匯率制度、匯率貶值與產出的關聯性

The Links of Exchange Rate Regime, Exchange Rate Depreciation and Output

張倉耀(Tsang-Yao Chang)；王譯賢(Yi-Hsien Wang)

匯率制度 ； 匯率貶值 ； 產出 ； 東亞區域 ； 縱橫共整合模型 ； exchange rate regime ； exchange rate depreciation ； output ； East Asia ； panel cointegration model

多國籍企業管理評論

5卷1期（2011 / 03 / 01）

1 - 19

繁體中文

東亞區域匯率制度的多樣性，包括完全浮動、可調整釘住、通貨委員會等匯率制度，提供一個評估匯率制度、匯率貶值與產出關聯性的良好環境。一般來說，不同的匯率制度存在不同的匯率行為，透過檢視匯率貶值與產出的長期關係，可據以評估匯率制度的產出表現。本文使用1973至2007年的年資料，包括東亞九個國家，應用Pedroni (1999)、Kao (1999)及Maddala and Wu (1999)縱橫共整合模型檢視實質國內生產毛額、實質政府消費支出、實質貨幣存量與實質雙邊匯率的長期關係，並進一步使用Pedroni (2000) fully modified OLS模型估計、檢定變數的共整合向量，分析匯率貶值的長期產出效果，並以日本、香港為比較基礎，據以評估匯率制度的產出表現。實證結果發現，香港、印尼、馬來西亞存在正的匯率貶值產出效果，但是韓國與菲律賓並不顯著；新加坡、台灣、泰國則為負效果；日本則僅存在中立效果；整體而言，匯率貶值顯著增加產出水準。本文證實軟性釘住美元匯率制度對東亞區域的產出貢獻。

The variety of exchange rate regime in East Asia offers a good environment to study the links of exchange rate regime, exchange rate depreciation and output. Generally, each regime has its typical behavior, through examining the long-run effect of exchange rate depreciation on output should provides evidence to evaluate the performance of exchange rate regime on output. The study investigates the links of exchange rate regime, exchange rate depreciation and output for nine East Asia countries using annual data over the span of 1973 to 2007. Pedroni (1999), Kao (1999), and Maddala and Wu (1999) panel cointegration are applied to estimate the longrun relation among variables, and then Pedroni (2000) fully modified OLS to estimate cointegration vectors between exchange rate and output for each country and the region. The result shows positive effects of exchange rate depreciation on output in Hong Kong, Indonesia and Malaysia but insignificant in Korea and the Philippines. It contributes negatively to output in Singapore, Taiwan and Thailand and a zero effect in Japan. It contributes positively in the region wholly. Finally, the study proves the contribution of soft pegged exchange rate regime on output in the East Asia.

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