本研究建立向量自我迴歸(Vector Auto-Regression)模型,並輔以Granger因果關係檢定(Granger Causality Test)、衝擊反應函數(Impulse Response Function)及變異數分解(Variance Decomposition),來探討浮動匯率制度下匯率變動對台灣進出口之影響,再進一步探討其對國內經濟之影響。研究期間為1989年至2014年,變數皆為季資料。本研究的實證結果發現,匯率變動對進出口市場的影響並非完全符合理論預期,主要可能是因為我國特殊之經濟貿易型態,仰賴進口中間財貨的投入,以供國內外市場需求,其中尤以出口為主要經濟發展導向,因此當我國貨幣升值,將不利於我國進口,甚至連帶對我國經濟成長亦產生負面影響。
This study is to explore a Vector Auto-regressive model to uncover how volatility of exchange rate has an impact on import and export in Taiwan. We employ Granger Causality test, Impulse Response Function and Variance Decomposition to investigate the relation among macroeconomic variables simultaneously. Our quarter samples are from 1989 to 2014 drawn from several statistical databases. Our empirical findings show the evidence that the impact of exchange rate volatility on the import and export could not confirm those in theoretical expectations. It could partially result from the specific economic and trade patterns with an export-oriented production and final goods relying on intermediate input. Accordingly, the appreciation of domestic currency might bring a negative impact on the import and its economic growth.