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研究生:李崇智
研究生(外文):Chung-Chih Li
論文名稱:央行干預與貨幣政策對國際收支之門檻效果
論文名稱(外文):The threshold effects of central bank's intervention and monetary policy on balance of payment
指導教授:吳博欽吳博欽引用關係
指導教授(外文):Po-Chin Wu
學位類別:博士
校院名稱:中原大學
系所名稱:商學博士學位學程
學門:商業及管理學門
學類:一般商業學類
論文種類:學術論文
論文出版年:2014
畢業學年度:102
語文別:英文
論文頁數:88
中文關鍵詞:干預指數平滑轉換迴歸模型雙邊貿易餘額縱橫平滑轉換迴歸模型門檻效果貨幣危機指標實質利差國際儲備實質匯率報酬
外文關鍵詞:bilateral trade balanceIntervention indexreal exchange rate returnsmooth transition regression modelinternational reveresthreshold effectpanel smooth transition regression (PSTR) modelcurrency crisis indicatorreal interest rate differential
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本論文由三篇關於央行干預行為與貨幣政策對國際收支影響的研究所構成。第一篇文章旨在探討央行干預匯率行為對中國與主要往來國家的雙邊貿易影響。採用SATRX方法建構貿易模型,並使用估計後的干預指數作為轉換變數,評估不同時間的干預指數對雙邊貿易餘額和主要決定因素之間的非線性影響。實證結果顯示,在中國與歐元區、中國與日本及中國與台灣等模型中,雙邊貿易餘額存在一個平滑動態轉換過程。此外,在這三種模型中,干預指數的落後期會非線性的影響雙邊貿易餘額,隱含干預政策的差異可以影響未來的雙邊貿易餘額。更重要的,在中國與歐元區、中國與日本模型中,高度干預匯率確實可以降低人民幣升值和波動對雙邊貿易餘額的負面影響。
第二篇文章旨在探討影響雙邊貿易往來的另一關鍵因¬素-金融危機,對中國貿易餘額累積的影響。採用橫斷面平滑轉換回歸模型研究貨幣危機指標對中國10個主要貿易國家的貿易餘額門檻效應。實證結果顯示,經濟變量(相對國內生產毛額、匯率變動、匯率波動,以及消費者物價指數)和中國的貿易餘額之間的關係是非線性的,且隨著貨幣危機指標不同的形態而改變。此外,中國的雙邊貿易餘額,與相對國內生產毛額和匯率波動有顯著的影響。最後,各經濟變量對中國貿易餘額邊際效應隨時間和國家而改變。
第三篇文章旨在探討貨幣政策對總體經濟因素與國際儲備之間的影響。採用兩個貨幣政策的代理變數(實質匯率報酬和實質利差)建構橫斷面平滑轉換回歸模型,研究總體經濟因素和國際儲備之間的非線性關係。實證結果顯示,在兩個橫斷面平滑轉換回歸模型模型中,總體經濟變量和國際儲備之間的關係(儲蓄、貿易條件、國家債務、資本自由度、國內生產毛額與貿易開放程度)是非線性的。另外,總體經濟變量對國際儲備的邊際效應隨時間、轉換變數與國家而改變。最後,非線性邊際效應隱含貨幣政策對國際儲備具有非線性影響。
This dissertation consists of three essays on the threshold effects of central bank's intervention and monetary policy on balance of payment. The first essay constructs the trade model in a STARX specification and uses the measured intervention indices as the transition variable to evaluate the non-linear and time-varying effects of intervention indices on the relationship between bilateral trade balance and its main determinants. The estimation results of our constructed trade model show that bilateral trade balance demonstrates a smoothly dynamic regime-switching process in the cases of China-EU, China-Japan, and China-Taiwan. In addition, lagged intervention indices non-linearly cause the changes of the bilateral trade balances in the three cases, implying that intervention policy can differentially influence future trade balances as they locate in different regimes. More importantly, high degree of intervention in the two RMB rates can reduce the negative impacts of the appreciation and the volatility of RMB on bilateral trade balances. These conclusions cannot be drawn from traditional linear trade models.
The second essay adopts a panel smooth transition regression model to investigate the threshold effect of the currency crisis indicator on China’s trade balance with 10 major trade countries. The empirical result shows that the relationship between economic variables (relative GDP, change of exchange rate, exchange rate volatility, and relative CPI) and China’s trade balance is non-linear, depending on currency crisis indicator in different regimes. In addition, China's bilateral trade balance responds significantly to the changes in relative GDP and exchange rate volatility. Finally, the marginal effect of each economic variable on China’s trade balances varies with time and across countries.
This third paper constructs panel smooth transition regression (PSTR) models with two proxies of monetary policy (real exchange rate return and real interest rate differential) to investigate the non-linear relationship between macroeconomic variables and international reserves, and evaluate the role of the proxies in the non-linear nexus. In empirical, we use the fourteen G-20 countries in the period 1991-2012 as sample objects. The empirical results are summarized as follows. First, the relationship between macroeconomic variables (savings, terms of trade, public debt, capital account liberalization, GDP, and trade openness) and international reserves is non-linear in both PSTR models. Second, the marginal effects of the macroeconomic variables on international reserves vary with time, transition variables, and countries, not linear and constant derived from traditional linear estimation models. Third, the non-linear marginal effects imply that monetary policy non-linearly influences international reserves.
Table of Contents
摘要...............................................................................................................…………….…...I
Abstract………………………………………..................……………………………......…..II
Acknowledgement......................................................................................................................III
Table of Contents……………………………...............………………………………............IV
List of Table…………………………...………............………………………………............VI
1. Introduction ……………………………….............…………………………………….......1
2. The threshold effect of central bank’s intervention on the nexus of trade balance and macroeconomic determinants ...........................................................….....................................................................................3
2.1 Introduction............................................................................................................................3
2.2 Models..................................................................................................................................11
2.2.1 Open economy model.........................................................................................................11
2.2.2 Linear trade model..............................................................................................................13
2.2.3 Trade model: a STARX specification...................................................................................14
2.2.4 Selection of transition function..............................................................................................16
2.3 Empirical Results…………………………...…………………………….............................18
2.3.1 Data description…………………………………..............................................................18
2.3.2 Intervention index estimates…………..................................................................................20
2.3.3 Estimation results of linear model..........................................................................................22
2.3.4 Selection of transition function……………………….............….........................................23
2.3.5 Estimation results of STARX models....................................................................................24
2.4. Conclusions………………………...……............................................................................28
3. The role of currency crisis indicator in the nonlinear nexus of bilateral trade balance and economic determinants…..............................................................................................................................34
3.1 Introduction……………………....…………………...............……………………..............34
3.2 Empirical models………………........………...................…………………………..............37
3.3 Estimation and specification test……….................………...………………………...............38
3.3.1 Selection of transition variable….............………………..…....……………........................38
3.3.2 Linearity and no remaining non-linearity tests……...........................………..........................40
3.4 Empirical results………………….................…………..…………………………...............41
3.5 Conclusion…………………………...............……………………...……………................46
4.The non-linear impact of monetary policy on international reserves-macroeconomic variables nexus …….....................................................…………………………..………..................................47
4.1 Introduction…………………...……………................……………………………..............47
4.2 Empirical models……………………..................…….........................……………..............52
4.2.1 Linear model………………................................................................................................52
4.2.2 PSTR model………………...……………................……………………….....................54
4.3 Estimation and specification test………................................………………………...............57
4.3.1 Specification tests……………..............…...……..…………………………......................57
4.3.2 Choice of transition variable……...…..……..............……………………….......................58
4.4 Empirical results……………………...................…………………………………...............60
4.5 Conclusions…………………...……………................……………………………..............71
References…………………..........………….............……………………………………….....72
List of Table
Table 1 Data measurement-1........................................................................................................18
Table 2 Estimation results of open economy under four RMB exchange rates..................................21
Table 3 Summary of Intervention Indices........................................................................................21
Table 4 Estimation results of bilateral trade balance using linear model.............................................22
Table 5 Selection of lag length in transition variable.........................................................................24
Table 6 Selection of transition function............................................................................................24
Table 7 Estimation results of STARX models.................................................................................27
Table A1 ADF unit root test-open economic model........................................................................30
Table A2 ADF unit root test-trade model.......................................................................................31
Table A3 Bilateral elasticity and intervention index..........................................................................32
Table 8 Data measurement-2..........................................................................................................42
Table 9 Panel unit root tests-LLC test-1.........................................................................................42
Table 10 Linearity test-1.................................................................................................................43
Table 11 Estimation of China’s bilateral trade balance.....................................................................45
Table 12 Data measurement-3.......................................................................................................60
Table 13 Panel unit root tests-LLC test-2.......................................................................................62
Table 14 Linearity test-2................................................................................................................63
Table 15 The optimal number of threshold regime tests....................................................................64
Table 16 Estimation of international reserves...................................................................................70
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