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標題: | 匯率波動對台灣出口量的影響:以新加坡和泰國為例 Exchange rate volatility and the Taiwan exports: Evidence from Singapore and Thailand |
作者: | Chang-Chieh Chao 趙蒼頡 |
指導教授: | 陳思寬 |
關鍵字: | 匯率波動,出口量,GARCH,單根檢定,共整合,向量誤差修正,因果檢定,衝擊反應函數, Volatility,Real exports,GARCH,Conditional variance,Unit root,Cointegration,VECM,Granger causality,Impulse response function, |
出版年 : | 2006 |
學位: | 碩士 |
摘要: | 本文在探討1998年金融風暴以後,因為東南亞國家採行浮動匯率其匯率波動對台灣出口量的影響,以新加坡和泰國為研究對象。藉由GARCH(1,1)模型的條件變異數(Conditional variance)來衡量匯率波動率。本文先對變數做ADF單根檢定,確定皆為同階定態之後再做Johansen共整合檢定,檢查非定態時間序列變數是否存在共整合關係;再根據向量誤差修正模型(VECM)及Granger因果檢定探討變數間的長期、短期因果關係;最後對VAR模型採行衝擊反應函數分析,預測解釋變數的改變對台灣出口量的衝擊影響。
結果顯示:泰國受到衝擊之後,匯率波動的持續性比新加坡強。長期下兩者皆存在一條共整合向量,且台灣對泰國的實質出口調整速度又比新加坡快。並且發現新加坡之名目匯率波動對台灣出口量造成正相關,而實質匯率波動則為負相關;泰國的名目匯率波動對台灣出口量造成負相關,而實質匯率波動則為正相關;至於實質所得與相對價格大多能合乎預期地造成正相關與負相關。 根據Granger因果檢定發現自變數皆是實質出口的前因變數,認為匯率波動、實質所得、相對價格皆能改善解釋預測實質出口。此外衝擊反應函數發現,新加坡受到名目匯率波動非預期衝擊時,對台灣實質出口具有正向立即影響,而實質匯率波動具有負向立即影響;泰國受到兩者匯率波動非預期衝擊時,皆對台灣實質出口造成立即的正向影響。 由此可知,匯率波動對台灣出口量的影響仍然沒有一定關係存在,尤其是長期與短期下結果迥異。如何維持匯率的穩定性降低匯率風險,減少貿易損失降低貿易成本,對政府與貿易商而言是很重要的事情。 This paper investigates the influence of exchange rate volatility on the real exports of Taiwan to Singapore and Thailand after the Asian Financial Crisis. Conditional variance from the GARCH(1,1)model is applied as exchange rate volatility. Both the volatility of the nominal and the real rate between NT dollar and the currencies of Singapore and Thailand are employed. We adopted the ADF unit root test to exam if these variables were stationary. By Johansen cointegration analysis, we found that the cointegration existed. The VECM and Granger causality test are applied to study the relationship between real exports and its determinants, including exchange rate volatility. Finally, we measured the time profile about real exports of the effect a shock on the behavior of their independent variables using the impulse response function. We obtained the result that a stationary long-run equilibrium relationship existed between real exports and its determinants for both Singapore and Thailand conditional on two exchange rates volatility. The persistence of shocks to volatility of Thailand was greater than that of Singapore. Normalized equations indicated that exchange rate volatility imposes large effects on real exports under all conditions. Some of these effects were positive whereas others were negative. This result was almost the same as the impulse response analysis. Because of the uncertain relationship between the exchange rate volatility and real exports in Taiwan, it’s important for government and international firms to consider how to decrease exchange rate risk, international trade loss and cost by keeping the exchange rate steady. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34190 |
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顯示於系所單位: | 國際企業學系 |
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