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    题名: 匯率波動對台灣出口的影響
    作者: 黃韻禎
    Huang,Yun Chen
    贡献者: 饒秀華
    Rau,Hsiu Hua
    黃韻禎
    Huang,Yun Chen
    关键词: 匯率波動
    出口
    移動平均變異數
    GARCH
    TGARCH
    EGARCH
    日期: 2006
    上传时间: 2009-09-18 14:12:31 (UTC+8)
    摘要: 本文主要探討匯率波動對台灣出口貿易的影響，實證重點在於匯率波動估計方法之不同，是否會對出口貿易產生不同的影響。樣本期間自1990年1月至2006年12月，共204筆月資料。匯率波動的估計模型包含移動平均變異數、GARCH模型、門檻GARCH模型(TGARCH)及指數型GARCH模型(EGARCH)，本研究先估計出匯率波動因子再進一步代入出口方程式中作估計，相較於國內其他文獻，本文考慮了匯率波動不對稱情形存在的可能性，同時也考慮了變數是否呈定態的問題。實證結果顯示，台幣貶值會造成比較大的匯率波動；利用TGARCH(1,2)作為匯率波動估計模型，結果顯示匯率波動增加會刺激台灣對美國和日本的出口量。
    參考文獻: 中文部份
    方文碩，賴奕豪，民國90年，「匯率風險對出口貿易之衝擊」，台灣金融財務季刊，第二卷，第一期，第83~101頁。
    吳祥銘，民國90年，「亞洲金融風暴前後匯率波動對於出口影響之探討—以亞洲國家為例」，淡江大學國際貿易學研究所未出版碩士論文。
    胡育豪，民國86年，「匯率波動對出口量的影響--台灣出口產業之實證研究」，政治大學國際貿易學研究所未出版碩士論文
    鄭俊揚，民國94年，「匯率波動對台灣產業進出口的影響」，台北大學經濟學研究所未出版碩士論文。
    蔡孟純，民國89年，「匯率波動風險對出口量的影響—對不同資料型態的分析」，淡江大學國際貿易學研究所末出版碩士論文。
    英文部份
    Andersen,T.G., Bollerslev, T.,Diebold, F.X., Labys, P. (2001). The distribution of realized exchange rate volatility. Journal of the American Statistical Association, 96, 42-55
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    Arize, A. C. (1995). The effects of exchange-rate volatility on U.S. exports: an empirical investigation. Southern Economic Journal, 62, 1, 34–43.
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    Aurangzeb, A., Stengos, T., Mohammad, A.U.(2005). Short-Run and Long-Run Effects of Exchange Rate Volatility on the Volume of Exports: A Case Study for Pakistan. International Journal of Business and Economics, 4, 3, 209-222.
    Balaban, E.(2004). Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate. Economics Letters 83, 99-105.
    Broll, U. and Eckert, B.(1999). Exchange Rate Volatility and International Trade, Southern Economic Journal, 66, 1, 178-185
    Chou, W.L. (2000). Exchange Rate Variability and China’s Exports. Journal of Comparative Economics, 28, 61-79
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    Cushman, D.O., (1983). The Effects of Real Exchange Rate Risk on International Trade. Journal of International Economics, 15, 45-63.
    Ethier, W. (1973). International trade and the forward exchange market. The American Economic Review, 63, 3, 494–503.
    Franke, G. (1991). Exchange rate volatility and International trading strategy. Journal of International Money and Finance, 10, 292–307.
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    Hooper, P. and Kohlhagen, S. (1978). The effect of exchange rate uncertainty on the price and volume of International trade. Journal of International Economics, 8, 483–511.
    Kasman,A. and Kasman, S.(2005). Exchange rate uncertainty in Turkey and its impact on export volume. METU Studies in Development, 32, 41-58
    Kenen, Peter B., and Rodrik, Dani (1986). Measuring and Analyzing the Effects of Short-term Volatility in Real Exchange Rates. Review of Economics and Statistics, 68, 311-315
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    McKenzie,M.D.(1999). The Impact of Exchange Rate Volatility on International Trade Flows. Journal of Economic Surveys,13,71-106
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    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
    Mark. N.C., Choi, D.Y.(1997). Real exchange rate prediction over long horizons. Journal of International Economics, 43, 29-60
    Nelson, D., (1991). Conditional Heteroskedasticity in Asset Returns: A New
    Approach. Econometrica, 59:2, 347-70
    Pozo, S.(1992). Conditional exchange rate volatility and volume of international trade: Evidence from the early 1900’s. The Review of Economics and Statistics, 74, 325-329.
    Skinner, D., (1989). Open Markets and Stock Return Volatility, Journal of Financial Economic, 23, 61-87.
    Sukar, A. H. and Hassan, S. (2001). US exports and time-varying volatility of real exchange rate. Global Finance Journal, 12, 109–119.
    Tse, Y. K. and Tsui, K. C. (1997). Conditional Volatility in Foreign Exchange Rates: Evidence form the Malaysian Ringgit and Singapore Dollar, Pacific-Basin Finance Journal, 5, 345-56.
    Wang, Jianxin and Yang, Minxian,(2006). Asymmetric Volatility in the Foreign Exchange Markets. Available at SSRN: http://ssrn.com/abstract=927173
    Zhang, Yanhong, Chang, Hui S. and Gauger, Jean (2006). The Threshold Effect of Exchange Rate Volatility on Trade Volume: Evdience from G-7 Countries. International Economic Journal, Vol. 20, No. 4, 461 – 476.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    94351005
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094351005
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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