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題名 匯率轉嫁與市場取價－台灣的實證研究
Exchange rate pass-through and pricing to market: the Taiwan case作者 黃恩恩
Huang, En En貢獻者 郭炳伸
Kuo, Biing Shen
黃恩恩
Huang, En En關鍵詞 匯率轉嫁
市場取價
門檻迴歸模型
exchange rate pass-through
pricing to market
threshold regression model日期 2009 上傳時間 27-Jun-2013 16:49:54 (UTC+8) 摘要 台灣的經濟發展，仰賴對外貿易甚鉅。廠商如何因應匯率的變動，在國際競爭激烈的貿易市場中策略性的定價以取得優勢，一直是國際貿易與金融發展上重要的議題。因此，本論文包括三篇文章，依序透過台灣進口物價、出口物價，以及人造纖維梭織布的出口價格，探討匯率轉嫁與市場取價的相關議題。以下就每篇文章的重點摘要如下。第一篇主要驗證「菜單成本」(menu costs) 存在，所產生之不對稱匯率轉嫁行為。由於菜單成本的存在，出口商必須在調價所產生的菜單成本，以及不調價對其市場競爭力的減損中，進行權衡取捨(trade-off)。我們首先透過模型推導，說明在此情況下，出口商唯有在匯率變動超過某一水準（門檻）時，才會因應匯率變動進行調價。這意謂若匯率波動幅度較小時，出口商囿於菜單成本不會調整價格，進口國將面臨完全匯率轉嫁；而若匯率變動幅度夠大，出口商才會調整價格以維持其市場競爭力，而產生不完全匯率轉嫁。為驗證並說明此一不對稱匯率轉嫁現象，我們利用門檻迴歸模型(threshold regression model)進行台灣進口品是否有不對稱轉嫁之實證分析。結果顯示，以匯率變動幅度為門檻變數下，當匯率變動幅度小於門檻值3%時，匯率轉嫁程度高達58.7%;而匯率變動幅度高於門檻值3%時，則無顯著之匯率轉嫁。我們因此認為菜單成本的存在，確實可能導致匯率不對稱轉嫁行為。第二篇則應用門檻迴歸模型檢驗台灣出口物價是否因菜單成本導致在匯率變動幅度不同時，產生不同程度調整加成的出口定價行為，導致不對稱匯率轉嫁。實證結果顯示，當匯率變動幅度低於門檻2.5%時，調整出口價格的幅度為27%。反之，當匯率變動幅度超過門檻值時，相較於前者，調價幅度增加至42%。經檢定兩者有顯著差異，證實有不對稱匯率轉嫁。上述不對稱匯率轉嫁的實證結果與理論預期並未完全相符。我們認為可能的原因在於出口商考量當期市佔率對未來利潤的潛在影響力，因此即使當期匯率變動幅度小，仍選擇微幅調價，藉以維持市場優勢與價格競爭力。亦即菜單成本可能並非影響其定價行為的關鍵因素。此外，廠商也有可能考量其在短期無法立即因應需求而擴張產能，因此即使匯率變動幅度小，仍選擇調價穩定進口價格，如此可避免因產能不足無法接單而流失客戶。再者，受限於資料的取得，我們採用總體出口物價資料，因此僅能呈現出平均的定價行為，而無法凸顯個別產業的出口定價行為。上述皆有可能是造成理論預期與實證結果不完全一致的原因。為修正前兩篇使用總體資料的缺點，並進一步瞭解出口商因應匯率變動時是否依不同目標市場決定不同的調整加成幅度，在第三篇中本文使用人造纖維梭織布產業資料，主要探討在不完全競爭市場的結構下，出口商面對匯率變動時的「市場取價」行為。由於紡織業為台灣創匯產業，早期以出口胚布和成衣服飾品為主。到1980年代以後，逐漸地轉為以出口紗與成品布為主。在2005年全面取消全球紡織品配額後，紡織業的競爭更加激烈。儘管台灣有許多紡織廠外移至大陸及東南亞國家生產，使得台灣布料的出口額逐年減少。然而，台灣的人造纖維梭織布的出口單價卻有上升的趨勢。因此，本文主要探討台灣自1999年至2009年，人造纖維梭織布出口至美國、中國、香港及印尼等前四大出口目的國，因應匯率變動的出口定價行為是否具有市場取價的特性。此研究有助於我們瞭解產業競爭的過程與廠商的定價行為。實證結果顯示，台灣人纖梭織布的出口有市場取價的能力。對於出口至美國及香港的人纖梭織布，出口商會因應匯率等比例調整加成，自行吸收匯率變動對進口價格的影響，以穩定進口價格(即 local currency pricing stability)。對於出口至中國及印尼的人纖梭織布，則未有明顯的證據支持類似的調價行為。 參考文獻 吳中書、許良華 (1996), 「匯率波動對台灣九大產業出口價格之影響」，《台灣經濟學會年會論文集》， 282-310。吳博欽、陳本盛 (2001), 「避險措施、出口不穩定與匯率轉嫁--以台灣電子資訊產業為例」，《台灣經濟學會年會論文集》，63-93。黃恩恩、藍青玉與郭炳伸 (2007), 「菜單成本與不對稱匯率轉嫁-以台灣進口物價為例」，《經濟論文》，28， 369-396。劉宗欣與張銘仁, 2000, 「進口物價的匯率轉嫁與不對稱性：台灣的實證研究」，《經濟論文》， 28， 369-396。Ball, Laurence and David Romer, 1990, "Real Rigidities and Nonneutrality of Money." Review of Economic Studies, 57, 183-203.Blanchard Olivier J, and Nobuhiro Kiyotaki, 1987, "Monopolistic Competition and the Effects of Aggregate Demand." American Economic Review, 77, 647-666.Corsetti and Pesenti, 1997, "Welfare and macroeconomic interdependence." NBER Working Paper No.6307.Aw, B. Y. (1993), "Price discrimination and markups in export markets," Journal of Development Economics, 42, 315-336.Athukorala, P. and J. Menon, 1994, "Pricing to Market Behaviour and Exchange Rate Pass-Through in Japanese Exports," The Economic Journal, 104, 271-281.Brissimis, S. N. and T. S. Kosma, 2007, "Market power and exchange rate pass-through," International Review of Economics and Finance, 16, 202-222.Coricelli, F., B. Jazbec and I. Maston, 2006, "Exchange Rate Pass-Through in EMU Acceding Countries: Empirical Analysis and Policy Implications," Journal of Monetary Economics, 30, 1375-1391.Campa, J. M. and L.S. Goldberg, 2005, "Exchange Rate Pass-Through into Import Prices,"Review of Economics and Statistics, 87, 679-690.Corsetti, G. and P. Pesenti, 2005, "International Dimensions of Optimal Monetary Policy," Journal of Monetary Economics, 52, 281-305.Delgago, F. A., 1991, "Hysteresis, Menu Costs, and Pricing with Random Exchange Rates," Journal of Monetary Economics, 28, 461-484.Devereux, M.B. and J. Yetman., 2005, "Price Adjustment and Exchange Rate Pass-Through," SSRN Working Paper, February.Ellingsen T., R. Friberg and J. Hassler, 2006, "Menu Costs and Asymmetric Price Adjustment," CEPR Discussion Paper No. 5749.Engel C., 2006, "Equivalence Results for Optimal Pass-Through, Optimal Indexing to Exchange Rates, and Optimal Choice of Currency for Export Pricing," Journal of the European Economic Association, 4, 1249-1260.Fishman, A. and A. Simhon, 2005, "Can Small Menu Costs Explain Sticky Prices?" Economics Letters, 87, 227-230.Froot, K. A. and P.D. Klemperer (1989), "Exchange Rate Pass-Through When Market Share Matters," American Economic Review, 79, 637-654.Gagnon, J. E. and M. Knetter (1995), "Mark-up Adjustment and Exchange Rate Fluctuationa: Evidence from Panel Data on Automobile Exports," Journal od International Money and Finance, 14, 289-310.Ghosh, A. and H. Wolf, 2001, "Imperfect Exchange Rate Pass-Through: Strategic Pricing and Menu Costs," CESifo Working Paper No.436, March.Gil-Pareja, S., 2000, "Exchange Rates and European Countries` Export Prices: An Empirical Test for Asymmetries in Pricing to Market Behavior," Review of World Economics, 136, 1-23.Gil-Pareja, S., 2001, "Pricing to Market in European Automobile Exports to OECD Countries: a panel data approach," Applied Economics, 33, 1845-1856.Gil-Pareja, S., 2002, "Export Price Discrimination in Europe and Exchange Rates," Review of International Economics, 10, 299-312.Gil-Pareja, S., 2003, "Pricing to Market Behavior in European Car Markets," European Economic Review, 47, 945-962.Goldberg, P. and M. Knetter, 1997, "Goods Prices And Exchange Rates," Journal of Economic Literature, 35, 1243-1272.Hansen, B.E., 2000, "Sample Splitting and Threshold Estimation," Econometrica, 68, 575-603.Hooper, P. and C. L. Mann , 1989, "Exchange Rate Pass-Through in the 1980s: The Case of U.S. Imports of Manufactures," Brooking Papers on Economics Activity, 1, 297-337.Knetter, M. , 1989, "Price Discrimination by US and German Exporters," American Economic Review, 79, 198-210.Knetter, M. , 1993, "International Comparisons of Pricing-to-Market Behavior," American Economic Review, 83, 473-486.Knetter, M. , 1995, "Pricing to Market in Response to Unobservable and Observable Shocks," International Economic Journal, 9, 1-25.Krugman, P. , 1987, "Pricing to MArket When the Exchange Rate Changes," Real Financial Linkages Among Open Economics, 49-70.Lane, P. R., 2001, "The New Open Economy Macroeconomics: A Survey," Journal of International Economics, 54, 235-266.Levy, D., M. Bergen, S. Dutta and R. Venable, 1997, "The Magnitude of Menu Costs: Direct Evidence from Large U.S. Supermarket Chains," Quarterly Journal of Economics, 112, 791-825.Menon, J., 1995, "Exchange Rates and Import Prices for a Small Open Economy," Applied Economics, 27, 297-301.Marston, R. C. (1990), "Pricing to Market in Japanese Manufacturing," Journal of International Economics, 29, 217-236.Menon, J., 1995, "Exchange Rates Pass-Through," Journal of Economics Surveys, 9, 197-231.Moreno, R., 1989, "Exchange Rates and Trade Adjustment in Taiwan and Korea," Economic Review, 2, 197-231.Parsley, D. C., 2004, "Pricing in International Markets: a small-country Benchmark," Review of International Economics, 12, 509-524.Pollard, P. S. and C. C. Coughlin, 2004, "Size Matters: Asymmetric Exchange Rate Pass-Through at the IndustryLevel," Federal Reserve Bank of St. Louis Working Paper, 2003-029C, July.Sasaki, Y. N., 2002, "Pricing-to-Market Behavior: Japanese Exports to the US, Asia, and the EU,"Review of International Economics, 10, 140-150.Teo, W. L., 2006, " An Estimated Dynamic Stochastic General Equilibrium Model of the Taiwanese Economy," Manuscript.Toh, M. H. and H. J. Ho (2001), "Exchange Rate Pass-Through for Selected Asian Economies," Singapore Economic Review, 46, 247-273.Zbaracki, M. J., M. Ritson, D. Levy, S. Dutta and M. Bergen, 2004, "Managerial and Customer Costs of Price Adjustment: Direct Evidence from Industrial Markets,"Review of Economics and Statistics, 86, 514-533. 描述 博士
國立政治大學
國際經營與貿易研究所
92351506
98資料來源 http://thesis.lib.nccu.edu.tw/record/#G0923515061 資料類型 thesis dc.contributor.advisor 郭炳伸 zh_TW dc.contributor.advisor Kuo, Biing Shen en_US dc.contributor.author (Authors) 黃恩恩 zh_TW dc.contributor.author (Authors) Huang, En En en_US dc.creator (作者) 黃恩恩 zh_TW dc.creator (作者) Huang, En En en_US dc.date (日期) 2009 en_US dc.date.accessioned 27-Jun-2013 16:49:54 (UTC+8) - dc.date.available 27-Jun-2013 16:49:54 (UTC+8) - dc.date.issued (上傳時間) 27-Jun-2013 16:49:54 (UTC+8) - dc.identifier (Other Identifiers) G0923515061 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58588 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易研究所 zh_TW dc.description (描述) 92351506 zh_TW dc.description (描述) 98 zh_TW dc.description.abstract (摘要) 台灣的經濟發展，仰賴對外貿易甚鉅。廠商如何因應匯率的變動，在國際競爭激烈的貿易市場中策略性的定價以取得優勢，一直是國際貿易與金融發展上重要的議題。因此，本論文包括三篇文章，依序透過台灣進口物價、出口物價，以及人造纖維梭織布的出口價格，探討匯率轉嫁與市場取價的相關議題。以下就每篇文章的重點摘要如下。第一篇主要驗證「菜單成本」(menu costs) 存在，所產生之不對稱匯率轉嫁行為。由於菜單成本的存在，出口商必須在調價所產生的菜單成本，以及不調價對其市場競爭力的減損中，進行權衡取捨(trade-off)。我們首先透過模型推導，說明在此情況下，出口商唯有在匯率變動超過某一水準（門檻）時，才會因應匯率變動進行調價。這意謂若匯率波動幅度較小時，出口商囿於菜單成本不會調整價格，進口國將面臨完全匯率轉嫁；而若匯率變動幅度夠大，出口商才會調整價格以維持其市場競爭力，而產生不完全匯率轉嫁。為驗證並說明此一不對稱匯率轉嫁現象，我們利用門檻迴歸模型(threshold regression model)進行台灣進口品是否有不對稱轉嫁之實證分析。結果顯示，以匯率變動幅度為門檻變數下，當匯率變動幅度小於門檻值3%時，匯率轉嫁程度高達58.7%;而匯率變動幅度高於門檻值3%時，則無顯著之匯率轉嫁。我們因此認為菜單成本的存在，確實可能導致匯率不對稱轉嫁行為。第二篇則應用門檻迴歸模型檢驗台灣出口物價是否因菜單成本導致在匯率變動幅度不同時，產生不同程度調整加成的出口定價行為，導致不對稱匯率轉嫁。實證結果顯示，當匯率變動幅度低於門檻2.5%時，調整出口價格的幅度為27%。反之，當匯率變動幅度超過門檻值時，相較於前者，調價幅度增加至42%。經檢定兩者有顯著差異，證實有不對稱匯率轉嫁。上述不對稱匯率轉嫁的實證結果與理論預期並未完全相符。我們認為可能的原因在於出口商考量當期市佔率對未來利潤的潛在影響力，因此即使當期匯率變動幅度小，仍選擇微幅調價，藉以維持市場優勢與價格競爭力。亦即菜單成本可能並非影響其定價行為的關鍵因素。此外，廠商也有可能考量其在短期無法立即因應需求而擴張產能，因此即使匯率變動幅度小，仍選擇調價穩定進口價格，如此可避免因產能不足無法接單而流失客戶。再者，受限於資料的取得，我們採用總體出口物價資料，因此僅能呈現出平均的定價行為，而無法凸顯個別產業的出口定價行為。上述皆有可能是造成理論預期與實證結果不完全一致的原因。為修正前兩篇使用總體資料的缺點，並進一步瞭解出口商因應匯率變動時是否依不同目標市場決定不同的調整加成幅度，在第三篇中本文使用人造纖維梭織布產業資料，主要探討在不完全競爭市場的結構下，出口商面對匯率變動時的「市場取價」行為。由於紡織業為台灣創匯產業，早期以出口胚布和成衣服飾品為主。到1980年代以後，逐漸地轉為以出口紗與成品布為主。在2005年全面取消全球紡織品配額後，紡織業的競爭更加激烈。儘管台灣有許多紡織廠外移至大陸及東南亞國家生產，使得台灣布料的出口額逐年減少。然而，台灣的人造纖維梭織布的出口單價卻有上升的趨勢。因此，本文主要探討台灣自1999年至2009年，人造纖維梭織布出口至美國、中國、香港及印尼等前四大出口目的國，因應匯率變動的出口定價行為是否具有市場取價的特性。此研究有助於我們瞭解產業競爭的過程與廠商的定價行為。實證結果顯示，台灣人纖梭織布的出口有市場取價的能力。對於出口至美國及香港的人纖梭織布，出口商會因應匯率等比例調整加成，自行吸收匯率變動對進口價格的影響，以穩定進口價格(即 local currency pricing stability)。對於出口至中國及印尼的人纖梭織布，則未有明顯的證據支持類似的調價行為。 zh_TW dc.description.tableofcontents 1. 緒論................................................. 12. 菜單成本與不對稱匯率轉嫁－以台灣進口物價為例...............5 2.1 前言...............................................5 2.2 理論模型...........................................9 2.3 計量模型與變數資料來源..............................12 2.3.1 實證設定.....................................12 2.3.2 估計策略.....................................16 2.3.3 變數與資料來源................................172.4 實證結果分析.........................................18 2.4.1 門檻效果（不對稱）檢定...........................18 2.4.2 不對稱匯率轉嫁..................................202.5 結論................................................253. 出口定價行為與不對稱匯率轉嫁－以台灣出口物價為例......... 27 3.1 前言.............................................27 3.2 理論模型..........................................29 3.2.1 理論推導分析.................................29 3.2.2 產生兩個門檻的原因與直覺.......................36 3.3 出口定價行為、不對稱匯率轉既與門檻迴歸模型.............37 3.3.1 變數與資料來源................................39 3.3.2 實證設定.....................................41 3.3.3 估計策略.....................................43 3.4 實證結果..........................................43 3.5 結論.............................................47 4. 市場取價－人造纖維梭織布出口價格實證研究...............49 4.1 前言............................................49 4.2 理論模型背景.....................................53 4.3 市場取價實證設定與資料說明.........................54 4.3.1 實證設定....................................54 4.3.2 變數與資料來源...............................59 4.4 實證估計結果......................................61 4.5 結論.............................................68附錄...................................................70A 第二章理論模型證明.....................................70B 第三章理論模型證明.....................................79參考文獻................................................88 zh_TW dc.format.extent 1240327 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0923515061 en_US dc.subject (關鍵詞) 匯率轉嫁 zh_TW dc.subject (關鍵詞) 市場取價 zh_TW dc.subject (關鍵詞) 門檻迴歸模型 zh_TW dc.subject (關鍵詞) exchange rate pass-through en_US dc.subject (關鍵詞) pricing to market en_US dc.subject (關鍵詞) threshold regression model en_US dc.title (題名) 匯率轉嫁與市場取價－台灣的實證研究 zh_TW dc.title (題名) Exchange rate pass-through and pricing to market: the Taiwan case en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 吳中書、許良華 (1996), 「匯率波動對台灣九大產業出口價格之影響」，《台灣經濟學會年會論文集》， 282-310。吳博欽、陳本盛 (2001), 「避險措施、出口不穩定與匯率轉嫁--以台灣電子資訊產業為例」，《台灣經濟學會年會論文集》，63-93。黃恩恩、藍青玉與郭炳伸 (2007), 「菜單成本與不對稱匯率轉嫁-以台灣進口物價為例」，《經濟論文》，28， 369-396。劉宗欣與張銘仁, 2000, 「進口物價的匯率轉嫁與不對稱性：台灣的實證研究」，《經濟論文》， 28， 369-396。Ball, Laurence and David Romer, 1990, "Real Rigidities and Nonneutrality of Money." 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