(3.237.48.165) 您好!臺灣時間:2021/05/09 13:57
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:曾子睿
研究生(外文):Tzu-Jui Tseng
論文名稱:分析中國匯率波動對進出口之影響-以東協五國為例
論文名稱(外文):The Impact of China Exchange Rate Volatility on Trade Volume: The Case of ASEAN-5
指導教授:魏清圳魏清圳引用關係
學位類別:碩士
校院名稱:逢甲大學
系所名稱:國際貿易所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:77
中文關鍵詞:東協五國進出口等式VECM1)GARCH(1匯率波動
外文關鍵詞:Foreign exchange rate volatilityGARCH (11)VECM ModelExport modelImport modelASEAN
相關次數:
  • 被引用被引用:8
  • 點閱點閱:302
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
本文探討當2005年7月中國採行管理浮動匯率制度後,匯率的波動影響程度增大,匯率風險增加的情況下,匯率波動是否會對中國至東協五國的進出口貿易造成影響,同時考慮總體經濟變數,包含所得、實質匯率和相對消費水準會如何影響進出口貿易。
本文使用GARCH(1,1)來估計匯率波動,並利用單根檢定、Granger 因果相關檢定、共整合檢定與向量誤差修正模型來檢定中國對東協五國出口模型與進口模型,實證上發現匯率波動在出口方程式中,中國對新加坡出口量有負向影響,對中國至泰國出口量有正向影響,其餘三國影響不顯著。進口模型中發現匯率波動於進口方程式對中國至印尼進口量有顯著正影響,其餘四國影響不顯著。
另外,研究發現出口模型中,除了菲律賓工業生產指數對中國至菲律賓出口量無影響外,其餘四國之工業生產指數對中國至其出口量皆有顯著影響,實質匯率對中國至新加坡出口量有顯著影響,相對消費者物價指數對中國至印尼與菲律賓出口量有顯著影響。進口方程式中,中國工業生產指數對中國至馬來西亞進口量有顯著相關,其餘各國影響皆不顯著,實質匯率對中國至印尼、馬來西亞與泰國進口量有顯著影響,相對消費者物價指數對中國至東協五國進口量皆有顯著影響。
This study discusses China adopting the flexible exchange rate system in July 2005 and the influence on the increasing exchange rate volatility. Under the circumstance of the increasing risk, it is unknown whether to there is the influence on the import and export trade of ASEAN-5. We also consider macroeconomic variables, including income, real exchange rate, and relative consumer price index, to see how these variables influence import and export trade.
This study used GARCH(1,1) to estimate the foreign exchange rate volatility and used the unit root test, Granger causality test, Cointegration test, and the VECM model to examine China’s export and import model to the ASEAN-5. In empirical results, exchange rate volatility in the export equation has negative influence on China to the Singapore export volume, but the positive influence on China to the Thailand export volume and three other countries are not significant. In the import models, exchange rate volatility on China to the Indonesian import volume has a positive influence.
In the export models, industrial production index is a significant effect on China to ASEAN-5, except the Philippines. The real exchange rate has an obvious influence on China to the Singapore export volume and the relative consumer price index has influence on China to Indonesian and the Filipino export volume. In the import models, China industrial production index is obviously related to China import volume to Malaysia, but the influence on other countries is not significant. The real exchange rate to China, Indonesian, Malaysian and the Thailand import volume has a great influence. The relative consumer price index has a significant influence to China and ASEAN import volumes.
第一章 導論 1
第二章 文獻回顧 4
第三章 模型設立與研究方法 10
第一節 資料來源 10
第二節 模型設立 10
(一)出口模型 10
(二)進口模型 13
第三節 匯率波動之估計模型 14
第四節 研究方法 15
(一)ADF單根檢定 15
(二)Granger因果相關檢定 16
(三)共整合檢定 17
(四)向量自我迴歸模型 18
(五)向量誤差修正模型 21
第四章 實證結果 22
第一節 單根檢定結果 22
第二節 Granger因果相關檢定 25
第三節 共整合檢定 29
第四節 向量誤差修正模型 34
(一)誤差修正模型說明 34
(二)變異數分解 41
(三)衝擊反應函數 47
第五節 本章小結 51
第五章 結論與建議 54
第一節 結論 54
第二節 建議 55
參考文獻 56
第一節 中文參考文獻 56
第二節 英文參考文獻 56
附錄 61
中文參考文獻
1.沈信宏,2001。「匯率波動對進口貿易之影響:共整合分析」,逢甲大學經濟學研究所碩士論文。
2.周麗君,1998。「國際貿易與匯率波動」,逢甲大學經濟學研究所碩士論文。
3.黃韻禎,2007。「匯率波動對台灣出口的影響」,國立政治大學國際貿易學研究所碩士論文。
4.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研究所碩士論文。
英文參考文獻
1.Sukar, A. H. and Hassan, S., 2001. US exports and time-varying volatility of real exchange rate, Global Finance Journal, 12 109-119.
2.Aliyu and Rano, S., 2008. Exchange rate volatility and export trade in Nigeria, MPRA Paper No. 13490, posted 18.
3.Arize, A. C., 1990. An econometric investigation of export behavior in seven Asian developing economies, Applied Economics, 22, 891−904.
4.Arize, A. C., 1997. Conditional exchange-rate volatility and the volume of foreign trade: Evidence from seven industrialized countries, Southern Economic Journal, 64, 235−254.
5.Arize, A. C., Osang, T., and Slottje, D. J., 2000. Exchange-rate volatility and foreign trade: Evidence from Thirteen LDCs, Journal of Business and Economic Statistics, 18, 10−17.
6.Arize, A. C., Osang, T., and Slottje, D. J., 2008. Exchange-rate volatility in Latin America and its impact on foreign trade, International Review of Economics and Finance, 17, 33-44.
7.Awokuse, T. O. and Yuan,Y., 2006. Impact of exchange rate volatility on U.S. poultry exports, Agribusiness: An International Journal, 22, 233-245.
8.Baum, C., Caglayan, M., and Ozkan, N., 2004. Nonlinear effects of exchange rate volatility on the volume of bilateral exports, Journal of Applied Econometrics, 19, 1-23.
9.Belanger, D., Gutierrez, S., Racette, D. and Raynauld, J., 1992. The impact of exchange rate variability on trade flows: Further results from sectoral US imports from Canada, North American Journal of Economics and Finance, 3, 888-92.
10.Bini-Smaghi, L., 1991. Exchange rate variability and trade: Why is it so difficult to find any relationship?, Applied Economics, 23, 927-36.
11.Caporale T. and Doroodian K., 1994. Exchange rate variability and flow of international trade, Economic Letters, 46, 49-54.
12.De Grauwe, P., 1988. Exchange rate variability and the slowdown in the growth of International trade, IMF Staff Paper, 35, 63–84.
13.Engle, R.F., 1982. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation, Econometrical, 50, 987-1008.
14.Klaassen, F., 2004. Why is it so difficult to find an effect of exchange rate risk on trade?, Journal of international Money and Finance, 23, 817-839.
15.Hau, H., 2002. Real exchange rate volatility and economic openness: Theory and evidence, Journal of Money Credit and Banking, 34, 611-630.
16.Hooper, P. and Kohlhagen, S., 1978. The effects of exchange rate uncertainty on the prices and volumes of international trade, Journal of International Economics, 8, 483-511.
17.Doroodian, K., 1999. Does exchange rate volatility deter international trade in developing countries?, Journal of Asian Economics, 10, 495-474.
18.Klein, M.W, 1990. Sectoral effects of exchange rate volatility on United States exports, Journal of International Money and Finance, 9, 299-308.
19.Kroner, K.F. and W.D. Lastrapes, 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.
20.Lutkepohl, H, 1982. Non-causality due to omitted variables, Journal of Econometrics, 44, 367-378.
21.Mark, N.C. and D.-Y. Choi, 1997. Real exchange rate prediction over long horizons, Journal of International Economics, 43, 29-60.
22.Marquez, J, 1999. Long-period trade elasticities for Canada, Japan, and the United States, Review of International Economics, 7, 102-116.
23.Merton, R.C, 1980. On estimating the expected return on the market: An exploratory investigation, Journal of Financial Economics, 8, 323-361.
24.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.
25.Mckenzie, M. D., 2002. The economics of exchange rate volatility asymmetry, International Journal of Finance and Economic, 7, 247-260.
26.Pagan, A. and Ullah, A., 1988. The econometric analysis of models with risk terms, Journal of Applied Econometrics, 3, 87−105.
27.Phillips, P. C. B., and Hansen, B. E., 1990. Statistical inference in instrumental variables regression with I(1) processes, The Review of Economic Studies, 57(1), 99−125.
28.Sercu, P. and Uppal, R., 2003. Exchange rate and international trade: A general-equilibrium analysis, European Economic Review, 47, 429-441.
29.Pozo, S, 1992. Conditional exchange-rate volatility and the volume of international trade: Evidence from the early 1990s, The Review of Economics and Statistics, 74/2, 325-329.
30.Qian, Y., and Varangis, P., 1994. Does exchange-rate volatility hinder export growth?, Empirical Economics, 19, 371−396.
31.Mahadevan, R., and Suardi, S., 2008. A dynamic analysis of the impact of uncertainty on import- and/or export-led growth: The experience of Japan and the Asian Tigers, Japan and the World Economy, 20, 155-174.
32.Riedel, J., 1988. The demand for LDC exports of manufactures: Estimates from Hong Kong, The Economic Journal, 98, 138−148.
33.Baak, S. J., 2008. The bilateral real exchange rates and trade between China and the U.S., China Economic Review, 19, 117-127.
34.Seabra, F., 1995. Short-run exchange-rate uncertainty in Latin America, Applied Economics, 27(5), 441−451.
35.Sercu, P., and Uppal, R., 2003. Exchange rate volatility and international trade, European Economic Review, 47, 429-441.
36.Sukar, A.H. and Hassan, S., 2001. US exports and time-varying volatility of real exchange rate, Global Finance Journal, 12, 109-119.
37.Choudhry, T., 2005. Exchange rate volatility and United States exports: evidence from Canada and Japan, J.Japanese Int. Economic, 19, 51-71.
38.Viaene, M. J., and C. G. de Vries, 1992. International trade and exchange rate volatility, European Economic Review, 36/6, 1311-1321.
39.Bhargava, V., and Malhotra, D. K., 2007. The relationship between futures trading activity and exchange rate volatility, revisited, Journal of Multinational Financial Management, 17, 95-111.
40.Wolf, A., 1995. Import and hedging uncertainty in international trade, J. Futures Markets, 15, 101-l 10.
41.Yang, G., 2004. Nontradables and the valuation of RMB—An evaluation of the Big Mac index, China Economic Review, 15, 353−359.
42.Kitamura, Y., and Akiba, H., 2006. Information arrival, interest rate differentials, and yen/dollar exchange rate, Japan and the World Economy, 18, 108-119.
43.Zhang, Z., 2001. China''s exchange rate reform and exports, Economics of Planning, 34, 89−112.
44.Zhang, F. and Pan, Z., 2004. Determination of China''s long-run nominal exchange rate and official intervention, China Economic Review, 15, 360−365.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊
 
系統版面圖檔 系統版面圖檔