26(2014),83-104
1
(VAR) Granger
Granger
(two way causality)
Granger
1E-mail: [email protected]
26(2014) 84
80
(Brazil) (Russia) (India)
(BRICS) 2010
1
2
(Association of Southeast Asian Nations, ASEAN)
2005 9
3
(Free Trade Agreement, FTA)
2009
1
(International Monetary Fund, IMF) (IMF International
Financial Statistics, IFS) GDP 2010 GDP
53,649 52,729 2
(Taiwan) (Hong Kong) (Singapore) (Korea) 3
ASEAN+3+10+3
https://zh.wikipedia.org/wiki/2005%E5%B9%B4https://zh.wikipedia.org/wiki/%E9%A9%AC%E6%9D%A5%E8%A5%BF%E4%BA%9Ahttps://zh.wikipedia.org/wiki/%E9%A9%AC%E6%9D%A5%E8%A5%BF%E4%BA%9Ahttps://zh.wikipedia.org/wiki/%E4%B8%9C%E4%BA%9A%E5%85%B1%E5%90%8C%E4%BD%93https://zh.wikipedia.org/w/index.php?title=%E5%90%89%E9%9A%86%E5%9D%A1%E5%AE%A3%E8%A8%80&action=edit&redlink=1
85
(Economic
Cooperation Framework Agreement, ECFA)
2010 6 29
ECFA
2012 8 31
(Memorandum of Understanding, MOU)
12 11
(RMB, CNY)
(Do-Mestic Banking Unit, DBU)
(CNT)
(AMU)
(NTD)
DBU
(Offshore Banking Unit, OBU)
OBU OBU DBU
DBU
()
http://zh.wikipedia.org/wiki/%E5%8F%B0%E7%81%A3%E7%B6%93%E6%BF%9Fhttp://zh.wikipedia.org/wiki/%E6%94%BF%E7%AD%96http://zh.wikipedia.org/wiki/2010%E5%B9%B4http://zh.wikipedia.org/wiki/6%E6%9C%8829%E6%97%A5http://zh.wikipedia.org/wiki/%E4%B8%AD%E5%9B%BD%E5%A4%A7%E9%99%86http://zh.wikipedia.org/wiki/%E4%B8%AD%E5%9B%BD%E5%A4%A7%E9%99%86
26(2014) 86
4 CNT CNT
(CNH)
CNH
(HKD)
(, 2013)
3 1.
2. 3. 3
3
3
1.
(1)
4
87
2009
(2) (intervention currency)
(open market operations)
2.
(1) (debt)
(commodity)
(2) (pegging currency)
3.
(1)
(2) (reserve currency)
(currency
basket) 1
3
26(2014) 88
(Hartmann and Issing, 2002)
(current account)
(capital account) (financial
account)
3
3
1.
(denominate
currency)
(intervention
currency)
(invoice
currency)
(pegging
currency)
(investment
currency)
(reserves
currency)
Kenen (1983), Krugman (1984), McKinnon (1993) and Hartmann and
Issing (2002).
(GDP) 2010
89
2009 4
2009 7 1 5
2010
7 19
20
40
6
5
27
6
2011 9 8 (George Osborne)
:
(Financial Times)
2010 7
300
2011 3
2011 9 19
26(2014) 90
ECFA
2005 2005
10 3
2008 5 21
2008 6 30
19
1,571
2011 8
( OBU)
91
()
() (
)
(fixed exchange rate
system) 2005 7
(managed floating exchange rate system)
2012 8 31 12 11
() ()
26(2014) 92
Sims (1980)
(Vector Autoregressive, VAR) (interaction
relationship) VAR - (lead-lag)
(Granger Causality Test)
2 ,1 ) ( ,, iYfY titi
(1)
), ( ,2,1,1 ttt YYfY ), ( ,2,1,2 ttt YYfY
tY ,1 (real effective exchange rate) tY ,2
7 tY ,1 tY ,2
7
()
(World Bank) 2012
93
(1)
(2)
() (VAR)
Sims (1980)
(joint process)
(VAR)
VAR (n)
t
n
i
itit YY
1
(2)
tY (n1) (jointly covariance
stationary) (linearly stochastic process) itY tY
i (n1) i (nn)
(propagation mechanism) t (structural
disturbance) (n1) (one-step ahead) (forecast error)
(innovations) (nn)
Schwarz (1978) SBC (Schwarz Bayesian
Information Criterion) SBC
T ln ) SSR ( lnT NSBC
T ) SSR ( ln SSR (sum square of residual)
N
() Granger
() ()
26(2014) 94
Granger (1969) (predicatability)
- VAR ()
tY tX
xt
q
j
jtj
p
i
itit
yt
q
j
jtj
p
i
itit
XYX
XYY
1
2
1
220
1
1
1
110
(3)
(i1 i2 j1 j2 )
- (1) j1 0 i2 = 0 tX tY
( tY tX )(2) i2 0 j1 = 0 tY tX ( tX
tY )(3) j1 = 0 i2 = 0 tY tX 4
j1 0 i2 0 tY tX
(Feedback)
()
(real effective exchange rate) 2012 5 1
2013 4 30 365
95
2012 8 31
12 11 (cutting point)
2012 5 1 ~ 2012 8 31 123
2012 9 1 ~ 2012 12 11 102
2012 12 12 ~ 2013 4 30
140 (Taiwan Economic
Journal, TEJ) AREMOS
2 (
) 2 Jarque-Bera (J-B)
1 %
(normal distribution) ARCH-LM
5 %
(heteroscedasticity variance) Ljung-Box Q
1 %
1 2 1990 ~ 2010
1 1996
2005 (fixed exchange rate system)
( 1
8.2 - 8.4 ) 2005 7 21
(managed floating exchange rate system)
26(2014) 96
1 8.2 - 8.4 1
6.2 - 6.5 2
(floating exchange
rate system)
2.
(RMB)
(NTD)
Mean 7.6041 30.7257
Max. 8.7300 35.1120
Min. 5.2221 24.6500
Std. Dev 1.0177 3.1534
Skewness -1.1640 -0.4587
Kurtosis 2.9185 1.7209
Jarque-Bera 54.270***
(0.000)
24.778***
(0.000)
ARCH(4) 2.8267**
(0.033)
2.9383**
(0.028)
L-B Q (24) 0.48
(0.484)
14.73***
(0.000)
Obs. 365 365
1. ****** 10%5% 1%
2. Jarque-Bera
22 )3(
4
1
6Ks
nTJB , s
(skewness)k (kurtosis) n T
3. ARCH (p) (ARCH-LM test) LM
4. L-B Q Ljung-Box Q Obs.
97
Exchange Rate of China
1991 1993 1995 1997 1999 2001 2003 2005 2007 2009
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.5
9.0ECN
1. (1990 ~ 2010)
Exchange Rate of Taiwan
1991 1993 1995 1997 1999 2001 2003 2005 2007 2009
24
26
28
30
32
34
36ETW
2. (1990 ~ 2010)
(VAR)
VAR
2
3 (1) (3)
3 (1) 2012 5
1 ~ 2012 8 31
26(2014) 98
(1 tNTD ) ( tRMB ) 10 %
(-0.0682) (2 tNTD )
(1 tRMB ) ( tNTD )
10 % (0.0067)
(2 tRMB )
3 (2) 2012 9 1 ~ 2012 12 11
5 % (-0.0162
-0.3001) 5 %
(0.0023 0.0737)
3 (3) 2012 12 12 ~ 2013 4 30
1 % ( 0.0386) 5 %
(-0.5198)
1 %
(-0.0036) 5 % (0.0183)
3.
),MB ( 11 ttt NTDRfRMB ),MB ( 11 ttt NTDRfNTD
tRMB tNTD
(1) 2012, 5, 1 ~ 2012, 8, 31
tcons tan -0.1336 0.0784
99
(0.608) (0.319)
1 tRMB 0.0615** 0.0067*
(0.012) (0.086)
2 tRMB 0.0133** 0.0033
(0.047) (0.211)
1 tNTD -0.0682* 0.1997***
(0.061) (0.002)
2 tNTD 0.1602 0.0631**
(0.203) (0.025)
(2) 2012, 9, 1 ~ 2012, 12, 11
tcons tan 0.0678 0.0033
(0.561) (0.687)
1 tRMB 0.1301*** 0.0023**
(0.004) (0.020)
2 tRMB -0.2048* 0.0737*
(0.051) (0.053)
1 tNTD -0.0162** 0.2561***
(0.014) (0.001)
2 tNTD -0.3001** 0.0998***
(0.020) (0.010)
(3) 2012, 12, 12 ~ 2013, 4, 30
tcons tan -0.1354 0.0886
(0.217) (0.301)
1 tRMB 0.1121*** -0.0036***
(0.006) (0.004)
2 tRMB 0.0898** 0.0183**
(0.014) (0.019)
1 tNTD 0.0386*** -0.4652***
(0.003) (0.005)
2 tNTD -0.5198*** 0.1003**
(0.009) (0.017)
****** 10%5% 1% ( ) p
Granger
- (Granger Causality Test)
4
4 (1) (3)
26(2014) 100
(two way causality)
(feedback) VAR
-
5
4 Granger
Null Hypothesis F-Statistic p-value
(1) 2012, 5, 1 ~ 2012, 8, 31
NTD RMB 2.69188* 0.075
RMB NTD 3.25819* 0.058
(2) 2012, 9, 1 ~ 2012, 12, 11
NTD RMB 3.46871** 0.020
RMB NTD 5.68956** 0.017
(3) 2012, 12, 12 ~ 2013, 4, 30
NTD RMB 6.22184*** 0.007
RMB NTD 6.63521*** 0.006
****** 10%5% 1%
5. Granger
(1) 2012, 5, 1 ~ 2012, 8, 31 NTD RMB
RMB NTD
(2) 2012, 9, 1 ~ 2012, 12, 11 NTD RMB
RMB NTD
101
(3) 2012, 12, 12 ~ 2013, 4, 30 NTD RMB
RMB NTD
: Granger
Granger
ECFA
(2012 8 31 )
(2012 12 11 )
() ()
(VAR) Granger
Granger
26(2014) 102
(two way causality)
103
2013
Granger, C. W. J. (1969), Investigation causal relations by
econometric models and
cross-spectral methods, Econometrica, 37(4), 424~438.
Hartmann, P. and Issing, O. (2002), The International Role of
the Euro, Journal of
Policy Modeling, 24(4), 315-345.
Kenen, P. (1983), The role of the dollar as an international
currency, Group of Thirty
Occasional Papers, no 13, New York.
Krugman, P. (1984), The International Role of the Dollar: Theory
and Prospect, in
John F. O. Bilson and Richard C. Marston eds., Exchange Rate
Theory and
Practice, Chicago: University of Chicago Press.
McKinnon, Ronald I. (1993), The Rules of the Game: International
Money in
Historical Perspective, Journal of Economic Literature, 31(1),
1-44.
Schwarz, G.. W. (1978), Estimating the Dimension of a Model,
Annalsm of Statistics,
6(4), 461-464.
Sims, C. A. (1980), Macroeconomics and Reality, Econometrica,
48(1), 1-48.
http://search.books.com.tw/exep/prod_search.php?key=%A8H%A4%A4%B5%D8%A1B%A4%FD%C4%D7%AEe&f=author
26(2014) 104
The Interaction between RMB and NTD around the
Practice of the Mechanism of Monetary Liquidation
between China and Taiwan
Yung-Lin Chen2
Abstract
This study employed the Vector Autoregressive Model (VAR) and
the Granger causality test to
investigate the variations of the interaction relation between
RMB and NTD around the practices of the
MOU of monetary liquidation and cooperation and the Mechanism of
monetary liquidation between
China and Taiwan. The main findings demonstrated that with the
practices of the MOU of monetary
liquidation and cooperation and the Mechanism of monetary
liquidation between China and Taiwan
significantly reinforce the short-run relations and the two way
causality relations between the RMB and
NTD. The two policies significantly increase the interaction
relation between RMB and NTD, and it
would advantage for the trade and financial exchange between
China and Taiwan.
KeywordsMechanism of Monetary Liquidation, VAR, Granger
Causality Test
2 Lecturer, Department of Business Administration, Hsing-Kuo
University
