美元匯率波動對東亞國家出口貿易影響

Abstract

本文旨在探討美元匯率波動對東亞各國對美國出口之影響，研究期間為2000年至2017年，並以中國、日本、韓國與臺灣四經濟體與其第一大貿易對手國美國建構一出口貿易面板資料模型，同時加入中日韓台第二大貿易對手國之匯率與匯率波動，探討其對東亞各國出口的影響。本文以GARCH模型估計之條件標準差作為匯率波動之代理變數。根據固定效應模型與共整合模型之實證結果，美元匯率波動對東亞各國之出口有顯著的負面影響，而第二大貿易對手國之匯率波動則不會對東亞各國出口貿易產生顯著影響。

This paper investigated the impact of U.S. exchange rate volatility on exports in East Asia countries from January 2000 to December 2017, and a panel model was employed for exports from China, Japan. Korea and Taiwan to their largest trading partner, the United States. To examine the impact of exchange volatility from other trading partners, we also introduced the second largest trading partner of East Asia countries. This study used conditional standard deviation of exchange rate process estimated by General Autoregressive Conditional Heteroscedasticity(GARCH) model to measure exchange rate volatility. The results showed that the U.S. exchange rate volatility has significant negative effects on exports of East Asia countries. However, the exchange rate volatility of second trading partner has no significant on exports.