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系統識別號 U0002-1501200813480500
中文論文名稱 以區間測試法探討匯率波動對臺灣出口之關聯性
英文論文名稱 Bounds Testing Approach to Investigate the Relationship between Exchange Rate Volatility and Export in Taiwan
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 96
學期 1
出版年 97
研究生中文姓名 劉彥宏
研究生英文姓名 Yen-Hong Liu
學號 794490036
學位類別 碩士
語文別 中文
口試日期 2008-01-01
論文頁數 55頁
口試委員 指導教授-聶建中
共同指導教授-姜世杰
委員-洪坤
委員-林建甫
委員-楊敏華
中文關鍵字 一般化自我迴歸條件異質性變異模型  匯率波動  自我迴歸遞延落差模型  區間測試法  一般化衝擊反應函數 
英文關鍵字 GARCH  exchange rate volatility  ARDL  bounds testing  general impulse response function 
學科別分類
中文摘要 本文旨在探討1998 年 1 月至 2006 年 12 月期間中,相對物價、匯率波動、外國實質所得(工業生產指數為代理變數)、M2變動率、及進口對於臺灣出口之長、短期影響。首先,利用自我迴歸條件異質性變異模型(generalized autoregressive conditional heteroscedasticity, GARCH model) 衡量新台幣匯率指數波動程度,再由Johansen共整法及ARDL區間測試法,分別得到各變數間之長期均衡之比較結果。在實證結果發現,匯率波動對於台灣出口存在著不顯著負向關係,在長期均衡關係部份,Johansen 最大概似共整測試顯示出口與經濟變數存在長期均衡的共移關係,ARDL區間測試則顯示變數間也具有長期的共整合關係,由於各項單根測試發現各變數之整合齊次不盡相同,因此以ARDL法所得變數間存有長期共移的結果較具說服力,此說明了臺灣出口與匯率波動、相對物價、外國實質所得、M2變動率、及進口有長期均衡的共移關係,短期關係方面,ARDL-UECM-HQC模型顯示匯率波動與進口對出口短期影響略有顯著,其它變數的短期影響不顯著。本研究另以一般化衝擊反應函數進行變數間之動態跨期衝擊影響分析,發現對臺灣出口之影響,除了出口之自身短期顯著影響之短暫性衝擊外,實質所得於短期間對出口有負向之短暫性衝擊,匯率波動的衝擊則不明顯。
英文摘要 This paper examines the relationship of the exchange rate volatility on Taiwan exports and investigates long-term and short-term relationship of Taiwan exchange rate, export, relative prices, foreign income, import, M2 variation by means of ARDL bounds testing procedure to cointegration. Using monthly data from 1998m1 to 2006m12, the results indicate taiwan exports exist insignificantly and negatively correlated with exchange rate volatility under the floating exchange rate regime and income elastic, relative price inelastic unaffected by short-term exchange rate volatility.
We find that export and research economic variable exist co-moving in the long run by Johansen test, ARDL test does exist long-run relationship , too. No Evidence of shot-run foreign income, relative prices and M2 variation were found by ARDL-UECM-HQC. And inter-temporal dynamic analysis between economic variable by general impulse function ,we found income negative correlated with export but exchange rate volatility influenced insignificant.
論文目次 第一章 緒論
第一節 研究動機 1
第二節 研究目的 2
第三節 研究架構 3
第四節 研究流程 4

第二章 文獻回顧
第一節 國外文獻 5
第二節 國內文獻 8

第三章 研究方法
第一節 實證模型分析 12
第二節 單變量 GARCH (p ,q) 模型 14
第三節 單根檢定 15
第四節 Johansen共整合檢定 21
第五節 因果關係檢定 23
第六節 ARDL Bounds test 24
第七節 衝擊反應函數 27

第四章 實證結果與分析
第一節 資料來源與處理 29
第二節 GARCH (1,1)結果分析 32
第三節 單根檢定分析 33
第四節 Johansen共整合檢定分析 34
第五節 因果關係檢定分析 35
第六節 一般化衝擊反應函數分析 38
第七節 ARDL共整合檢定分析 44

第五章 結論與建議
第一節 結論 47
第二節 研究限制 48
第三節 未來研究方向與建議 48

參考文獻 49

表 次

【表4-1-1】資料與變數定義 30
【表4-1-2】各變數基本統計量分析 31
【表4- 2 】GARCH(1,1)估計結果 32
【表4-3 】各變數單根檢定結果Based on MAIC(NP, 2001) 33
【表4-4 】各變數的Johansen共整合檢定結果 35
【表4-5-1】台對美出口與其他變數間線性因果關係 36
【表4-5-2】相對物價與其他變數間線性因果關係 36
【表4-5-3】匯率波動與其他變數間線性因果關係 36
【表4-5-4】工業生產指數與其他變數間線性因果關係 37
【表4-5-5】M2變動率與其他變數間線性因果關係 37
【表4-5-6】進口與其他變數間線性因果關係 37
【表4-7-1】ARDL區間測試的共整合分析 37
【表4-7-2】ARDL區間測試短期估計結果 38

圖 次

【圖1- 1 】研究架構流程圖 4
【圖4 -1 】各資料變數走勢圖 29
【圖4-2-1】GARCH 估計實質匯率波動走勢圖 33
【圖4-2-2】GARCH 估計前後期匯率波動走勢圖 33
【圖4-6-1】台灣對美出口與各變數之一般化衝擊反應函數圖 38
【圖4-6-2】相對物價與各變數間之一般化衝擊反應函數圖 39
【圖4-6-3】匯率波動與各變數間之一般化衝擊反應函數圖 40
【圖4-6-4】工業生產指數與各變數之一般化衝擊反應函數圖 41
【圖4-6-5】M2月變動率與各變數間之一般化衝擊反應函數圖 42
【圖4-6-6】進口與各變數間之一般化衝擊反應函數圖 43

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