| 摘要: | 隨著金融全球化的發展，國際間漸漸形成開放的經濟體系，匯率的波動性對各國的經濟發展與金融活動影響甚鉅，本研究分析1992年1月至2016年12月期間，新台幣及台灣於亞洲地區進出口貿易總額前十大之貿易對手國貨幣，相對於美元匯率波動隨時間變化的過程，是否會因不同匯率機制或匯率政策的變化，而有不同的變化內容，討論亞洲金融危機、次級房貸危機以及俄羅斯金融危機後之全球金融危機的出現後，包含新台幣美元等11國的匯率波動是否也會因這些金融危機出現而提高，最後更進一步探討匯率波動是否具有區域傳染效應。
本研究利用Coudert et al. (2011) 所發展的非線性平滑移轉模型探討包含新台幣美元等11國的匯率波動是否會隨金融不確定狀態改變，而有非線性的反應行為，再加上區域傳染變數加以探討亞洲地區匯率波動是否具有傳染效應。
實證結果顯示，日本、韓國及菲律賓的估計結果顯著為正，表示其匯率波動會隨著金融壓力增高而以等比例增加，而台灣、香港、馬來西亞、越南的估計結果顯著為負，在金融危機發生時，其匯率波動卻會減少。另外，當金融危機發生時，台灣、日本、新加坡的匯率波動有受到鄰國之區域傳染效果，而台灣、韓國、新加坡、馬來西亞、菲律賓、印尼及越南則在金融市場波動較平穩時，匯率波動存在線性之傳染效果；台灣和印尼在金融危機發生時，與日本的匯率波動之間存在傳染效果，在金融市場指數波動較平穩時，台灣、新加坡、馬來西亞與日本的匯率波動之間存在線性傳染效果，此外，僅有韓國和馬來西亞與中國大陸之間具有匯率波動之傳染效果。
With the development of financial globalization, the international economy gradually formed an open economy, the volatility of the exchange rate on the country''s economic development and financial activities have a huge impact. This paper studies the impact of global financial turmoil such as Asian financial crisis, subprime mortgage crisis and the Russian financial crisis on the exchange rate policies. We further explore whether exchange rate volatility have regional contagion effects.
This study assess the exchange rate policies by currencies’ volatility and investigate their relationship to a global financial stress indicator, measured by the volatility on global markets. We introduce the possibility of nonlinearities by running smooth transition regressions in Coudert et al. (2011) over a sample of Taiwan and other 11 Asian countries from January 1992 to December 2016.
The results show that Japan, South Korea and the Philippines are significantly positive, indicating that their exchange rate volatility will increase with the increase in financial pressure. Taiwan, Hong Kong, Malaysia, Vietnam are significantly negative. When financial crisis occurred, its exchange rate volatility will be reduced.
In addition, when the financial crisis occurred, Taiwan, Japan, Singapore exchange rate volatility have been affected by the neighboring countries of the regional contagion effect. When Taiwan, South Korea, Singapore, Malaysia, the Philippines, Indonesia and Vietnam in the financial market volatility are relatively stable have a linear infection in exchange rate volatility. There is regional contagion effect between Taiwan and Indonesia and Japan when the financial crisis occurred. In the financial market index volatility is relatively stable, Taiwan, Singapore, Malaysia have a linear infection in exchange rate volatility from Japanese exchange rate volatility. In addition, only South Korea and Malaysia have been affected by China. |
