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    題名: 匯率波動對美國出口至經濟合作暨發展組織國家的影響
    其他題名: The impact of exchange rate volatility on U.S. exports to oecd countries
    作者: 曾彥翔;Tseng, Yen-Hsiang
    貢獻者: 淡江大學產業經濟學系碩士班
    林佩蒨
    關鍵詞: 匯率波動;出口;混合組群平均數估計法;OECD;ARDL;EGARCH;TGARCH;exchange rate volatility;Exports;Pooled Mean Group
    日期: 2012
    上傳時間: 2013-04-13 10:52:36 (UTC+8)
    摘要: 匯率波動對於貿易出口的影響,一直是備受爭議的研究議題,不論在理論或實證上,都沒有一致的結論。本文主要探討匯率波動對美國出口至19個經濟合作暨發展組織國家的影響,研究期間為1980年至2009年季資料。本文利用Pesaran, Shin, and Smith (1999)所提出的混合組群平均數估計法進行估計,觀察匯率波動與貿易出口在長期均衡以及短期調整的相互關係,特別的是此估計法可以使用於任何的定態以及非定態變數且不需要考慮變數是否存在單根,並可以使用於自我迴歸時間落差分配模型的追蹤資料上。而匯率波動衡量方面本文則是採用能捕捉到匯率波動不對稱性的指數型一般化自我相關條件異質變異模型以及門檻型一般化自我相關條件異質變異模型進行衡量。本文研究結果如下:
    1.不論在估計模型長期均衡或是短期調整的情況下,實質匯率波動對於美國實質貿易出口的影響,經過本文的實際驗證後,並沒有特別顯著的關係,亦即匯率波動並不會波及美國貿易出口。
    2.在歐洲國家加入歐元區後的樣本中,不論在估計模型長期均衡或是短期調整的情況下,實質匯率波動對於美國實質貿易出口依然是沒有影響的。即在一共同經濟體建立後,貨幣體系發生了變化,但匯率波動依然是不會影響到美國實質貿易出口。3.在強固性檢測中,本文使用了三種不同的檢測方法,並且發現估計結果與本文的主要結論是相同且一致的,即匯率波動並不會波及美國貿易出口。
    The impact of exchange- rate volatility on exports has been perennially debated in the literature. However, a consistent conclusion regarding this issue is still not achieved either in the theoretical or empirical studies. This paper mainly concerns the impact of exchange-rate volatility on U.S. exports to 19 OECD countries, including quarterly observations for the period from 1980:Q1 to 2009:Q4, by applying the pooled mean group (PMG) estimator of Pesaran, Shin, and Smith (1999) to assess the short- and long-run relationships between exports and exchange- rate volatility. Specifically, the estimator can be applied to either I(1) and/ or I(0) variables and does not require the pretesting of unit roots. On the other hands, this methodology also can be summarized as a panel error-correction model, where the short- and long-run effects are estimated jointly from a general autoregressive distributed lag (ARDL) model. The measures of exchange rate volatility in this paper are using EGARCH and TGARCH models. For these two models can capture the volatility in exchange- rate in an asymmetric way. The main findings of this research are as follows:
    1.There is no statistically significant impact of exchange-rate-volatility on US export to the OECD countries,
    regardless in the short- or long-run. and this finding is robust to various sensitivity tests.
    2.Our main finding does not alter even with the sample restricted to the period where some countries forming the currency union, i.e., Euro zone.
    3.This main finding is robust to various sensitivity tests, thus showing the robustness of our estimate results.
    顯示於類別:[產業經濟學系暨研究所] 學位論文

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