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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24209完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 黃志典(Jyh-Dean Hwang) | |
| dc.contributor.author | Hsiao-Pei Chen | en |
| dc.contributor.author | 陳筱佩 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:18:34Z | - |
| dc.date.copyright | 2011-08-01 | |
| dc.date.issued | 2011 | |
| dc.date.submitted | 2011-07-29 | |
| dc.identifier.citation | 參 考 文 獻
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24209 | - |
| dc.description.abstract | 本研究探討匯率波動對台灣的三大出口國家：美國、日本及中國大陸的影響。藉由GARCH模型的條件變異數來衡量匯率波動。本研究首先對變數進行單根檢定，確定變數為同階定態後，再對變數進行Johansen共整合檢定，檢定非定態時間序列之間是否存在共整合關係，之後再根據向量誤差修正模型及Granger因果關係檢定探討變數的長、短期因果關係。
研究結果顯示，當匯率受到衝擊後，日本的匯率波動持續性最強，其次為中國大陸，美國的匯率波動持續性在三個國家當中最弱。共整合檢定結果顯示台灣對美國、日本及中國大陸的實質出口，與三個國家的實質所得、實質匯率及名目匯率波動變數之間，經過一組線性組合轉換後，存在長期穩定的關係。實質所得部分，美國及日本的實質所得與實質出口呈負相關，中國大陸的實質所得合乎原先預期與實質出口呈正相關。實質匯率部分，美國與日本的實質匯率合乎原先預期，與實質出口呈正相關，中國大陸的實質匯率則與實質出口呈負相關。最後，名目匯率波動部分，美國、日本及中國大陸的名目匯率波動對台灣的出口量皆為負向影響。 向量誤差修正模型結果顯示，台灣對美國的實質出口每個月將以8%的幅度往長期均衡調整，台灣對中國大陸的實質出口每個月將以1.9%的幅度往長期均衡調整。在短期內美元的名目匯率波動對台灣出口至美國的影響不確定，人民幣的名目匯率波動對台灣出口至中國大陸為負向影響。 | zh_TW |
| dc.description.abstract | This paper analyses the influence of exchange rate volatility on the real exports of Taiwan to United States, Japan and China. GARCH models are used to generate a measure of exchange rate volatility. We adopt the ADF unit root test to examine whether the variables are used in export equations are stationary or not. By Johansen cointegration test, we find that the cointegration exist for United States, Japan and China’s export equation. The Vector Error Correction Model and Granger causality test are applied to find out the long-term and short-term relationship between the variables are used in export equations.
We obtain the result that a stationary long run equilibrium relationship exists between Taiwan’s real exports to the United States, Japan, and China, and its determinants respectively. The nominal exchange rate volatility has negative effects on Taiwan’s real exports to the United States, Japan and China. The result from Vector Error Correction Model indicates that the effect of nominal exchange rate volatility on real export is uncertain in the short run. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:18:34Z (GMT). No. of bitstreams: 1 ntu-100-R98724047-1.pdf: 5461051 bytes, checksum: 3e6100a171fcdba2c5a58fbf1d6c2064 (MD5) Previous issue date: 2011 | en |
| dc.description.tableofcontents | 目 錄
目 錄 圖 目 錄 表 目 錄 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究範圍與對象 3 第三節 研究方法及程序 4 第四節 研究流程 5 第二章 文獻回顧與探討 7 第一節 匯率波動對貿易的影響 7 第二節 匯率波動的衡量方法 14 第三節 ARCH與GARCH 模型 15 第三章 研究方法 18 第一節 計量實證模型 18 第二節 研究假說 22 第三節 GARCH(p,q)匯率波動的估計 23 第四節 單根檢定 24 第五節 共整合檢定 28 第六節 Granger 因果關係檢定 35 第四章 實證結果與分析 38 第一節 資料來源及變數定義 38 第二節 單變量GARCH模型 39 第三節 單根檢定 43 第四節 共整合檢定 46 第五節 向量誤差修正模型 49 第六節 Granger因果關係檢定 55 第五章 結論與建議 59 第一節 研究結果與結論 59 第二節 研究限制與後續建議 65 參 考 文 獻 66 附 錄 .................................................72 圖 目 錄 圖1-1 研究流程圖...............................................6 圖3-1 研究方法流程圖..........................................21 圖4-1 台幣兌美元名目匯率波動 .................................41 圖4-2 台幣兌日圓名目匯率波動..................................42 圖4-3 台幣兌人民幣名目匯率波動................................42 圖5-1 美國Granger因果關係圖...................................63 圖5-2 日本Granger因果關係圖...................................63 圖5-3 中國大陸Granger因果關係圖...............................64 圖A-1台幣兌美元實質匯率波動...................................73 圖A-2台幣兌日圓實質匯率波動...................................73 圖A-3台幣兌人民幣實質匯率波動.................................74 圖A-4台幣兌美元名目匯率波動(差分值)............................76 圖A-5台幣兌日圓名目匯率波動(差分值)............................76 圖A-6台幣兌人民幣名目匯率波動(差分值)..........................77 表 目 錄 表 4-1 GARCH模型之最適落後期 .................................39 表 4 2 GARCH模型推估結果 .....................................40 表 4 3 變數基本敘述統計 .......................................43 表 4-4 ADF單根檢定結果........................................44 表 4 5 共整合模型最適落後期數..................................46 表 4-6 Johansen共整合向量個數檢定..............................47 表 4 7 共整合向量方程式 .......................................50 表 4-8 誤差修正模型結果........................................51 表4 9 Granger因果關係檢定.....................................57 表 5-1 匯率波動的持續性........................................59 表 5 2 Johansen共整合向量個數及向量標準化方程式................60 表 A-1 GARCH模型推估結果.......................................72 表 A 2共整合向量方程式........................................74 表 A-3 GARCH模型推估結果.......................................75 表 A 4共整合向量方程式........................................77 | |
| dc.language.iso | zh-TW | |
| dc.title | 匯率波動對台灣出口貿易的影響
－ 以美國、日本、中國大陸為例 | zh_TW |
| dc.title | The Impact of Exchange Rate Volatility on Exports
－Evidence from Taiwan’s Exports to United States, Japan and China | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 99-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 胡星陽,廖咸興 | |
| dc.subject.keyword | 匯率波動,實質出口量,GARCH,單根檢定,共整合,向量誤差修正模型,Granger因果關係檢定, | zh_TW |
| dc.subject.keyword | Exchange Rate Volatility,Real Exports,GARCH,Unit Root,Cointegration,Vector Error Correction Model,Granger Causality, | en |
| dc.relation.page | 77 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2011-07-29 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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