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研究生:張毓芷
研究生(外文):Yu-Chih, Chang
論文名稱:區域經濟整合下匯率與貿易收支的動態關連性之探討
論文名稱(外文):Dynamic linkage of foreign exchange rate and trade balance under the trend of regional economic integration
指導教授:簡美瑟簡美瑟引用關係李建強李建強引用關係
指導教授(外文):Mei-Se, ChienChien-Chiang, Lee
口試委員:張存炳張嘉倩
口試委員(外文):Chun-Ping, ChangChia-Chien, Chang
口試日期:2015-05-25
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:金融系金融資訊碩士班
學門:商業及管理學門
學類:財務金融學類
論文出版年:2015
畢業學年度:103
語文別:英文
論文頁數:56
中文關鍵詞:匯率貿易收支遞迴共整合區域經濟整合
外文關鍵詞:Exchange RateTrade BalanceRecursive CointegrationRegional Economic Integration
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  本文以區域經濟組織的角度來探討匯率與貿易收支間之關係,分析的對象則為台灣與其三大貿易對手,即北美貿易組織(NAFTA)、歐元區(Euro Area)、東協(ASEAN)間之雙邊匯率與貿易之關連性。研究方法上將運用能考量結構轉變與能補捉時間變化的動態分析之方法。本文的實證期間為1998Q1~2013Q4,所分析的變數為台灣與上述三區域經濟整合組織雙邊出口值、進口值、匯率與國內生產毛額。本文的實證結果如下:

  首先, Gregory and Hansen(1996)結構轉變共整合檢定結果顯示,以實質匯率、GDP與出口值的長期均衡關係來看,台灣與ASEAN、NAFTA與歐元區間皆存在長期均衡關係,且存在結構性改變。至於進口與各變數間的均衡關係,除了與東協的雙邊進口關係存在一個共整合關係外,與其他兩區域的雙邊進口關係皆無共整合關係。此外,由GH檢定也測得主要結構轉變之時間點為2001年、2007-2009年間以及2010-2011年間,造成這些時點產生結構轉變的原因,分別為網路泡沫、2008金融風暴與歐債危機。其次,由遞迴共整合實證顯示,不論就雙邊出口或進口關係來看,台灣與歐元區的經濟整合趨勢呈現遞減現象,但與東協的經濟整合趨勢有更為緊密的現象。最後,由遞迴的進出口值之實質匯率彈性的結果來看,台灣與三大區域經濟組織間,台幣貶值可能改善台灣與東協間的貿易收支,但對於另外二者則無效。

  Being based on the increasing trend of the regional economic integration, we would like to investigate the bilateral trade relationships between Taiwan and its major trading partners. To reveal the dynamics of bilateral trade relationships, a recursive cointegration test is applied to test the time-varying nature of convergence in this paper. Our main findings are as follows: First, the results of the Gregory and Hansen (1996) test show that the main structural break occurred in the long-run cointegration around three periods, from 2000 to 2001, from 2007 to 2009, and 2010 to 2011, and they look to match clearly with 2000 internet bubble, 2008 global financial crisis and 2010 Euro crisis, respectively. Second, the results of recursive cointegration of the bilateral export and import relationship show that there is a closer economic linkage between Taiwan and ASEAN, but a less close association between Taiwan and Euro Area. Finally, combining with the recursive coefficient’s results of real exchange rate elasticity of export value and import value, the policy of Taiwan’s currency depreciation could improve the bilateral trade balance for only one case of ASEAN.
摘要 i
Abstract ii
Acknowledgement iii
Contents iv
List of Tables v
List of Figures vi
Chapter1 Introduction 1
Chapter2 The Background of Bilateral Trade Relationships Between Taiwan and Three Regional Economic Groups 6
Chapter3 Research Methodology 10
3.1 Unit Root Tests 10
3.1.1 ADF Unit Root Test (Augmented Dickey-Fuller, 1979) 10
3.1.2 Perron Unit Root Test (1997) 11
3.2 Cointegration 13
3.2.1 Gregory and Hansen Cointegration Test 13
3.2.2 Recursive Cointegration Test 14
Chapter4 Data and Empirical Results 17
4.1 The Data and Results of the Unit-Root Test 18
4.2 The Results of Gregory and Hansen Cointegration Test 22
4.3 The Result of the Recursive Trace Statistics 25
4.3.1 Export 26
4.3.2 Import 29
4.4 The Estimation of Recursive Coefficients of Cointegration Vector β 31
4.4.1 Export 32
4.4.2Import 36
Chapter5 Conclusion 41
Reference 43
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