雙元匯率下國際貿易與銀價交互關係之研究

Abstract

This study provides an alternative approach to analyze the linkages between the international trade and the domestic metal exchange rate in China during the 19th century. I employ a dataset spanned from 1825 to 1911 to examine the dynamic intra- and inter- relationships between the domestic silver-copper ratios and the international trade in vector error correction methods. In the first issue, I obtain that a long-run relationship between the exports of tea and silk, the imports of opium, and the domestic silver-copper ratios existed in China. The silver-copper ratios have an appreciation effect to the imports of opium. It reveals that the rice price is the main cause for the international trade and the exchange rate. In the second issue, I employ a VAR model to analyze the relationship between the international trade and the dual exchange rate from 1862 to 1911. The silver-copper ratios have a depreciation effect to the imports of opium. The possible reasons are the changing preference of Chinese and the self-producing opium in the late 19th century. In addition, the Granger causality test shows that the silver-copper ratio Granger-causes the imports of opium and the exports of tea. Export of tea in Chinese and in India have no Granger causes each other. The impacts of impulse response function and variance decomposition are analyzed.

19世紀的貨幣制度，與現代各國所使用的通貨相比，其面貌與概念與今日截然不同，而基於當時國際貿易的匯率也異於今日。本文以多變量時間序列資料分析從1825年到1916年，在雙元匯率下國際貿易與銀價之交互關係。第2章探討1825年到1886年銀錢比價與國際貿易的互動關係，利用VECM模型進行分析之後發現，鴉片進口、茶葉出口、生絲出口、銀錢比價具有共整合的長期均衡關係。銀錢比價對於鴉片進口有正向影響，具有近似匯率升值的效果。經由Granger因果檢定發現，米價是影響中國貿易與銀錢比價的主要原因。\n 第3章以VAR模型分析1862年到1911年之銀錢比價、英鎊與海關兩匯率與國際貿易的互動關係。結果發現，銀錢比價增加對貿易的影響具有如同匯率貶值的效果。此結果與第2章之效果相反，推測原因為中國民眾的偏好改變，以及中國鴉片在19世紀晚期能夠自己自足之故。除此之外，Granger因果檢定發現，銀錢比價Granger-cause鴉片進口與中國茶葉出口，且中國茶葉出口和銀錢比價具有雙向Granger因果關係；值得一提的是，中國茶葉出口與印度茶葉出口兩者並無Granger因果關係。本研究亦對於2個時期進行衝擊反應函數與預測誤差變異數分解之分析。