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    題名: 以區間測試法探討匯率波動對臺灣出口之關聯性
    其他題名: Bounds testing approach to investigate the relationship between exchange rate volatility and export in Taiwan
    作者: 劉彥宏;Liu, Yen-hong
    貢獻者: 淡江大學財務金融學系碩士在職專班
    聶建中;Neih, Chien-chung
    關鍵詞: 一般化自我迴歸條件異質性變異模型;匯率波動;自我迴歸遞延落差模型;區間測試法;一般化衝擊反應函數;GARCH;exchange rate volatility;ARDL;bounds testing;general impulse response function
    日期: 2008
    上傳時間: 2010-01-11 00:50:45 (UTC+8)
    摘要: 本文旨在探討1998 年 1 月至 2006 年 12 月期間中,相對物價、匯率波動、外國實質所得(工業生產指數為代理變數)、M2變動率、及進口對於臺灣出口之長、短期影響。首先,利用自我迴歸條件異質性變異模型(generalized autoregressive conditional heteroscedasticity, GARCH model) 衡量新台幣匯率指數波動程度,再由Johansen共整法及ARDL區間測試法,分別得到各變數間之長期均衡之比較結果。在實證結果發現,匯率波動對於台灣出口存在著不顯著負向關係,在長期均衡關係部份,Johansen 最大概似共整測試顯示出口與經濟變數存在長期均衡的共移關係,ARDL區間測試則顯示變數間也具有長期的共整合關係,由於各項單根測試發現各變數之整合齊次不盡相同,因此以ARDL法所得變數間存有長期共移的結果較具說服力,此說明了臺灣出口與匯率波動、相對物價、外國實質所得、M2變動率、及進口有長期均衡的共移關係,短期關係方面,ARDL-UECM-HQC模型顯示匯率波動與進口對出口短期影響略有顯著,其它變數的短期影響不顯著。本研究另以一般化衝擊反應函數進行變數間之動態跨期衝擊影響分析,發現對臺灣出口之影響,除了出口之自身短期顯著影響之短暫性衝擊外,實質所得於短期間對出口有負向之短暫性衝擊,匯率波動的衝擊則不明顯。
    This paper examines the relationship of the exchange rate volatility on Taiwan exports and investigates long-term and short-term relationship of Taiwan exchange rate, export, relative prices, foreign income, import, M2 variation by means of ARDL bounds testing procedure to cointegration. Using monthly data from 1998m1 to 2006m12, the results indicate taiwan exports exist insignificantly and negatively correlated with exchange rate volatility under the floating exchange rate regime and income elastic, relative price inelastic unaffected by short-term exchange rate volatility.
    We find that export and research economic variable exist co-moving in the long run by Johansen test, ARDL test does exist long-run relationship , too. No Evidence of shot-run foreign income, relative prices and M2 variation were found by ARDL-UECM-HQC. And inter-temporal dynamic analysis between economic variable by general impulse function ,we found income negative correlated with export but exchange rate volatility influenced insignificant.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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