匯率變動對開放總體經濟活動之影響－台灣、日本SVAR模型實證分析

Abstract

The thesis presents a relationship of monetary policy reaction function and exchange rate regime in open economy of Taiwan and Japan using SVAR model. The economic variables of the model are including domestic interest rate, consumer price index, industrial index, nominal exchange rate, and foreign interest rate. The research uses 206 panel data, from 1989:05 to 2006:06 to examine the role of exchange rate as a shock-absorber or source of shocks. The results of the empirical research are summarized as follows: The shock between Taiwan and United States belongs to symmetric shock. The interest rates of United States and Taiwan respond in the same way to real shock, so foreign monetary policy shock has a great effect on domestic monetary policy. It is little need for the exchange rate to act as a shock-absorber to stabilizing economy. It is effective for Taiwan to join optimal currency area than use exchange rate policy or monetary policy to stabilizing economy. The shocks are idiosyncratic between Japan and United States，so the exchange rate can absorb such shocks. Exchange rate market disturbance resulted in exchange rate variation; the reactions of monetary policy to supply shock and demand shock are influential. For Japan, it is better to have independent of monetary policy and exchange rate policy as shock absorption to stabilize economy.