The effect of U.S. main Macroeconomic Voxiables On Taiwan`s Exports to the U.S.: A Vector Autoregression Analysis

Abstract

在一相互依存的世界，每一個國家的財貨與資本市場緊相結合，財貨貿易與資本移動為國與國之間經濟波動傳遞的兩個重要的管道。台灣直到1987年7月採取嚴格的資本管制，財貨貿易因此成為中美之間經濟干擾傳遞的最重要管道。瞭解影響台灣出口到美國的變數將是認定中美兩國之間經濟干擾傳遞的關鍵。本文以一結合貨幣方法與凱因斯方法的向量自我迴歸(VAR)模型來分析美國主要總體經濟變數對台灣出口到美國的影響。模型變數包括美國的貨幣供給、政府開支、國民生產毛額、實質匯率、及台灣對美國的出口。實證分析發現，所有美國的總體經濟變數與實質匯率對台灣對美國的出口均為嚴格外生變數，這與小國的假說相符合。衝擊反應與變異數分解顯示，美國實質政府開支、實質國民生產毛額、及實質匯率的干擾對於台灣對美國的出口均有顯著而且持續的衝擊影響，並在台灣對美國的出口波動中扮演重要的角色。In an interdependent world where every country`s goods market and capital market are closely integrated, goods trade and capital movement are two main channels to transmit economic disturbances between countries. Since Taiwan had adopted strict capital control until July 1987, goods trade became the most important channel to transmit economic disturbances between Taiwan and the U. S. Understanding the variables which affect Taiwan`s exports to the U. S. is a key to identify the mechanism of economic transmission between these two countries.In this paper, a vector autoregression (VAR) model combined with the monetary and the Keynesian approaches is used to find out what the main U. S. macro-variables determine Taiwan`s exports to the U. S. The variables included in the model are the U. S. money supply, government expenditure. GNP, real exchange rate, and exports from Taiwan to the U. S. The empirical analysis finds that all of U. S. macro-variables and real exchange rate are strictly exogenous with respect to Taiwan`s exports to the U. S., which is consistent with the small country hypothesis. The impulse response analysis and the variance decomposition analysis show that innovations in the U. S. real government expenditure, real GNP, and real exchange rate have significant and persistent impacts on Taiwan`s exports to the V. S., and that they play an important role in the fluctuations of exports from Taiwan to the U. S.