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研究生:張明輝
研究生(外文):Chang, Ming-Hui
論文名稱:人民幣匯率趨勢之預測--以日本、台灣匯率與總體經濟變動關係為例
論文名稱(外文):The Forecast of the Trend of Chinese Renminbi Exchange Rate
指導教授:龔尚智龔尚智引用關係
指導教授(外文):Gong, Shang-Chi
學位類別:碩士
校院名稱:輔仁大學
系所名稱:金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:58
中文關鍵詞:匯率人民幣新台幣日幣
外文關鍵詞:Exchange RateRMBJPYNTD
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中國於2005年7月21日公佈人民幣改採管理式浮動匯率制度, 為關心改變後之人民幣幣值可能會有的變化趨勢,而有本文之研究。且由於亞洲過去經濟之發展是以日本為先,台灣跟隨,中國發展經濟之軌跡亦與台灣相仿。所以研究方向是從日本與台灣的過去,探究未來人民幣或中國經濟表現可能會有的趨勢。研究方法是採取共整合檢定模型、因果關係檢定與複迴歸分析。
首先取日幣、台幣過去因經濟發展,匯率制度因而由固定匯率制度,改為管理式浮動後五年匯率之變化,探討兩者之間的關係。實証結果發現,台幣日幣處於同一管理式浮動制度階段初期五年中;雖年代不同(日本為1973年開始,台灣則為1982年)。長期間,兩者匯率各自都具有單根,意即匯率呈非定態漂移,而不可預測。但兩者經共整合測試,發現兩者間具有相同趨勢,且互有因果關係。值得注意的是,在匯率制度改變後,原預期幣值升值,但實際上台幣與日幣在變動初期反而貶值,而這五年中,日幣升值約26%,台幣升值約24%。
研究繼續關心,日幣與人民幣、台幣與人民幣,兩兩之間,匯率在同樣採取管理式浮動匯率制度初期是否具有關係。由於中國變更匯率制度時間尚短,研究資料是由2005年7月至2007年4月,共計22個月。為求研究需要,亦取日幣台幣採取同一匯率制度的22個月匯率數據,來進行。在單根檢定之實証結果顯示日幣台幣同樣具有單根,但人民幣無單根。這很有意思,一般來說經濟變數多為有單根,因非定態而不可預測,但人民幣卻有,意涵著中國具有決心也有管理匯率波動的能力,使匯率不是隨機變化的。接著將日幣與人民幣、台幣與人民幣兩兩共整合與檢定因果關係。實証結果,日幣與人民幣、台幣與人民幣是有共整合關係,有共同趨勢但不顯著,其相互之間亦不存在因果關係。
另外以迴歸分析,探討各幣別與該國經濟表現在此改變匯率制度初期階段的關係。結果發現, 顯示台幣、日幣、人民幣匯率與其經濟表現在此升值階段是負相關的。可以解釋為: 經濟表現愈好,台幣、日幣、人民幣匯率數值下降(即升值);但若加上圖形來參考的話,亦可解釋為: 台幣、日幣、人民幣匯率數值下降(即升值),在此一階段經濟表現愈強勁。但,本研究並未就此多著墨,盼後繼者可以就此再深入探討。 關鍵字:匯率、人民幣、日幣、新台幣
The initial approach of this dissertation is to observe the potential changes following the implementation of the managed floating rate system on RMB on 21 July 2005. In this paper, we try to discuss on the possible trends of RMB and the economic performance of China through the past performance of Japan and Taiwan, considering that Japan has the most advanced economic development in Asia, followed by Taiwan and China, who had gone through a quite similar process of economic development as Taiwan.
To understand the relationship between JPY and NTD in the period, we firstly analyzed the changes in exchange rates during the five years following the implementation of the managed floating rate system in replacement of the fixed exchange rate, as a result of the economic development of the two countries. Our conclusion after the empirical research was that, despite the different time in implementing the new system (Japan in 1973 and Taiwan in 1982), a unit root still existed, from a long-term point of view, for both currencies during the first five years after implementing the managed exchange rate system. This means that the exchange rates have a non-stationary movement, hence not forecastable. Through a cointegration test, we found that the two currencies had similar trends, and a casual relationship existed. Another noteworthy phenomenon was that, rather than the anticipated appreciation after the change of exchange rate system, both currencies experienced depreciation during the initial stage of the movement. During the five years, JPY had an appreciation of approximately 26%, and NTD around 24%.
Further study was made to understand whether any correlation existed within each currency pair, i.e., JPY/RMB and NTD/RMB, during the initial stage after the implementation of the managed floating rate system. As the period for implementing the new system was yet quite short in China, the information extracted for the study only covered the period of July 2005 to April 2007, total 22 months. To facilitate the research, therefore, we have taken the statistics for JPY and NTD for a same period, i.e., 22 months, after adopting the same exchange rate system.
The results of the unit root test showed that a unit root existed for both JPY and NTD, but not for RMB. This was a very interesting finding. In general, unit roots would exist for economic variables, which were non-stationery and unforecastable. RMB was however a different case. This implied that the government of China was committed to and capable of managing the fluctuation of the exchange rate, so that it would not be randomly fluctuating. Cointegration tests and casualty tests were then made on the currencies, JPY/NTD and NTD/RMB. The conclusion was that there was cointegration relationship within each currency pair. The same trend was identified but not deemed significant, nor was there any casual relationship among the currencies.
Also, through a regression analysis, we tried to study on the correlation between the currency exchange rate and the economic performance of the country during the initial period after implementing the new exchange system. A negative correlation was noticed between the exchange rates of the three currencies (NTD, JPY and RMB) and the economic performance of the countries during the period of currency appreciation. An interpretation on the fact was that, whenever the economic performance gets better, the figures of the exchange rate would become lower (i.e., the three currencies are appreciating). We can also use graphs to support our following conclusion: when the value of the exchange rate for NTD, JPY and RMB get lower, the economic performance during the period would be stronger. This, however, was not the focus of our study and we would leave it to interested researchers in future for their in-depth study.
Key words: Exchange Rate, RMB, JPY, NTD
Abstract…………… ii
中文摘要…………………… iii
目錄………………………… iv
表目錄………………………… v
圖目錄………………………… vi
第一章 研究動機與目的………………………………………………………………… 1
第一節 動機與目的……………………………………………………………………… 1
第二節 研究架構………………………………………………………………………… 4
第二章 各國經濟、匯率事件與文獻回顧………………………………………………… 5
第一節 各國匯率制度與變動事件探討………………………………………………… 5
第二節 匯率決定理論與預測文獻之探討……………………………………………… 15
第一項 匯率決定理論…………………………………………………………………… 15
第二項 匯率文獻回顧…………………………………………………………………… 19
第三章 研究方法…………………………………………………………………………… 21
第一節 背景資料分析…………………………………………………………………… 21
第二節 研究方法………………………………………………………………………… 22
1.迴歸分析…………………………………………………………………………… 22
2.ADF檢定…………………………………………………………………………… 22
3.共整合模型………………………………………………………………………… 24
4.Granger 因果檢定模型…………………………………………………………… 26
第四章 實證結果分析……………………………………………………………………… 29
第一節 研究資料………………………………………………………………………… 29
第二節 台幣日幣人民幣共整合測試…………………………………………………… 37
第三節 台幣日幣與人民幣匯率與經濟表現之迴歸實證……………………………… 47
第一項 台幣匯率與經濟表現的迴歸實證…………………………………………… 48
第二項 日本匯率與經濟表現的迴歸實證…………………………………………… 49
第三項 中國匯率與經濟現的迴歸實證……………………………………………… 50
第五章 結論與建議………………………………………………………………………… 52
第一節 研究結論………………………………………………………………………… 52
第二節 建議與研究建議………………………………………………………………… 54
參考文獻……………………………………………………………………………………… 56
中文部份
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4王鶴松,「金融危機與金融改革」,2005年3月,金融研訓院
5關雪寶,「加入世貿經織後對人民幣幣值的影響」,2003年,國立台灣大學國際企業學研究所碩士論文
6余世芬,「總體經濟因素對人民幣匯率的長期均衡關係之研究」,2000年6月,中原大學企業管理所碩士論文
7張力仁,「新台幣、日幣與歐元對美元匯率關聯性探討」,2005年7月,輔仁大學金融研究所碩士論文
8黃昱翔,「產業結構對區域所得之影響--台灣地區實證研究」,2004年, 銘傳大學經濟學研究所碩士論文
9張德仁,「人民幣實質匯率之研究」,2005年7月,政治大學行政管理學程碩士論文
10倪仁傳,「釘住匯率的抉擇--以人民幣釘住美元為例」,2001年,中國文化大學經濟學研究所博士論文
11楊道元,「人民幣有效匯率均衡與失衡分析」,2001,銘傳大學經濟學研究所碩士論文
12邱惠貞等,「匯率制度十字路口-極端主義?中庸之道?」,2006年12月輔仁大學國際貿易與金融學系研究論文
英文部份
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