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題名 匯率不確定性與台灣對中國大陸出口關係
The Relationship of Exchange Rate Volatility and Taiwan Export to Mainland China
作者 曾慧容
Tseng, Hui Jung
貢獻者 陳坤銘<br>饒秀華
Chen, Kun Ming<br>Rau, Hsiu Hua
曾慧容
Tseng, Hui Jung
關鍵詞 匯率不確定性
出口
誤差修正模型
exchange rate volatility
export
vector error correction model
日期 2011
上傳時間 12-四月-2012 13:55:27 (UTC+8)
摘要 本文探討匯率不確定性與台灣對中國大陸出口之關係,模型中參考Cushman (1986) 觀點加入第三國變數之效果。研究期間以1997年至2010年之季資料,同時考慮總合資料以及部門別資料,並以GARCH估計實質匯率波動性。第三國則利用出口近似度的計算選擇了前四大競爭國,分別為南韓,日本,馬來西亞及新加坡。此外,部門則以HS二碼分類選擇出口至中國大陸前四大之部門,包括機械與電子、精密儀器、橡膠與塑膠類產品及化學品。
     
      本文檢定變數是否有單根。若有單根則進一步檢定這些變數是否存在共整合關係。在確定存在共整合關係後,利用完全修正最小平方法及誤差修正模型進行估計。本文實證結果顯示:匯率不確定性對出口量有負向之影響關係。就部門而言,本文探討的四個部門之結果也反映匯率不確定性對出口具有負向影響,但是以電子產品及塑膠橡膠類之影響最為顯著。
This paper investigates the relationship between exchange rate volatility and Taiwan’s exports to Mainland China. In the empirical model, the third country effects suggested by Cushman (1986) are considered. GARCH model is employed to estimate real exchange rate volatility. Both aggregate and sectoral quarterly data covering 1997 to 2010 are used in our sample. The third countries are determined by export similarity. The top 4 countries with the highest degree of export similarity are chosen, including South Korea, Japan, Malaysia and Singapore. In addition, the top 4 Taiwan’s exporting sectors are examined respectively, including machinery and electronic equipment, precision equipment, rubber and plastics, chemicals industries.
      We first test for unit root of the variables used in the study, and then check the existence of co-integration between the variables with unit root. After confirming the existence of co-integration relationship, we use FMOLS (Fully Modified OLS) and VECM (Vector Error Correction Model) to estimate the coefficients. Our empirical results suggest that there is a significantly negative effect of exchange rate volatility on Taiwan’s total exports. They also indicate that there is a negative relationship between exchange rate volatility and Taiwan’s sectoral exports. Among the top 4 exporting sectors, exchange rate volatility tends to have higher impacts on the machinery and electronic industry as well as chemical industry.
參考文獻 林冠丞 (2010),「台灣與中國雙邊貿易之決定因素」,國立政治大學大學國際貿易研究所碩士論文。
邱如伶 (2005),「匯率不確定性對中國大陸輸美出口數量之影響」,國立政治大學國際經營與貿易學系博士論文。
邱如伶 (2009),「實質匯率、外人直接投資與中國對外貿易關係之研究」,國立政治大學國際經營與貿易學系博士論文。
胡育豪 (1996),「匯率波動對於出口量的影響—台灣出口產業之實證研究」,國立政治大學國際貿易研究所碩士論文。
張銘仁 (1998),「匯率不確定性對出口貿易之衝擊-台灣、新加坡、香港與南韓之實證研究」,企銀季刊23:3,頁185-198。
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賴奕豪 (2000) , 「匯率風險對出口的衝擊:單變量與雙變量GARCH-M模型實證分析」,私立逢甲大學經濟學系碩士論文
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描述 碩士
國立政治大學
國際經營與貿易研究所
98351005
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098351005
資料類型 thesis
dc.contributor.advisor 陳坤銘<br>饒秀華zh_TW
dc.contributor.advisor Chen, Kun Ming<br>Rau, Hsiu Huaen_US
dc.contributor.author (作者) 曾慧容zh_TW
dc.contributor.author (作者) Tseng, Hui Jungen_US
dc.creator (作者) 曾慧容zh_TW
dc.creator (作者) Tseng, Hui Jungen_US
dc.date (日期) 2011en_US
dc.date.accessioned 12-四月-2012 13:55:27 (UTC+8)-
dc.date.available 12-四月-2012 13:55:27 (UTC+8)-
dc.date.issued (上傳時間) 12-四月-2012 13:55:27 (UTC+8)-
dc.identifier (其他 識別碼) G0098351005en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/52519-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 98351005zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 本文探討匯率不確定性與台灣對中國大陸出口之關係,模型中參考Cushman (1986) 觀點加入第三國變數之效果。研究期間以1997年至2010年之季資料,同時考慮總合資料以及部門別資料,並以GARCH估計實質匯率波動性。第三國則利用出口近似度的計算選擇了前四大競爭國,分別為南韓,日本,馬來西亞及新加坡。此外,部門則以HS二碼分類選擇出口至中國大陸前四大之部門,包括機械與電子、精密儀器、橡膠與塑膠類產品及化學品。
     
      本文檢定變數是否有單根。若有單根則進一步檢定這些變數是否存在共整合關係。在確定存在共整合關係後,利用完全修正最小平方法及誤差修正模型進行估計。本文實證結果顯示:匯率不確定性對出口量有負向之影響關係。就部門而言,本文探討的四個部門之結果也反映匯率不確定性對出口具有負向影響,但是以電子產品及塑膠橡膠類之影響最為顯著。
zh_TW
dc.description.abstract (摘要) This paper investigates the relationship between exchange rate volatility and Taiwan’s exports to Mainland China. In the empirical model, the third country effects suggested by Cushman (1986) are considered. GARCH model is employed to estimate real exchange rate volatility. Both aggregate and sectoral quarterly data covering 1997 to 2010 are used in our sample. The third countries are determined by export similarity. The top 4 countries with the highest degree of export similarity are chosen, including South Korea, Japan, Malaysia and Singapore. In addition, the top 4 Taiwan’s exporting sectors are examined respectively, including machinery and electronic equipment, precision equipment, rubber and plastics, chemicals industries.
      We first test for unit root of the variables used in the study, and then check the existence of co-integration between the variables with unit root. After confirming the existence of co-integration relationship, we use FMOLS (Fully Modified OLS) and VECM (Vector Error Correction Model) to estimate the coefficients. Our empirical results suggest that there is a significantly negative effect of exchange rate volatility on Taiwan’s total exports. They also indicate that there is a negative relationship between exchange rate volatility and Taiwan’s sectoral exports. Among the top 4 exporting sectors, exchange rate volatility tends to have higher impacts on the machinery and electronic industry as well as chemical industry.
en_US
dc.description.tableofcontents 第一章 緒論 1
      第一節 研究動機與目的 1
      第二節 研究方法 3
      第三節 研究架構 4
     第二章 文獻回顧 5
      第一節 理論文獻 5
      第二節 實證文獻 11
     第三章 台灣出口貿易概況 21
      第一節 台灣整體出口貿易概況 21
      第二節 台灣對中國大陸出口概況 28
     第四章 實證模型與方法 35
      第一節 實證模型 35
      第二節 實證方法 39
     第五章 實證結果分析 47
      第一節 資料來源與變數說明 47
      第二節 實證結果 48
     第六章 結論 60
      第一節 結論 60
      第二節 研究限制 61
     參考資料 62
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098351005en_US
dc.subject (關鍵詞) 匯率不確定性zh_TW
dc.subject (關鍵詞) 出口zh_TW
dc.subject (關鍵詞) 誤差修正模型zh_TW
dc.subject (關鍵詞) exchange rate volatilityen_US
dc.subject (關鍵詞) exporten_US
dc.subject (關鍵詞) vector error correction modelen_US
dc.title (題名) 匯率不確定性與台灣對中國大陸出口關係zh_TW
dc.title (題名) The Relationship of Exchange Rate Volatility and Taiwan Export to Mainland Chinaen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 林冠丞 (2010),「台灣與中國雙邊貿易之決定因素」,國立政治大學大學國際貿易研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 邱如伶 (2005),「匯率不確定性對中國大陸輸美出口數量之影響」,國立政治大學國際經營與貿易學系博士論文。zh_TW
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