臺灣博碩士論文加值系統

本文透過檢視新台幣實質匯率與台灣實質GDP是否存在Granger因果關係以探討新台幣匯率之升貶是否會對我國經濟成長造成影響。我們使用1981年第一季至2015年第四季資料以向量自我回歸模型(VAR)檢查實質匯率、實質出口、實質進口與實質GDP之間的關係，再利用Toda and Yamamoto (1995) 所提出之Granger因果關係檢定方法檢視新台幣實質匯率與台灣實質GDP的短期因果關係。最後，透過共整合檢定探討變數間是否存在長期均衡關係。
實證結果發現，實質匯率對實質GDP確實存在Granger因果關係，當期實質匯率對下一期實質GDP具有負向的影響。然而共整合檢定結果顯示新台幣實質匯率的升值(貶值)與台灣實質GDP之間在長期之下具有正向(負向)的關聯性。總結來說，短期之下新台幣實質匯率貶值有助於台灣實質GDP的上升，若以長期來看，反而新台幣實質匯率升值有助於增加台灣實質GDP，因此本文之研究發現與以新台幣貶值救出口及經濟成長的傳統觀念看法不同。

This study aims at exploring whether economic growth can be affected by real exchange rate in Taiwan. To find out the relationship, the study examines the Granger causality between NTD real exchange rate and GDP of Taiwan. I use vector auto-regression（VAR）model to examine the relation among the real exchange rate, real export, real import and real GDP of Taiwan. Furthermore, the study uses the Granger causality test proposed by Toda and Yamamoto (1995) to investigate the short-run causality relationship between NTD real exchange rates and Taiwan’s real GDP. Last, we exam whether there exists a long-run relationship in the variables by cointegration test.
The sample period is from the first quarter of 1981 to the fourth quarter of 2015, the empirical results show that Granger causality exists between NTD real exchange rate and Taiwan’s real GDP. The current real exchange rate can negatively affect the real GDP in the next period. The results from the cointegration test show that there exists a positive relationship between the appreciation in the NTD real exchange rate and Taiwan's real GDP in the long-run. In conclusion, a depreciation in the NTD real exchange rate helpfully increases Taiwan's real GDP in the short-run. On the other hand, an appreciation in the NTD real exchange rate will increase Taiwan's real GDP in the long-run. This finding presents a different point of view from those traditional opinions which considered using devaluation to stimulate export and economic growth.

目錄

表目錄
圖目錄
第一章 緒論
第二章 文獻回顧
2.1進出口與經濟成長之文獻回顧
2.2匯率與經濟成長之文獻回顧
第三章 研究方法
3.1單根檢定(Unit Root Test)
3.1.1 Phillips-Perron單根檢定
3.1.2 Toda and Yamamoto (1995) 之Granger因果關係檢定方法
3.2 Johansen共整合檢定
第四章 實證結果
4.1資料說明
4.2單根檢定之結果
4.3 Toda and Yamamoto 提出之因果關係檢定方法
4.3.1實質匯率對實質出口之因果關係檢定結果
4.3.2實質出口對實質GDP之因果關係檢定結果
4.3.3實質匯率對實質GDP之因果關係檢定結果
4.3.4實質GDP對實質匯率之因果關係檢定結果
4.4 Johansen共整合檢定
第五章 結論與建議
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