台韓匯率、相對物價之因果與時差分析－－向量自我迴歸模型之應用

The Time Lag and Causality between Exchange Rate and Relative Price of Taiwan and Korea - Vector Autoregression Model

本文係在購買力平價說（Purchasing Power Parity；PPP）的理論架構下，利用向量自我迴歸模型分析台韓匯率與相對物價之因果關係及時差。研究結果發現名目匯率係影響相對物價之因，當名目匯率變動將顯著影響兩國的相對物價，且約需九個月才能促使相對物價作較全面的調整。

This study use self-vector regression to analysis the exchange rate and relative price of Taiwan and South Korea. The results of the study found that the nominal exchange rate will affect the relative price, when the nominal exchange rate changes will significantly influence the relative prices of the two countries, and it needs nine months to make the relative prices for comprehensive adjustment.