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題名 台幣兌美元匯率走勢因子研究—製造業採購經理人指數
Using Manufacturing Purchasing Manger Index To Assess USD/TWD Foreign Exchange Movement作者 李仲軒
Lee, Chung-Hsuan貢獻者 岳夢蘭
Yueh, Meng-Lan
李仲軒
Lee, Chung-Hsuan關鍵詞 製造業採購經理人指數
匯率
台幣
美元
Manufacturing Purchasing Managers’ Index
Foreign Exchange
Taiwan Dollar
U.S. Dollar日期 2021 上傳時間 4-Aug-2021 14:43:51 (UTC+8) 摘要 製造業採購經理人指數（Manufacturing Purchasing Managers’ Index）在近幾十年來逐漸受到市場的重視，成為投資人重點關注的指標。而為何造業採購經理人指數會受到市場重視與青睞呢？過去研究發現到製造業採購經理人指數是良好的總體經濟指標，因為其具有衡量經濟狀況（Kauffman（1999）、Lindsey and Pavur（2005））以及預測美國央行利率的能力（Koenig（2002））。Dornbusch（1976）的Sticky Monetary Model中，利用貨幣供給數、生產、利率以及通膨等總體經濟參數來估計匯率的波動。而如果採購經理指數作為良好總體經濟指標，將該指數加入模型中，是否能提高模型的解釋力呢？因此本文希望藉此探討該指數是否能解釋台幣兌美元的匯率走勢。 本研究建立三個模型，並藉此討論製造業採購經理人是否具有解釋匯率的能力。在模型一中，參考Dornbusch（1976）的Sticky Monetary Model，利用M2、GDP、I以及CPI建立了模型一。並考量了台灣央行干預匯率的因素，加入央行干預變數形成模型二。最後在模型二中再加入台灣與美國製造業採購經理人指數的變數。本研究透過最小平方法（Ordinary Least Square Estimation, OLS）進行回歸分析，以及使用F檢定檢測模型間的解釋力是否提高。發現到製造業採購經理人指數的變數在95%的信賴區間下顯著，且可以提高模型的解釋力。並認為製造業採購經理人指數具有解釋台幣兌美元匯率走勢的能力，當台灣製造業PMI比起美國ISM高出10%時，會使得台幣貶值0.1。
Kauffman（1999）, Lindsey and Pavur（2005）showed that Manufacturing Purchasing Managers’ Index can be used to assess economics condition. Koenig（2002）found that the Index can forecast FED Target Federal Fund Rate. And other research had also found that Manufacturing Purchasing Managers’ Index is a good macroeconomics index.Dornbusch（1976）formed Sticky Monetary Model by using macroeconomics index such as, Quantity of Money, Output, Interest, and Inflation to explain movement of foreign exchange rate. And since Manufacturing Purchasing Managers’ Index is also a good macroeconomics index, I want to analyze whether adding Manufacturing Purchasing Managers’ Index can improve the model.In this paper, I will discuss three models. First, I will use Dornbusch（1976）Sticky Monetary Model method to form Model 1. Second, I will add Taiwan Central Bank foreign intervention variable into Model 1 to form Model 2. Third, I will add Manufacturing Purchasing Managers’ Index into Model 2 to form Model 3. And this paper will use Ordinary Least Square Estimation and F-test to test the models.My result shows that Manufacturing Purchasing Managers’ Index not only is significant under 95% confidence interval, but also can increase Model’s R-square. This paper proves that Manufacturing Purchasing Managers’ Index can be used to explain USD/TWD exchange movement. When Taiwan Manufacturing Purchasing Managers’ Index is 10% more than U.S. Manufacturing Purchasing Managers’ Index, USD/TWD will increase 0.1.參考文獻 中央銀行經濟研究處（2003）。金融篇：匯率市場。九十二年中央銀行年報，P105吳聰敏、陳旭昇（2008）。台灣匯率制度初探。經濟論文叢刊，36-2，P147-182。陳旭昇（2016）。央行「阻升不阻貶」？－再探台灣匯率不對稱干預政策。經濟論文叢刊， 44-2， P187 – 213陳旭昇（2019）。台灣匯率貶值政策之探討。經濟論文叢刊，47-1，P41 – 74曾靖尹（2019）。央行干預下的匯率預測︰以美元兌新台幣與韓元為例。未出版之博（碩）士論文，國立高雄大學，應用經濟學系碩士班，高雄。Chin, L., Azali, M., Yusop, Z. B., & Yusoff, M. B. （2007）. The monetary model of exchange rate: evidence from The Philippines. Applied Economics Letters, 14（13）, 993-997.Dornbusch, R. （1976）. Expectations and exchange rate dynamics. Journal of political Economy, 84（6）, 1161-1176.Evans, K. P., & Speight, A. E. （2010）. Dynamic news effects in high frequency Euro exchange rates. Journal of International Financial Markets, Institutions and Money, 20（3）, 238-258.Harris, E. S. （1991）. Tracking the economy with the purchasing managers index. Federal Reserve Bank.Hassan, M. H., & Gharleghi, B. （2015）. Exchange rate determination in Maldives: A study based on the sticky price monetary model. International Journal of Business and Management, 10（7）, 85-92.Hayo, B., & Neuenkirch, M. （2010）. Do Federal Reserve communications help predict federal funds target rate decisions?. Journal of Macroeconomics, 32（4）, 1014-1024.Kauffman, R. G. （1999）. Indicator Qualities of the NAPM Report On Business®. Journal of Supply Chain Management, 35（1）, 29-37.Koenig, E. F. （2002）. Using the purchasing managers’ index to assess the economy’s strength and the likely direction of monetary policy. Federal Reserve Bank of Dallas Economic and Financial Policy Review, 1（6）, 1-14.Lahiri, K., & Monokroussos, G. （2013）. Nowcasting US GDP: The role of ISM business surveys. International Journal of Forecasting, 29（4）, 644-658.Levy-Yeyati, E., Sturzenegger, F., & Gluzmann, P. A. （2013）. Fear of appreciation. Journal of Development Economics, 101, 233-247.Lindsey, M. D., & Pavur, R. J. （2005）. As the PMI turns: a tool for supply chain managers. Journal of Supply Chain Management, 41（1）, 30-39.Nieh, C. C., & Wang, Y. S. （2005）. ARDL approach to the exchange rate overshooting in Taiwan. Review of Quantitative Finance and Accounting, 25（1）, 55-71.Rebalancing the Global Recovery, Retrieved May 25 2021, from: https://www.federalreserve.gov/newsevents/speech/bernanke20101119a.htmTsuchiya, Y. （2012）. Is the purchasing managers’ index useful for assessing the economy’s strength? A directional analysis. Economics Bulletin, 32（2）. 描述 碩士
國立政治大學
財務管理學系
108357005資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108357005 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.advisor Yueh, Meng-Lan en_US dc.contributor.author (Authors) 李仲軒 zh_TW dc.contributor.author (Authors) Lee, Chung-Hsuan en_US dc.creator (作者) 李仲軒 zh_TW dc.creator (作者) Lee, Chung-Hsuan en_US dc.date (日期) 2021 en_US dc.date.accessioned 4-Aug-2021 14:43:51 (UTC+8) - dc.date.available 4-Aug-2021 14:43:51 (UTC+8) - dc.date.issued (上傳時間) 4-Aug-2021 14:43:51 (UTC+8) - dc.identifier (Other Identifiers) G0108357005 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136327 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 108357005 zh_TW dc.description.abstract (摘要) 製造業採購經理人指數（Manufacturing Purchasing Managers’ Index）在近幾十年來逐漸受到市場的重視，成為投資人重點關注的指標。而為何造業採購經理人指數會受到市場重視與青睞呢？過去研究發現到製造業採購經理人指數是良好的總體經濟指標，因為其具有衡量經濟狀況（Kauffman（1999）、Lindsey and Pavur（2005））以及預測美國央行利率的能力（Koenig（2002））。Dornbusch（1976）的Sticky Monetary Model中，利用貨幣供給數、生產、利率以及通膨等總體經濟參數來估計匯率的波動。而如果採購經理指數作為良好總體經濟指標，將該指數加入模型中，是否能提高模型的解釋力呢？因此本文希望藉此探討該指數是否能解釋台幣兌美元的匯率走勢。 本研究建立三個模型，並藉此討論製造業採購經理人是否具有解釋匯率的能力。在模型一中，參考Dornbusch（1976）的Sticky Monetary Model，利用M2、GDP、I以及CPI建立了模型一。並考量了台灣央行干預匯率的因素，加入央行干預變數形成模型二。最後在模型二中再加入台灣與美國製造業採購經理人指數的變數。本研究透過最小平方法（Ordinary Least Square Estimation, OLS）進行回歸分析，以及使用F檢定檢測模型間的解釋力是否提高。發現到製造業採購經理人指數的變數在95%的信賴區間下顯著，且可以提高模型的解釋力。並認為製造業採購經理人指數具有解釋台幣兌美元匯率走勢的能力，當台灣製造業PMI比起美國ISM高出10%時，會使得台幣貶值0.1。 zh_TW dc.description.abstract (摘要) Kauffman（1999）, Lindsey and Pavur（2005）showed that Manufacturing Purchasing Managers’ Index can be used to assess economics condition. Koenig（2002）found that the Index can forecast FED Target Federal Fund Rate. And other research had also found that Manufacturing Purchasing Managers’ Index is a good macroeconomics index.Dornbusch（1976）formed Sticky Monetary Model by using macroeconomics index such as, Quantity of Money, Output, Interest, and Inflation to explain movement of foreign exchange rate. And since Manufacturing Purchasing Managers’ Index is also a good macroeconomics index, I want to analyze whether adding Manufacturing Purchasing Managers’ Index can improve the model.In this paper, I will discuss three models. First, I will use Dornbusch（1976）Sticky Monetary Model method to form Model 1. Second, I will add Taiwan Central Bank foreign intervention variable into Model 1 to form Model 2. Third, I will add Manufacturing Purchasing Managers’ Index into Model 2 to form Model 3. And this paper will use Ordinary Least Square Estimation and F-test to test the models.My result shows that Manufacturing Purchasing Managers’ Index not only is significant under 95% confidence interval, but also can increase Model’s R-square. This paper proves that Manufacturing Purchasing Managers’ Index can be used to explain USD/TWD exchange movement. When Taiwan Manufacturing Purchasing Managers’ Index is 10% more than U.S. Manufacturing Purchasing Managers’ Index, USD/TWD will increase 0.1. 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 採購經理人指數介紹 2第二章 文獻探討 6第一節 採購經理人指數對經濟的預測 6第二節 採購經理人指數對貨幣政策的預測 7第三節 其他變數：Sticky Monetary Model與央行干預 8第三章 研究資料以及變數說明 11第一節 變數資料收集 11第二節 變數資料處理 15第四章 研究方法 16第一節 研究流程與架構 16第二節 模型建立及參數選取 16第三節 模型係數估計 18第五章 實證結果與分析 19第一節 資料敘述統計與變數相關性 19第二節 模型實證結果 21第六章 結論 24第一節 結論 24第二節 研究限制與未來研究建議 24第七章 參考文獻 25 zh_TW dc.format.extent 1442607 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108357005 en_US dc.subject (關鍵詞) 製造業採購經理人指數 zh_TW dc.subject (關鍵詞) 匯率 zh_TW dc.subject (關鍵詞) 台幣 zh_TW dc.subject (關鍵詞) 美元 zh_TW dc.subject (關鍵詞) Manufacturing Purchasing Managers’ Index en_US dc.subject (關鍵詞) Foreign Exchange en_US dc.subject (關鍵詞) Taiwan Dollar en_US dc.subject (關鍵詞) U.S. Dollar en_US dc.title (題名) 台幣兌美元匯率走勢因子研究—製造業採購經理人指數 zh_TW dc.title (題名) Using Manufacturing Purchasing Manger Index To Assess USD/TWD Foreign Exchange Movement en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中央銀行經濟研究處（2003）。金融篇：匯率市場。九十二年中央銀行年報，P105吳聰敏、陳旭昇（2008）。台灣匯率制度初探。經濟論文叢刊，36-2，P147-182。陳旭昇（2016）。央行「阻升不阻貶」？－再探台灣匯率不對稱干預政策。經濟論文叢刊， 44-2， P187 – 213陳旭昇（2019）。台灣匯率貶值政策之探討。經濟論文叢刊，47-1，P41 – 74曾靖尹（2019）。央行干預下的匯率預測︰以美元兌新台幣與韓元為例。未出版之博（碩）士論文，國立高雄大學，應用經濟學系碩士班，高雄。Chin, L., Azali, M., Yusop, Z. B., & Yusoff, M. B. （2007）. The monetary model of exchange rate: evidence from The Philippines. Applied Economics Letters, 14（13）, 993-997.Dornbusch, R. （1976）. Expectations and exchange rate dynamics. Journal of political Economy, 84（6）, 1161-1176.Evans, K. P., & Speight, A. E. （2010）. Dynamic news effects in high frequency Euro exchange rates. Journal of International Financial Markets, Institutions and Money, 20（3）, 238-258.Harris, E. S. （1991）. Tracking the economy with the purchasing managers index. Federal Reserve Bank.Hassan, M. H., & Gharleghi, B. （2015）. Exchange rate determination in Maldives: A study based on the sticky price monetary model. International Journal of Business and Management, 10（7）, 85-92.Hayo, B., & Neuenkirch, M. （2010）. Do Federal Reserve communications help predict federal funds target rate decisions?. Journal of Macroeconomics, 32（4）, 1014-1024.Kauffman, R. G. （1999）. Indicator Qualities of the NAPM Report On Business®. Journal of Supply Chain Management, 35（1）, 29-37.Koenig, E. F. （2002）. Using the purchasing managers’ index to assess the economy’s strength and the likely direction of monetary policy. Federal Reserve Bank of Dallas Economic and Financial Policy Review, 1（6）, 1-14.Lahiri, K., & Monokroussos, G. （2013）. Nowcasting US GDP: The role of ISM business surveys. International Journal of Forecasting, 29（4）, 644-658.Levy-Yeyati, E., Sturzenegger, F., & Gluzmann, P. A. （2013）. Fear of appreciation. Journal of Development Economics, 101, 233-247.Lindsey, M. D., & Pavur, R. J. （2005）. As the PMI turns: a tool for supply chain managers. Journal of Supply Chain Management, 41（1）, 30-39.Nieh, C. C., & Wang, Y. S. （2005）. ARDL approach to the exchange rate overshooting in Taiwan. Review of Quantitative Finance and Accounting, 25（1）, 55-71.Rebalancing the Global Recovery, Retrieved May 25 2021, from: https://www.federalreserve.gov/newsevents/speech/bernanke20101119a.htmTsuchiya, Y. （2012）. Is the purchasing managers’ index useful for assessing the economy’s strength? A directional analysis. Economics Bulletin, 32（2）. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100688 en_US
