匯率波動對日本出口影響之經濟分析

匯率波動對出口貿易的影響，一直是備受爭議的研究議題，不論在理論或實證上，都沒有完全一致的結論。本文利用傳統的出口方程式來驗證日圓貶值對日本出口貿易之影響，包括日圓匯率對進出口產業以及日本最近經濟成長各方面之實證分析；另外進一步探討勞工就業人數、工業生產指數對該國出口總值之影響。從事以上各項實證分析同時，另外更分析日幣匯率貶值後，是否對日本近年之國際收支平衡表之餘額(Balance of Payment)是否存在J-曲線效果。本研究涵蓋期間自2002年1月至2014年8月，而研究方法上是使用Augmented Dickey Fuller (ADF)單根檢定，驗證相關總體經濟變數是否為定態(stationary)序列，若是發現變數為非定態時下一步就進行Johansen共整合檢定之處理。實證結果發現，日本出口函數的變數資料做ADF單根檢定之結果後皆為單根，亦即為非定態時間序列，所以更進一步採Johansen共整合檢定，發現日本出口函數各變數間有共整合之現象，且日幣貶值後對該國國際收支確實存在J-曲線效果，符合理論之預期。

關鍵字

出口、ADF單根檢定、共整合、J-曲線效果

並列摘要

The impact of exchange rate fluctuations on exports is a controversial issue no matter theoretically or empirically. This study discusses the impact of the depreciation of the Japanese yen on Japanese exports. Furthermore, it further discusses the impact of Yen depreciation on employment, industrial production indices and employment levels for export industries in the country by using traditional export equations. It is also considered if the J-curve effect presented in the balance of payments (BOP) of Japan’s trade balance after the Japanese currency devaluation. The study covers time period from January 2002 to August 2014. The study uses the Augmented Dickey Fuller (ADF) test to verify whether the macroeconomic variables are stationary or not. If the data is non-stationary, then one may further do Johansen co-integration test. Empirical results show that Japan’s export variables did have the problem of unit root after using the ADF test. That means they are non-stationary time series data. Therefore, Johansen co-integration test is then conducted. The study have found that in Japanese export function data for each variable inherited a co-integration phenomenon. Besides, there is J-curve effect associated with the Yen depreciation upon Japan’s BOP.

並列關鍵字

ADF unit root test ； Export ； Johansen co-integration test ； J-curve effect

參考文獻

Chinese Journals and Thesis

Foreign Journals and Thesis

Arize, A. (1995) “the Effects of Exchange-Rate Volatility on U.S. Exports: an Empirical Investigation,” Southern Economic Journal, 62(1), 35-43.

Arize, A. C., Osang, T., and Slottje, D. J. (2000) “Exchange-rate Volatility and Foreign Trade: Evidence from Thirteen LDCs,” Journal of Business and Economic Statistics, 18(1), 10-17.

Asseery, A. and Peel, D. A. (1991) “The Impact of Exchange Rate Volatility on Export Growth: Some Theoretical Considerations and Empirical Results,” Journal of Policy Modeling, 9(1), 225-44.

國際替代計量

匯率波動對日本出口影響之經濟分析

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