匯率風險對出口貿易的影響,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。在此,本文利用傳統的出口方程式驗證美國對工業化國家的雙邊出口關係,即出口需求爲國外GDP、實質匯率以及匯率風險的函數。在此,以實質匯率波動做爲匯率風險的代理變數,在匯率波動的衡量上,利用GARCH(generalized autoregressive conditional heteroscedasticity)模型估計匯率波動。由於實證文獻一般發現出口、國外GDP以及匯率爲非定態變數,而匯率波動爲定態變數,故傳統出口方程式的變數將會存在整合階次不一致的問題,致使無法使用共整合分析變數間的長期均衡關係,本文採用ARDL(autoregressive distributed lag)共整合分析法處理變數整合階次不一致的窘境。實證結果發現,在六個的研究國家中,就長期而言,僅日本的匯率波動對美國的雙邊出口有負面顯著影響。就短期影響而言,僅英國及日本的匯率波動對美國的雙邊出口有顯著的負向效果。
The impact of exchange rate risk on exports has been perennially debated in the literature. Regardless of whether a study is theoretical or empirical, it has lacked a consistent conclusion. In this research, the bilateral export relationships between the USA and six other industrialized countries are investigated through the traditional export demand equation, bilateral export being a function of foreign GDP as well as of both real exchange rate and exchange rate risk. Here, the real exchange rate volatility is taken as a proxy variable for the exchange rate risk, measured by the GARCH (generalized autoregressive conditional heteroscedasticity) model. However, most empirical studies have suggested that the bilateral export as well as the foreign GDP and the real exchange rate are characterized by a I (1) process; whereas, the real exchange rate volatility is stationary. The traditional exportation equation variables result in an inconsistent order of integration incapable of using the traditional cointegration method to analyze the long-term equilibrium relationship. This study applies the ARDL (autoregressive distributed lag) cointegration method to deal with the inconsistent order problem. The empirical results indicate that the exchange rate volatilities of both Japan and the UK have a negative effect on USA exports.