美金及日圓匯率變化對台灣貿易出口之影響

The Effects of Exchange Rate Fluctuation of US Dollar and Japanese Yen on Taiwan’s Export

陳囿蓉(Yo-Zun Chen)

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/cycu201300386

摘要

摘要
國際貿易長久以來台灣是經濟的成長之引擎，中華民國自古以台灣為出口貿易之發源地，所以台灣不僅位於美、亞、歐的出口貿易的重要中界點，也以貿易導向作為的經濟貿易主要手段。在國際貿易中，匯率波動是影響台灣進出口競爭力的重要因素之一，匯率的穩定性不僅影響台灣的出口貿易，對於台灣各產業的經濟發展的影響力也占有重要的地位，為了解近十年來台灣主要貿易對手國美國和日本所發生之經濟事件對匯率波動的影響性，本研究自使用2000年1月至2012年12月的實質出口、實質匯率、實質國外所得以及名目匯率波動等變數來分析台灣貿易出口的影響性，並依照出口方程式，ADF單根檢定，共整合檢定和誤差修正模型等方法進行實證以找出匯率波動對台灣的影響性。分析結果發現匯率波動在長期下對出口呈現正相關的現象，意即匯率的波動雖高，實質出口額仍會同時增加，其可能的原因是台灣中央銀行會依照市場狀況機動調整匯率使匯率市場的波動趨緩，以穩定外匯市場維持出口競爭力。此外，台灣許多大型企業和中小企業因擁有靈活的出口貿易策略，故可因應當期市場的匯率波動狀況，加以運用避險策略來降低匯率風險或達到預期的利潤；藉由以上兩項因素可知，雖有外在事件影響台灣的外匯市場下，導致匯率波動增加，但在中央銀行干預匯率的情況下仍可使匯率波動降低，維持相對之匯率變化以穩定外匯市場，加上多數企業在出口貿易的策略上配合外匯市場的避險策略可達到匯率波動與出口貿易額之百分比呈現正相關的現象。

關鍵字

誤差修正 ； 共整合檢定 ； 匯率波動 ； 日圓 ； 美金

並列摘要

Abstract
International trade has been considered as one of the most crucial sources for the economic development in Taiwan. The exchange rate fluctuation is always an essential factor that might affect Taiwan’s export in the competitive international trading environment. In order to understand more about exchange rate volatility's influences on foreign exchange markets, this study uses the real export, real exchange rate, real foreign income and normal exchange rate fluctuation of Taiwan's most important trading partners, the U.S and Japan, with the spanning time from Jan, 2000 to Dec, 2012 to examine the impact of exchange rate fluctuations on Taiwan's export. The results show that the exchange rate fluctuation is positively correlated with real export in the long run. It implies that despite the higher exchange rate fluctuation the real export remains high. There are two possible explanations from this finding. First, the central bank of the Republic of China (Taiwan) might adjusts the exchange rate in accordance with market uncertainties to keep Taiwan foreign exchange market stable, allowing Taiwan small and medium enterprises to have more flexibility in choosing their exchange rate strategies. The other possibility could be explained by the fact that large enterprises aim to apply hedging strategies to mitigate the risks of foreign exchange rate volatility and achieve their expectable profits. Under Taiwan’s Central Bank intervention and the optimal hedging strategies by the small and medium enterprises, the foreign exchange fluctuation will be maintained less volatile in order to enhance Taiwan export volume.

並列關鍵字

co-integration test ； Japanese Yen ； Exchange rate fluctuation ； VECM model ； US dollar

參考文獻

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