實質匯率持續性的實證研究

Persistence in Real Exchange Rates: An Empirical Examination

本文目的在實證觀察，亞洲太平洋地區新興市場國家，其貨幣兌美元、日圓雙邊實質匯率的持續性問題。在研究方法上，我們分析各匯率序列資料在不同檢定方法與條件下的恆定性，以瞭解其是否具備持續性等基本特性。除此，並實證估計其受到一單位衝擊後，在當期與未來數期內的動態調整路徑，以進一步估算匯率資料的半衰期值。最後，則列示物價與實質匯率半衰期的相對關係。本研究實證結論，亞太新興工業國家實質匯率的半衰期約為4.2年，較其他實證研究而言頗為相近。若個別觀察臺灣、南韓的結果則顯示，平均而言南韓的實質匯率持續性可能較臺灣稍高。

The purpose of this study is examining the persistence features of bilateral real exchange rates, Japanese yen and US dollar, of the newly industrial countries in Asia Pacific Rim. We employ numerous alternative econometric methods under different testing conditions to analyze the stationary problems for understanding the basic persistence characterizations. Furthermore, we also investigate the dynamic paths of real exchange rates after unit innovation for estimating their half-lives. The basic relationships between the prices and half-lives of real exchange rates are illustrated in the study. In general, the half-life is about 4.2 years in these countries, similar to the results in developed countries. In particular, the real exchange rate persistence in Taiwan is lightly lower than that in S. Korea.