臺灣博碩士論文加值系統

近年來，亞太地區由於區域內國家貿易自由化、區域內貿易快速擴增以及直接投資快速成長，使得亞太地區內的經濟活動開始展現出強而有利的相互依存及聯繫關係。而台灣為成為亞太金融中心，外匯管制大幅放寬，匯率的變動也比以往更為激烈，在此情況下，廠商或投資人在亞洲均面臨著高度的匯率風險，匯率之預測更形重要。但由於預測匯率所牽涉連到的變數非常複雜，直接變得預測非常困難，故本研究將針對與台灣貿易往來愈形密切、金融市場整合度漸高的亞太盆地國家，分析彼此之因果互動關係，以期能協助匯率之預測，作為投資人規避匯率風險之依據．本研究之主要結論如下：1.由衝擊反應分析之結果得知：各貨幣受到其他匯率變動之衝擊後，在一至十二期 期間，仍有顯著之波動，亦即其反應之收斂現象並不顯著，此顯示亞太盆地之匯 市並不具備訊息反應效率，亦即投機者仍具有套利的空間。2.由誤差變異數分解中得知：各貨幣中自我解釋能力最高者(亦即外生性最強者)為日 幣，其次為人民幣、韓圜、香港，而最低者則為馬幣。3.在各種分析中，日圓及人民幣與其他貨幣間均鮮有領先或落後關係，此結果表示此 兩種貨幣之匯率變動走勢在十種貨幣中較為獨立。亦即此兩種貨幣之匯率變動資料 對其他匯率變動的預測上，貢獻較小．且其變動走勢亦較難以利用其他貨幣變動 之資訊來預測。4.東協四國中，以印尼盾及馬幣對其他兩國較具解釋力，尤其以馬幣被東協其他國家 的解釋程度最低，領先地位較為顯著，而菲幣則為東協四國中較落後之貨幣。5.相對東協四國，亞洲四小龍僅被日本及彼此間之影響較為顯著，而東協四國除受彼 此之衝擊外，尚受日本及四小龍影響，此證明東協四國貨幣在亞太匯市中屬於落後 群體。6.亞洲四小龍之相互關係，除港幣變動較為獨立外，韓圜、新台幣及新幣間，均有顯 著之關係，而其中又以韓圜及台幣之互動特別顯著。7.對四小龍的主要投資地區東協四國而言，韓圜無論在對此區的衝擊影響程度及變異 解釋程度上，均非常顯著，此結果透露出韓國在東鞋四國的整體影響力似乎相對較 其他三小龍強。8.日幣對於除港幣外之三小龍，仍具有相對強勢之影響力。9.兩岸三地間，除新台幣對港幣變動的解釋能力較高，其餘之相互關係並不顯著。10.新台幣在亞太盆地匯市中，地位居中，並未有特別突出之領先落後地位。

In recent years, because of the trading liberalization and growing direct investment of Asia Pacific area, the economic activities of countries in this area have shown strong interrelationship. And, to become the financial center of Asia Pacific area, Taiwan has widen the control of foreign exchange,this made the change of exchange rate become more severe, and investors have to face higher risk than before. In this situation, exchange rate forecast becomes more and more important, but to forecast the exchange rate directly involves too many variables so that it is not so easy to do this. Thus, this research will analyze the interaction relationship of some Asia Pacific countries which are more integrated with Taiwan in financial market in recent years, and hope to offer investors some useful information to avoid the exchange rate risk.The main conclusions of this research are as follows:1. According to the impulse reaction analysis, the convergence of impulse reaction of each currency is insignificant, this reflects that the exchange rate market of Asia Pacific area has no information reaction efficiency.2. According to the error variance decomposition, Japanese yen has highest self-explained ability, the next are Chinese renminbi yuan, South Korea won and Hong Kong dollar, and Malaysian ringgit has the lowest self-explained ability.3. Japanese Yen and Chinese renminbi yuan have rare interaction with other currencies, this reflects that it is hard to use the change information of other currencies to forecast theirs. 4. In ASEAN4, Malaysian ringgit is the leading currency, and Philippine pesos is the following currency.5. ASEAN4 is the following group in Asian Pacific area.6. In Asian new industry countries, except the independence of Hong Kong dollar, there is significant interaction between South Korean won , New Taiwan dollar and Singapore dollars.7. South Korea won has more influence over ASEAN4 than other Asian new industry countries.8. In spite of its independence, Japanese yen still has relative strong influence over Asian new industry countries.9. New Taiwan dollar has no special leading or following position in exchange market of Asia Pacific area.