臺灣博碩士論文加值系統

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。

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.

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

一、中文部份
台灣金融財務季刊，「匯率風險對出口貿易之衝擊」，83，P.83-101。

台灣經濟論衡，「我國與美、日股市連動性之研究－運用三元EGARCH模型」，95年1月第4卷第1期，P.1-26。

李雨純（2000），「亞洲金融風暴下之國際股市動態傳導效果」，中國文化大學經濟學研究所碩士論文。

林君瀅（2004），「匯率波動對台灣出口貿易量之不對稱影響」，國立暨南國際大學經濟學研究所碩士論文

林孟鋒（2003），「影響台灣出口之相關總體經濟變數」，國立台北大學經濟學研究所碩士論文。

林明旻（2003），「實質匯率變動對產出之影響以台灣與南韓為例」，國立成功大學政治經濟學研究所碩士論文。

侯姿羽（2003），「台灣地區金融市場波動性實證研究」，國立交通大學管理科學研究所碩士論文。

施賑勝（2004），「美元對新台幣短期匯率預測之研究」，世新大學經濟學研究所碩士論文。

張淑華、許弘毅（2004），「通貨膨脹、金融發展與經濟成長之因果檢定－臺灣、韓國及日本之實證研究」真理大學財經研究所。

黃歆詒（2002），「匯率波動與投資」，中國文化大學經濟學研究所碩士論文。

楊奕農（2005），「時間序列分析－經濟與財務上之應用」。

郭婉容（1973），「匯率變動對台灣對外貿易與物價之影響及其對策」。

劉佳雨（2002），「出口不穩定與經濟成長之因果關係─東亞地區實證研究」，東吳大學國際貿易學研究所碩士論文。

潘昶安（2000），「亞洲金融風暴對我國外匯市場影響之研究」，國立中正大學財務金融研究所碩士論文。

鄭天德（2002），「ARMA-TGARCH 模型之建立」，國立交通大學經營管理研究所碩士論文。

賴奕豪（2001），「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」，逢甲大學經濟學研究所碩士論文。

譚經緯（2000），「時間序列模型的一場大規模預測測試」，國立政治大學經濟學研究所碩士論文。

二、英文部份
Akhtar, M., Spence Hilton, R., 1984. Effects of exchange rate uncertainty on German and US trade. Fed. ReserveBank New York Quart. Rev., 7–16.

Aschheim, J., Bailey, M., 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.

Asseery, A., Peel, D., 1991. The effects of exchange rate volatility on exports. Econ. Lett. 37, 173–177.

Arize, A., 1995. The effects of exchange-rate volatility on US exports: an empirical investigation. Southern Econ.J. 62, 34–43.

Arize, A., 1997. Conditional Exchange-Rate Volatility and the Volume of Foreign Trade: Evidence from Seven Industrialized Countries. Southern Econ.J. 64, 235-254.

Arize, A., 1998. The effects of exchange-rate volatility on US imports: an empirical investigation. Int. Econ. J. 12,31–40.

Bailey, M., Tavlas, G., Ulan, M., 1986. Exchange-rate variability and trade performance: evidence from the Big Seven industrial countries. Weltwirtsch. Arch. 122, 466–477.

Bailey, M., Tavlas, G., Ulan, M., 1987. The impact of exchange-rate volatility on export growth: some theoretical considerations and empirical results. J. Pol. Modeling 9, 225–243.

Baillie, R.T., Bollerslev, T., 1989. The Message in Daily Exchange Rates: A
Conditional Variance Tale. J. Bus. Econ. Statist. 7, 297-305.

Baillie, R.T., Bollerslev, T., 1990. A Mltivariate Generalized ARCH Approach to Modeling Risk Premia in the Forward Exchange Rate Markets. J. Int. Money Finance 9, 309-324.

Barkoulas, J.T., Baum, C.F., Caglayan, M., 2002. Exchange rate effects on the volume and variability of trade flows. J. Int. Money Finance 21,481-496.

Bollerslev, T., 1986. Generalized autoregressive conditional heteroskedasticity. J. Econometrics 31, 307–327.

Bollerslev, T., Chou, R., Kroner, K., 1992. ARCH modeling in finance. J. Econometrics 52, 5–59.

Brooks, C., 2002. Introductory Econometrics for Finance. Cambridge Univ. Press, Cambridge.

Caporate, T., Doroodian, K., 1994. Exchange rate variability and the flow of international trade. Econ. Lett. 46, 49–54.

Cheong, C., Mehari, T., Williams, L.V.,2005. The effects of exchange rate volatility on price competitiveness and trade volumes in the UK: A disaggregated approach. J. Pol. Modeling 27, 961-970.


Cheung, Y., Lai, K., 1993. Finite-sample sizes of Johansen’s likelihood ratio tests for cointegration. Oxford Bull. Econ. Statist. 55, 313–328.

Choudhry, T., 2005. Exchange rate volatility and the United States exports: evidence from Canada and Japan. J. Japanese Int. Economies 19 (2005) 51-71.

Chowdhury, A., 1993. Does exchange rate volatility depress trade flows? Evidence from error-correction models.Rev. Econ. Statist. 75, 700–706.

Coes, D., 1981. The crawling peg and exchange rate uncertainty. In: Williamson, J. (Ed.), Exchange Rate Rules: The Theory, Performance and Prospects of the Crawling Peg. St. Martins, New York.

Cushman, D., 1983. The effects of real exchange rate risk on international trade. J. Int. Econ. 15, 45–63.

Daly, K., 1998. Does Exchange Rate Volatility Impede the Volume of Japan’s
Bilateral Trade? Japan World Economy 10, 33-48.

De Grauwe, P., 1988. Exchange rate variability and the slowdown in growth of international trade. IMF Staff Pap., 63–84.

Dellas, H., Zillberfarb, B., 1993. Real exchange rate volatility and international trade: a reexamination of the theory. Southern Econ. J. 59, 641–647.

Dickey, D., Rossana, R., 1994. Cointegrated time series: a guide to estimation and hypothesis testing. Oxford Bull. Econ. Statist. 56, 325–353.

Doroodian, K., 1999. Does exchange rate volatility deter international trade in developing countries? J. Asian. Econ. 10, 465-474.

Enders, W., 2004. Applied Econometric Time Series. New York: John Willey & Sons, Inc.

Engle, R., Granger, C., 1987. Co-integration and error correction: representation, estimation, and testing. Econometrica 55, 251–276.

Franke, G., 1991. Exchange rate volatility and international trade. J. Int. Money Finance 10, 292–305.


Gagnon, P., 1993. Exchange rate variability and the level of international trade. J. Int. Econ. 25, 269–287.

Giovannini, A., 1988. Exchange rates and traded goods prices. J. Int. Econ. 24, 45–68.

Gotur, P., 1985. Effects of exchange rate volatility on trade: some further evidence. IMF Staff Pap. 32, 475–512.

Granger, C., 1969. Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424-438.

Granger, C., 1988. Some recent developments in a concept of causality. J. Econometrics 39, 199–211.

Granger, C., Newbold, P., 1974. Spurious Regressions in Econometrics. J. Econometrics 2, 111-120.

Hargreaves, C., 1994. A review of methods of estimating cointegration relationships. In: Hargreaves, C. (Ed.), Nonstationary Time Series Analysis and Cointegration. Oxford Univ. Press, New York.

Harris, R., 1995. Cointegration Analysis in Econometric Modelling. Prentice Hall/Harvester Wheatsheaf,London.

Haung, A., 1996. Tests for cointegration: a Monte Carlo comparison. J. Econometrics 71, 89–115.

Hendry, D.F., 1987. Econometrics methodology: a personal perspective. In: Bewley, T. (Ed.), Advances in Econometrics, 2nd Edition. Cambridge Univ. Press, Cambridge, UK, pp. 29–48.

Hooper, P. and S. W. Kohlhagen., 1978. The Effect of Exchange Rate Uncertainty on the Prices and Volume of International Trade. J. Int. Econ. Vol.8, pp. 483-511.

International Monetary Fund, 1984. Exchange rate volatility and world trade. Occasional paper No. 28. Washington, DC.

Johansen, S., Juselius, K., 1990. Maximum likelihood estimation and inference on cointegration—with application to the demand for money. Oxford Bull. Econ. Statist. 52, 169–210.

Kasa, K., 1992. Common stochastic trends in international stock markets. J. Monet. Econ. 29, 95–124.

Kenen, P., Rodrik, D., 1986. Measuring and analyzing the effects of short-term volatility in real exchange rates. Rev. Econ. Statist. 68, 311–315.

Koray, F., Lastrapes, W., 1989. Real exchange rate volatility and US bilateral trade: a VAR approach. Rev. Econ. Statist. 71, 708–712.

Kwon, C.S., Shin, T.S.,1999. Cointegration and causality between macroeconomic variables and stock market returns. J. Global Finance 10:1, 71-81.

Masih, Abul M.M., Masih, R., 1998. A multivariate cointegrated modeling approach in testing temporal causality between energy consumption, real income and prices with an application to two Asian LDCs. Applied Econ. 30, 1287-1298.

Maskus, K., 1986. Exchange rate risk and US trade: a sectoral analysis. Fed. Reserve Bank Kansas City Econ. Rev., 16–23.

Phillips, Peter C. B., Pierre Perron, 1988. Testing for a unit root in time series regression. Biometrica 75, 335-346.

Poso, S., 1992. Conditional Exchange Rate Variability and the Volume of
International Trade: Evidence From the Early 1900s. Rev. Econ. Statist., 74, 325-329.

Said, Said E., Dickey, D., 1984. Testing for unit roots in autoregressive-moving average models with unknown order. Biometrica 71, 599-607.

Scrimgeour, D., 2002. Exchange rate volatility and currency union: New Zealand evidence. J. Pol. Modeling 24, 739-749.
Sercu, P., Vanhulle, C., 1992. Exchange rate volatility, exposure and the value of exporting firms. J. Banking Finance 16, 155–182.

Sercu, P., Uppal, R., 2003. Exchange rate volatility and international trade: a general equilibrium analysis. Europ. Econ. Rev. 47, 429–442.

Sims, Christopher A. ,1980. Macroeconomics and reality. Econometrica, 48, 1, 1-48.

Siregar, R., Rajan, R.S., 2004. Impact of exchange rate volatility on Indonesia’s trade performance in the 1990s. Japan. Int. Econ. 18, 218-240.

Sukar, A., Hassan, S., 2001. US exports and time-varying volatility of real exchange rate. J. Global Finance 12, 109-119.

Thursby, J., Thursby, M., 1987. Bilateral trade flows, the Linder hypothesis, and exchange risk. Rev. Econ.Statist. 69, 488–495.