A Study for the Granger Causality between Real Exchange Rate and Real Wage in Taiwan

• Main Authors: HSIEH,FONG-JIAN, 謝豐鍵
• Other Authors: KO,HSIU-HSIN
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/va92j6

碩士 === 國立高雄大學 === 應用經濟學系碩士班 === 104 === This study aims at exploring the possible causes of wage stagnation in Taiwan by examining whether Taiwanese labors’ wages are affected by the changes in the NTD dollar exchange rate. The research establishes vector auto-regression （VAR） models to examine the relation between the real exchange rate, terms of trade, export-import trade ratio , output and real wage. Furthermore, we use the method proposed by Dufour and Taamouti (2010) to investigate the long-run and short-run causality relations from exchange rates to real wages. Using the data from 1981 January to 2015 October of Taiwan, the empirical results show that real exchange rate with one-period lag has no significant effect on real wages, but the real exchange rate with two-period lag would have significant effect on the real wage in the VAR model. Lastly, when testing the short-run and long-run causality relation from exchange rates to real wages, it is shown that there is a long-run Granger causality. The real exchange rate would Granger cause real wage changes in the period after six months.