The Impact of Export Value and Industrial Specification from Exchange Risk: Evidence from Taiwan
宋念榮、林福來
E-mail: [email protected]
ABSTRACT
It is a controversial issue, that interaction between exchange risk and export. Whatever in theoretical or empirical, it doesn’t have parallel consequence. In this paper, we use traditional export equation, including exchange rate volatility presented exchange risk, and discuss the industrial deference between supply and demand that cause by exchange. In prospect of measure exchange volatility, we use GARCH model to estimate it. In our sample includes plastic, electric machinery, textile and metal. In the result, the plastic and mental export to America, the electric machinery and mental, are significant, others are not.
Keywords : Exchange rate Volatility ; GARCH model ; export
Table of Contents
中文摘要 ．．．．．．．．．．．．．．．．．．．．．．． iii 英文摘要 ．．．．．．．．．．．．．．．．．．．
．．．． iv 誌謝辭 ．．．．．．．．．．．．．．．．．．．．．．． v 內容目錄 ．．．．．．．．．．．．．．
．．．．．．．．． vi 表目錄 ．．．．．．．．．．．．．．．．．．．．．．． vii 第一章 緒論．．．．．．
．．．．．．．．．．．．．．． 1 第二章 文獻探討．．．．．．．．．．．．．．．．．．． 4 第一節 非 產業實證之文獻．．．．．．．．．．．．． 4 第二節 產業實證之文獻．．．．．．．．．．．．．． 7 第 三節 小結．．．．．．．．．．．．．．．．．．． 9 第三章 研究方法．．．．．．．．．．．．．．．．．．
． 10 第一節 匯率風險估計．．．．．．．．．．．．．．． 11 第二節 單根與共整合．．．．．．．．
．．．．．．． 12 第四章 實證結果．．．．．．．．．．．．．．．．．．． 18 第一節 資料基本特性．．
．．．．．．．．．．．．． 19 第二節 單根檢定、共整合檢定．．．．．．．．．．． 20 第三節 共整 合檢定．．．．．．．．．．．．．．．． 23 第四節 出口方程式．．．．．．．．．．．．．．．． 26 第 五節 誤差修正模型．．．．．．．．．．．．．．． 31 第五章 結論．．．．．．．．．．．．．．．．．．．
．． 39 參考文獻．．．．．．．．．．．．．．．．．．．．．．．． 42 REFERENCES
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