Money Demand, Sterilization, and the Adjustment of Balance of Payments: An Empirical Study of Taiwan

Abstract

由於出口快速擴張，台灣享有長期、持續的貿易順差。本文試圖由貨幣面來發掘台灣長期、持續貿易順差的原因。實證研究結果顯示，在國際收支順差時期，貨幣需求所得彈性提高與沖銷大部分增加的國外資產，是阻絕國際收支自動調整機能運行的兩個可能原因。以向量自我迴歸分析進一步檢定台灣的國際收支沖銷，結果顯示台灣國外資產變動導致台灣國內資產的變動，兩者干擾之間存在高度相關性。衝擊反應分析與變異分解分析顯示，台灣貨幣當局主要以沖銷政策來抵銷國外資產的變動。

Due to the rapid expansion of exports relative to imports. Taiwan has enjoyed a persistent trade surpluses for a long time. In this paper, we attempt to find out why Taiwan could enjoy persistent trade surpluses for such prolonged period of time. The analysis will be based on the monetary side. The empirical results show that the higher income elasticity of demand for money and sterilization of most increased foreign assets in the period of trade surpluses are two possible reasons to break the automatic adjustment mechanism of Taiwan`s trade imbalance. The VAR analysis is used further to test the sterilization of the balance of payments, it shows that change in Taiwan`s foreign assets Granger-causes change in Taiwan`s domestic assets. There exists a high correlation between innovations of change in Taiwan`s foreign assets and change in Taiwan`s domestic assets. Both impulse response analysis and variance decomposition analysis indicate that the sterilization policies adopted by Taiwan`s monetary authorities are major means to offset the change in foreign assets.