匯率波動對東亞國際貿易的影響-基於面板引力模型的實證

Abstract

本文以面板迴歸及貿易引力模型方式研究東亞9國（中國大陸、韓國、日本、台灣、馬來西亞、新加坡、印度尼西亞、菲律賓及泰國）在2005年8月至2017年12月間的匯率波動是否對出口具有影響。本文引用GARCH模型估計匯率波動，然後彙整資料形成共10,728筆平衡面板資料進行分析。研究結果顯示，透過個體固定效應模型估計，可以證明匯率波動對於貿易出口是具有負相關的影響，然而在二元固定效應模型中則無法得到負相關的結果。因此，本文再以趨勢項代替固定時間效應，取得預期的成果，且就邏輯上更符合預期，主要是在於出口模型是具有趨勢，而非固定的時間效應，因此能夠證明匯率波動對於出口貿易的影響是負相關。

The main purpose of this study is to analyze the effects of exchange rate volatility on bilateral trade export flows. By using of a trade gravitation model and panel regression to study the effects among the nine East Asian countries (Mainland China, South Korea, Japan, Taiwan, Malaysia, Singapore, Indonesia, the Philippines, and Thailand) between August 2005 to December 2017. This paper refers to the GARCH model for the calculation of exchange rate fluctuations, and then integrates the data to form a total of 10,728 balanced panel data. The results of the study show that through the estimation of cross-section fixed effect models, exchange rate fluctuations have a negative correlation effect on trade exports, but in the two-way fixed effects model, negative correlation results cannot be obtained. Therefore, this article replaces the fixed time effect with the trend term and achieves the expected result, which is more logically in line with expectations. The main reason is that the export model has a trend rather than a fixed period effect, so it can prove that the exchange rate volatility which impact of export trade is negatively correlated.