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研究生:黃敬庭
研究生(外文):HUANG, JING-TING
論文名稱:匯率轉嫁與產業結構:台灣實證分析
論文名稱(外文):Exchange Rate Pass-Through and Industry Structure: Empirical Analysis of Taiwan’s Imports
指導教授:馮炳萱馮炳萱引用關係
指導教授(外文):FUNG, PING-HSUAN
口試委員:林靜儀李浩仲
口試委員(外文):LIN, CHING-YILI, HAO-JHONG
口試日期:2023-06-30
學位類別:碩士
校院名稱:國立清華大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2023
畢業學年度:111
語文別:中文
論文頁數:81
中文關鍵詞:匯率轉嫁產業別進口物價消費財中間財資本財
外文關鍵詞:exchange rate pass-throughindustry-specific import pricesconsumption goodsintermediate goodscapital goods
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本研究建立了固定效果匯率轉嫁模型,使用國際商品統一代碼6碼資料之進口單位價格,研究台灣不同進口來源國、產業之下的長、短期匯率轉嫁,並額外考量了消費財、中間財和資本財三種不同用途進口商品。本文使用台灣CPT海關進出口統計2003年至2019年國家產品別季資料研究。實證結果顯示,台灣總體進口商品價格對於雙邊匯率變動較不敏感,僅反應了雙邊匯率變動的20%到30%。此外,在進口國家和產業上,雙邊匯率轉嫁存在不一致的問題。來自主要貿易進口國日本、中國和美國的進口商品的雙邊匯率轉嫁大致在50%到90%之間,然而由這些國家進口商品所組成的進口產業的雙邊匯率轉嫁僅在30%左右。若以財貨種類分類,本研究發現短期之下台灣進口財貨匯率轉嫁存在差異。總體來說,進口資本財雙邊匯率轉嫁最高,中間財次之,消費財最低。最後,考慮到台灣進口貿易多以美元為進口商品的報價貨幣,使用雙邊匯率可能無法反應實際上進口商品的價格變動。我們以美元設定為台灣主導型貨幣,將進口雙邊匯率拆分為美元對新台幣之直接匯率轉嫁以及貿易對手國對美元之間接匯率轉嫁。研究結果顯示,進口商品對於美元較為敏感,進口價格大約反應了美元匯率變動的60%到70%。此外,在美元主導貨幣模型中,貿易來源國以及產業在匯率轉嫁的差異較小。
This study develops an exchange rate pass-through model with fixed effects to examine the long- and short-run exchange rate pass-through in Taiwan from different import source countries and for different industries. It also considers exchange rate pass-through for three different types of imported goods: consumption goods, intermediate goods, and capital goods. Using Taiwan’s CPT customs database at the product-country level in quarterly frequency from 2003 to 2019, the empirical results show that the overall import prices in Taiwan only account for 20% to 30% of the bilateral exchange rate changes. In addition, the degree of pass-through vary by country and industry. The magnitude of pass-through for major trading partners, Japan, China, and the United States, is between 50% and 90%, while the pass-through by industry is only around 30%. When dividing goods into capital goods, intermediate goods and consumption goods, the bilateral exchange rate pass-through of imported capital goods is the highest, followed by intermediate goods, and consumption goods is the lowest. Finally, considering that Taiwan's import trade often uses the US dollar as the invoice currency, bilateral exchange rates may not reflect the actual changes in the prices of imported goods. In this study, the US dollar was assumed to be the dominant currency for Taiwan, and the bilateral exchange rate was decomposed into the New Taiwan dollar per US dollar and the US dollar per trading partner’s local currency unit. The empirical results show that import prices are more sensitive to the NT dollar-US dollar exchange rate, reflecting 60% to 70% of the exchange rate change. In addition, variation in the degree of exchange rate pass-through across import source countries and industries reduces in the US dollar dominant currency model.
目錄
致謝...................................i
中文摘要...............................ii
Abstract.............................iii
目錄...................................iv
表目錄..................................v
圖目錄..................................v
附錄表.................................vi
第壹章、 緒論.........................1
第貳章、資料來源及變數定義...............13
2.1 資料說明............................13
2.2 海關資料............................14
2.3 單位價格............................15
2.4 BEC商品類別轉換......................15
2.5 變數定義.............................16
2.6 敘述統計.............................17
第參章、實證模型..........................23
3.1進口匯率轉嫁實證模型:..................23
3.2主導貨幣實證模型:......................25
第肆章、實證結果...........................27
4.1短期進口雙邊匯率轉嫁實證結果:............27
4.2長期進口雙邊匯率轉嫁實證結果:............31
4.3進口消費財、中間財與資本財實證結果:.......37
4.4主導貨幣短期實證模型結果:................46
4.5主導貨幣長期實證模型結果:................51
第伍章、結論................................57
參考文獻...................................59
附錄.......................................62
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2.張瑞娟, & 欉清全. (2009). 貨幣政策與匯率轉嫁之探討──台灣之實證分析. 應用經濟論叢, 86, 37–67.

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4.黃恩恩, 藍青玉, & 郭炳伸. (2007). 菜單成本與不對稱匯率轉嫁──以台灣進口物價為例. 經濟論文, 35(4), 439–472.

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