貨幣政策與匯率轉嫁之探討──台灣之實證分析

Monetary Policy and Exchange Rate Pass-Through: The Case of Taiwan

雖然國際經濟學家對匯率轉嫁(exchange rate pass-through)的探討行之已久，但匯率轉嫁是否受貨幣政策的影響，則是近來新開放總體經濟(new open-economy macro- economics)文獻所矚目的焦點之一。本文擬探討台灣各類商品進口價格的匯率轉嫁幅度，並進一步探究該幅度是否會受貨幣政策的影響。方法上，本文首先將參考Bailliu and Fujii (2004)及Campa and Goldberg (2005)的模型設定，用以建構實證分析之計量模型。有別於文獻中常用最小平方法估計的向量自我迴歸模型與單一方程模型，本文採用一般動差法估計動態追蹤資料模型，並進行假說檢定。本實證結果顯示，短期匯率轉嫁幅度為不完全轉嫁，但在長期則為完全轉嫁，與既有文獻相符。而貨幣政策在短期會影響匯率轉嫁幅度，但該影響效果會逐漸遞減至零。這隱含政策執行者欲藉由貨幣政策對匯率轉嫁幅度的影響，進而影響其他總體經濟變數的做法，在短期有效，長期則無效。

The issue of exchange rate pass-through has been discussed for a long time, but linking to the macroeconomic factors (such as monetary policy and inflation environment) has recently been concerned by one of the new open-economy macroeconomics literature. This paper attempts to investigate the pass-through of exchange rate into industry-level import prices, and to explore whether monetary policy is associated with exchange rate pass-through effects, using Taiwan monthly trading industries data. Methodologically, we first set up an empirical model by following the testable concepts of Bailliu and Fujii (2004) and Campa and Goldberg (2005). Contrary to vector autoregressive models and single-equation models utilizing least squares estimation in the literature, this paper adopts the generalized method of moments to estimate a dynamic panel data model and thereby conduct the hypothesis testing. The empirical results show that the exchange rate pass-through is incomplete in the short run while complete in the long run, in conformity with the literature. Moreover, the monetary policy does affect the degree of exchange rate pass-through in the short run, but such effects are decaying to zero over time. This implies that the monetary policy is operative in the short run but not in the long run if a policymaker undertakes a monetary policy to change the exchange rate and consequently other macroeconomic variables.