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System No. U0002-3005201211152700
Title (in Chinese) 匯率波動對美國出口至經濟合作暨發展組織國家的影響
Title (in English) The impact of exchange rate volatility on U.S. exports to OECD countries
Other Title
Institution 淡江大學
Department (in Chinese) 產業經濟學系碩士班
Department (in English) Department of Industrial Economics
Other Division
Other Division Name
Other Department/Institution
Academic Year 100
Semester 2
PublicationYear 101
Author's name (in Chinese) 曾彥翔
Author's name(in English) Yen-Hsiang Tseng
Student ID 699540364
Degree 碩士
Language Traditional Chinese
Other Language
Date of Oral Defense 2012-05-11
Pagination 56page
Committee Member advisor - 林佩蒨
co-chair - 陳明園
co-chair - 劉德芝
Keyword (inChinese) 匯率波動
Keyword (in English) Exchange rate volatility
Pooled Mean Group
Other Keywords
Abstract (in Chinese)
匯率波動對於貿易出口的影響,一直是備受爭議的研究議題,不論在理論或實證上,都沒有一致的結論。本文主要探討匯率波動對美國出口至19個經濟合作暨發展組織國家的影響,研究期間為1980年至2009年季資料。本文利用Pesaran, Shin, and Smith (1999)所提出的混合組群平均數估計法進行估計,觀察匯率波動與貿易出口在長期均衡以及短期調整的相互關係,特別的是此估計法可以使用於任何的定態以及非定態變數且不需要考慮變數是否存在單根,並可以使用於自我迴歸時間落差分配模型的追蹤資料上。而匯率波動衡量方面本文則是採用能捕捉到匯率波動不對稱性的指數型一般化自我相關條件異質變異模型以及門檻型一般化自我相關條件異質變異模型進行衡量。本文研究結果如下:
Abstract (in English)
The impact of exchange- rate volatility on exports has been perennially debated in the literature. However, a consistent conclusion regarding this issue is still not achieved either in the theoretical or empirical studies. This paper mainly concerns the impact of exchange-rate volatility on U.S. exports to 19 OECD countries, including quarterly observations for the period from 1980:Q1 to 2009:Q4, by applying the pooled mean group (PMG) estimator of Pesaran, Shin, and Smith (1999) to assess the short- and long-run relationships between exports and exchange- rate volatility. Specifically, the estimator can be applied to either I(1) and/ or I(0) variables and does not require the pretesting of unit roots. On the other hands, this methodology also can be summarized as a panel error-correction model, where the short- and long-run effects are estimated jointly from a general autoregressive distributed lag (ARDL) model. The measures of exchange rate volatility in this paper are using EGARCH and TGARCH models. For these two models can capture the volatility in exchange- rate in an asymmetric way. The main findings of this research are as follows:
1.There is no statistically significant impact of exchange-rate-volatility on US export to the OECD countries,
regardless in the short- or long-run. and this finding is robust to various sensitivity tests. 
2.Our main finding does not alter even with the sample restricted to the period where some countries forming the currency union, i.e., Euro zone.
3.This main finding is robust to various sensitivity tests, thus showing the robustness of our estimate results.
Other Abstract
Table of Content (with Page Number)
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-------------------------------------4 

第二章 文獻回顧---------------------------------------6 
 第一節 有關匯率波動與貿易影響的理論文獻------------------7 
 第二節 有關匯率波動與貿易影響的實證文獻------------------8
第三章 研究方法與實證模型------------------------------14 
 第一節 實證模型------------------------------------14 
 第二節 估計方法(Pooled Mean Group, PMG估計法)-------16 

第四章 資料來源與變數建立------------------------------18 
 第一節 樣本說明------------------------------------18 
 第二節 變數定義以及資料來源--------------------------20
 第三節 變數的敘述統計量與描述------------------------25 

第五章 實證分析結果及其意涵----------------------------28 
第一節 主要結果------------------------------------28 
第二節 其他強固性檢測-------------------------------33 
第三節 摘要總結------------------------------------46 

第六章 結論與建議------------------------------------48 



圖 1-1論文研究架構------------------------------------5

表 4-1樣本國家表-------------------------------------19
表 4-2實證模型變數定義說明-----------------------------24
表 4-3敘述統計量-------------------------------------27
表 5-1歐元區前:指數型一般化自我相關條件異質變異模型效果----31
表 5-2歐元區前:門檻型一般化自我相關條件異質變異模型效果----32
表 5-3歐元區後:指數型一般化自我相關條件異質變異模型效果----36
表 5-4歐元區後:門檻型一般化自我相關條件異質變異模型效果----37
表 5-5歐元區前:指數型一般化自我相關條件異質變異模型效果----40
表 5-6歐元區前:門檻型一般化自我相關條件異質變異模型效果----41
表 5-7歐元區前:移動平均標準差匯率水準效果---------------44
表 5-8歐元區前:移動平均標準差匯率變動率效果-------------45
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