本論文研究新臺幣匯率、外國所得與匯率波動對臺灣工具機出口之影響,運用2005年1月至2018年12月之月資料作為研究樣本,並使用自行編製之新臺幣實質有效匯率指數為研究變數。相較過往類似研究以新臺幣兌美元、日圓的單一匯率為研究變數,使用實質有效匯率指數對於實質匯率的衡量更加全面。 本論文運用ARDL及誤差修正模型,分析變數間的長、短期關係,實證結果顯示中國及美國PMI在長期均衡下,新臺幣匯率貶值有利工具機出口,中國及美國PMI上升有利工具機出口,匯率波動對工具機出口無顯著影響。長期均衡結果顯示中國PMI對工具機出口的影響大於匯率,匯率並不是影響工具機出口的最重要因素。中國PMI是影響臺灣工具機出口的最重要因素,且其影響力大於其他因素的加總。 長期均衡調整部分,誤差修正項顯著為負值,顯示工具機出口存在自動收斂機制,受衝擊後的半衰期為7.35個月。
This thesis investigates the influence of exchange rate, foreign income and exchange rate volatility on Taiwan’s machine tool export by using monthly data from Jan. 2005 to Dec. 2018. This thesis uses export weight of Taiwan’s machine tool to calculate real effective exchange rate index (REER) of New Taiwan Dollar, which provides a more comprehensive measurement of exchange rate than past researches. ARDL model and error correction model are employed for empirical analysis. Our result shows that in the long-term, REER has a significant negative effect on machine tool export, while China and US PMIs have significant positive effect on machine tool export. Exchange rate volatility does not affect machine tool export. China’s PMI is a more important determiner of Taiwan’s machine tool export than REER. Furthermore, the effect of China’s PMI on Taiwan’s machine tool export is far greater than other determiners combined. Empirical result indicates that there is a tendency for machine tool export to converge to its long-term equilibrium. Half-life of export differential caused by a shock is 7.35 months.