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題名 出口貿易相似度、消費稅有效稅率與實質匯率之關係—以空間計量分析
Export Similarity Index, Effective Consumption Tax Rate and Real Exchange Rate—Evidence from Spatial Analysis作者 繆佩芸
Miao, Pei-Yun貢獻者 黃智聰
Haung, Jr-Tsung
繆佩芸
Miao, Pei-Yun關鍵詞 實質匯率
出口貿易相似度
消費稅稅率
空間計量模型
Real exchange rate
Export similarity index
Consumption tax rate
Spatial econometric analysis日期 2020 上傳時間 3-Aug-2020 18:13:53 (UTC+8) 摘要 This study explores the determinants of real exchange rate, with a focus on export similarity index (ESI) and effective consumption tax rate by performing a spatial econometric analysis. Data consists of 27 sample countries coveringfrom the period 2001–2018. Unlike the general spatial econometric analysis, this study substitutes the matrix of export similarity index into the spatial weights matrix to examine the spillover effects of real exchange rate. There are two main finding of this study: First, the export similarity index has a significantly positive impact on real exchange rate, indicating that a country’s real exchange rate will be positively influenced by other countries’ real exchange rate through the approach of export similarity index. Second, the effective consumption tax rate has a statistically significant and negative effect on real exchange rate. An increase in effective consumption tax rate depreciates real exchange rate. 參考文獻 Ashok, M. A. and K. A. Vikram (2016). “Exchange Rate Volatility & its Impact on Macro economic Factors with Respect to Indian Economy.” International Journal of Social Science & Management, 4(6), 1-21.Beck, Stacie and Cagay Coskuner (2007). “Tax Effects on the Real Exchange Rate.” Review of International Economics, 15(5), 854–868.Branson, William, Hannu Halttunen and Paul Masson (1977). “Exchange Rates in the Short Run: The Dollar-dentschemark Rate.” European Economic Review, 10(3), 303-324.Cao, Yong and Wee Ling Ong (1995). “PPP and the Monetary Model of Exchange-Rate Determination: The Case of Singapore.” In Regional Issues in Economics, edited by S.B. Chew and J.D. Kendall, 1, 131-154. Singapore: Nanyang Technology University.Carey, David and Harry Tchilinguirian (2000). “Average Effective Tax Rates on Capital, Labour and Consumption.” OECD Economics Working Paper, 258.Cassel, Gustav (1918). “Abnormal Deviations in International Exchanges.” The Economic Journal, 28, 413-415.Cermeño, Rodolfo and María Eugenia Sanin (2015). “Are Flexible Exchange Rate Regimes More Volatile? Panel GARCH Evidence for the G7 and Latin America.” Review of Development Economics, 19(2), 297–308,Chinn, Menzie David (2000). “The Usual Suspects? Productivity and Demand Shocks and Asia Pacific Real Exchange Rates.” Review of International Economics, 8(1), 20-43.De Grauwe, Paul and Hilde Heens (1993). “Real Exchange Rate Variability in Monetary Unions.” Louvain Economic Review, 59(1/2), 105-117.Edwards, Sebastian and Sweder van Wijnbergen (1987). “Tariffs, The Real Exchange Rate and the Terms of Trade: On Two Popular Propositions in International Economics.” Oxford Economic Papers, 39(3), 458-64.Elhorst, J. Paul (2012). “Matlab Software for Spatial Panels.” International Regional Science Review, 37(3), 389-405.Finger, Joseph and Mordechai Kreinin (1979). “Measure of Export Similarity and Its Possible Uses.” Economic Journal, 89(356), 905-912.Gantman, Ernesto R. and Marcelo P. Dabós (2018). “International Trade and Factor Productivity as Determinants of the Real Effective Exchange Rate.” Applied Economics Letters, 25(5), 331-334.Glick, Reuven and Andrew K. Rose (1998). “Contagion and Trade: Explaining the Incidence and Intensity of Currency Crises.” NBER Working Paper, 6806.Goda, Thomas and Jan Priewe (2020). “Determinants of Real Exchange Rate Movements in 15 Emerging Market Economies.” Brazilian Journal of Political Economy, 40(2), 214-237.Hausman, Jerry (1978). “Specification Tests in Econometrics.” Econometrica, 46(6), 1251-1271.Huang, Jr-Tsung (2018). “Sulfur Dioxide (SO2) Emissions and Government Spending on Environmental Protection in China - Evidence from Spatial Econometric Analysis.” Journal of Cleaner Production, 175,431-441.Ibrahim, Waheed (2016). “Econometric Analysis of Determinants of Real Effective Exchange Rate in Nigeria (1960-2015).” Timisoara Journal of Economics and Business, 9(1), 62-80.Im, Kyung So, Pesaran, M. Hashem and Yongcheol Shin (2003). “Testing for Unit Roots in Heterogeneous Panels.” Journal of Econometrics, 115(1), 53-74.Keynes, John Maynard (1923). A Tract on Monetary Reform. Macmillan: London.Khin, Aye Aye, Chiow Yet Yee, Ler Su Seng, Chan Mei Wan, and Goh Qi Xian (2017). “Exchange Rate Volatility on Macroeconomic Determinants in Malaysia: Vector Error Correction Method (VECM) Model.” Journal of Global Business and Social Entrepreneurship, 3(5), 36-45.Kroner, Kenneth F. and William D. Lastrapes (1993). “The Impact of Exchange Rate Volatility on International Trade: Reduced Form Estimates Using the GARCH-in-Mean Model.” Journal of International Money and Finance, 12(3), 298-318.Lee, Chin and Chee-Hong Law (2013). “The Effects of Trade Openness on Malaysian Exchange Rate.” International Economic and Finance Journal, 8(1), 25-39.LeSage, James and Robert Kelley Pace (2009). Introduction to Spatial Econometrics. CRC Press, Boca Raton, FL.LeSage, James P. (2008). “An Introduction to Spatial Econometrics.” Revue d`économie industrielle, 123(3), 19-44.Levin, Andrew, Chien-Fu Lin, and Chia-Shang James Chu (2002). “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties.” Journal of Econometrics, 108(1), 1-24.Mendoza, Enrique G., Assaf Razin, and Linda L. Tesar (1994). “Effective Tax Rates in Macroeconomics Cross-Country Estimates of Tax Rates on Factor Incomes and Consumption.” Journal of Monetary Economics, 34, 297-323.Mussa, Michael (1984). “The Theory of Exchange Rate Determination.” In Exchange RateTheory and Practice, edited by John F.O. Bilson and Richard C. Marston, 13-78. Chicago: University of Chicago Press.Nasir, Zafar Mueen and Arshad Hassan (2011). “Economic Freedom, Exchange Rates Stability and FDI in South Asia.” The Pakistan Development Review, 50(4), 423-433.Nguyen, Thi Nguyet Anh, Thi Hong Hanh Pham, and Thomas Vallée (2017). “Similarity in Trade Structure: An Evidence from ASEAN+3.” The Journal of International Trade and Economic Development, 26(8), 1000-1024.Pearson, Oliver P. (1944). “Reproduction in the shrew (Blarina brevicauda Say).” American Journal of Anatomy, 75(1), 39-93.Pomfret, Richard (1981). “The Staple Theory as an Approach to Canadian and Australian Economic Development.” Australian Economic History Review, 21(2), 133-146.Quazi, Rahim (2007). “Economic Freedom and Foreign Direct Investment in East Asia.” Journal of the Asia Pacific Economy, 12(3), 329-344.Ricci, Luca A, Gian Maria Milesi-Ferretti and Jaewoo Lee (2013). “Real Exchange Rates and Fundamentals: A Cross-Country Perspective.” Journal of Money, Credit and Banking, 45(5), 845-865.Tkalec, Marina, Maruška Vizek and Goran VukšićFiscal (2019). “Devaluation and Real Exchange Rates in the Euro Area: Some Econometric Insights.” Review of International Economics, 7(2), 694-710.Wang, Wenchun, Yang Wang and Jiaojiao Wang (2017). “Do Consumption Tax Cuts Lead to Dynamic Laffer Effects in Open Economies?” Theoretical Economics Letters, 7, 324-338.Xu, Xinpeng and Ligang Song (2000). “Export Similarity and the Pattern of East Asian Development”. In China in the Global Economy, edited by P.J. Lloyd and X.G. Zhang, 145-165.Zakaria, Muhammad and Ahmed Bilal Ghauri (2011). “Trade Openness and Real Exchange Rate: Some Evidence from Pakistan.” Romanian Economic Journal, 14(39), 201-229.Zia, Uzma and Zafar Mahmood (2013). “Exchange Rate Depreciation and Export Price Competitiveness: The Case of Pakistani Manufacturing Industries.” Journal of the Asia Pacific Economy, 18(4), 529-542. 描述 碩士
國立政治大學
財政學系
107255008資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107255008 資料類型 thesis dc.contributor.advisor 黃智聰 zh_TW dc.contributor.advisor Haung, Jr-Tsung en_US dc.contributor.author (Authors) 繆佩芸 zh_TW dc.contributor.author (Authors) Miao, Pei-Yun en_US dc.creator (作者) 繆佩芸 zh_TW dc.creator (作者) Miao, Pei-Yun en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 18:13:53 (UTC+8) - dc.date.available 3-Aug-2020 18:13:53 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 18:13:53 (UTC+8) - dc.identifier (Other Identifiers) G0107255008 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/131190 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財政學系 zh_TW dc.description (描述) 107255008 zh_TW dc.description.abstract (摘要) This study explores the determinants of real exchange rate, with a focus on export similarity index (ESI) and effective consumption tax rate by performing a spatial econometric analysis. Data consists of 27 sample countries coveringfrom the period 2001–2018. Unlike the general spatial econometric analysis, this study substitutes the matrix of export similarity index into the spatial weights matrix to examine the spillover effects of real exchange rate. There are two main finding of this study: First, the export similarity index has a significantly positive impact on real exchange rate, indicating that a country’s real exchange rate will be positively influenced by other countries’ real exchange rate through the approach of export similarity index. Second, the effective consumption tax rate has a statistically significant and negative effect on real exchange rate. An increase in effective consumption tax rate depreciates real exchange rate. en_US dc.description.tableofcontents CHAPTER 1. INTRODUCTION 11.1 Research Background and Purpose 11.2 Research Framework 3CHAPTER 2. LITERATURE REVIEW 52.1 Exchange Rate Theory 52.2 The Determinants of Exchange Rate 9CHAPTER 3. REAL EXCHANGE RATE, EXPORT SIMILARITY INDEX AND CONSUMPTION TAX RATE 183.1 The Real Exchange Rate 183.2 The Measurement of Export Similarity Index 223.3 The Effective Tax Rate on Consumption 29CHAPTER 4. METHODOLOGY AND VARIABLES 334.1 Spatial Econometric Model 334.2 Model Specification 394.3 Data and Variables 40CHAPTER 5. EMPIRICAL RESULTS 485.1 Unit Root Test and Collinearity Test 485.2 Estimation Results 515.3 Robustness Test 56CHAPTER 6. CONCLUSIONS 586.1 Concluding Remarks 586.2 Policy Implications 60REFERENCE 62APPENDIX 68 zh_TW dc.format.extent 2750225 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107255008 en_US dc.subject (關鍵詞) 實質匯率 zh_TW dc.subject (關鍵詞) 出口貿易相似度 zh_TW dc.subject (關鍵詞) 消費稅稅率 zh_TW dc.subject (關鍵詞) 空間計量模型 zh_TW dc.subject (關鍵詞) Real exchange rate en_US dc.subject (關鍵詞) Export similarity index en_US dc.subject (關鍵詞) Consumption tax rate en_US dc.subject (關鍵詞) Spatial econometric analysis en_US dc.title (題名) 出口貿易相似度、消費稅有效稅率與實質匯率之關係—以空間計量分析 zh_TW dc.title (題名) Export Similarity Index, Effective Consumption Tax Rate and Real Exchange Rate—Evidence from Spatial Analysis en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ashok, M. A. and K. A. Vikram (2016). “Exchange Rate Volatility & its Impact on Macro economic Factors with Respect to Indian Economy.” International Journal of Social Science & Management, 4(6), 1-21.Beck, Stacie and Cagay Coskuner (2007). “Tax Effects on the Real Exchange Rate.” Review of International Economics, 15(5), 854–868.Branson, William, Hannu Halttunen and Paul Masson (1977). “Exchange Rates in the Short Run: The Dollar-dentschemark Rate.” European Economic Review, 10(3), 303-324.Cao, Yong and Wee Ling Ong (1995). “PPP and the Monetary Model of Exchange-Rate Determination: The Case of Singapore.” In Regional Issues in Economics, edited by S.B. Chew and J.D. Kendall, 1, 131-154. Singapore: Nanyang Technology University.Carey, David and Harry Tchilinguirian (2000). “Average Effective Tax Rates on Capital, Labour and Consumption.” OECD Economics Working Paper, 258.Cassel, Gustav (1918). “Abnormal Deviations in International Exchanges.” The Economic Journal, 28, 413-415.Cermeño, Rodolfo and María Eugenia Sanin (2015). “Are Flexible Exchange Rate Regimes More Volatile? Panel GARCH Evidence for the G7 and Latin America.” Review of Development Economics, 19(2), 297–308,Chinn, Menzie David (2000). “The Usual Suspects? Productivity and Demand Shocks and Asia Pacific Real Exchange Rates.” Review of International Economics, 8(1), 20-43.De Grauwe, Paul and Hilde Heens (1993). “Real Exchange Rate Variability in Monetary Unions.” Louvain Economic Review, 59(1/2), 105-117.Edwards, Sebastian and Sweder van Wijnbergen (1987). “Tariffs, The Real Exchange Rate and the Terms of Trade: On Two Popular Propositions in International Economics.” Oxford Economic Papers, 39(3), 458-64.Elhorst, J. Paul (2012). “Matlab Software for Spatial Panels.” International Regional Science Review, 37(3), 389-405.Finger, Joseph and Mordechai Kreinin (1979). “Measure of Export Similarity and Its Possible Uses.” Economic Journal, 89(356), 905-912.Gantman, Ernesto R. and Marcelo P. Dabós (2018). “International Trade and Factor Productivity as Determinants of the Real Effective Exchange Rate.” Applied Economics Letters, 25(5), 331-334.Glick, Reuven and Andrew K. Rose (1998). “Contagion and Trade: Explaining the Incidence and Intensity of Currency Crises.” NBER Working Paper, 6806.Goda, Thomas and Jan Priewe (2020). “Determinants of Real Exchange Rate Movements in 15 Emerging Market Economies.” Brazilian Journal of Political Economy, 40(2), 214-237.Hausman, Jerry (1978). “Specification Tests in Econometrics.” Econometrica, 46(6), 1251-1271.Huang, Jr-Tsung (2018). “Sulfur Dioxide (SO2) Emissions and Government Spending on Environmental Protection in China - Evidence from Spatial Econometric Analysis.” Journal of Cleaner Production, 175,431-441.Ibrahim, Waheed (2016). “Econometric Analysis of Determinants of Real Effective Exchange Rate in Nigeria (1960-2015).” Timisoara Journal of Economics and Business, 9(1), 62-80.Im, Kyung So, Pesaran, M. Hashem and Yongcheol Shin (2003). “Testing for Unit Roots in Heterogeneous Panels.” Journal of Econometrics, 115(1), 53-74.Keynes, John Maynard (1923). A Tract on Monetary Reform. Macmillan: London.Khin, Aye Aye, Chiow Yet Yee, Ler Su Seng, Chan Mei Wan, and Goh Qi Xian (2017). “Exchange Rate Volatility on Macroeconomic Determinants in Malaysia: Vector Error Correction Method (VECM) Model.” Journal of Global Business and Social Entrepreneurship, 3(5), 36-45.Kroner, Kenneth F. and William D. Lastrapes (1993). “The Impact of Exchange Rate Volatility on International Trade: Reduced Form Estimates Using the GARCH-in-Mean Model.” Journal of International Money and Finance, 12(3), 298-318.Lee, Chin and Chee-Hong Law (2013). “The Effects of Trade Openness on Malaysian Exchange Rate.” International Economic and Finance Journal, 8(1), 25-39.LeSage, James and Robert Kelley Pace (2009). Introduction to Spatial Econometrics. CRC Press, Boca Raton, FL.LeSage, James P. (2008). “An Introduction to Spatial Econometrics.” Revue d`économie industrielle, 123(3), 19-44.Levin, Andrew, Chien-Fu Lin, and Chia-Shang James Chu (2002). “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties.” Journal of Econometrics, 108(1), 1-24.Mendoza, Enrique G., Assaf Razin, and Linda L. Tesar (1994). “Effective Tax Rates in Macroeconomics Cross-Country Estimates of Tax Rates on Factor Incomes and Consumption.” Journal of Monetary Economics, 34, 297-323.Mussa, Michael (1984). “The Theory of Exchange Rate Determination.” In Exchange RateTheory and Practice, edited by John F.O. Bilson and Richard C. Marston, 13-78. Chicago: University of Chicago Press.Nasir, Zafar Mueen and Arshad Hassan (2011). “Economic Freedom, Exchange Rates Stability and FDI in South Asia.” The Pakistan Development Review, 50(4), 423-433.Nguyen, Thi Nguyet Anh, Thi Hong Hanh Pham, and Thomas Vallée (2017). “Similarity in Trade Structure: An Evidence from ASEAN+3.” The Journal of International Trade and Economic Development, 26(8), 1000-1024.Pearson, Oliver P. (1944). “Reproduction in the shrew (Blarina brevicauda Say).” American Journal of Anatomy, 75(1), 39-93.Pomfret, Richard (1981). “The Staple Theory as an Approach to Canadian and Australian Economic Development.” Australian Economic History Review, 21(2), 133-146.Quazi, Rahim (2007). “Economic Freedom and Foreign Direct Investment in East Asia.” Journal of the Asia Pacific Economy, 12(3), 329-344.Ricci, Luca A, Gian Maria Milesi-Ferretti and Jaewoo Lee (2013). “Real Exchange Rates and Fundamentals: A Cross-Country Perspective.” Journal of Money, Credit and Banking, 45(5), 845-865.Tkalec, Marina, Maruška Vizek and Goran VukšićFiscal (2019). “Devaluation and Real Exchange Rates in the Euro Area: Some Econometric Insights.” Review of International Economics, 7(2), 694-710.Wang, Wenchun, Yang Wang and Jiaojiao Wang (2017). “Do Consumption Tax Cuts Lead to Dynamic Laffer Effects in Open Economies?” Theoretical Economics Letters, 7, 324-338.Xu, Xinpeng and Ligang Song (2000). “Export Similarity and the Pattern of East Asian Development”. In China in the Global Economy, edited by P.J. Lloyd and X.G. Zhang, 145-165.Zakaria, Muhammad and Ahmed Bilal Ghauri (2011). “Trade Openness and Real Exchange Rate: Some Evidence from Pakistan.” Romanian Economic Journal, 14(39), 201-229.Zia, Uzma and Zafar Mahmood (2013). “Exchange Rate Depreciation and Export Price Competitiveness: The Case of Pakistani Manufacturing Industries.” Journal of the Asia Pacific Economy, 18(4), 529-542. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000834 en_US
