An Empirical Evidence on Exchange Rate Linkage of East Asian Countries

本文從 1980 年至今的台灣經濟成長回顧起，從不同經濟發展階段的特徵、變化，探討成長過程中所衍生的經濟結構性問題。發現台灣的經濟成長自從進入2000 年以來，匯率政策有許多可議之處，主要有外匯存底過度攀高以及匯率長期受不對稱干預。本研究嘗試點出這些問題的影響，進而探討當前匯率政策的可改進之處，並提出政策建議。 研究央行的匯率政策發現，平均而言，在新台幣匯率有變動時，央行傾向阻升不阻貶，並且會在外匯交易的最末盤進場干預。由於台灣與鄰近東亞國家的貿易關係緊密，為了解新台幣的匯率變化是否與周邊東亞國家之匯率變化有連動關係，本研究便針對中國大陸、日本以及韓國的匯率變動與新台幣匯率變動，做Granger 因果關係檢定，同時放入歐元，以作為東亞區域以外的代表貨幣。實證結果發現，新台幣對於中日韓等國的貨幣匯率變動並不敏感，反而是在 2002 年到 2008 年期間，歐元對日圓、韓圜以及新台幣的匯率影響效果較為顯著。此與平常新聞報導中所常聽到的「亞幣競貶」結果不一，顯示干擾東亞區域內匯率的因素主要來自於區域外，區域內貨幣匯率連動之情形並不明顯，決定我國央行對匯率進行干預之主要因素並非來自中日韓等國的匯率變動。 本研究並就目前匯率政策所衍生的問題提供政策建議，包含讓匯率由供需決定、公布匯市干預歷史資料以及成立主權基金。This study reviews some of the characters and problems in different economic development stages in Taiwan from 1980s to present time. Looking back on the development path, we found so many structural problems happened along with the economic growth. Among those, the exchange rate policy has becoming a debatable issue since 2000, mainly because of the rapid soaring foreign exchange reserves and asymmetric intervention in the foreign exchange market. This paper points out the results of these problems, analyzes the contemporary exchange rate policies, and provides advice on these related issues. Studies show that, in average, the central bank of Taiwan tends to intervene the foreign exchange market asymmetrically. In order to find out the relationship of exchange rate change between Taiwan and other neighborhood East Asian countries, we conduct Granger causality analysis on New Taiwan dollar, South Korean Won, Japanese Yen, Renminbi, and Euro. In this case, Euro stands for a representative currency from outside of East Asia. The result shows that during 2002 to 2008, East Asian currencies are Granger caused by Euro. This means the main influence to East Asian countries came from outside of East Asia, which is quite different from normal point of view. It also implies that the interventions of central bank of Taiwan are not based on the neighborhood countries exchange rate change. This paper also provides policy advice, which are: stop exchange rate intervention, reveal historical data of exchange market intervention, and establish sovereign wealth fund, hoping to improve Taiwan economics