臺灣博碩士論文加值系統

摘要
本文研究目的是使用1999年1月到2008年12月間的月資料，探討匯率波動對泰國與美國、日本之長期及短期貿易影響。 而研究方法上為採用一般化的自我相關條件異質變異（GARCH）模型所估計的實質有效匯率，代入傳統的進出口方程式做為匯率風險的代理變數。 由於過去文獻提出總體經濟資料大多都是非定態變數，因而本文先使用單根檢定（ADF），以驗證相關變數是否為非定態序列，最後利用共整合檢定與誤差修正模型進行分析匯率波動對進出口量的長期及短期影響。
由共整合檢定結果可知，貿易額、實質匯率、國外所得、相對價格及匯率波動間存在長期均衡關係；且在長期而言，匯率波動增加對美國與日本市場會產生負面影響。 然而在短期之下，匯率波動對泰國的進出口量則發現正向顯著影響。

Abstract
This paper investigates the long run and short run effects of exchange rate fluctuation on international trade flows among Thailand, US and Japanese markets, using aggregate monthly data from January, 1999 to December, 2008. We utilize a generalized autoregressive conditional heteroskedastic (GARCH) model to estimate real effective exchange rate as a proxy for exchange rate risk. In addition, previous studies suggested that most macroeconomics variables are non-stationary random processes, therefore we employ unit root test to verify the property of the data used. Finally, we analyze the long run and short run effects of exchange rate risk on the volume of export and import by applying cointegration test and error-correction model.
The empirical results from cointegration tests support an existence of the long-run equilibrium relationship among trade volume, real exchange rate, foreign income, relative price, and exchange rate volatility. However, the volatility has an adverse effect on trade flows in the long-run, but for short-run, it has a positive sign and a significant impact on trade volume.

Table of Contents
Chinese Abstract ………………………………………………I
English Abstract ………………………………………………II
Table of Contents ………………………………………………III
List of Tables ………………………………………………IV
List of Figures ………………………………………………IV
Chapter 1 Introduction ……………………………………....1
Chapter 2 Literature Review …...………………………………….4
Chapter 3 Methodology ……………………………………....14
GARCH Model …………………………………………..16
Unit Roots Test .………………………………………..17
Cointegraion Test .………………………………………..18
Error-Correction model ………………………………………...20
Chapter 4 Empirical Results …...……………………………...21
Data Description ..…………………………...….…21
Volatility Measurement ………………………………………...25
Long-Run Relationship ………………………………………...27
The Short-Run Dynamics ………………………………………...33
Chapter 5 Conclusions & Suggestions …………………………...40
References …………………………………………………………....42

List of Tables
Table 1. Explanatory Variables ………………………………….....15
Table 2. Variables used in Thailand Trade Model ……...………21
Table 3. Descriptive Statistics of all Variables ……………………24
Table 4. GARCH Test …………………………….…………….........26
Table 5. Unit Root Test Results ……………………….……….....28
Table 6-1. Lag Length Tests (Export) ………………………….…......29
Table 6-2. Lag Length Tests (Import) ………………………….…......30
Table 7. Cointegration Tests ………………………………………...31
Table 8. Results of Cointegrating Vectors …………………………32
Table 9-1. Error-correction model (Export to US) …………34
Table 9-2. Error-correction model (Export to Japan) …………35
Table 9-3. Error-correction model (Import from US) …………36
Table 9-4. Error-correction model (Import from Japan) …………37

List of Figures
Figure 1. Research Framework ………………………………….....3
Figure 2. Exchange Rate Risk ………………………………….....27

References
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