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題名 人民幣匯率與亞洲國家匯率連動關係之探討
The Comovement of RMB Exchange Rate and Other Asian Currencies
作者 邱宇辰
Chiu, Yu Chen
貢獻者 朱浩民
Chu, Hau Min
邱宇辰
Chiu, Yu Chen
關鍵詞 離岸人民幣
亞洲國家匯率
共整合檢定
Granger因果關係
日期 2016
上傳時間 1-Jul-2016 15:01:16 (UTC+8)
摘要 本研究主要探討在人民幣業務快速擴張與國際化的現象下，人民幣與其他主要亞洲國家貨幣的連動關係，分別以離岸人民幣對港幣、韓圜、日圓、台幣和新加坡幣為研究對象，文中並以2015年8月11日中國人民銀行為完善人民幣開盤匯率中間價的形成機制，於當日開盤大幅上調美元兌人民幣中間價為分界點，觀測人民幣的大幅貶值是否對其他亞洲國家造成影響。文章以Johansen共整合、向量自我迴歸模型(VAR)、向量誤差修正模型(VECM)及Granger因果關係等實證方法，探討五種亞洲主要國家匯率與人民幣間的短期及長期關係。
實證結果顯示，人民幣對此五種亞洲國家匯率的長期均衡關係不甚明 顯，顯示此次人民幣大幅貶值後，長期之下對其他主要亞洲國家匯率走勢並沒有太大的顯著效果。VAR和VECM結果顯示，在人民幣貶值之前，韓圜、台幣及新加坡幣，受離岸人民幣落後項的正向影響；若觀測2015年8月11日人民幣貶值後，則發現無論港幣、韓圜和台幣皆受到離岸人民幣的落後項影響，且顯著程度大於前期時段，尤其與中國貿易依存度較高的韓圜和港幣，受人民幣貶值的影響程度改變最大。最後在Granger因果關係檢定上，人民幣貶值前，離岸人民幣僅對港幣、台幣具有單向的因果關係，而在後段資料期間，顯示離岸人民幣對港幣、日幣、韓圜與台幣均具有顯著的單向因果關係，隱含去年8月11日人民幣大貶後，亞洲國家跟隨人民幣貶值的壓力增大，證明離岸人民幣的確有領先主要亞洲國家貨幣的趨勢，且人民幣的短期影響較為顯著。
The study mainly discusses the comovement of RMB exchange rate and other Asian currencies under the quick expansion and internationalization of RMB. We use August 11th 2015 as a boundary point, when PBOC allowed the Yuan to depreciate about 1.86 percent against the U.S. dollar to examine whether RMB would affect Hong Kong Dollar, Korean Won, Japanese Yen, New Taiwan Dollar and Singapore Dollar.
The data period is from Jan. 1, 2015 to March 31, 2016. Using the analyses of Johansen Cointegration Test, Vector Autoregression Model, Vector Error Correction Model and Granger Causality Test, empirical results show that the long run relationships between RMB and other Asian currencies are inconspicuous. However, Hong Kong Dollar, Korean Won and New Taiwan Dollar are affected by RMB in VAR and VECM. Moreover, there also exist unidirectional causality from RMB exchange rate to Hong Kong Dollar, Korean Won, Japanese Yen and New Taiwan Dollar. Consequently, the study suggests that Asian currencies have suffered more pressure after RMB depreciation last year, and RMB tends to lead other Asian currencies especially in short run.
參考文獻 王毓敏、廖四郎、徐守德 (2000)，「亞洲股市間的關係－動態過程的檢定」， Asia Pacific Management Review，5(1): 15-27。
江百璋 (2013)，東協五國與國際市場股匯市之互動關係研究-以美國、歐元區、中國為例，國立成功大學，財務金融所碩士論文。
何國城 (2004)，金融風暴前後亞洲四小龍與美、日間股匯市之整合性及相互關聯性，國立中興大學，財務金融研究所碩士論文。
李冠良 (2013)，台灣股市、匯市與黃金的連鎖之研究，中興大學，企業管理研究所碩士論文。
陳昭穆 (2007)，東南亞金融風暴前後東協五國股市與匯率、利率以及貨幣供給之互動關係，臺灣大學，國際企業學研究所碩士論文。
葉銀華 (2013)，兩岸金融與人民幣市場，台北市：台灣金融研訓院，前程文化。
陳旭昇 (2013)，時間序列分析-總體經濟與財務金融之應用，修訂版，台北市：東華書局。
Aggarwal, R. and M. Mougoué (1993), "Cointegration among Southeast Asian and Japanese Currencies," Economics Letters 41(2): 161-166.
Azali, M. and C. Lee (2009), "Asian Financial Integration during the Pre- and Post-crisis Periods," Journal of International Economic Review 2: 103-112.
Dickey, D. A. and W. A. Fuller (1981), "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica 49(4): 1057-1072.
Engle, R. F. and C. W. J. Granger (1987), "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica 55(2): 251-276.
Frankel, J. and S. J. Wei (1994), "Yen Bloc or Dollar Bloc : Exchange Rate Policies of the East Asian Economies," Macroeconomic Linkage: Savings, Exchange Rates, and Capital Flows, NBER-EASE Volume 3: 295 - 333.
Gharleghi, B., N. Shafighi and B. C. Y. Fah (2015), "Financial Integration and Common Currency Area in ASEAN" Journal of Economics, Business and Management 3(1).
Granger, C. W. J. (1969), "Investigating Causal Relations by Econometric Models and Cross-spectral Methods," Econometrica 37(3): 424-438.
______________ (1981), "Some Properties of Time Series Data and Their Use in Econometric Model Specification," Journal of Econometrics 16(1): 121-130.
Henning, R. (2012), "Choice and Coercion in East Asian Exchange Rate Regimes," Working Paper 12-15. Washington: Peterson Institute for International Economics.
Huang, B. N., C. W. Yang and J. W. S. Hu (2000), "Causality and Cointegration of Stock Markets among the United States, Japan and the South China Growth Triangle," International Review of Financial Analysis 9(3): 281-297.
Hwang, J. D. (2013), "Who Cares about Renminbi? Currency Relations in East Asia at a Closer Look," Journal of Business and Policy Research 8(1): 120-131.
Johansen, S. (1988), "Statistical Analysis of Cointegration Vectors," Journal of Economic Dynamics and Control 12: 231-254.
__________ (1991), "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica 59(6): 1551-1580.
Kim, B. S. (2011), "Linkages Between the US. and Asia-Pacific Exchange Traded Funds（ETF）Markets：Evidence From the 2007-2008 Global Financial Crisis," Asian Academy of Management Journal of Accounting and Finance 7(1): 53-72.
Lien, Y., L. Yang, C. Zhou and G. Lee (2014), "Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets," The North American Journal of Economics and Finance 28: 265-272.
Phillips, P. C. and P. Perron (1988), "Testing for a Unit Root in Time Series Regression," Biometrika 75(2): 335-346.
Shafighi, N., A. H. Shaari, B. Gharleghi, T. Sarmidi and K. Omar (2016), "Financial Integration via Panel Cointegration Approaches in ASEAN+5," Journal of Economic Studies 43(1): 2-15.
Shu, C. (2010), "Impact of the Renminbi Exchange Rate on Asian Currencies," China Economic Issues, Hong Kong Monetary Authority: 221-235.
______, D. He and X. Cheng (2014), "One Currency, Two Markets: the Renminbi`s Growing Influence in Asia-Pacific," BIS Working Papers: 446.
Sims, C. (1980), "Macroeconomics and Reality," Econometrica 48(1): 1-48.
Sriputtangkul, P., P. Tarsakoo and R. Komonrat (2015), "Comovement of ASEAN Currency: A Cointegration Analysis," International Journal of Economic Research 12(3): 633.
Subramanian, A. and M. Kessler (2013), "The Renminbi Bloc is Here: Asia Down, Rest of the World to Go?" Working Paper 12-19. Washington: Peterson Institute for International Economics.
Tse, Y. K. and L. K. Ng (1997), "The Cointegration of Asian Currencies Revisited," Japan and the World Economy 9(1): 109-114.
描述 碩士
國立政治大學
金融研究所
103352015
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103352015
資料類型 thesis
dc.contributor.advisor 朱浩民zh_TW
dc.contributor.advisor Chu, Hau Minen_US
dc.contributor.author (Authors) 邱宇辰zh_TW
dc.contributor.author (Authors) Chiu, Yu Chenen_US
dc.creator (作者) 邱宇辰zh_TW
dc.creator (作者) Chiu, Yu Chenen_US
dc.date (日期) 2016en_US
dc.date.accessioned 1-Jul-2016 15:01:16 (UTC+8)-
dc.date.available 1-Jul-2016 15:01:16 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2016 15:01:16 (UTC+8)-
dc.identifier (Other Identifiers) G0103352015en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/98571-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 103352015zh_TW
dc.description.abstract (摘要) 本研究主要探討在人民幣業務快速擴張與國際化的現象下，人民幣與其他主要亞洲國家貨幣的連動關係，分別以離岸人民幣對港幣、韓圜、日圓、台幣和新加坡幣為研究對象，文中並以2015年8月11日中國人民銀行為完善人民幣開盤匯率中間價的形成機制，於當日開盤大幅上調美元兌人民幣中間價為分界點，觀測人民幣的大幅貶值是否對其他亞洲國家造成影響。文章以Johansen共整合、向量自我迴歸模型(VAR)、向量誤差修正模型(VECM)及Granger因果關係等實證方法，探討五種亞洲主要國家匯率與人民幣間的短期及長期關係。
實證結果顯示，人民幣對此五種亞洲國家匯率的長期均衡關係不甚明 顯，顯示此次人民幣大幅貶值後，長期之下對其他主要亞洲國家匯率走勢並沒有太大的顯著效果。VAR和VECM結果顯示，在人民幣貶值之前，韓圜、台幣及新加坡幣，受離岸人民幣落後項的正向影響；若觀測2015年8月11日人民幣貶值後，則發現無論港幣、韓圜和台幣皆受到離岸人民幣的落後項影響，且顯著程度大於前期時段，尤其與中國貿易依存度較高的韓圜和港幣，受人民幣貶值的影響程度改變最大。最後在Granger因果關係檢定上，人民幣貶值前，離岸人民幣僅對港幣、台幣具有單向的因果關係，而在後段資料期間，顯示離岸人民幣對港幣、日幣、韓圜與台幣均具有顯著的單向因果關係，隱含去年8月11日人民幣大貶後，亞洲國家跟隨人民幣貶值的壓力增大，證明離岸人民幣的確有領先主要亞洲國家貨幣的趨勢，且人民幣的短期影響較為顯著。		zh_TW
dc.description.abstract (摘要) The study mainly discusses the comovement of RMB exchange rate and other Asian currencies under the quick expansion and internationalization of RMB. We use August 11th 2015 as a boundary point, when PBOC allowed the Yuan to depreciate about 1.86 percent against the U.S. dollar to examine whether RMB would affect Hong Kong Dollar, Korean Won, Japanese Yen, New Taiwan Dollar and Singapore Dollar.
The data period is from Jan. 1, 2015 to March 31, 2016. Using the analyses of Johansen Cointegration Test, Vector Autoregression Model, Vector Error Correction Model and Granger Causality Test, empirical results show that the long run relationships between RMB and other Asian currencies are inconspicuous. However, Hong Kong Dollar, Korean Won and New Taiwan Dollar are affected by RMB in VAR and VECM. Moreover, there also exist unidirectional causality from RMB exchange rate to Hong Kong Dollar, Korean Won, Japanese Yen and New Taiwan Dollar. Consequently, the study suggests that Asian currencies have suffered more pressure after RMB depreciation last year, and RMB tends to lead other Asian currencies especially in short run.		en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 3
第二章 文獻回顧 4
第一節 人民幣崛起之相關文獻 4
第二節 匯率共整合之相關文獻 7
第三章 研究方法 12
第一節 單根檢定 12
第二節 向量自我迴歸模型(VAR) 15
第三節 共整合分析 16
第四節 向量誤差修正模型 18
第五節 Granger因果關係檢定 19
第四章 實證分析 21
第一節 實證資料說明 21
第二節 樣本敘述統計分析 26
第三節 實證模型 30
第四節 實證結果 31
第五章 結論與建議 52
第一節 結論 52
第二節 後續研究建議 53
參考文獻 54		zh_TW
dc.format.extent 1240605 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103352015en_US
dc.subject (關鍵詞) 離岸人民幣zh_TW
dc.subject (關鍵詞) 亞洲國家匯率zh_TW
dc.subject (關鍵詞) 共整合檢定zh_TW
dc.subject (關鍵詞) Granger因果關係zh_TW
dc.title (題名) 人民幣匯率與亞洲國家匯率連動關係之探討zh_TW
dc.title (題名) The Comovement of RMB Exchange Rate and Other Asian Currenciesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 王毓敏、廖四郎、徐守德 (2000)，「亞洲股市間的關係－動態過程的檢定」， Asia Pacific Management Review，5(1): 15-27。
江百璋 (2013)，東協五國與國際市場股匯市之互動關係研究-以美國、歐元區、中國為例，國立成功大學，財務金融所碩士論文。
何國城 (2004)，金融風暴前後亞洲四小龍與美、日間股匯市之整合性及相互關聯性，國立中興大學，財務金融研究所碩士論文。
李冠良 (2013)，台灣股市、匯市與黃金的連鎖之研究，中興大學，企業管理研究所碩士論文。
陳昭穆 (2007)，東南亞金融風暴前後東協五國股市與匯率、利率以及貨幣供給之互動關係，臺灣大學，國際企業學研究所碩士論文。
葉銀華 (2013)，兩岸金融與人民幣市場，台北市：台灣金融研訓院，前程文化。
陳旭昇 (2013)，時間序列分析-總體經濟與財務金融之應用，修訂版，台北市：東華書局。
Aggarwal, R. and M. Mougoué (1993), "Cointegration among Southeast Asian and Japanese Currencies," Economics Letters 41(2): 161-166.
Azali, M. and C. Lee (2009), "Asian Financial Integration during the Pre- and Post-crisis Periods," Journal of International Economic Review 2: 103-112.
Dickey, D. A. and W. A. Fuller (1981), "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica 49(4): 1057-1072.
Engle, R. F. and C. W. J. Granger (1987), "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica 55(2): 251-276.
Frankel, J. and S. J. Wei (1994), "Yen Bloc or Dollar Bloc : Exchange Rate Policies of the East Asian Economies," Macroeconomic Linkage: Savings, Exchange Rates, and Capital Flows, NBER-EASE Volume 3: 295 - 333.
Gharleghi, B., N. Shafighi and B. C. Y. Fah (2015), "Financial Integration and Common Currency Area in ASEAN" Journal of Economics, Business and Management 3(1).
Granger, C. W. J. (1969), "Investigating Causal Relations by Econometric Models and Cross-spectral Methods," Econometrica 37(3): 424-438.
______________ (1981), "Some Properties of Time Series Data and Their Use in Econometric Model Specification," Journal of Econometrics 16(1): 121-130.
Henning, R. (2012), "Choice and Coercion in East Asian Exchange Rate Regimes," Working Paper 12-15. Washington: Peterson Institute for International Economics.
Huang, B. N., C. W. Yang and J. W. S. Hu (2000), "Causality and Cointegration of Stock Markets among the United States, Japan and the South China Growth Triangle," International Review of Financial Analysis 9(3): 281-297.
Hwang, J. D. (2013), "Who Cares about Renminbi? Currency Relations in East Asia at a Closer Look," Journal of Business and Policy Research 8(1): 120-131.
Johansen, S. (1988), "Statistical Analysis of Cointegration Vectors," Journal of Economic Dynamics and Control 12: 231-254.
__________ (1991), "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica 59(6): 1551-1580.
Kim, B. S. (2011), "Linkages Between the US. and Asia-Pacific Exchange Traded Funds（ETF）Markets：Evidence From the 2007-2008 Global Financial Crisis," Asian Academy of Management Journal of Accounting and Finance 7(1): 53-72.
Lien, Y., L. Yang, C. Zhou and G. Lee (2014), "Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets," The North American Journal of Economics and Finance 28: 265-272.
Phillips, P. C. and P. Perron (1988), "Testing for a Unit Root in Time Series Regression," Biometrika 75(2): 335-346.
Shafighi, N., A. H. Shaari, B. Gharleghi, T. Sarmidi and K. Omar (2016), "Financial Integration via Panel Cointegration Approaches in ASEAN+5," Journal of Economic Studies 43(1): 2-15.
Shu, C. (2010), "Impact of the Renminbi Exchange Rate on Asian Currencies," China Economic Issues, Hong Kong Monetary Authority: 221-235.
______, D. He and X. Cheng (2014), "One Currency, Two Markets: the Renminbi`s Growing Influence in Asia-Pacific," BIS Working Papers: 446.
Sims, C. (1980), "Macroeconomics and Reality," Econometrica 48(1): 1-48.
Sriputtangkul, P., P. Tarsakoo and R. Komonrat (2015), "Comovement of ASEAN Currency: A Cointegration Analysis," International Journal of Economic Research 12(3): 633.
Subramanian, A. and M. Kessler (2013), "The Renminbi Bloc is Here: Asia Down, Rest of the World to Go?" Working Paper 12-19. Washington: Peterson Institute for International Economics.
Tse, Y. K. and L. K. Ng (1997), "The Cointegration of Asian Currencies Revisited," Japan and the World Economy 9(1): 109-114.		zh_TW