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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 黃志典(Jyh-Dean Hwang) | |
| dc.contributor.author | Hsi-Chen Chang | en |
| dc.contributor.author | 張翕丞 | zh_TW |
| dc.date.accessioned | 2021-06-17T04:29:49Z | - |
| dc.date.available | 2028-08-13 | |
| dc.date.copyright | 2018-08-15 | |
| dc.date.issued | 2018 | |
| dc.date.submitted | 2018-08-13 | |
| dc.identifier.citation | 中文文獻
1. 李文軍、張巍巍（2010），「人民幣匯率變動的貿易效應—基於分國別面板數據的分析」，中國社會科學學院數量經濟與技術經濟研究所 外文文獻 1. Bacchetta, P. and Wincoop, E. (2000). Does exchange rate stability increase trade and welfare? American Economic Review, 90, 1093-1109. 2. Bahmani-Oskooee, M. (1985). Devaluation and the J-Curve: Some evidence from LDCs, The Review of Economics and Statistics, 67, 500-504. 3. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. 4. Broll, U. and Eckwert, B. (1999). Exchange rate volatility and international trade. Southern Economic Journal, 66(1), 178 – 18. 5. Clark, P., Tamirisa, N., Wei, S., Sadikov, A. and Zeng, L. (2004). A new look at exchange rate volatility and trade flows. International Monetary Fund, 235. 6. Côté, A. (1994). Exchange rate volatility and trade. Bank of Canada Work. 94-5. 7. De Grauwe, P. (1988). Exchange rate variability and the slowdown in growth of international trade, IMF Staff Papers, 35, 63-84. 8. Engle, R.F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica. 50(4), 987-1007. 9. Franke, G. (1991). Exchange rate volatility and international trading strategy, Journal of International Money and Finance, 10, 3-29. 10. Hooper, P. and Kohlhagen, S. W. (1978). The effect of exchange rate uncertainty on the prices and volume of international trade. Journal of International Economics, 8(4), 483-511. 11. Im, K.S., Pesaran, M.H. and Shin, Y. (2003) Testing for unit roots in heterogeneous panels. Journal of Economics, 115, 53-74 12. Jiang, W. (2014). The Effect of rmb exchange rate volatility on import and export trade in China. International Journal of Academic Research in Business and Social Sciences, 4(1), 615.25 13. Kao, C. and Chen, B. (1997). On the estimation and inference for cointegration in panel data when the cross-section and time-series dimensions are comparable. Center for Policy Research. 14. Kao, C. and Chiang, M.H. (2000). On the estimation and inference of a cointegrated regression in panel data, nonstationary panels, panel cointegration, and dynamic panels, Advances in Econometrics, Amsterdam: JAI Press, 15, 161–178. 15. Kenen, P. B. and Rodrik, D. (1986). Measuring and analyzing the effects of short-term volatility in real exchange rates. Review of Economics and Statistics, 68, 311-315. 16. Klein, M. W. (1990). Sectoral effects of exchange rate volatility on United States exports, Journal of International Money and Finance, 9, 299-308. 17. Levin, A., Lin C.F. and Chu, C.S.J. (2002). Unit root tests in panel data: Asymptotic and finite-sample properties. Journal of Econometrics, 108(1), 1-24. 18. McKenzie, M.D. and Brooks R.D. (1997). The impact of exchange rate volatility on German-US trade flows. Journal of International Financial Markets, 7, 73-87 19. McKenzie, M.D. (1999). The impact of exchange rate volatility on international trade flows. Journal of Economic Surveys 13(1), 71-106. 20. Moffett, M.H. (1989). The J-curve revisited: an empirical examination for the United States, Journal of International Money and Finance, 8, 425-444, September. 21. Pedroni, P. (2000). Fully modified OLS for heterogeneous cointegrated panels and the case of purchasing power parity. Manuscript, Department of Economics, Indiana University 22. Pedroni, P. (2004). Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Econometric Theory, 20(3), 597–625. 23. Schwarz, G. (1978) Estimating the dimension of a model, Annals of Statistics, 6, 461–464. 26 24. Sercu, P. and Raman U. (2003). Exchange rate valatility and international trade: A general-equilibrium analysis, European Economic Review, 47, 429–441 25. Tang, H.C. (2011). Intra-Asia exchange rate volatility and intra-Asia Trade: Evidence by type of goods. ADB Working Paper Series on Regional Economic Integration. 26. Thorbecke, W. (2008). The effect of exchange rate volatility on fragmentation in East Asia: Evidence from the electronics industry. Journal of the Japanese and International Economies, 22(4), 535–544. 27. West, K.D. and Dongchul, C. (1995). The predictive ability of several models of exchange rate volatility, Journal of International Economics, 69, 367–391 . 28. Wooldridge J.M. (2002). Econometric analysis of cross section and panel data. MIT Press. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/70509 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T04:29:49Z (GMT). No. of bitstreams: 1 ntu-107-R05724038-1.pdf: 892533 bytes, checksum: faa48dd4119afca330760997258b6ae3 (MD5) Previous issue date: 2018 | en |
| dc.description.tableofcontents | 摘要 i
英文摘要 ii 第一章 緒論 1 第一節 研究背景 1 第二節 研究目的 3 第二章 文獻探討 3 第一節 匯率波動對貿易影響之理論文獻 4 第二節 匯率波動對貿易影響之實證文獻 5 第三章 研究方法 6 第一節 出口方程式 6 第二節 資料來源 7 第三節 匯率波動之估計 8 一、以GARCH模型估計匯率波動 8 二、以SBC值選擇最適落後期數 8 第四節 面板資料模型 9 第五節 Panel單根檢定 10 一、LLC Panel 單根檢定 10 二、IPS 單根檢定 11 第六節Panel共整合檢定 12 第七節FMOLS與DOLS模型 13 一、FMOLS模型 13 二、DOLS 模型 13 第四章 實證結果 15 第一節 匯率波動之估計 15 第二節 Panel單根檢定結果 16 第三節 Panel共整合檢定結果 18 第四節 DOLS與FMOLS模型實證結果 19 第五節 固定效應模型實證結果 21 第五章 結論 23 參考文獻 24 中文文獻 24 外文文獻 24 | |
| dc.language.iso | zh-TW | |
| dc.subject | 匯率波動 | zh_TW |
| dc.subject | 出口 | zh_TW |
| dc.subject | 面板資料 | zh_TW |
| dc.subject | 單根檢定 | zh_TW |
| dc.subject | 共整合檢定 | zh_TW |
| dc.subject | Panel Data | en |
| dc.subject | Cointegration Test | en |
| dc.subject | Unit Root Test | en |
| dc.subject | Exports | en |
| dc.subject | Exchange Rate Volatility | en |
| dc.title | 美元匯率波動對東亞國家出口貿易影響 | zh_TW |
| dc.title | The Impact of Exchange Rate Volatility on Exports in East Asia | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 106-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 廖咸興(Hsien-Hsing Liao),林世銘(Su-Ming Lin) | |
| dc.subject.keyword | 出口,匯率波動,面板資料,單根檢定,共整合檢定, | zh_TW |
| dc.subject.keyword | Exports,Exchange Rate Volatility,Panel Data,Unit Root Test,Cointegration Test, | en |
| dc.relation.page | 26 | |
| dc.identifier.doi | 10.6342/NTU201803148 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2018-08-13 | |
| 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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