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| Title: | 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 |
| Authors: | 邱宇辰
Chiu, Yu Chen |
| Contributors: | 朱浩民
Chu, Hau Min
邱宇辰
Chiu, Yu Chen |
| Keywords: | 離岸人民幣
亞洲國家匯率
共整合檢定
Granger因果關係 |
| Date: | 2016 |
| Issue Date: | 2016-07-01 15:01:16 (UTC+8) |
| Abstract: | 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. |
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| Description: | 碩士
國立政治大學
金融研究所
103352015 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0103352015 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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