| 摘要: | 亞洲四小龍的南韓，從1970 年代起即以出口貿易導向為發展策略，因此出口擴張一直都是南韓經濟成長的主要動力，在2000年至2005年期間，韓國的出口平均每年增加12.1%，到了2010年其出口總金額高達4,664億美元，經濟成長率為6.2%。1997年的亞洲金融風暴及2008年的金融海嘯不但波及東亞各國的經濟安定與出口貿易的競爭力，也導致韓圜在金融海嘯期間(2008年8月~2009年3月)兌美元大幅貶值42%，但是在2010年9月韓圜兌美元的升值幅度高達10.6%。由於南韓是一個高度開放的經濟體，對外貿易是影響經濟成長的重要因素，但是進出口貿易又深受匯率波動的影響，故本文想以韓國為研究對象，探討自1976年第1季到2012年第1季這段期間，匯率失衡與經濟成長之間的關係。 本文根據MacDonald (1997, 2000), Di Bella, et al. (2007), Ricci, et al. (2008)等文之看法，選擇淨國外資產、生產力差異、政府消費、商品的貿易條件與貿易開放程度做為影響韓國長期均衡匯率的因素，並採用Clark and MacDonald (1999)的均衡匯率理論來估算韓國的實質匯率。 利用ADF、PP與KPSS三種單根檢定法得知各個變數皆是I(1)的序列，且由Johansen的共整合檢定得知各總體變數與實質匯率之間具有一組共整合向量，因此本文藉由實際匯率與長期均衡匯率之差額來衡量匯率失衡的水準值，進而利用Hiemstra-Jones非線性因果關係檢定來分析南韓的匯率失衡與經濟成長的關聯性。 由實證結果得知：韓國的實質匯率失衡與經濟成長之間存在有非線性的關係之外，實質匯率失衡的改變會影響實質經濟成長；但是實質經濟成長則對實質匯率失衡沒有影響。
Korea is a deeply opened economy and her economic growth depends on international trade very much. Owing to the exchange rate volatility has strong impact on international trade, so we use the data submitted from 1976Q1 to 2012Q1 to investigate the relationship between misalignment of real exchange rate and economic growth. According to the opinion suggested by MacDonald(1997, 2000), Di Bella, et al.(2007) and Ricci, et al.(2008), we choose 5 factors — net foreign assets, difference of productivity, government consumption, terms of trade of commodity, openness of trade as the determinants of Korea’s long run equilibrium exchange rate. And we use the equilibrium exchange rate theory suggested by Clark and MacDonald(1999) to estimate Korea’s real exchange rate. First, we use ADF, PP and KPSS to test the stationarity of economic variables. The outputs show that all variables are I(1) series and there is a cointegration vector between real exchange rate and all macroeconomic variables verified by Johansen’s cointegration test. Second, we use the difference between real exchange rate and long run equilibrium exchange rate as the proxy of misalignment of exchange rate. Third, we confirm the relationship between Korea’s misalignment of real exchange rate and economic growth by nonlinear causality test suggested by Hiemstra and Jones. The empirical research shows that there is a nonlinear relationship between the misalignment of real exchange rate and Korea’s economic growth. The change of real exchange rate’s misalignment will cause a nonlinear adjustment for Korea’s economic growth. But the economic growth has no reaction to the change of real exchange rate’s misalignment. |
