東南亞主要貿易國匯率波動對台灣進、出口成長率的影響

全球化的意識越來越被重視，因此國與國之間的貿易是不容被忽視的。本文要探討香港、日本、韓國、台灣、新加坡、中國匯率對台灣進、出口成長率的影響。本研究經由觀察五國與台灣匯率的動態條件相關，分析他們與台灣匯率之間的關係，再進一步的分析與台灣出口型態相近的韓國匯率是否會影響台灣進、出口成長率。研究結果顯示，韓國、新加坡匯率與台灣匯率之間有著比較高的動態關係。在進出口成長率方面，韓國匯率並沒有顯著影響台灣進、出口成長率，只有台灣匯率會影響台灣進口成長率；動態條件關係圖也顯示台灣進口成長率與台灣出口成長率呈現高度相關。

關鍵字

動態條件相關；向量自迴歸；廣義自我迴歸條件異質變異；自我迴歸條件異質變異；匯率；進出口成長率

並列摘要

The awareness of globalization is emphasized more and more so international trade between countries cannot be neglected. In this research, the effects of variation of exchange rates in six countries which are Hong Kong, Japan, Korea, Taiwan, Singapore, and China for import and export growth rates of Taiwan were investigated. In this study, through analyzing the dynamic conditions correlations of variation of exchange rate between each of the five countries and Taiwan, whether Taiwan's import and export growth rates affected by the variation of Korean exchange rate will be further analyzed due to the export patterns of Taiwan and Korea are similar. The results show that there is a relatively high dynamic relationship of the variation of exchange rates between South Korea, Singapore and Taiwan. In terms of import and export growth rates, exchange rate of South Korea did not affect Taiwan's import and export growth rates significantly. Taiwan imports growth rate is only affected by the variation of exchange rates of Taiwan. The diagram of dynamic conditional correlation also shows that Taiwan's imports of Taiwan's export growth rate were highly correlated.

並列關鍵字

Exchange rate ； Dynamic Conditional Correlation( DCC) ； Vector autoregression (VAR) ； GARCH ； ARCH ； Import and export growth rate

參考文獻

陳安琳（2007）動態條件相關係數-台股與美股的實證，台灣大學財務金融學系

黃韻禎（2007）匯率波動對台灣出口的影響，國立政治大學國際貿易研究所碩士

黃莉茹（2011）匯率及所得波動對台灣進出口貿易量之影響，國立台北大學經

張瑄（2010）金融商品報酬率之類別動態相關係數探討，國立台北大學統計學系

James H.Stock&Mark W.Watson（2001） ,Vector Autoregressions,The Journal of Economic Perspectives,Vol.15,No.4,pp.101~115

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東南亞主要貿易國匯率波動對台灣進、出口成長率的影響

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