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

The impact of exchange rate volatility on U.S. exports to Asia and Latin American countries

莊怡君(Yi-Chun Chuang)

指導教授 ： 林佩蒨

淡江大學/商學院/產業經濟學系碩士班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.01343

摘要

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。

關鍵字

國際貿易 ； 匯率波動

並列摘要

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.

並列關鍵字

International trade ； exchange rate volatility

參考文獻

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