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研究生:黃恩恩
研究生(外文):Huang, En En
論文名稱:匯率轉嫁與市場取價-台灣的實證研究
論文名稱(外文):Exchange rate pass-through and pricing to market: the Taiwan case
指導教授:郭炳伸郭炳伸引用關係
指導教授(外文):Kuo, Biing Shen
學位類別:博士
校院名稱:國立政治大學
系所名稱:國際經營與貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:中文
論文頁數:101
中文關鍵詞:匯率轉嫁市場取價門檻迴歸模型
外文關鍵詞:exchange rate pass-throughpricing to marketthreshold regression model
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台灣的經濟發展,仰賴對外貿易甚鉅。廠商如何因應匯率的變動,在國際競爭激烈的貿易市場中策略性的定價以取得優勢,一直是國際貿易與金融發展上重要的議題。因此,本論文包括三篇文章,依序透過台灣進口物價、出口物價,以及人造纖維梭織布的出口價格,探討匯率轉嫁與市場取價的相關議題。以下就每篇文章的重點摘要如下。

第一篇主要驗證「菜單成本」(menu costs) 存在,所產生之不對稱匯率轉嫁行為。由於菜單成本的存在,出口商必須在調價所產生的菜單成本,以及不調價對其市場競爭力的減損中,進行權衡取捨(trade-off)。我們首先透過模型推導,說明在此情況下,出口商唯有在匯率變動超過某一水準(門檻)時,
才會因應匯率變動進行調價。這意謂若匯率波動幅度較小時,出口商囿於菜單成本不會調整價格,進口國將面臨完全匯率轉嫁;而若匯率變動幅度夠大,出口商才會調整價格以維持其市場競爭力,而產生不完全匯率轉嫁。為驗證並說明此一不對稱匯率轉嫁現象,我們利用門檻迴歸模型(threshold regression model)進行台灣進口品是否有不對稱轉嫁之實證分析。結果顯示,以匯率變動幅度為門檻變數下,當匯率變動幅度小於門檻值3%時,匯率轉嫁程度高達58.7%;而匯率變動幅度高於門檻值3%時,則無顯著之匯率轉嫁。
我們因此認為菜單成本的存在,確實可能導致匯率不對稱轉嫁行為。

第二篇則應用門檻迴歸模型檢驗台灣出口物價是否因菜單成本導致在匯率變動幅度不同時,產生不同程度調整加成的出口定價行為,導致不對稱匯率轉嫁。
實證結果顯示,當匯率變動幅度低於門檻2.5%時,調整出口價格的幅度為27%。反之,當匯率變動幅度超過門檻值時,相較於前者,調價幅度增加至42%。經檢定兩者有顯著差異,證實有不對稱匯率轉嫁。上述不對稱匯率轉嫁的實證結果與理論預期並未完全相符。我們認為可能的原因在於出口商考量當期市佔率對未來利潤的潛在影響力,因此即使當期匯率變動幅度小,仍選擇微幅調價,藉以維持市場優勢與價格競爭力。亦即菜單成本可能並非影響其定價行為的關鍵因素。此外,廠商也有可能考量其在短期無法立即因應需求而擴張產能,因此即使匯率變動幅度小,仍選擇調價穩定進口價格,如此可避免因產能不足無法接單而流失客戶。再者,受限於資料的取得,我們採用總體出口物價資料,因此僅能呈現出平均的定價行為,而無法凸顯個別產業的出口定價行為。上述皆有可能是造成理論預期與實證結果不完全一致的原因。

為修正前兩篇使用總體資料的缺點,並進一步瞭解出口商因應匯率變動時是否依不同目標市場決定不同的調整加成幅度,在第三篇中本文使用人造纖維梭織布產業資料,主要探討在不完全競爭市場的結構下,出口商面對匯率變動時的「市場取價」行為。由於紡織業為台灣創匯產業,早期以出口胚布和成衣服飾品為主。到1980年代以後,逐漸地轉為以出口紗與成品布為主。在2005年全面取消全球紡織品配額後,紡織業的競爭更加激烈。儘管台灣有許多紡織廠外移至大陸及東南亞國家生產,使得台灣布料的出口額逐年減少。然而,台灣的人造纖維梭織布的出口單價卻有上升的趨勢。因此,本文主要探討台灣自1999年至2009年,人造纖維梭織布出口至美國、中國、香港及印尼等前四大出口目的國,因應匯率變動的出口定價行為是否具有市場取價的特性。此研究有助於我們瞭解產業競爭的過程與廠商的定價行為。實證結果顯示,台灣人纖梭織布的出口有市場取價的能力。對於出口至美國及香港的人纖梭織布,出口商會因應匯率等比例調整加成,自行吸收匯率變動對進口價格的影響,以穩定進口價格(即 local currency pricing stability)。對於出口至中國及印尼的人纖梭織布,則未有明顯的證據支持類似的調價行為。
1. 緒論................................................. 1

2. 菜單成本與不對稱匯率轉嫁-以台灣進口物價為例...............5
2.1 前言...............................................5
2.2 理論模型...........................................9
2.3 計量模型與變數資料來源..............................12
2.3.1 實證設定.....................................12
2.3.2 估計策略.....................................16
2.3.3 變數與資料來源................................17
2.4 實證結果分析.........................................18
2.4.1 門檻效果(不對稱)檢定...........................18
2.4.2 不對稱匯率轉嫁..................................20
2.5 結論................................................25

3. 出口定價行為與不對稱匯率轉嫁-以台灣出口物價為例......... 27
3.1 前言.............................................27
3.2 理論模型..........................................29
3.2.1 理論推導分析.................................29
3.2.2 產生兩個門檻的原因與直覺.......................36
3.3 出口定價行為、不對稱匯率轉既與門檻迴歸模型.............37
3.3.1 變數與資料來源................................39
3.3.2 實證設定.....................................41
3.3.3 估計策略.....................................43
3.4 實證結果..........................................43
3.5 結論.............................................47

4. 市場取價-人造纖維梭織布出口價格實證研究...............49
4.1 前言............................................49
4.2 理論模型背景.....................................53
4.3 市場取價實證設定與資料說明.........................54
4.3.1 實證設定....................................54
4.3.2 變數與資料來源...............................59
4.4 實證估計結果......................................61
4.5 結論.............................................68

附錄...................................................70
A 第二章理論模型證明.....................................70
B 第三章理論模型證明.....................................79

參考文獻................................................88

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