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。

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.

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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15.	王泓仁 (2005)，台幣匯率對我國經濟金融活動之影響，《中央銀行季刊》，27 卷1 期，頁13-45。
16.	聶建中、周明智 (2004) ，區間測試法探討總體經濟與出國旅遊之影響關係，台大管理論叢 ，第16卷第1期，1-14 (TSSCI) 。

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