在1973年以前，世界上各個國家大多數都是以在布列敦森林體系下所規定的固定匯率制度運作。Baig (2001) ,and Hviding, Nowak and Ricci (2004) 表示，自1973年布列敦森林體系崩潰因而切換到浮動匯率制度起，實際匯率的波動有所增加，顯著影響了經濟成長、資本流動和國際貿易。因此，一個核心的問題是：匯率波動將如何影響貿易流量。然而匯率波動對貿易的影響在理論和實證文獻上以往的結果是分歧的。不同於以往文獻，本文採用跨國並且跨時資料的實證研究方法，再次探討匯率波動對美國出口至亞洲以及拉丁美洲國家貿易的影響，此項議題。實證樣本共有12個國家，1980至2009年間的資料。實證結果如下：

一、不同於以往的文獻，本篇論文使用混和群組平均數試圖去探討匯率波動對貿易在長、短期的影響。不論在長期或是短期的情況下，匯率波動對於美國實質貿易出口的影響，結果都表示是不顯著的，亦即匯率波動並不會影響美國貿易出口並且迴歸的估計結果是強固而一致的。

二、不論是匯率波動改以TGARCH模型衡量、改以名目匯率衡量還有以MASD衡量的強固性檢測中，都可以發現匯率波動不論在長期或是短期的情況下，對貿易的影響都是不顯著的。

三、採用亞洲國家和拉丁美洲國家做為兩組樣本，結果發現匯率波動依舊是不顯著的。

Since the collapse of Bretton Woods system in 1973, the volatility of real exchange rate has increased, with significant effects on economic growth, capital movements and international trade (see Baig, 2001, and Hviding, Nowak and Ricci, 2004). Consequently, a central question has been how such high exchange-rate volatility will affect trade flows. However, the overall evidence is mixed either in the theoretical or empirical studies. Unlike the previous literature, this paper uses cross-country and cross-time data to empirically investigate how the impact of exchange rate volatility on U.S. exports to some Asia and Latin American countries. The data used in this study contains 12 countries for the period of 1980 to 2009 and the main findings of this thesis are as follows:

1. By applying pooled mean group (PMG) method to explore the impact of exchange-rate volatility on trade, we find no significant effect of exchange rate volatility on U.S. real exports to some Asian and Latin American countries, regardless in the short- or long-run.

2. This main finding is robust to various sensitivity tests.

3. The result of no significant impact of exchange-rate volatility still holds when the sample is further  divided into the Asian countries and Latin American countries.

目  錄


第一章	  緒論--------------------------------------------------------1
第一節	研究動機與目的--------------------------------------1
第二節	研究架構--------------------------------------------3

第二章	 文獻回顧----------------------------------------------------5
第一節	有關匯率波動與貿易影響的理論文獻--------------------5
第二節	有關匯率波動與貿易影響的實證文獻--------------------6

第三章	研究方法與實證模型------------------------------------------10
第一節	實證模型-------------------------------------------10
第二節	估計方法 (Pooled Mean Group, PMG) ------------------12

第四章	資料來源與變數建立------------------------------------------14
第一節	樣本說明-------------------------------------------14
第二節	變數定義以及資料來源-------------------------------16
第三節	變數的敘述統計量與描述-----------------------------22

第五章	實證分析結果及其意涵----------------------------------------24
第一節	主要結果-------------------------------------------24
第二節	其他強固性檢測-------------------------------------28
第三節	摘要總結-------------------------------------------40

第六章	結論與建議--------------------------------------------------41

參考文獻-----------------------------------------------------------45



圖  表  目  錄


表 1-1  研究架構----------------------------------------------------4
表 4-1  樣本國家表-------------------------------------------------15
表 4-2  實證圖表變數定義-------------------------------------------21
表 4-3  各變數的敘述統計-------------------------------------------23
表 5-1  實質匯率 EGARCH模型效果----------------------------------27
表 5-2  實質匯率 TGARCH模型效果----------------------------------30
表 5-3  名目匯率 EGARCH模型效果----------------------------------32
表 5-4  實質/名目匯率 MASD模型效果-------------------------------35
表 5-5  亞洲國家實質匯率 EGARCH模型效果--------------------------38
表 5-6  拉丁美洲國家實質匯率 EGARCH模型效果----------------------39

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