exchange Rate Changes on the Prices and Volume of Foreign Trade. IMF Staff Papers, 24(2), 297-329. Koenker, R. (2004) Quantile regression for longitudinal data, Journal of Multivariate Analysis, 91(1), 74-89. Koenker, R., and Bassett, G. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. Koenker, R., and Hallock, K. F. (2001). Quantile Regression. The Journal of Economic Perspectives, 15(4), 143-156. Koenker, R., and Xiao, Z. (2004). Unit Root Quantile Autoregression Inference. Journal of the American Statistical Association, 99(1), 775-787. Koyck, L. M. (1954). Distributed Lags and Investment Analysis, Amsterdam: North- Holland. Marazzi, M., and Sheets, N. (2007). Declining exchange rate pass-through to U.S. import prices: The potential role of global factors. Journal of International Money and Finance, 26(6), 924-947. Obstfeld, M., and Rogoff, K. (2000). The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? NBER/Macroeconomics Annual, 15(1), 339-390. Pollard, P., and Coughlin, C. (2004). Size Matters: Asymmetric Exchange Rate Pass-Through at the Industry Level. Federal Reserve Bank of St. Louis Working Paper, 2003-029C. Taylor, J. (2000). Low Inflation, Pass-Through, and the Pricing Power of Firms. European Economic Review, 44(7), 1389-1408.
描述:	碩士國立政治大學國際經營與貿易學系 111351005
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0111351005
数据类型:	thesis
显示于类别:	[國際經營與貿易學系 ] 學位論文

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