Index Constructing, Prediction Performance, and Empirical Analysis of New Taiwan Dollar Real Effective Exchange Rate

本文旨在討論新台幣實質有效匯率指數編製過程中，包括權數與貨幣籃等兩項關鍵技術選擇的搭配議題。為此，本文透過適當的VAR模型執行out-of-sample forecast程序（其中並使用了stationary bootstrap重抽方法），檢測了32種編製方式搭配下，相應新台幣實質有效匯率指數的預測表現。根據5,000組重抽樣本下DM（Diebold and Mariano, 1995）統計量的95%信賴區間檢定結果，本文建議：(一) 在貨幣籃範圍方面，可使用與台灣雙邊貿易比重居前的18國「完整貨幣籃」；(二) 在權數方面，編製者則可依使用目的與成本效益，自行決定是否在「雙邊貿易權數」上加計「第三市場競爭權重」。最後，我們也對新編的新台幣實質有效匯率指數進行若干實證應用，例如檢視央行匯率「動態穩定政策」、穩定經濟基本面目標及估算其潛在容許區間寬度等。The purpose of this paper is to analyze the combinations of the two relevant technical choices, including the weights and currency baskets, for constructing Taiwan’s real effective exchange rate (REER) index. Using the VAR model and the re-sampling method of stationary bootstrap, we execute the out-of-sample forecasting procedures for all the 32 possible kinds of Taiwan’s REER indices mentioned above. Based on the empirical results of 95% confidence interval test of DM（Diebold and Mariano, 1995） statistics calculated from 5,000 sets of re-sampling data, our major findings and suggestions include: (1) as for the currency basket, we can use the “complete currency basket” of 18-country (the most important 18 countries in the bilateral trade of Taiwan); (2) as for the weights types, index constructor can decide whether combining the concept of the third-market exports weight to the traditional bilateral trade weight, according to his own cost-benefit analysis. Moreover, we conduct several empirical analysis, like re-examining Central Bank’s “dynamic stabilization” policy, stabilization policy for the economic fundamentals, and estimating the potential width of the allowed interval.口試委員會審定書……………………………………………………………… i謝……………………………………………………………………………… ii文摘要………………………………………………………………………… iii文摘要…………………………………………………………………………. iV一章 緒論……………………………………………………………………... 1.1 研究動機…………………………………………………………………1.2 文獻回顧與評述………………………………………………………… 3.3 研究步驟與章節安排…………………………………………………… 5二章 編製新台幣實質有效匯率指數……………………………………….. 8.1 實質有效匯率指數的編製概念………………………………………… 8.2 貨幣籃範圍……………………………………………………………… 9.3 權數種類 ……………………………………………………………… 10.4 權數調整 ……………………………………………………………… 11.5 數據來源 …………………………………………………………… 13.6 重新編製新台幣實質有效匯率指數 ………………………………… 14三章 新台幣實質有效匯率指數的預測表現……………………………….. 20.1 預測模型：向量自我迴歸模型設定 ………………………………… 20.2 Out-of-Sample Forecast檢測與Stationary Bootstrap重抽方法的搭配… 25.3 評量新台幣REER指數預測表現……………………………………… 27.4 評量國內其他機構新台幣REER指數的預測表現…………………… 30四章 新台幣實質有效匯率指數的實證應用……………………………….. 44.1 模擬台灣實質進出口貿易的衝擊反應………………………………… 44.2 檢視央行「動態穩定」政策的執行成效……………………………… 45.3 外匯干預與其他經濟基本面目標的取捨……………………………… 48.4 估計央行對新台幣REER指數與其他經濟基本面目標的潛在操控區間… 50五章 結論與建議 ……………………………………………………….…… 56考文獻…………………………………………………………………….……60錄1 權數計算的相關證明：第三市場競爭權數…………………………. 64錄2 模擬有限樣本下DM統計量的臨界值 …………………………. 65錄3 執行stationary bootstrap重抽方法的步驟說明………………………. 68錄4 Cholesky與一般化衝擊反應的計算與比較 ………………………. 6