Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/52519
|
| Title: | 匯率不確定性與台灣對中國大陸出口關係
The Relationship of Exchange Rate Volatility and Taiwan Export to Mainland China |
| Authors: | 曾慧容
Tseng, Hui Jung |
| Contributors: | 陳坤銘
饒秀華
Chen, Kun Ming
Rau, Hsiu Hua
曾慧容
Tseng, Hui Jung |
| Keywords: | 匯率不確定性
出口
誤差修正模型
exchange rate volatility
export
vector error correction model |
| Date: | 2011 |
| Issue Date: | 2012-04-12 13:55:27 (UTC+8) |
| Abstract: | 本文探討匯率不確定性與台灣對中國大陸出口之關係，模型中參考Cushman (1986) 觀點加入第三國變數之效果。研究期間以1997年至2010年之季資料，同時考慮總合資料以及部門別資料，並以GARCH估計實質匯率波動性。第三國則利用出口近似度的計算選擇了前四大競爭國，分別為南韓，日本，馬來西亞及新加坡。此外，部門則以HS二碼分類選擇出口至中國大陸前四大之部門，包括機械與電子、精密儀器、橡膠與塑膠類產品及化學品。
本文檢定變數是否有單根。若有單根則進一步檢定這些變數是否存在共整合關係。在確定存在共整合關係後，利用完全修正最小平方法及誤差修正模型進行估計。本文實證結果顯示：匯率不確定性對出口量有負向之影響關係。就部門而言，本文探討的四個部門之結果也反映匯率不確定性對出口具有負向影響，但是以電子產品及塑膠橡膠類之影響最為顯著。
This paper investigates the relationship between exchange rate volatility and Taiwan’s exports to Mainland China. In the empirical model, the third country effects suggested by Cushman (1986) are considered. GARCH model is employed to estimate real exchange rate volatility. Both aggregate and sectoral quarterly data covering 1997 to 2010 are used in our sample. The third countries are determined by export similarity. The top 4 countries with the highest degree of export similarity are chosen, including South Korea, Japan, Malaysia and Singapore. In addition, the top 4 Taiwan’s exporting sectors are examined respectively, including machinery and electronic equipment, precision equipment, rubber and plastics, chemicals industries.
We first test for unit root of the variables used in the study, and then check the existence of co-integration between the variables with unit root. After confirming the existence of co-integration relationship, we use FMOLS (Fully Modified OLS) and VECM (Vector Error Correction Model) to estimate the coefficients. Our empirical results suggest that there is a significantly negative effect of exchange rate volatility on Taiwan’s total exports. They also indicate that there is a negative relationship between exchange rate volatility and Taiwan’s sectoral exports. Among the top 4 exporting sectors, exchange rate volatility tends to have higher impacts on the machinery and electronic industry as well as chemical industry. |
| Reference: | 林冠丞 (2010)，「台灣與中國雙邊貿易之決定因素」，國立政治大學大學國際貿易研究所碩士論文。
邱如伶 (2005)，「匯率不確定性對中國大陸輸美出口數量之影響」，國立政治大學國際經營與貿易學系博士論文。
邱如伶 (2009)，「實質匯率、外人直接投資與中國對外貿易關係之研究」，國立政治大學國際經營與貿易學系博士論文。
胡育豪 (1996)，「匯率波動對於出口量的影響—台灣出口產業之實證研究」，國立政治大學國際貿易研究所碩士論文。
張銘仁 (1998)，「匯率不確定性對出口貿易之衝擊－台灣、新加坡、香港與南韓之實證研究」，企銀季刊23：3，頁185-198。
楊奕農 (2005)，時間序列分析經濟與財務上之應用二版。
趙蒼頡 (2006)，「匯率波波動對台灣出口量的影響：以新加坡和泰國為例」，國立台灣大學國際企業學系碩士論文。
熊勇智 (1995)，「匯率波動對台灣進出口貿易量之影響」，國立中興大學經濟學系碩士論文。
鄭俊揚 (2005)，「匯率波動對台灣產業進出口的影響」，國立台北大學經濟學系碩士論文。
賴奕豪 (2000) ， 「匯率風險對出口的衝擊：單變量與雙變量GARCH-M模型實證分析」，私立逢甲大學經濟學系碩士論文
蕭文宗，陳乙銘 (1998)，「匯率及其波動對台灣出口產業的影響」，台灣銀行季刊，第四十九卷，第一期，頁47-66。
Tinbergen, J. (1962). Shaping the World Economy: Suggestions for an International Economic Policy. New York.
Thursby, J. and Thursby, M. (1987). Bilateral Trade Flows, the Linder Hypothesis, and the Exchange Risk. Review of Economics and Statistics, 69, 488-495.
Viaene, J. M. and de Vries, C. G. (1992). International Trade and Exchange Rate Volatility. European Economic Review, 36, 6, 1311-1321.
Wei, S. J. (1996). Intra-national versus International Trade: How Stubborn are Nations in Global Integration? NBER Working Paper No. 5531 (Cambridge, MA: National Bureau of Economic Research).
Aitken, N. D. (1973). The Effect of EEC and EFTA on European Trade: A Temporal Cross-Section Analysis. American Economic Review, 63(5), 881-892.
Akhtar, M. A. and Spence Hilton, R. (1984). Effects of Exchange Rate Uncertainty on German and U.S. Trade. Quarterly Review, (New York: Federal Reserve Bank of New York, Spring) 7-16.
Alesina, A. and Barro, R. (2002). Currency Unions. Quarterly Journal of Economics, 409-436.
Aschheim, J., Bailey, M. and Tavlas, G. (1987). Dollar Variability, the New Protectionism, Trade and Financial Performance. In: Salvatore, D. (Ed.), The New Protectionist Threat to World Welfare. North-Holland, Amsterdam.
Arize, A. (1995). The Effects of Exchange Rate Volatility on U.S. Exports: An Empirical Investigation. Southern Economic Journal, 62, 34-43.
Arize, A. (1998). The Effects of Exchange Rate Volatility on U.S. Exports: An Empirical Investigation. International Economic Journal, 12, 31-40.
Arize, A., Osang, T., and Slottje, D. (2000). Exchange-Rate Volatility and Foreign Trade : Evidence from Thirteen LDCs. Journal of Business and Economics Statistics, 18, 10-17
Arize, A. C., Malindretos J. and Kasibhatla, K. M. (2003). Does Exchange Rate Volatility Depress Flows: the case of LDCs. International Advances in Economic Research, 9, 7-19.
Artus, J. R. (1983). Toward a More Orderly Exchange Rate System. Finance and Development, 20, 10-13.
Arustotelous, K. (2001). Exchange-rate Volatility, Exchange-rate Regime, and Trade Volume: Evidence from the UK-US Export Function (1889-1999). Economics Letters, 72, 1, 87-94.
Asseery, A. and D. A. Peel (1991). The Effects of Exchange Rate Volatility on Exports - Some New Estimates. Economics Letters, 37, 173-77.
Bacchetta, P. and Eric, V. W. (2000). Does Exchange Rate Stability Increase Trade and Welfare? The American Economic Review, 90(5), December.
Bahmani-Oskooee, M. (2002). Does Black Market Exchange-rate Volatility Deter the Trade Flows? Iranian Experience. Applied Economics, 34, 2249-2255.
Bailey, M. J. and Tavlas, G. S. (1988). Trade and Investment Performance under Floating Exchange Rates: The U.S. Experience. IMF Working Paper.
Baillie, R. T. and Tim, B. (1989). The Message in Daily Exchange Rates: A Conditional Variance Tale. Journal of Business and Economics Statistics, 7, 297-305.
Barkoulas, J. T., Baum, C. F. and Caglayan M. (2002). Exchange Rate Effects on the Volume and Variability of Trade Flows. Journal of International Money and Finance, 21, 481-496.
Bélanger, D., Sylvia Gutiérrez and Jacques R. (1988). Exchange Rate Variability and Trade Flows: Sectoral Estimates for the US-Canada Case. Cahiers de Recherche IEA-89-01. Institut d’économie appliquée, École des Hautes Études Commerciales.
Bélanger, D., Gutierrez S., Raacette, D., Raynauld, J. (1992). The Impact of Exchange Rate Variability on Trade Flows: Further Results on Sectoral U.S. Imports from Canada. North American Journal of Economics and Finance 3(1), 61-82.
Berstrand, J.H. (1985). The Gravity Equation in International Trade: Some Microeconomic Foundations and Empirical Evidence. Review of Economics and Statistics, 67, 3, 474-481.
Bini-Smaghi, L. (1991). Exchange Rate Variability and Trade: Why is it so Difficult to find any Relationship. Applied Economics, 23, 927-936.
Brada, J. C. and J. A. Me ́ndez (1988). Exchange Rate Risk, Exchange Rate Regime and the Volume of International Trade. Kyklos, 41, 2, 263-280.
Broll, U. and B. Eckwert. (1999). Exchange Rate Volatility and International Trade, Southern Economic Journal, 66, 1, 178-185.
Byrne, J. P., Darby, J., & MacDonald, R. (2008). US Trade and Exchange Rate Volatility: A Real Sectoral Bilateral Analysis. Journal of Macroeconomics, 30(1), 238-259.
Caporale, T. and Doroodian, K. (1994). Exchange Rate Variability and the Flow of International Trade. Economics Letters, 46, 49-54.
Chit, M. (2008). Exchange Rate Volatility and Exports: Evidence from the ASEAN-China Free Trade Area, Journal of Chinese Economics and Business Studies, 6, 261-277.
Chit, M., Rizov, M., & Willenbockel, D. (2010). Exchange Rate Volatility and Exports: New Empirical Evidence from the Emerging East Asian Economies. World Economy, 33(2), 239-263.
Cho, G., Sheldon, I. and McCorriston S. (2002). Exchange Rate Uncertainty and Agricultural Trade. American Journal of Agricultural Economics, 84, 931-942.
Chou, W. L. (2000). Exchange Rate Variability and China’s Exports. Journal of Comparative Economics, 28, 61-79.
Choudhry, T. (2005). Exchange Rate Volatility and the United States Exports: Evidence from Canada and Japan. Journal of the Japanese and International Economies, 19(1), 51-71.
Chowdhury, A. (1993). Does Exchange Rate Volatility Depress Trade Flows? Evidence from Error-Correction Models. Review of Economics and Statistics, 75, 700-706.
Clark, P. B. (1973). Uncertainty, Exchange Risk, and the Level of International Trade. Western Economic Journal, 11, 302-313.
Clark, P., N. Tamirisa and S. Wei (2004). A New Look at Exchange Rate Volatility and Trade Flows. IMF Occasional Paper No. 235 (Washington, DC: IMF)
Coes, D. V. (1981). The Crawling Peg and Exchange Rate Uncertainty. In J. Williamson (Ed.), Exchange Rates Rule, 113-136. New York: Macmillan and St. Martins.
Co ̂te, A. (1994). Exchange Rate Volatility and Trade. Bank of Canada Working Paper, No. 94-5 (Ottawa: Bank of Canada).
Cushman, D. O. (1983). The Effects of Real Exchange Rate Risk on International Trade. Journal of International Economics, 15, 45-63.
Cushman, D. O. (1986). Has Exchange Risk Depressed International Trade? The Impact of Third-country Exchange Risk. Journal of International Money and Finance, 5, 361-379.
Daly, K. (1998). Does Exchange Rate Volatility Impede the Volume of Japan’s Bilateral Trade? Japan and the World Economy, 10, 333-348.
De Grauwe, P. (1994). The Economics of Monetary Integration (New York: Oxford University Press).
Dell’ Ariccia, G. (1999). Exchange Rate Fluctuations and Trade Flows: Evidence from the European Union, IMF Staff Papers, 46, 3, 315-334.
Dellas, H. and Zillberfarb, B. (1993). Real Exchange Rate Volatility and International Trade: A Reexamination of the Theory. Southern Economic Journal, 59, 641-647.
Demers, M. (1991) Investment under Uncertainty, Irreversibility and the Arrival of Information over Time. Review of Economic Studies, 58, 333-350.
Dixit, A. (1989). Entry and Exit Decisions under Uncertainty. Journal of Political Economy, 97, 620-638.
Dog ̌nalar, M. (2002). Estimating the Impact of Exchange Rate Volatility on Exports: Evidence from Asian Countries. Applied Economic Letters, 9, 859-863.
Doroodian, K. (1999). Does Exchange Rate Volatility Deter International Trade in Developing Countries? Journal of Asian Economics, 10, 465-474.
Doyle, E. (2001). Exchange Rate Volatility and Irish-UK Trade. Applied Economics, 33, 249-265.
Egert, B. and A. Morales-Zumaquero (2008). Exchange Rate Regimes, Foreign Exchange Volatility and Export Performance in Central and Eastern Europe: Just Another Blur Project? Review of Development Economics, 12, 577-593.
Eichengreen, B. and D. A. Irwin (1995). Trade Blocs, Currency Blocs and the Reorientation of World Trade in the 1930s. Journal of International Economics, 38, 1-24.
Engle, C. and Rose, A. (2000). Currency Unions and International Integration. Journal of Money, Credit and Banking, 136, 381-400.
Engle, R. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of the United Kingdom Inflation. Econometrica, 50, 377-403.
Ethier, W. (1973). International Trade and the Forward Exchange Market. American Economic Review, 63, 494-503.
Farrell, Victoria S., Dean A. DeRosa and T. Ashby McCown (1983). Effects of Exchange RateVariability on International Trade and other Economic Variables: A Review of the Literature. Staff Studies, No. 130, U.S. Board of Governors of the Federal Reserve System.
Franke, G. (1991) Exchange Rate Volatility and International Trading Strategy. Journal of International Money and Finance, 10, 292-307.
Frankel, J. A. (1992). Is Japan Creating a Yen Bloc in East Asia and the Pacific? The NBER conference on Japan and the U.S. in Pacific Area.
Frankel, J. A. and S. J. Wei (1995). The New Regionalism and Asia: Impact and Options. Working Paper PB, 95-100.
Frankel, J. and Rose, A. (2002). An Estimate of the Effect of Currency Unions on Trade and Growth. Quarterly Journal of Economics.
Gagnon, P. (1993). Exchange Rate Variability and the Level of International Trade. Journal of International Economics, 25, 269-287.
Giovannini, A. (1988). Exchange Rates and Traded Goods Prices. Journal of International Economics, 24, 45-68.
Gotur, P. (1985). Effects of Exchange Rate Volatility on Trade: Some Further Evidence. IMF Staff Paper, 32, 475-512.
Grier, K. and Smallwood, A. (2007). Uncertainty and Export Performance: Evidence from 18 Countries. Journal of Money, Credit and Banking, 39, 965-979.
Gros, Daniel (1987). Exchange Rate Variability and Foreign Trade in the Presence of Adjustment Costs. Working paper, No. 8704. Preliminary version.
Hooper, P. and S. W. Kohlhagen (1978). The Effect of Exchange Rate Uncertainty on the Prices and Volume of International Trade, Journal of International Economics, 8, 483-511.
International Monetary Fund (1984). Exchange Rate Volatility and World Trade. Occasional Paper no. 28.
Jansen, D. (1989). Does Inflation Uncertainty Affect Output Growth? Further Evidence. Federal Reserve Bank of St. Louis Review, 43-54.
Kawai, M. and I. Zilcha (1986). International Trade with Forward-future Markets under Exchange Rate and Price Uncertainty. Journal of International Economics, 20, 3-98.
Kenen, P. and Rodrik, D. (1986). Measuring and Analysing the Effects of Short-Term Volatility on Real Exchange Rates. Review of Economics and Statistics, 311-315.
Koray, F., Lastrapes, W. (1989). Real Exchange Rate Volatility and U.S. Bilateral Trade: A VAR Approach. Review of Economics and Statistics, 71, 708-712.
Klaassen, F. (2004). Why is it so difficult to find an effect of exchange rate risk on trade? Journal of International Money and Finance, 817-839.
Klein, M. W. (1990). Sectoral Effects of Exchange Rate Volatility on United States Exports. Journal of International Money and Finance, 9, 299-308.
Kroner, K. F. and Lastrapes, W. D. (1993). The Impact of Exchange Rate Volatility on International Trade: Reduced form estimates using the GARCH-in-mean model. Journal of International Money and Finance, 12, 298-318.
Lee, J. (1999). The Effects of Exchange Rate Volatility on Trade in Durables. Review of International Economics, 7, 189-201.
Linnemann, H. (1966). An Econometric Analysis of International Trade Flows. North-Holland: Amsterdam.
Maskus, K. (1986). Exchange Rate Risk and U.S. Trade: A Sectoral Analysis. Federal Reserve Bank Kansas City Economic Review, 16-28.
McCulloch, Rachel (1983). Unexpected Real Consequences of Floating Exchange Rates. Essays in International Finance No. 153. Princeton, NJ: Princeton University.
Mckenzie, M. and Brooks, R. (1997). The Impact of Exchange Rate Volatility on German-U.S. Trade Flows. Journal of International Financial Markets, Institutions and Money, 7, 73-87.
McKenzie, M. (1999). The Impact of Exchange Rate Volatility on International Trade Flows. Journal of Economic Surveys, 13, 71-106.
Mckenzie, M. D. (1998). The Impact of Exchange Rate Volatility on Australian Trade Flows. Journal of International Financial Markets, Institutions and Money, 8, 21-38.
Peridy, N. (2003). Exchange Rate Volatility, Sectoral Trade and Aggregation Bias. Review of World Economics, 139, 389-418.
Pozo, S. (1992). Conditional Exchange Rate Volatility and the Volume of International Trade: Evidence from the early 1990’s. The Review of Economics and Statistics, 325-329.
Rauch, J.R. (1999). Networks versus Markets in International Trade. Jornal of International Economics, 48, 7-37.
Rey, S. (2006). Effective Exchange Rate Volatility and MENA Countries’ Exports to the EU. Journal of Economic Development, 31, 23-54.
Rose, A. (2000). One Money One Market: Estimating the Effect of Common Currencies on Trade. Economic Policy, 15, 7-46.
Saang Joon, B. Al-Mahmood, M A. and Vixathep, S. (2007). Exchange Rate Volatility and Exports from East Asian Countries to Japan and the USA. Applied Economics, 39, 8, 947-959.
Sanso, M. R. Cuairan and F. Sanz (1993). Bilateral Trade Flows, the Gravity Equation, and Functional Form, The Review of Economics and Statistics, 75, 266-275.
Sauer, C. and Bohara, A. K. (2001). Exchange Rate Volatility and Exports: Regional Differences between Developing and Industrialized Countries. Review of International Economics, 9, 133-152.
Sercu, P. and C. Van Hulle (1992). Exchange Rate Volatility, International Trade, and the Value of Exporting Firms, Journal of Banking and Finance, 16, 155-182.
Sercu, P. and Uppal, R. (2003). Exchange Rate Volatility and International Trade: A General Equilibrium Analysis. European Economic Review, 47, 429-442.
Tavlas, G. S. and Swamy, P. A. V. B. (1997). Macroeconomic Policies and World Financial Integration. In M. U. Fratianni, D. Salvatore, and H. Von Itazen (Eds.) Macroeconomic Policy in Open Economics, 248-280. Westport, Connecticut, USA: Greenwood Press.
Tenreyro, S. and Barro, R. (2002). Economic Effects of Currency Unions. FRB Boston Series, Working Paper No. 02-4 and NBER Working Paper No. 9435.
Tenreyro, S. (2004). On the Trade Impact of Nominal Exchange Rate Volatility. Journal of Development Economics, 82, 485-508. |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
98351005
100 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0098351005 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 293 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
