本文探討匯率不確定性與台灣對中國大陸出口之關係，模型中參考Cushman (1986) 觀點加入第三國變數之效果。研究期間以1997年至2010年之季資料，同時考慮總合資料以及部門別資料，並以GARCH估計實質匯率波動性。第三國則利用出口近似度的計算選擇了前四大競爭國，分別為南韓，日本，馬來西亞及新加坡。此外，部門則以HS二碼分類選擇出口至中國大陸前四大之部門，包括機械與電子、精密儀器、橡膠與塑膠類產品及化學品。 本文檢定變數是否有單根。若有單根則進一步檢定這些變數是否存在共整合關係。在確定存在共整合關係後，利用完全修正最小平方法及誤差修正模型進行估計。本文實證結果顯示：匯率不確定性對出口量有負向之影響關係。就部門而言，本文探討的四個部門之結果也反映匯率不確定性對出口具有負向影響，但是以電子產品及塑膠橡膠類之影響最為顯著。 / This paper investigates the relationship between exchange rate volatility and Taiwan’s exports to Mainland China. In the empirical model, the third country effects suggested by Cushman (1986) are considered. GARCH model is employed to estimate real exchange rate volatility. Both aggregate and sectoral quarterly data covering 1997 to 2010 are used in our sample. The third countries are determined by export similarity. The top 4 countries with the highest degree of export similarity are chosen, including South Korea, Japan, Malaysia and Singapore. In addition, the top 4 Taiwan’s exporting sectors are examined respectively, including machinery and electronic equipment, precision equipment, rubber and plastics, chemicals industries. We first test for unit root of the variables used in the study, and then check the existence of co-integration between the variables with unit root. After confirming the existence of co-integration relationship, we use FMOLS (Fully Modified OLS) and VECM (Vector Error Correction Model) to estimate the coefficients. Our empirical results suggest that there is a significantly negative effect of exchange rate volatility on Taiwan’s total exports. They also indicate that there is a negative relationship between exchange rate volatility and Taiwan’s sectoral exports. Among the top 4 exporting sectors, exchange rate volatility tends to have higher impacts on the machinery and electronic industry as well as chemical industry.

本文目的在於探討匯率不確定性對台灣出口波動之影響。本文應用Barkoulas et al.(2002)理論架構，利用台灣1989年至2007年的月資料。實證結果發現：美元、日圓兌新台幣的匯率波動對於台灣出口美、日兩國的數量並無明顯的影響。美元兌新台幣的匯率波動對於以美國為進口國的台灣出口波動則有正向的影響；日圓兌新台幣的匯率波動對於以日本為進口國的台灣出口波動卻沒有顯著影響。本文認為：造成美元匯率波動主要支配力量，來自於貨幣政策制定者掌握之資訊優勢差異；造成日圓匯率波動的來源則無主要支配力量的存在。造成此種結果的原因在於貨幣政策制定者長久以來所建立的政策可信度所致，削減了造成美元匯率波動的另外二股力量。因此，新台幣兌換美元匯率波動取決於貨幣政策制定者掌握經濟真實狀況的能力與其貨幣政策方向。 / This paper investigates into the effect of exchange rate uncertainty on Taiwan export volatility. Under the theoretical framework of Barkoulas et al.(2002) and the empirical monthly data of Taiwan exports from 1989 to 2007, it is summarized that the exchange rate volatility of NTD/USD and NTD/JPY had no effect on the Taiwan exporting volume toward U.S. or Japan. However, the exchange rate volatility of NTD/USD did have positive effect on the export volatility of Taiwan to U.S. while that of NTD/JPY had no significant effect on the export volatility of Taiwan to Japan.It is argued that the dominant source of NTD/USD exchange rate volatility resulted from the variance of monetary authorities’ information advantage. On the other hand, it exists no such a dominant source in NTD/JPY exchange rate volatility.