This paper analyzes theoretically and empirically the impacts of theexchange rates uncertainty (EXU) on the Taiwan's exporting corporateearnings. The theoretical model shows that there is a positiverelationship between this uncertainty and the earnings given that themarginal revenue product of capital is the strictly convex function ofdomestic output prices and that the discount rate is large enough. Inthis paper, EXU is extracted by applying the GARCH modeling. Theempirical results are summarized in that: (1) From the cointegrationtest and the VECM, there exist long-run equilibrium relationshipsbetween EXU and the earnings among the industries of food, glass,electricity, paper, rubber and steel. (2) The Granger causality testsshow that only one-way causal relationships are found for all theearnings of four industries considered (chemistry, electron, plastic,and textile) to be significantly preceded by EXU, whereas no causalrelation exists in the opposite direction. (3) The time-varyingrelationships from Markov switching model show that, with theexception of the textile industry, EXU shows strong influences on theearnings of all the industries, which is consistent with the findingsof previous causal tests. The positive impacts of EXU on the earningsof most industries also support the findings of the OLS estimation.
2001現代財務論壇學術研討會論文集=Proceedings of 2001 Conference of Contemporary Issues of Finance，26頁