(18.206.187.91) 您好!臺灣時間:2021/05/19 01:39
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:陳錫龍
研究生(外文):Shyi-Long Chen
論文名稱:從全球外匯準備之發展趨勢論台灣外匯準備之適足性-兼論台灣成立主權財富基金之議
論文名稱(外文):The Study on the Adequancy of Taiwan's Foreign Exchange Reserves by the Global Development Trend-A Supplementary Comment on Establishing the SWF in Taiwan
指導教授:林丙輝林丙輝引用關係
指導教授(外文):Bing-Huei Lin
學位類別:碩士
校院名稱:國立臺灣科技大學
系所名稱:財務金融研究所
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:2008
畢業學年度:96
語文別:中文
論文頁數:133
中文關鍵詞:全球總體經濟失衡重商主義者主權財富基金預防動機
外文關鍵詞:Global Macroeconomic ImbalancesMercantilistSovereign Wealth FundPrecautionary Motive
相關次數:
  • 被引用被引用:4
  • 點閱點閱:366
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
由於美國的過度消費及投資,以及亞洲經濟體與石油輸出國巨額且持續成長堆積的外匯準備導致全球總體經濟失衡,其中以中國大陸為首的亞洲經濟體更被先進國家冠以「重商主義者」(mercantilist)的名號,藉由低估的匯率,促使出口的暢旺,並以超額外匯準備滿足預防或保險動機。台灣身為亞洲經濟體的一員,無法置身於事外,因此探討台灣外匯準備適足性,乃當前重要課題,尤其台灣全球外匯準備排名節節敗退之際,更引發各界質疑其外匯準備是否足夠,然而經本研究發現:
1.台灣外匯準備的全球排名雖然由第二名滑落至第五名,但經與各主要國家比較,並運用 各種理論或模型估算結果,台灣近五年來之外匯準備超額情況,較2002年之前更為明顯。
2.學理上的最適外匯準備必須邊際收益等於邊際成本,但現實情況告訴我們,最佳的外匯準備並不在於此,而必須另外考量在何種可容忍的成本下,可以真正保護國內經濟,避免受到金融危機的衝擊,就如同買保險一樣。本研究以台灣的數據進行分析,在不考慮沖銷成本的情況下,發現台灣持有超額外匯準備的潛在損失相當低(約GDP之1%),然而卻真正避開亞洲金融風暴的衝擊,如果維持理論上的最適外匯準備,恐無法倖免於危機。
3.迄今尚無舉世通用的最適外匯準備或適當規模外匯準備,除了個別國家非經濟因素無法量化以外,應付金融危機的衝擊,到底要準備多少外匯準備?事實證明,1997年亞洲金融危機時,台灣外匯準備占GDP之28%(適足規模為GDP之10%),在超額外匯準備加上貨幣當局應對得宜,以及國內經濟基本面尚佳,才能發揮保護國內經濟避免受到重大衝擊的危機。以台灣目前持有之外匯準備而言,理論上已過多,但因潛在損失(或成本)不高,似無減少之必要,但若美元持續貶值則另當別論。
4.當台灣以美元作為國際收支之儲備地位無法改變時,面對2008年以來新台幣兌美元已升值6%以上的金融局勢,央行除了降低持有美元資產之比率外(約降至50%左右),似有必要提撥部分外匯準備成立主權財富基金以提高外匯準備收益率,藉以抵銷持有美元資產所增加之匯兌損失。本研究發現台灣約有1,629.86 至1,936.50億美元的超額外匯準備,足夠成立主權基金,但在考量非經濟因素的預防動機之後,台灣短期內尚非成立主權財富基金之時機,央行須加強外匯操作之彈性及風險控管,以減少匯損,並抵禦全球通貨膨脹的衝擊。
Due to the excessive consumption and investment in USA, as well as the Asian economies and petroleum output countries holding large and growing stock-pile of foreign exchange reserves, it resulted in the global macroeconomic imbalances. Among them, the mainland China as the head Asian economy, crowned a name as "the mercantilist" by the advanced countries, has been keeping her currency undervalued in order to sustain her export prosperity, and holding excessive amount of foreign exchange reserves to satisfy her precautionary or insurance motives. Taiwan, as a member of Asian economies, is unable to place herself outside the matter. Therefore discussing the adequacy of Taiwan foreign exchange reserves becomes an important topic, especially when the ranking of Taiwan’s position in the world foreign exchange reserves is getting lower in recent years. After finishing this research, we have several important conclusions:
1.Although the global ranking of Taiwan’s foreign exchange reserves has fallen from the second to the fifth, however, after compared to other main countries, based on related theories or model estimations, we found that in the last five years, the excess of Taiwan’s foreign exchange reserves is more serious than that before 2002.
2.The academic optimum of foreign exchange reserves should be at the level where the marginal revenue is equal to the marginal cost, however, the practical optimal level is hardly meet the realistic situation. It must take the consideration under what cost it can be tolerated, in order to truly protect the domestic economy and avoid the impact of financial crisis. It is resembled buying insurance on the economy. In this research, we conduct an analysis by collecting Taiwan's macroeconomic data, and discover that although Taiwan holds a large amount of foreign exchange reserves, the potential loss is quite low (approximately 1% of GDP), excluding the cost of sterilization. However, it was the large reserves that helped Taiwan eventually avoid the impact of the Asian financial storm. If Taiwan maintained the academic optimum of reserves instead, it would be possibly unable to escape form the financial crisis simply by luck.
3.As far as the literature is concerned, there is no general theory regarding optimal or adequate reserves suitable for every country in the world. Apart from the non-economic factors which can not be quantified, how much should be prepared to defense the financial crisis? In fact that in 1997, Taiwan’s reserves counted as 28% of GDP (the adequate level is 10% of GDP). The excessive reserves, as well as the appropriate policy imposed by the currency authority, plus the strong domestic economic fundamentals, help develop the protection to avoid the domestic economy being under the significant impact of the crisis. At present, although the Taiwan’s foreign exchange reserves is significantly in excessive amount, since the latent loss (or cost) is not too high, reducing the amount seems not necessary if US dollar does not continue to depreciate further.
4.As Taiwan is unable to change the status using US dollar as the international reserves, and when NT dollar has appreciated over 6% against US dollar since 2008, apart from reducing the proportion of the US dollar assets (approximately fall to 50%), the central bank may alternatively appropriate part of the reserves to establish the sovereign wealth fund (SWF) to enhance the return, so as to offset the exchange loss on US dollar. According to our study, the excessive amount of Taiwan’s reserves is approximately between 162.99 billions to 193.65 billions in US dollars. Although it is sufficient to establish the SWF based on the excess of reserves, however, concerning the non-economic factor of precautionary motive, it may not be the right time to establish Taiwan’s SWF in the short run. Instead, the central bank should strengthen the flexibility of management on reserves, and enhance the control of risk, in order to reduce the loss on foreign exchange, and resist the impact of global inflation.
論文摘要 I
ABSTRACT III
誌 謝 V
目 錄 VI
圖目錄 VIII
表目錄 X
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究方法與目的 2
第三節 研究內容及範圍 2
第四節 論文架構及流程 3
第二章 理論探討及文獻回顧 4
第一節 外匯準備的基本理論 4
第二節 外匯準備適足性相關理論探討 8
第三節 相關文獻回顧 24
第三章 全球外匯準備之發展趨勢 37
第一節 美國貿易赤字與全球外匯準備之持續增長 37
第二節 負報酬之外匯準備 42
第三節 主權財富基金之盛行 43
第四節 趨勢的形成 51
第四章 台灣外匯準備適足性分析 53
第一節 跨國比率分析 53
第二節 跨期間比率分析 59
第三節 理論模型的運用 65
第四節 超額外匯準備的政策意涵 68
第五節 綜合評估 74
第六節 本章小結 83
第五章 台灣成立主權財富基金之議 85
第一節 外匯準備運用之二元化趨勢 85
第二節 主權財富基金對外匯準備供需的影響 87
第三節 新加坡及韓國的經驗 89
第四節 台灣成立主權財富基金之時機及可行方案 93
第六章 結論與建議 100
第一節 研究結論 100
第二節 研究限制 103
第三節 對後續研究之建議 103
參考文獻 104
附錄 112
附錄1比率及模型分析法所估算之台灣外匯準備適足性統計表(一) 112
附錄2比率及模型分析法所估算之台灣外匯準備適足性統計表(二) 123
中文文獻
1.朱婉寧(2008/1/9),跟著主權基金搶錢,聯合報BB版。
2.吳中民(1994),台灣外匯準備之研究,淡江大學金融研究所碩士論文。
3.吳淑芬(1994),台灣外匯準備需求之實證研究-誤差修正模型,淡江大學金融研究所碩士論文。
4.李榮謙(2004),國際貨幣與金融,台北:智勝文化事業有限公司。
5.周宜魁(1999),國際金融(三版),台北:三民書局有限公司。
6.林春樺(1989),巨額外匯存底所引發之經濟問題及其對策之探討,德明學報第七期,台北市,1989年11月,頁179〜247。
7.林素麗(1985),最適外匯準備與外匯準備組合理論之研究兼論台灣地區外匯準備需求之實證分析,國立台灣大學商學研究所碩士論文。
8.林秋枝(1991),台灣的國際準備需求、匯率政策與國際收支,國立中興大學經濟研究所碩士論文。
9.胡采蘋(2008),美元雖走弱儲備龍頭地位未動搖,摘譯自荷銀證券2008年2月22日研究報告,商業週刊1058期,頁112-115。
10.紀元瀚(2006),政府投資公司及投資策略之研究,中央銀行公務出國報告。
11.倪伯嘉(1996),台灣外匯準備最適存量與最佳投資組合之探討,國立成功大學政治經濟學研究所碩士論文。
12.陳彪如(1994),國際金融概論,台北:五南圖書出版有限公司。
13.陳錦峰(1979),外匯準備需求理論與台灣的實證分析,東吳大學經濟研究所碩士論文。
14.黃台心、沈中華(1995),台灣國際準備需求函數之推估-季節性共整合模型,台灣經濟學年會論文集,1995年12月,頁369〜410。
15.彭淮南(2007) ,中央銀行之功能,總統府月會專題報告,2007年8月。
16.曾明煙(1979),小型開放體系下收支調整政策與最適外匯準備的研究,國立政治大學經濟研究所碩士論文。
17.曾思洵(1987),台灣之外匯需求及外匯管理制度,國立政治大學國貿研究所碩士論文。
18.萬哲鈺(2000),國際金融(二版),台北:雙葉書廊有限公司。
19.葉秋南(1999),國際金融危機剖析,台北:財團法人金融聯合徵信中心。
20.廖英秋(1979),外部不均衡時的調整與最適國際準備水準之研究,國立政治大學國際貿易研究所碩士論文。
21.賴姬(1994),雙元匯率、外匯準備與目標區政策,文化大學經濟研究所碩士論文。
22.賴景昌(1994),國際金融理論(進階篇),台北:茂昌圖書有限公司。
23.謝勇男(1973),我國適當外匯準備的試算,中央研究院經濟研究所論文,第一卷第一期,1973年3月。
英文文獻
1.Aizenman, J. and J. Lee (2005), “International Reserves: Precautionary vs. Mercantilist Views, Theory and Evidence,” IMF Working Paper, No. WP/05/198, October.
2.Aizenman, J. and J. Lee (2006), “Financial Versus Mercantilism: Long-Run View of Laege International Reserves Hoarding,” IMF Working Paper, No.WP/06/280, December.
3.Archibald, G.C., & Richmond, J. (1971), “On the Theory of Foreign Reserve Requirements, ” Review of Economic Studies, Vol.37, No.114,Apr.,245-263.
4.Arndt, H.W. (1948), “The Concepts of Liquidity in International Monetary Theory,” Review of Economic Studies, October.
5.Azim Özdemir, K. (2004), “Optimal International Reserves Behavior for Turkey, ” The Balance of Payments,”The Central Bank of Republic of Turkey, Research Department Working Paper No:04/10.
6.Bahmani-Oskooee, M. (1985a), “Demand for International Reserves: Survey of Rescent Empirical Studies,”Applied Economics,17,1985a,359-375.
7.Bahmani-Oskooee, M.(1985b), “Demand and Supply of International Reserves: a Simultaneous Approach,” Journal of Post Keynesian Economics, 7:4, 493-503.
8.Bahmani-Oskooee, M.(1987), “Demand for International Reserves: Correction for Serial Correction and Heterosecdasticity,” Applied Economics, 19(5), 609-618.
9.Bahmani-Oskooee, M. and F. Niroomand (1989), “On the Exchange-Rate Elasticity of the Demand for International Reserves: Some Evidence from Industrial Countries,” Weltwirtsch. Arch., 125(2), 394-396.
10.Balance of Payments Manual, International Monetary Fund (2007),, Washington, D.C.
11.Ben-Bassat, A. and D. Gottlieb (1992a), “On the Effect of opportunity Cost on International Reserve Holdings,” Review of Economics and Statistics, Vol. 74, No. 2, May, 329-332.
12.Ben-Bassat, A. and D. Gottlieb (1992b), “Optimal International Reserves and Sovereign risk,” Journal of International Economics, Vol. 33, No. 3/4, November, 345-362.
13.Chan, S.S. (2004), “The Practice of Central Banking in Macao,” AMCM Quarterly Bulletin, Issue No. 12, July, 33-67.
14.Chan, S.S.(2007), “The Basic framework for International Reserves and Its Applications to Macao,” AMCM Quarterly Bulletin, Issue No. 02, January, 81-107.
15.Chan, S.S. (2006), “Rationales and Options for Economic Diversification in Macao,”AMCM Quarterly Bulletin, Issue No. 18, January, 17-31.
16.Claassen, E.M. (1974), “ The Optimizing Approach to the Demand for International Reserves,” Weltwirtsch. Arch., (No.3), 353-398.
17.Clark, P.B. (1970a), “Demand for International Reserves: A Cross-country Analysis,”Canadian Journal of Economics, Vol. III, No.4, November, 577-594.
18.Clark, P.B. (1970b), “Optimum International Reserves and the Speed of Adjustment,’Journal of Political Economy, Vol. 78, No. 2, March/April, 356-376.
19.Cheung, Yin-Wong and Xingwang Qian(2007), “Hoarding of International Reserves: Mrs Machlup’s Wardrobe and the Joneses,” Department of Economics, University of Connecticut, CESifo Working Paper No. 2065.
20.Courchene, T.J.and G.M Youssef (1967), “The Demand for International Reserves,” Journal of Political Economy, Vol.75,No.4, Aug., 404-413.
21.Crockett, A.D. (1978), “Control over International Reserves,” IMF Staff Papers, Vol.25, No.4, December, 1-24.
22.De Beaufort Wijnholds, J.A.H. (1977), The Need for International Reserves and Credit Facilities, Martins NijhoffSocial Sciences Division, Leiden.
23.Dooley, M., D. Folkerts-Landau and P. Garber (2003), “An Essay on the Revised Bretton Woods System, ” NBER Working Paper, No. 9971.
24.Eaton, J. and H.Gersovitz (1980), “LDC Participation in International Financial Markets: Debt and Reserves,”Journal of Development Economics, 7, 3-21.
25.Edwards, S. (1984), “the Role of International ontrol over International Reserves and Monetary Equilibrium: Some Evidence from Developing Countries,” the Review of Economics and Statistics, 495-499.
26.Edwards, S. (2005), “Capital Controls, Sudden Stops and Current Account Reversals,” NBER Working Paper, No. 11170, March.
27.European Central Bank (2006), “The Accumulation of Foreign Reserves,” European Central Bank Occasional Paper Series, No. 43, February.
28.Flanders, M.J. (1971), “International liquidity is Always Inadequate,” Kyklos, 22, 519-529.
29.Frenkel, J.A. and B. Jovanovic (1981), “Optimal International Reserves: A Stochastic Framework,” Economic Journal, Vol. 91, June, 507-514.
30.Heller, H.R. (1966), “Optimal International Reserves,” Economic Journal, Vol.76, June, 296-311.
31.Higgins, Matthew and Thomas Klitgaard (2004), “Reserve Accumulation: Implications for Global Capital Flows and Financial Markets,” Federal Reserve Bank of New York, Vol. 10, 1-8.
32.Jeanne, O. (2007), “International Reserves in Emerging Market Countries: Too Much of a Good Thing? ,” Brookings Papers on Economic Activity.
33.Jeanne, O. and R. Ranciere (2006), “The Optimal Level of International Reserves for Emerging Market Countries: Formulas and Applications,” IMF Working Paper, No.WP/06/229, October.
34.Johnson, H.G. (1956), “The Transfer Problem and Exchange Stability,” Journal of Political Economy, Vol. LXIV, No. 3, June, 212-225.
35.Johnson, H.G. (1958), “The Balance of Payments,” Pakistan Economic Journal, Vol.VIII, No.2, June, 16-28.
36.Johnson, H. G. (1965), International Trade and Economic Growth: Studies in Pure Theory, 2nd ed., Alien and Urwin, Great Britain.
37.Kelly, M.G.(1970), “ The Demand for International Reserves,”A.R.E., Vol.60, September, 655-667.
38.Kenen, P.B. and E.B. Yudin (1965), “ The Demand for International Reserves, ” Review of Economics and statistics, Vol. 47, No. 3, August, 242-250.
39.Kester, A. Y. (2001), “ International Reserves and Foreign Currency Liquidity: Guidelines for a Data Template, ” International Monetary Fund.
40.Koichi, H. and U. Kazuo(1977), “ Random Walks and The Theory of the Optimal International reserves,”Econ.J., Vol.87, 722-742.
41.Levy, V. (1983), “ Demand for International Reserves and Exchange-rate Intervenation Policy in an Adjustable-peg Economy,” Journal of Monetary Economics, 89-101.
42.Li, Jie and Ramkishen S. Rajan(2005), “ Can High Reserves Offset Weak Fundamentals ? A Simple Model of Precautionary Demand for Reserves,” Lee Kuan Yew School of Public Policy, Working Paper, No. SPP-13-05, April.
43.Machlup, F. (1966), “The Need for Monetary Reserves,” BNL Quarterly Review, No. 78, September, 175-222.
44.Suss, E.C. (1976), “A Note on Reserve Use under Alternative Exchange Rate Regimes,” IMF Staff Papers, Vol. 23, July, 387-394.
45.Thorn, R. S.(1967), “The Demand for International Reserves: A Note in Behave of the Rejected Hypothesis,” Review of Economics & Statistics, Vol. 44, No.4, Nov.1967, 623-627.
46.Triffin, R. (1947), “National central Banking and the International Economy,” Review of Economic Studies, February.
47.Triffin, R. (1960), “Gold and the Dollar Crisis,” Yale University Press.
48.UBS (2007), “ Reserves Management Seminar for Sovereign Institutions,” The Handout of Seminar, Thun, Swizerland, 1-44.
49.Williamson, J. (1973), “Surveys in Applied Economics: International Liquidity,” Economic Journal, Vol. 83, September, 685-746.
50.Williamson, J. (1976), “Exchange-rate Flexibility and Reserve Use,” Scandinavian Journal of Economics, Vol. 78, No. 2, 327-339.
51.Wijnholds, J. Onno de Beaufort, and Arend Kapteyn (2001), “Reserve Adequacy in Emerging Market Economies,” IMF Working Paper, No.WP/01/143, September.
52.Wooldridge, P.D. (2006), “The Changing Composition of Official Reserves,” BIS Quarterly Review, September, 25-38.
參考網站
1.中央銀行網站 http://www.cbc.gov.tw/
2.中時電子報網站 http://www.money.chinatimes.com/
3.中華經濟研究院網站 http://www.moeasmea.gov.tw/
4.中國人民銀行網站 http://www.pbc.gov.cn/diaochatongji/tongjishuju/index2.asp?year=2007
5.中國大陸國家外匯管理局網站 http://www.safe.gov.cn/model_safe/index.html
6.中國大陸國家統計局網站 http://www.stats.gov.cn/
7.中國大陸經貿統計網 http://www.cdnsp.com.tw/stc/trd/chn-trd.htm
8.世界銀行網站 http://www.worldbank.org/
9.台灣證券交易所網站 http://www.tse.com.tw/ch/products/publication/essay.php
10.全國碩博士論文資訊網 http://etds.ncl.edu.tw/theabs/index.jsp
11.全球台商服務網http://twbusiness.nat.gov.tw/
12.行政院主計處網站 http://www.dgbas.gov.tw/mp.asp?mp=1
13.行政院金管會證期局網站 http://www.sfb.gov.tw/intro_index.asp
14.李光耀公共政策學院網站 http://www.spp.nus.edu.sg/home.aspx
15.美林證券網站 http://www.ml.com/index.asp?id=7695_15125_17454
16.美國商務部經濟分析局 http://www.bea.gov/international/xls/table1.xls
17.美國聯邦準備銀行網站-新聞資料庫http://www.federalreserve.gov/releases/h15/data.htm#fn10
18.財團法人國家政策研究基金會網站 http://www.npf.org.tw/
19.啟高網站 http://www.kitco.cn/cn/
20.國貿局經貿資訊網 http://cweb.trade.gov.tw/mp.asp?mp=1
21.國際貨幣基金會-國際金融統計網站http://www.imfstatistics.org/imf/logon.aspx
22.彭博網站 http://www.bloomberg.com/
23.路透社網站 http://cnt.reuters.com/
24.新台灣新聞週刊網站 http://www.newtaiwan.com.tw/
25.經濟部全球資訊網站 http://w2kdmz1.moea.gov.tw/index.asp?pagetype=1
26.聚亨網網站 http://www.cnyes.com/
27.摩根史坦利全球經濟論壇網站 http://www.morganstanley.com/views/gef/index.html
28.維基百科網站 http://www.wikipedia.org/
29.澳門貨幣管理局網站 http://www.amcm.gov.mo/
30.聯合新聞網網站 http://udn.com/NEWS/
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top