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System No. U0002-3105201213111200
Title (in Chinese) 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
Title (in English) The impact of exchange rate volatility on U.S. exports to Asia and Latin American 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) 莊怡君
Author's name(in English) Yi-Chun Chuang
Student ID 699540083
Degree 碩士
Language Traditional Chinese
Other Language
Date of Oral Defense 2012-05-11
Pagination 49page
Committee Member advisor - 林佩蒨
co-chair - 陳明園
co-chair - 劉德芝
Keyword (inChinese) 國際貿易
匯率波動
Keyword (in English) International trade
exchange rate volatility
Other Keywords
Subject
Abstract (in Chinese)
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。
Abstract (in English)
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.
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--------------------------------------------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
References
參考文獻

中文部份:

1.  廖偉真、雷立芬,(2010),「不同樣本頻率之股市波動性估計─GARCH、TGARCH 與EGARCH 之比較」,臺灣銀行季刊,第六十一卷第四期。

2.  楊奕農 (2009),時間序列分析:經濟與財務上之應用,《雙葉書廊》。


英文部分:
1.  Ahmad Zubaidi Baharumshah & Hooy Chee Wooi, (2007). Exchange Rate Volatility and the Asian Financial Crisis: Evidence from South Korea and ASEAN-5, Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 10(02),  pages 237-264.

2.  Akaike, H. (1973). Information theory and an extension of the maximum likelihood principle.  Proc. 2nd Inter. Symposium on Information Theory, 267-281,  Budapest.

3.  Akhtar, M. and R. Spence Hilton (1984), Effects of Exchange Rate Uncertainty on German and US Trade, 8403, Federal Reserve Bank of New York: Research Paper.

4.  Arize, A.C., Osang, T. and Slottje, D.J. (2000), Exchange-rate Volatility and  Foreign Trade: Evidence from Thirteen LDCs. Journal of Business & Economics Statistics 18, 10-17.

5.   Asseery, A. and Peel, D.A. (1991). The effects of exchange rate volatility on export. Economics Letters, 37, 173-177

6.   Baig T.(2001), Characterising Exchange Rate Regimes in Post-Crisis East Asia , WP/01/152, October 2001. P 5-28.

7.   Bollerslev, T.,(1986)Generalized Autoregressive Conditional Heteroskedasticity,  Journal of Econometrics. 31: 34-105.

8.   Catão, L. A. V., and Solomou, S. N. (2005), Effective Exchange Rates and the Classical Gold Standard Adjustment. American Economic Review 95, 1259–1275.

9.   Catão, L. A. V., and Terrones, M. E. (2005), Fiscal Deficits and Inflation. Journal of Monetary Economics 52, 529–554.

10.  Chowdhury, A.R. (1993), Does Exchange Rate Volatility Depress Trade Flows? Evidence from Error-correction Models. The Review of Economics and Statistics 75, 700-706.

11.  Clark, P. B. (1973). Uncertainty, exchange risk, and the level of International trade. Western Economic Journal, 11, 302-313.

12.  Corden, W. M., (2002), Too Sensational: on the Choice of Exchange Rate Regimes, MIT Press, Cambridge, 2002; 274 p277

13.  De Grauwe P. (1988) Exchange Rate Variability and the Slowdown in International Trade, IMF Staff Papers No.35: 63-84.

14.  Dellas, Harris and Ben-Zion Zilberfarb. (1993). Real Exchange Rate Volatility and International Trade: A Reexamination of the Theory. Southern Economic Journal 59: 651-657. 

15.  Dickey, D. A. and W. A. Fuller., (1981) Likelihood Ratio Statistisc for Autoregression Time Series with a Unit Root, Econometrica. 49: 1057-1072.

16.  Fang, WenShwo, Yihao Lai, and Stephen M. Miller, Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence, Journal of International Money and Finance , 28, PP. 215~239 , (2009-03). (SSCI,FL)

17.  Franke, G. (1991). Exchange rate volatility and International trading strategy. Journal of International Money and Finance, 10, 292-307.

18.  French, K., W. Schwert, and R. Stambaugh, (1987). Expected Stock Returns and Volatility, Journal of Financial Economics. 19: 3-29.

19.  Goldberg, Linda S. and Charles D., Kolstad, (1995). Foreign Direct Investment. Exchange Rate Variability, and Demand Uncertainty. International Economic Review, 36(4), 855-873.


20.  Gotur, P. (1985), Effects of exchange rate volatility on trade: some further   evidence, International Monetary Fund Staff Papers, Vol. 32 No. 3, pp. 475-512.

21.  Hooper, P. and Kohlhagen, S. (1978), The Effect of Exchange Rate Uncertainty on the Prices and Volume of International Trade. Journal of International Economics 8, pp. 483–511.

22.  Hviding K., Nowak M. and Luca A. Ricci (2004), Can Higher Reserves Help ReduceExchange Rate Volatility?, WP/04/189, October 2004. P 3-15.

23.  Itagaki, Takao, (1981). The Theory of the Multinational Firm under Exchange Rate Uncertainty. Canadian Journal of Economics, 14, 276-297.

24.  Klaassen, F., (2004), Why is It so Difficult to Find an Effect of Exchange Rate
     Risk on Trade? Journal of International Money and Finance, 23, 817-839.

25.  Mustafa Caglayan  and Jing Di , (2010), Does Real Exchange Rate Volatility Affect Sectoral Trade Flows? Southern Economic Journal, 77(2), 313–335

26.  Nelson, D. B., (1991) Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica. 59:347-370.

27.  OZTURK, Ilhan (2006), EXCHANGE RATE VOLATILITY AND TRADE: A LITERATURE SURVEY. International Journal of Applied Econometrics and Quantitative Studies Vol.3-1 (2006)

28.  Pesaran, Hashem, Yongcheol Shin, and Richard Smith (1999). Pooled Mean Group Estimation of Dynamic Heterogeneous Panels. Journal of the American Statistical Association 94, 621–634.

29.  Pesarm, M. H., and Pesaran, B. (1997). Working with Microfit 4.0: Interactive econometric analysis. Oxford: Oxford University Press.

30.  Pesaran, M. H., and Smith, R. P. (1995), Estimating Long-Run Relationships from Dynamic Heterogeneous Panels. Journal of Econometrics 68, 79–113.

31.  Pozo, S.(1992). Conditional exchange rate volatility and volume of international trade:Evidence from the early 1900’s. The Review of Economics and Statistics, 74,325-329.

32.  Reinhart Carmen M. and Todd Smith, R., (2001) Temporary Controls on Capital Inflows, NBER Working Papers 8422, National Bureau of Economic Research, Inc.

33.   Sukar, A. H., & Hassan, S. (2001). US exports and time-varying volatility of real exchange rate. Global Finance Journal, 12, 109-119.
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