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系統識別號 U0026-1705201615374600
論文名稱(中文) 美日量化寬鬆政策、MOU及ECFA對兩岸匯率變動之影響
論文名稱(英文) The Impact of Quantitative Easing, MOU and ECFA on Exchange Rate between NTD and RMB
校院名稱 成功大學
系所名稱(中) 企業管理學系
系所名稱(英) Department of Business Administration
學年度 104
學期 2
出版年 105
研究生(中文) 陳婕安
研究生(英文) Chieh-An Chen
學號 R46024128
學位類別 碩士
語文別 英文
論文頁數 54頁
口試委員 指導教授-康信鴻
口試委員-莊雙喜
口試委員-謝惠璟
口試委員-廖俊雄
口試委員-林軒竹
中文關鍵字 匯率  量化寬鬆  MOU  ECFA  總經變數 
英文關鍵字 exchange rate  Quantitative Easing  MOU  ECFA  macroeconomic variables 
學科別分類
中文摘要 台灣為屬於外貿導向的經濟,從過去加工出口業到現在的半導體工業,都是以出口為目的,因此匯率的變動對於國民經濟的影響很大。隨著全球金融越趨自由化以及兩岸經濟貿易越趨頻繁,新台幣及人民幣匯率所扮演的角色日漸重要,除了關注本國匯率變動外,與台灣經濟往來密切的台幣兌人民幣的匯率波動也成為高度關注的議題。
研究對象為2008年至2013年底的新台幣實質有效匯率指數以及新台幣兌人民幣匯率。自變數則包含美國與日本實施的量化寬鬆政策、兩岸間簽署的條約如MOU、ECFA以及總體經濟變數,包含貨幣供給量、國際收支、通貨膨脹率與利率。本研究主要由美國及日本的量化寬鬆政策、MOU及ECFA與總經變數對於新台幣實質名目指數以及新台幣兌人民幣匯率的影響。
與新台幣相關的實質匯率之實證結果指出,日本QE及美國QE2與QE3對新台幣的實質匯率呈負相關,但並不顯著;美國QE1對新台幣的實質匯率呈正相關,亦不顯著。簽署MOU及ECFA對新台幣的實質匯率呈正相關,
總經變數皆與本研究預期相符。
另外,與新台幣兌人民幣的實證結果指出,日本QE及美國QE1與QE3對新台幣兌人民幣呈負相關,美國QE2對新台幣兌人民幣呈正相關,MOU 及ECFA皆對新台幣兌人民幣呈負相關,總體經濟變數,除了通貨膨脹率與預期不符以外,大多皆與本研究預期相符。
英文摘要 The economic status of Taiwan heavily depends on international trade. The industries of Taiwan are mostly for the purpose of exporting to other countries up to now. Hence, investors not only have to focus on the fluctuation of NTD, but also the fluctuation of RMB. The exchange rate has become a big issue to the public and companies of Taiwan and China.
The research period started from 2008 to 2013. The dependent variables are real effective exchange rate index and NTD exchange for RMB. The independent variables, including Quantitative Easing Monetary Policy of Japan and the United States, MOU and ECFA between Taiwan and China, macroeconomic variables such as money supply, balance of payment, inflation rate and interest rate.
The empirical results of the real effective exchange rate index indicates that Japanese QE, QE2 and QE3 of the United States are negative related to the index, the results are not significant. QE1 is positive related to the index, which is not significant as well. MOU and ECFA have positive related to the index. The macroeconomic variables match all of the research expectation.
The empirical results of the NTD exchange for RMB indicates that Japanese QE, QE1 and QE3 of the United States are negative related to the NTD exchange for RMB. However, QE2 is positive related to it. MOU and ECFA have negative related to the NTD exchange for RMB. Finally, all of the macroeconomic variables match expectations, except for the inflation rate.
論文目次 Chapter 1 Introduction……………………………………………………….1
1.1 Research Background………………………………………………………1
1.2 Research Motivation and Objective………………………………………..5
1.3. Research Structure…………………………………………………………6
Chapter 2 Literature Review…………………………………………………8
2.1 Literature Review on Exchange Rate………………………………………8
2.2 Literature Review on the financial events…………………………...........13
2.2 Literature Review on the relationship between NTD and RMB………….15
Chapter 3 Research Design………………………………………………….17
3.1 Research Structure and Process…………………………………………...17
3.2 Research Methodologies……………………………………………..........20
3.3 Definitions of the Variables……………………………………………….21
3.4 The Regression Model…………………………………………………….31
Chapter 4 Empirical Research……………………………………………...34
4.1 Initial regression model…………………………………………………...34
4.2 Multicollinearity test………………………………………………………37
4.3 White heteroskedasticity test……………………………………………...38
4.4 Autocorrelation test………………………………………………………..39
4.5 Final regression model of this research…………………………………...40
4.6 The Consistency of Expected and Empirical sign of the Regression Model.................................................................................................................43
Chapter 5 Conclusions………………………………………………………46
5.1 Conclusions………………………………………………………………..46
5.2 Suggestions………………………………………………………………..51
Chapter 6 References………………………………………………………...53
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