次貸危機期間對台灣進出口貿易之影響-VAR模型

A Study on Foreign Trade in Taiwan Influenced by Subprime Mortgage Crisis —Based on VAR Model Analysis

曾靜芳(Ching-Fang Tseng)

指導教授 ： 劉錦龍

國立中央大學/管理學院/產業經濟研究所碩士在職專班/碩士(2012年)

摘要

台灣本身為進出口貿易依存度較高的國家，出口貿易依存度高的國家包括中國和美國，進口貿易依存度高的國家包括日本和美國，2008年金融風暴期間造成全球經濟嚴重的衝擊，本文擬探討次貸危機期間台灣進出口貿易受他國進出口總需求、匯率、躉售物價指數、進出口物價指數之衝擊影響程度及預測誤差解釋-以向量自我迴歸模型（Vector Auto-regression, 以下簡稱VAR）模型分析。
本文實證分析分為出口和進口，蒐集2005年12月至2011年12月之月資料，另外，區分整體金融危機期間，研究範圍由2008年1月至2010年12月，做為相互對照，依據台灣進出口貿易依存度高的國家進行分析，探討台灣對中國或美國出口總額的影響、台灣自日本或美國進口總額的影響。
實證結果發現台灣對於中國或美國的出口總額會受到自身落後期的顯著影響，符合模型預期為正向，即前一期或前二期對中國或美國出口愈高，對本期的出口亦愈高。
台灣對進出口總額會受到匯率的影響，由實證結果顯示，匯率貶值對於出口有正面的影響，如同模型預期為正向，符合過去文獻針對台幣匯率對我國經濟的影響，台幣貶(升)值有利(不利)於出口預期。
躉售物價指數的負向反應落後二期，針對預測誤差所進行的實證結果顯示，台灣進出口貿易受躉售物價指數的解釋力並不高，乃是由於躉售物價指數本身是用來衡量生產者所面對的採購品的物價狀況衡量指標，間接影響進出口貿易，
次貸危機期間進出口貿易受到嚴重的衝擊，匯率貶值造成進口成本增加，從本文實證結果觀察，進出口物價指數的負向反應落後二期，針對預測誤差所進行的實證結果顯示，台灣進出口貿易受進出口物價指數的預測解釋力並不高，乃是由於進口物價指數係衡量價格水準的指標，間接影響進口總額。

關鍵字

次貸危機

並列摘要

Taiwan is a region highly dependent on foreign trade. China and US are two countries that are the most trade partners for Taiwan export, while Japan and US are two most importing countries. The financial crisis occurred in 2008 has had a great impact on the global economy. The thesis, based on the analysis of VAR Model, discusses Taiwan’s foreign trade which is influenced by other countries’ foreign trade demands, exchange rates, wholesale price indexes, foreign trade price indexes and explanation of estimated error during the period of the subprime mortgage crisis.
An empirical analysis on export and import demand was carried out using the data collected for December, 2005 to December, 2011. In addition, to highlight the overall financial crisis, the period from January, 2008 to December, 2010 is chosen to be the research range for comparison. We estimate separately the export and import demand model, in which the export demand was focused on the analysis of China and US, while the import demand was emphasized on Japan and US.
The empirical results show that Taiwan’s exports were influenced on the previous periods of exports.This outcome in line with the estimated positive tendency of the VAR Model, explained that the higher Taiwan’s export to China and US is in the last period or last two periods, the higher the export will be in the current period.
In addition, Taiwan’s export will be influenced by the exchange rate. The empirical results show that the depreciation of exchange rates has a positive effect on export which is the same as the positive tendency estimated by the VAR Model. It is also in line with the literatures which focus on the influence of Taiwan’s exchange rate made to its economy, namely, currency, depreciation (appreciation) of NTD is favorable (unfavorable) to the export. Also, trade was greatly impacted by the subprime mortgage crisis and the cost of import was increased by the depreciation of exchange rates.
Overall, our empirical results show that Taiwan’s export and import were highly influenced by the financial crisis and the impacts were smoothly disappeared after 20 months.

並列關鍵字

VAR

參考文獻

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