A Study of Currency Relationship between Taiwan and Its Major Trading Partners

[[abstract]]在企業全球化與全球貿易自由化的趨勢下，使得國際間的資本移動頻繁，因此無法隔絕單一國家匯率與他國匯率變動的影響，故本研究將針對新台幣與我國主要貿易對手貨幣關聯性，分析彼此間互動關係，做為政府、全球企業、甚至個別投資人，掌握匯率變動而做出適當回應，減少因匯率而產生之風險。 研究樣本期間自2008年1月2日至2015年2月24日，至中華民國關務署取得與台灣貿易前六大對手為中國、日本、美國、香港、韓國與新加坡，並至中央銀行取得新台幣、人民幣、日圓、港幣、韓圜與新幣兌美元匯率日收盤價轉換成週匯率資料，運用Granger因果關係檢定及向量自我迴歸模型對六國匯率兌羌元匯率資料探討彼此間是否具有因果關係、又存在何種因果關係？經由實證研究我發現， 一、Granger因果關係檢定下，新台幣與韓圜具有單向因果關係，即是新台幣匯率變動受到韓圜匯率波動影響。 二、向量自我迴歸模型分析下，新台幣與日圓、韓圜具有關聯性，即是新台幣匯率變動受到日圓與韓圜匯率波動影響，並且新台幣匯率波動亦影響韓圜匯率變動。日圓對新台幣具有單向領先關係，而新台幣與韓圜兩者間為雙向回饋且互有因果關係。[[abstract]]In the trend of corporate globalization and global liberalization there is more frequent international capital movements therefore a currency price must be affected by the ones of other countries’ currencies The purpose of this study is to identify the currency relationship between Taiwan and its major partners The result can be a suggestion for governments global corporations and the inventors to track the exchange rate and reduce exchange rate risk My sample period is from January 2 2008 to February 24 2015 I collect the exchange rate data including New Taiwan Dollars (NTD) Chinese Yuan (CNY) Japanese Yuan (JPY) Hong Kong Dollars (HKD) Korean Won (KRW) and the Singapore Dollars (SGD) The published data were provided by Customs Administration Ministry of Finance and Central Bank of Taiwan The daily exchange rates are adjusted to weekly exchange rates I use Granger causality test and vector autoregression model to analyze the relationship between each countries I find: 1 According to the result of Granger causality test the exchange rate of New Taiwan Dollars is affected by the one of Korean Won and the reverse is not suggested 2 According to the result of vector autoregression model there is bidirectional cause relationship between New Taiwan Dollars and Korean Won and the exchange rate of Japanese Yuan leads with the one of New Taiwan Dollar