| Abstract: | 世界各地的貿易互動頻繁，相對地顯示出國際間貨幣匯率的重要性，不但影響一國的GDP，也會影響該國貨幣，背後的實質價值，因此，本研究希望能以近年來的貿易狀況為基礎，透過數個與臺灣主要貨物貿易的國家與本國的貿易關係，藉此探討臺幣與其外國貨幣的實質匯率之影響。
本研究目的在探討有效匯率與直接名目匯率之間的關係，以臺幣作為研究對象，並探討臺灣主要貿易六大國貨幣之兌臺幣直接名目匯率與其他貨幣兌臺幣之加權實質匯率的關係。
因避開全球金融風暴所帶來的巨變因素，因此研究期間為2009年1月至2016年12月，其中，選擇美元、日幣、人民幣、歐元、港幣、新加坡幣作為相互關係探討的貨幣。而因在2013年3月前，臺灣中央銀行並無臺幣兌人民幣的直接匯率報價，所以在數據探討時，研究期間以2013年3月前、後分為二大部份。
我們應用了回歸模型，提供了基本的統計屬性分析，ADF單位根分析和相關分析。為了得到合理的實驗結果，我們考察了回歸係數的t值，並對回歸的R2，調整R2，F值，DW，AIC，Schwarz，HQ，Log可能性進行了研究。
結論得「臺幣對日幣的名目匯率與有效匯率」與「臺幣對歐元的名目匯率與有效匯率」皆具有顯著的正向關係，當臺灣對日本及歐元區產生貿易逆差時，臺幣對日幣、歐元而言將貶值。
Taiwan, a country which is surrounded by sea, is an export-oriented country and it also means that it has a relatively high dependence on trading. Trade interactions show the importance of international currency exchange rates, not only affecting a country''s GDP, but also affecting the real value of the country''s currency. So, the study used the recent years'' data of Taiwan’s trading as a basis, and find out not only the number of major countries which traded with Taiwan but also the relationship between them.
The purpose of this study is to explore the relationship between the effective exchange rate and the direct exchange rate, and to explore the relationship between the direct currency exchange rate of Taiwan''s major trading countries and the weighted real exchange rate of other currencies.
Due to the major changes caused by the global financial turmoil, the study period was from January 2009 to December 2016, of which the choice of dollars, Japanese Yen, RMB, euro, Hong Kong dollar, Singapore currency as a currency of mutual relations. And before March 2013, the Taiwan Central Bank did not offer a direct exchange rate of RMB against the yuan. Therefore, during the study of the data, the study period was divided into two parts before and after March 2013.
We applied the multiple regression models and provided the basic statistical properties analysis, ADF unit root analysis, and correlation analysis. For receiving the reasonable experimental results, we examine the value of regression coefficients and investigated the R2, Adjusted R2, F value, DW, AIC, Schwarz, HQ, Log likelihood, for the regressions.
To sum up, there are two significant relationships which both are positive between the nominal exchange rate and the effective nominal exchange rate of “NT currency against the Japanese currency“ and “NT currency against the euro“. In other words, it means that NT dollars on the yen or NT dollars on the euro will depreciate when Taiwan has a trade deficit with Japan or Euro Zone. |
