本研究欲探討2002年1月至2012年1月台、韓兩國的匯率升貶值及匯率波動對出口競爭力之影響,除以GARCH模型估計匯率波動,且考慮匯率波動不對稱性外,另以TGARCH及EGARCH模型來估計匯率波動,再建構VAR模型探討各變數間之相互影響。最後以Granger因果關係探討台、韓兩國匯率升貶值及匯率波動與出口之間是否存在因果關係。 本研究結果發現,台幣波動並不存在不對稱性,即台幣貶值並不會造成比較大的匯率波動;而韓圜波動則存在不對稱,即韓圜貶值會造成比較大的匯率波動。另不論升值或貶值,韓圜匯率波動相較台幣匯率波動大,因而國際貨幣基金組織認為南韓是採用不干預匯率的浮動匯率政策,並沒有顯示南韓為提升國家出口競爭力而刻意使韓圜大幅貶值的跡象。雖然台幣及韓圜的升貶值並未對台、韓兩國出口成長率造成太大的影響,但是韓圜波動的增加卻會造成台、韓兩國出口成長的減少,可見貨幣的穩定有助於出口的成長。 關鍵字:匯率波動、出口總值、ARMA-GARCH模型、Granger 因果關係
The purpose of this study is to find how the fluctuation of exchange rate affects the gross export values between Taiwan and South Korea from January 2002 to January 2012. The fluctuation of exchange rate is estimated by GARCH model and TGARCH and EGARCH models to take the asymmetric property into account. A VAR model is established to investigate the mutual influence of variables in the model. Finally, the existence of Granger causations among the change (or fluctuation) of exchange rates and gross export values of two countries are also discussed. The findings of this study are as follow. The fluctuation of TWD is symmetric; that is, devaluation does not cause large fluctuation for TWD. But, the fluctuation of KRW is asymmetric; devaluation will cause larger fluctuation for KRW. Besides, the fluctuation of KRW is larger than the fluctuation of TWD no matter revaluation or devaluation of exchange rate. Hence, the IMF believes that exchange rate policy of South Korea is floating rate and there is no evidence of intervention found. Although the revaluation or devaluation of TWD and KRW do not affect the gross expert value too much, the fluctuation of KRW always cause the decreasing of gross expert value of Taiwan and South Korea. It shows that a stable exchange rate will help the growth of expert. Key Words: fluctuation of exchange rate, gross expert value, ARMA-GARCH model, Granger causation