匯率貶值及其風險與出口

Exchange Rate Depreciation, Risk and Exports

方文碩(Wen-Shwo Fang) ； 張倉耀(Tsang-Yao Chang) ； 葉志權(Chih-Chuan Yeh)

《經濟研究》 41卷1期 (2005/01) Pp. 105-139

https://doi.org/10.29765/TEI.200501.0002

摘要

匯率經由兩個管道影響出口，一是貶值效果，一是風險效果，本文建立雙變量GARCH-M模型，使用1981至2004年的月資料，聯立估計匯率貶值及其隨時間變動匯率風險對台灣出口收益的影響，並據以評估匯率貶值刺激出口的淨效果。實證結果分析顯示，匯率貶值增加以本國貨幣表示的出口收益，但效果不大，而匯率貶值波動引發的匯率風險，負面衝擊出口收益，並造成出口的波動，同時負的匯率風險效果大於正的貶值效果，兩者的總合淨效果很小，僅是基本出口的干擾噪音，匯率不是增加出口的有效工具。

關鍵字

實質有效匯率 ； 匯率貶值 ； 匯率風險 ； 出口收益 ； 雙變量GARCH-M模型

並列摘要

The exchange rate affects exports in two ways: the depreciation effect and the risk effect. The net effect of exchange rate depreciation and its risk on exports in Taiwan between 1981 and 2004 is investigated in a bivariate GARCH-M model that stimultaneously estimates time varying risk. Exchange rate depreciation is found to stimulate export revenue in domestic currency but the quantitative impact is small and any associated increase in exchange rate risk has a negative impact. Further evidence shows that the exchange rate and its risk only add noise to underlying export revenue fundamentals, suggesting that exchange rate depreciation has negligible net effect on exports. The exchange rate is not a viable tool of export policy.

並列關鍵字

real effective exchange rate ； exchange rate depreciation ； exchange rate risk ； export revenue ； bivariate GARCH-M model

參考文獻

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