匯率波動風險對臺灣三大出口產業之影響

The Effects of Exchange Rate Volatility on Taiwan’s Three Export Industries

曾奕臻(Yi-Chen Tseng)

指導教授 ： 何瓊芳

中原大學/商學院/國際經營與貿易研究所/碩士(2013年)

https://doi.org/10.6840/cycu201300100

摘要

本研究依據 H-O 模型 (Heckscher-Ohlin Model)，再依據 Klein (1990)、Arize (1995) 以及張瑞娟、徐茂炫與林君瀅 (2005) 等人的方法設立出口函數，將一國之出口函數修改成為某一特定產業的出口生產函數，並加入了以 AR (1)－GARCH (p, q) 模式所配適之匯率波動風險衡量因子，以此出口生產函數，再運用時間序列的計量模型來探討台灣三個以出口為導向的產業：電子產品、紡織成衣以及塑膠石化等個別的產業就業總人數、工資率、固定資本形成額度以及新台幣兌美元的匯率波動風險因子，對於此三個產業出口餘額的影響性。
本研究的主要發現有以下三點，第一，透過本研究所使用之誤差修正模型 (ECM) 以及因果檢定 (Granger causality test) 的結果，以本研究的三個產業為例，勞動力 (就業人數) 之投入為共同影響該三者出口餘額的重要投入項，顯示了人力資本對各產業的重要性；而由匯率的波動風險因子對三產業之出口餘額皆存在有顯著負向的影響，亦證實了過往部分相關文獻中的結論，即匯率的不確定性風險，的確會對出口造成負面的衝擊，對個別產業之出口亦是如此。第二，再由其他變數對出口的影響來看，投資 (固定資本形成) 乃是影響電子業及石化業生產與出口的重要因子；而勞動成本 (工資率) 則為影響紡織成衣業出口的重要因素，由此可知資本與技術密集性產業 (電子及石化) 以及勞力密集性產業 (紡織成衣) 的差異；第三，同樣由本研究誤差修正模型的結果顯示，所有自變數落後項的顯著性僅止於第 2 期，顯示出了以本研究的三個產業，出口生產函數中的所有生產投入項變數，對出口貿易餘額的影響性均不會超過 2 個季度 (半年)。

關鍵字

出口 ； 匯率波動風險 ； 共整合 ； 誤差修正模型 ； 因果檢定

並列摘要

This study applies the Heckscher-Ohlin Model as the theoretical base and also considers the Klein (1990), Arize (1995), and Jui-Chuan Chang, Xu Maoxiong and Lin Jun Ying (2005),methods as frameworks in the analysis. Besides, the study adds a volatility risk factor of exchange rate which is measured by conditional heteroscedasticity variance with the AR (1)－GARCH (p, q) model. When measuring the export functions, time series data are used to estimate its impacts on Taiwan’s three major export industries and to investigate the relationships among variables including the numbers of employee, wage rates, monthly investment amount, the fluctuation factor of exchange rate of the NT dollar to the U.S. dollar as well as export volumes of three export-oriented industries: electronic industry, textiles industry and petrochemical industry in Taiwan.
The main empirical findings can be shown as follows : first , the results demonstrated that with the application of Error Correction Model and Granger causality test, the number of labor employed is the major influential variable to explain the export volumes for all three industries. Besides, there is a significantly negative effect from the fluctuation of exchange rate to the export volumes, the result confirmed with the conclusion that the uncertain risk of exchange rate does result in a negative impact on the exports in the previous relevant findings in the literature. Second, by using the result of the impact of other variables on exports, investment amount is also an important factor to affect electronics industry and petrochemical industry’s exports. Labor costs in terms of wage rate is the major factor affecting the export of the textiles industry. The result shows a big difference between the capital and technology-intensive industries and labor-intensive industries. Third, the result of ECM demonstrated that the influence from all production input variables in the export model are no more than two quarters (six months) among three industries in Taiwan.

並列關鍵字

exchange rate volatility ； ECM ； ADF

參考文獻

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