本文主要探討匯率的不確定性對貿易量的影響。利用門檻模型(Threshold model)來檢驗匯率的波動性對於美國和亞洲四小龍的雙邊貿易可能的門檻效果。利用格狀搜尋法(Grid-searching method)得到門檻點，接著運用時間序列計量方法來進行估計。資料樣本期間由1989年1月至2008年12月，由於考慮到亞洲金融風暴的影響會使模型的結果產生誤差，將1997年的資料屏除在外。相較於國內其他文獻，本文使用基本模型和門檻效應模型不僅考慮到匯率波動不對稱性的存在的問題，加強了實證結果的可信度；另外更進一步去探討門檻模型本身的假設，使得模型使用上的疑慮得以解決。實證結果顯示匯率波動的影響有著非線性的門檻效應的存在。在本文研究的國家中，在原樣本期間內，實質匯率波動對貿易量的影響在香港、南韓和新加坡有門檻效果；另外可以看出在1989年至1996年亞洲金融風暴前，當匯率波動超過某些門檻點時，會使得台灣對美國出口貿易量下降；最後台灣的SITC分類出口按原料區分的製造品產業廠商在實質匯率波動與貿易量的關係中也有門檻效應的存在，也值得再做延伸探討。 / This paper mainly probe to the relationship between exchange rate volatility and trade volume. Use a threshold model to examine a possible threshold model to examine a possible threshold effect in the impact of exchange rate volatility on trade volume for the bilateral trade volumes between the US and the Asian four tigers. A grid searching method is used to obtain the threshold points, and the time-series econometric techniques are applied to estimate. Sample period is from 1989:01 to 2008:12(deduct 1997 because of the Asia financial crisis). Compare to other domestic literature, this paper use basic model and threshold model considering the nonlinearity in the effect of exchange rate volatility to support the empirical result and the background of the threshold model. The results show the existence of nonlinearity in the effect of exchange volatility. The results show that Hong Kong、Singapore and Korea have the threshold effect in the impact of exchange rate volatility and the increasing exchange rate volatility would decrease the trade volume during the period before the Asian financial crisis in 1997.Last, Taiwan’s manufactured goods classified chiefly by material export classified by SITC also have threshold effect in the impact of exchange rate volatility on trade volume. Future research can extend on this field.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0973510241 |
| Creators | 黃子誠 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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