東亞主要貿易國家出口年增率的動態相關性研究

A Dynamic Conditional Correlation Model for Annual Growth Rates of Export among Major Trading Countries in Southeast Asia

馮依琳(I-Lin Feng)

指導教授 ： 李孟峰

國立臺北大學/商學院/統計學系/碩士(2014年)

摘要

全球經濟環境變遷巨大，亞洲經濟發展迅速，其中較為依賴的便是出口經濟。本論文主要研究的是觀察東亞地區的出口表現，以向量自我迴歸模型(Vector Auto-regression, VAR) 模型進行分析，並針對東亞主要貿易國家分析其出口成長之衝擊影響程度。最後再以 DCC 動態相關係數圖呈現各國與其他五國出口成長之動態相關性。
本研究以東亞六個主要貿易國家之出口成長率為變數進行分析。先以 ADF單根檢定，檢定結果變數都具有單根，經由一階差分及季節性差分後成為定態序列，再利用變數建立VAR模型。經由衝擊反應函數中預測誤差之變異分解來觀察某一變數的改變對於其他變數的影響。

實證結果發現，每一個國家出口成長對於自身之解釋的變異比率都是最高的，但每一個國家解釋變異比率第二高的國家卻都是台灣，顯示台灣出口的非預期衝擊對於其他國家出口是有相對性的影響。又依據共整合(Co-integration)檢定，發現台灣、日本、韓國及新加坡出口成長之間存在一組共整合關係，顯示這些國家(台灣、日本、韓國及新加坡)的出口成長存在長期穩定的關係。

關鍵字

共整合檢定 ； 衝擊效應 ； Var 模型 ； 出口成長 ； 誤差修正模型 ； DCC

並列摘要

Over the past few years, the world is undergoing a dramatic shift in economy. The economics of Asia is developing very swiftly that depends on export. In this study, the export performances of countries in East Asia are examined and a VAR model is established to analyze the degree of impulse of expert growth. At last, the DCC model is adopt to observe the dynamic correlation of expert growths among those countries.

Expert growths of six major trading countries in East Asia are treated as the analyzed variables. The ADF unit root test was applied to examine the stationarity of variables. Test result shows that unit root is found in each variable. And stationarity is obtained by taking both first order difference and seasonal difference. Then a VAR model is established for further discussion. The impact of the changes of the variable with the others can be observed by variance decomposition.

In the VAR model of this practical study, the variable with highest interpretation, or ratio of variances, is itself. But the second highest interpretation variable is the expert growth of Taiwan for others. The result also shows that Taiwan plays an important role on these countries. Based on the Johansen co-integration's testing results, Taiwan, Japan, Korea and Singapore have a co-integration relationship that reveals the growth rates of export of these countries have a long-run equilibrium relation.

並列關鍵字

Error Correction Model ； co-integration test ； impact response ； VAR model ； expert growth ； Dynamic Conditional Correlation (DCC)

參考文獻

方文碩, 賴奕豪 (2001), “匯率風險對出口貿易之衝擊”, 台灣金融財務季刊, 2(1),83–101.

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Bollerslev,Tim (1990), “Modelling the coherence in short-run nominal exchangerates: a multivariate generalized arch model”, The Review of Economicsand Statistics, 498–505.