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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳思寬 | |
| dc.contributor.author | Chang-Chieh Chao | en |
| dc.contributor.author | 趙蒼頡 | zh_TW |
| dc.date.accessioned | 2021-06-13T05:57:32Z | - |
| dc.date.available | 2011-07-03 | |
| dc.date.copyright | 2006-07-03 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-06-28 | |
| dc.identifier.citation | 一、中文部份
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34190 | - |
| dc.description.abstract | 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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T05:57:32Z (GMT). No. of bitstreams: 1 ntu-95-R93724040-1.pdf: 1069479 bytes, checksum: a7ab72ff1389f69fd2352fb309c4b8a6 (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | 第一章 緒論 1
1.1 研究緣起 1 1.2 研究目的 2 1.3 研究範圍及對象 3 1.4 研究方法及程序 4 1.5 研究流程 4 第二章 文獻回顧及探討 6 2.1 匯率波動的衡量方法 13 2.2 ARCH/GARCH模型的重要貢獻 14 第三章 研 究 方 法 15 3.1 計量實證模型分析 15 3.2 單變量 GARCH (p ,q) 模型 17 3.3 單根檢定 18 3.3.1 定態與非定態 19 3.3.2 ADF單根檢定 20 3.3.3 ADF單根檢定的形式問題 21 3.4 最適落後期選取法則 21 3.4.1 Akaike information criterion（AIC） 22 3.5 共整合檢定 23 3.5.1 向量自我迴歸VAR 23 3.6 Johansen共整合檢定 25 3.6.1 向量誤差修正模型 27 3.6.2 共整合個數檢定 27 3.6.3 共整合最適模型選取 28 3.7 Granger因果檢定 29 3.7.1 雙變量因果檢定 30 3.7.2 多變量因果檢定 31 3.8 衝擊反應函數Impulse Response Function 32 第四章 實證結果與分析 33 4.1 資料來源及變數定義 33 4.2 單變量GARCH（1,1）模型 34 4.3 單根檢定 39 4.4 共整合檢定 41 4.4.1 VAR最適落後期選取 41 4.4.2 Johansen共整合檢定 43 4.5 向量誤差修正模型（VECM） 46 4.5.1 變數間長期變動關係 47 4.5.2 變數間短期變動關係 48 4.6 多變量Granger因果檢定 51 4.7 衝擊反應函數 54 第五章 結論與建議 58 5.1 研究結果與結論 58 5.2 研究限制與後續建議 66 參 考 文 獻 68 圖 目 錄 圖1.1 研究流程圖 5 圖3.1 研究方法流程 16 圖3.2 Enders 單根檢定程序 22 圖4.1：(a)Log of volatility - Taiwan/Singapore nominal exchange rate 37 (b)Log of volatility - Taiwan/Singapore real exchange rate 37 (c)Log of volatility - Taiwan/Thailand nominal exchange rate 38 (d)Log of volatility - Taiwan/Thailand real exchange rate 38 圖4.2 Singapore NVOL衝擊反應函數圖 54 圖4.3 Singapore RVOL衝擊反應函數圖 55 圖4.4 Thailand NVOL衝擊反應函數圖 56 圖4.5 Thailand RVOL衝擊反應函數圖 57 圖5.1 Granger多變量因果關係 62 表 目 錄 表1.1中華民國出口貿易國（地區）名次表 3 表4.1資料來源及變數定義 33 表4.2 GARCH(1,1)模型推估結果 35 表4.3變數基本敘述統計 39 表4.4 ADF單根檢定結果 40 表4.5 VAR模型最適落後期數 42 表4.6 Johansen共整合向量個數檢定 44 表4.7 共整合向量標準化方程式 48 表4.8 短期誤差修正模型結果 49 表4.9 多變量Granger因果檢定 52 表5.1 匯率波動持續性 58 表5.2 Johansen共整合向量個數 & 向量標準化方程式 60 表5.3實質出口調整速度 & 匯率波動半衰期 61 表5.4 衝擊反應函數結果 65 | |
| dc.language.iso | zh-TW | |
| dc.subject | 向量誤差修正 | zh_TW |
| dc.subject | 匯率波動 | zh_TW |
| dc.subject | 出口量 | zh_TW |
| dc.subject | GARCH | zh_TW |
| dc.subject | 單根檢定 | zh_TW |
| dc.subject | 共整合 | zh_TW |
| dc.subject | 因果檢定 | zh_TW |
| dc.subject | 衝擊反應函數 | zh_TW |
| dc.subject | Volatility | en |
| dc.subject | GARCH | en |
| dc.subject | Conditional variance | en |
| dc.subject | Unit root | en |
| dc.subject | Cointegration | en |
| dc.subject | VECM | en |
| dc.subject | Granger causality | en |
| dc.subject | Impulse response function | en |
| dc.subject | Real exports | en |
| dc.title | 匯率波動對台灣出口量的影響：以新加坡和泰國為例 | zh_TW |
| dc.title | Exchange rate volatility and the Taiwan exports: Evidence from Singapore and Thailand | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳昭南,萬哲鈺 | |
| dc.subject.keyword | 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, | zh_TW |
| dc.subject.keyword | Volatility,Real exports,GARCH,Conditional variance,Unit root,Cointegration,VECM,Granger causality,Impulse response function, | en |
| dc.relation.page | 74 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2006-06-28 | |
| 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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