自1974年布列敦協議瓦解,浮動匯率體制逐漸為世界各國採用,匯率波動對於國際貿易的影響始成為備受矚目的議題。故本文以台灣與主要貿易國家(中國、美國、日本、南韓、新加坡)的貿易量為研究對象,探討兩者之間的變動關係。相較於以往文獻,本研究的特點在於加入了所得波動因子作為新的解釋變數,並且發現其對於貿易量存在有顯著影響。 本研究先以GARCH模型對匯率波動及所得波動進行估計,接著進行單根檢定、共整合檢定,最後採用向量誤差修正模型衡量變數間的長期、短期關係。 實證結果顯示,匯率波動對於台灣的出口量無論長期或是短期,大都有顯著影響,但影響的方向將視國家而有所不同;對於台灣的進口量,則影響大多不顯著。至於所得波動對於台灣的出口量長期以正面影響占多數,短期以係數不顯著占多數;對於台灣進口量,長期存在顯著影響,但影響方向及程度則依國家別而有所差異。
Since the breakdown of Bretton Wood system of fixed exchange rate in 1978, the effect of increased exchange rate variability on foreign trade has been investigated in large number of empirical and theoretical studies. This paper examines empirically how real exchange-rate volatility and foreign income uncertainty impact international trade flows utilizing a 5-county data set of monthly bilateral real export for 1991-2010. Estimates of the short-run dynamics and long-run equilibrium are obtainted for each country using the error-correction technique and cointegration. We also use conditional variance of real exchange rate series and foreign income series modeled as a generalized autoregressive conditional heteroskedastic (GARCH) process to measure the exchange rate volatility and foreign income uncertainty. The major results indicate that increases in the volatility of exchange rate and foreign income exert significant effect upon international trade flows in most of countries in the short-run and long-run.