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研究生:賴奕豪
研究生(外文):YiHao Lai
論文名稱: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
論文名稱(外文):The Impact of Exchange Rate Risk on Exports: Empirical Analyses of Uni- and Bi-variate GARCH-M Models
指導教授:方文碩方文碩引用關係
指導教授(外文):WenShwo Fang
學位類別:碩士
校院名稱:逢甲大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2000
畢業學年度:89
語文別:中文
中文關鍵詞:匯率風險出口單變量與雙變量GARCH模型
外文關鍵詞:Exchange Rate RiskExportsUnivariate and Bivariate GARCH Models
相關次數:
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本文應用單變量及雙變量GARCH與自我迴歸落遲分配模型,使用月資料,實證探討匯率風險對台灣出口貿易的衝擊,樣本期間自1989年1月至1999年9月,包括顯著造成台灣外匯市場波動與增加匯率風險的亞洲金融危機。實證結果顯示不論是由單變量或是雙變量ARCH模型估計的隨時間變動的匯率風險皆負面影響出口,同時匯率風險對出口的衝擊存在顯著的落遲效果。本文的實證結果分析建議有關當局釐訂刺激出口的貿易政策時,若忽略匯率的穩定性,將傾向於高估政策的效果。
This paper investigates empirically the impact of exchange rate risk on exports for Taiwan, using uni- and bi-variate GARCH and autoregressive distributed lag models. Monthly data are used over the period 1989.1-1999.9, including the event of the Asian financial crisis which significantly increased exchange rate volatility and its risk in Taiwan. The major results show that the time-varying exchange rate risk, derived from either the univariate or the bivariate ARCH models, adversely affects exports and the impact has significantly lagged effects. Our findings suggest that trade policy actions aimed at stimulating exports tend to overestimate results if the authorities ignore the stability of the real exchange rate.
1.前言
2.研究方法與實證模型
3.資料特徵與實證結果分析
3.1 資料特徵
表1. 世界貿易,實質匯率與出口月資料基本統計量,1989:1-1999:9
表2. ARCH LM 檢定
3.2 匯率風險
3.3 出口方程式
表3. GARCH(1,1)模型估計值
圖3. 匯率風險
表4. 模型選擇統計值:LR、AIC與SC
表5. 單變量ARCH與ADL出口方程式估計值
表6. 出口、實質匯率與匯率風險雙變量ARCH-M模型
3.4 實證結果分析
4.結論與建議
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11.Chang, T. Y., Fang, W. S., Liu, W. R. and Thompson, H., 2000, Exports, Imports and Income in Taiwan: An Examination of The Export Led Growth Hypothesis, International Economic Journal , 14, 151-160.
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16.Engle, R. F. and Kroner, K. F., 1995, Multivariate Simultaneous Generalized ARCH,Econometric Theory, 11, pages 122-50.
17.Engle, R. F., Lilien, D. M. and Robins, R. P., 1987, Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M Model, Econometrica, 55, 391-407.
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21.Hendry, D., 1985, Econometric Methodology, paper presented to the Econometric Society Fifth World Congress, MIT.
22.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.
23.Kumar, R. and Dhawan, R., 1991, Exchange Rate Volatility and Pakistan''s Exports to the Developed World, World Development, 19, 9, 1225-1240.
24.Mckenzie, M. D. and Brooks, R. D., 1997, The Impact of Exchange Rate Volatility on German-U.S. Trade Flow, Journal of International Financial Markets, Institutions and Money, 7, 73-87.
25.Meese, R. A. and Rose, A. K., 1990, Nonlinear, Nonparametric, Nonessential Exchange Rate Estimation, The American Economic Review, 80, 192-196.
26.Pozo, S., 1992, Conditional Exchange-Rate Volatility and the Volume of International Trade: Evidence from the Early 1990s, The Review of Economics and Statistics, 325-329.
27.Weliwita A., Ekanayake, E. M. and Tsujii, H., 1999, Real Exchange Rate Volatility and Sri Lanka’s Exports to the Developed Countries, 1978-96, Journal of Economic Development, 24, 147-165.
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