金磚國家(BRIC)的概念，最早是由美國高盛公司所提出，成員國分別為巴西、俄羅斯、印度、中國。以上四國的字首恰好是BRIC，與英文的BRICK(磚塊)音似，故名金磚國家。高盛公司在其報告中指出，金磚國家將會在2039年時，一舉超越所謂的傳統經濟強國，比如歐美各國和G7等國際組織，成為全球最具競爭力的經濟體。而南非作為金磚國家的最後一塊拼圖，雖然在經濟實力上，與其他四國有著不小的差異，但作為非洲大陸的代表，南非的加入，無疑鞏固了金磚國家在國際上的政治影響力，也讓BRICS有了更多的發聲權。

作為新興市場的代表，本論文主要討論了金磚五國間匯率的相互影響關係。從傳統的外匯理論，比如購買力平價說和費雪效應等，到近期的文獻蒐證，我們發現到，各國之間的匯率，主要是建立在三個論點之上。首先，匯率的走向，主要還是受限於其經濟結構，所以類似經濟背景的國家，匯率大抵來說會有雷同的波動。再來，各國中央銀行對其貨幣政策的調整，也對匯率波動，產生直接而關鍵的作用。最後，地緣關係往往會讓各國在貿易上，有著若即若離的競合關係，產業的相似和供需，也會深深牽引著其匯率走向。所以BRICS雖說是一個全球性的組織，五國分別座落於三大洲上，在地緣關係中，顯得相對薄弱些，但其相似的經濟背景和抗通膨為主的貨幣政策，都讓我們有理由相信，金磚五國的匯率，在某種程度上，必有著相互關連影響的存在。

通過VECM和因果分析等等實證，本論文也發現了金磚五國間，確實存在著共整合關係，而部分成員國間的匯率，也有著顯著的相互影響關係。

Emerging market recently attracts great attentions for foreign direct invest. Among investments in emerging markets, BRICS are probably one of the brightest stars and have played an important role in the global financial developments. According to Goldman Sachs, BRIC would grow rapidly soon overtake status of leading economic such G7 in 2039. This report affects world attention of multinational corporations to take advantage of this enormous potential markets in the BRIC. Members of BRIC countries are Brazil, Russian, India and China. South Africa recently joined BRIC to complete this international organization as BRICS.

As global integration among the BRICS countries, this study examines correlation of currencies between BRICS countries. According previous studies, we conclude that correlation in currency is mainly due to three aspects: economical, political and regional. Economical aspect suggests that two countries’ currencies would have similar tendency if they share similarity in economical background. Political aspect relates to monetary policy of each country. Regional aspect concludes rivalry or cooperation in trade that leads one’s currency tendency.

Although BRICS countries are different in regions, we expect to find out a specific relationship existed within BRICS’ currencies based on its similar pattern in economic growth and monetary policy. Overall, our study obverses that 1) BRICS countries has a co-movement in currency tendency, 2) China’s currency RMB is a leading and stable currencies among BRICS and 3) INR, ZAR and BRL are all effected in different degrees by others. Besides, a surprised finding is that 2008’s financial crisis does not impact BRICS since no break point existed in Stability Test. This can be reasoned by China’s strict control of RMB.

Table of Contents
Table of Contents	I
List of Figures	III
List of Tables	IV
Chapter 1 Introduction	1
1.1 Background and Motivation	1
1.2 Purpose	4
1.3 Research Scope and Structure	5
Chapter 2 Literatures Review	7
2.1 Currency and Exchange Rate	7
2.1.1 Currency	7
2.1.2 Exchange Rate	9
2.1.3 Purchasing Power Parity, PPP	10
2.1.4 The Balance of Payments	11
2.1.5 The Fisher Effect	12
2.2 Correlation and Relationship in Currency	13
2.2.1 Economical Aspect	13
2.2.2 Regional Aspect	14
2.2.3 Political Aspect	16
2.2.4 Globalization and Conclusion	17
2.3 BRICS	18
2.3.1 Brazil	19
2.3.2 India	20
2.3.3 Russian	21
2.3.4 China	22
2.3.5 South Africa	23
2.3.6 Recent Interaction among BRICS Countries	24
2.3.7 Conclusion	25
Chapter 3 Research Method	26
3.1 Variables	26
3.2 Description of Research Method	27
3.2.1. Unit Root Test	28
3.2.2 Stability Test	28
3.2.3. Cointegration Test	28
3.2.4 VAR and VECM	29
Chapter 4 Test Result	30
4.1 Resources and Data	30
4.2 Unit Root Test	34
4.2.1 Unit-Root Test in BRICS	34
4.2.2 First order Difference of Unit Root Test in BRICS	35
4.3 Stability Test	36
4.4 Appropriate Lag Length	38
4.5 Cointegration Test	39
4.6 Vector Error-correction Model (VECM)	41
4.7 Variance Decomposition	45
4.8 Granger Causality Test	48
Chapter 5 Conclusion and Suggested Application	50
5.1 Conclusion	50
5.2 Suggested Applications	51
5.2.1 For Individuals	52
5.2.2 For Corporation	52
5.2.3 For Academic and Future Research	53
References	54


 
List of Figures
Figure 3.1 Research Method	27
Figure 4.1 RMB Tendency	31
Figure 4.2 INR Tendency	32
Figure 4.3 RUB Tendency	32
Figure 4.5 BRL Tendency	33
Figure 5.1 Granger Causality Test Result	51

 

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