淨國外資產部位失衡與金融調整效果──台灣的實證研究

EMPIRICAL ANALYSIS OF EXTERNAL IMBALANCE AND FINANCIAL ADJUSTMENT IN TAIWAN

一國淨國外資產的跨期預算限制式指出今日一國淨國外資產部位失衡，可透過貿易調整管道或金融調整管道來彌補。而傳統分析淨國外資產部位變動之文獻忽略了金融調整管道。本文探討透過匯率變動造成台灣淨國外資產部位的資產價值變動效果（valuation effect），對台灣淨國外資產部位失衡（external imbalance）的影響程度。實證結果指出資產價值變動效果對台灣淨國外資產部位失衡調整之貢獻約為23.88%。此外，當期的台灣淨國外資產部位失衡可預測未來一季至一年的淨國外資產實質總報酬及未來三年的淨出口成長。且當期的台灣淨國外資產部位失衡也可在樣本內及樣本外預測未來一季至三年的新台幣金融加權匯率。本研究亦發現台灣之國外負債存在被忽略之神秘物質（dark matter），導致國外負債被低估，造成台灣經常帳餘額被高估，此結果不僅顯示存在過高且負向之超額報酬（abnormal return）效果，亦對新台幣合理價位之判斷具參考性。

According to a country’s intertemporal budget constraint, current external imbalances can be compensated through either future export growth (trade adjustment channel) or future movements in returns of the net foreign asset portfolio (financial adjustment channel) or both. However, the role of the financial adjustment channel has been omitted in conventional literature. This paper explores the valuation channel operating, in particular, through expected exchange-rate changes, and discusses its contribution to external imbalance of net foreign assets in Taiwan. Empirical results indicate that valuation effects contribute about 23.88% of external imbalance adjustment. Besides, current external imbalances in Taiwan are able to predict net foreign asset returns at one-quarter to one-year horizons. The external imbalance out-predicts Taiwan’s financial-weighted exchange rate at one-quarter to three-year horizons. In addition, this paper also indicates the existence of dark matter in foreign liability of Taiwan, resulting in the undervaluation of Taiwan’s foreign liability and the overvaluation of its current account balances. This not only implies negative abnormal returns but also provide useful information for judging the appropriate level of exchange rates between NTD and foreign currencies.