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博碩士論文 etd-0525114-000252 詳細資訊
Title page for etd-0525114-000252
論文名稱
Title
檢驗國外所得及匯率對貿易出口的影響
Examining the Effects of Foreign Income and Exchange Rate on Trade Exports
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
43
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2014-06-19
繳交日期
Date of Submission
2014-06-26
關鍵字
Keywords
匯率、國外所得、均等變異數檢定、貿易出口值
Foreign Income, Exchange Rate, Export Trade, Equal Variance Test
統計
Statistics
本論文已被瀏覽 5843 次,被下載 3019
The thesis/dissertation has been browsed 5843 times, has been downloaded 3019 times.
中文摘要
從過去的文獻可以看出,國外所得和匯率都是影響貿易出口值變化重要的經濟變數,但大多數的文獻都僅討論國外所得和匯率各自對於貿易出口值的影響是否顯著而已,很少有文獻會進一步的討論這兩種經濟變數對於貿易出口值的影響何者會有較緊密的關係,因此本文引用Choudhry (2005) 的貿易出口理論模型,並藉由 Yang et al. (2014) 的均等變異數檢定方法來將這個議題做個分析和研究,所選取的研究對象有美國、香港和日本等三個國家,透過實證分析來比較國外所得和匯率對於貿易出口值的影響何者會有較緊密的關係,亦即將設定虛無假設為國外所得和匯率的均衡誤差變異數為相等,若是可以拒絕虛無假設則能夠比較這兩種經濟變數何者對於貿易出口值會有較緊密的關係存在,反之若是無法拒絕虛無假設則無法判斷何者對於貿易出口值有較緊密的關係。

在進行實證分析的時候,首先會將這些各國的經濟變數進行單根檢定,在確定各國的經濟變數為具有單根之後,接著會進行共整合的檢定來判斷是否具有共整合關係,在確定具有共整合關係之後會進行均等變異數檢定,最後我們發現這三個國家在均等變異數的實證檢定之下並無法明顯地拒絕虛無假設,亦即表示台灣對這三個國家的貿易出口值,並無法明顯地判斷是和國外所得或是匯率有較緊密的關係。
Abstract
From previous study, we can see that foreign income and exchange rate are two critical economic variables which affect the export trade volume, but when talking about the effects of these two economic variables on export trade volume, most people focused on which effect of variable is more significant, and only few people would further discuss which is more relevant to export trade volume. Therefore, Choudhry (2005) model of exports is cited in this paper, and the issue mentioned above will be analyzed and studied by equal variance test approach from Yang et al. (2014). The United States, Hong Kong and Japan these three countries are selected to be the subjects in this paper. Through empirical analysis, the comparison of the effects on export trade volume between two economic variables, foreign income and exchange rate, can be conducted. In other words, we will set that the null hypothesis is equal to the variance of co-integrating equilibrium errors between foreign income and exchange rate. If we can reject the null hypothesis, then we can compare which variable is more relevant to export trade volume. Conversely, if we can't reject the null hypothesis, we can't determine which variable is more relevant to export trade volume.

When doing empirical analysis, first, we will use unit root test to examine these countries' economic variables. Second, we will conduct a co-integration test to determine the existence of co-integration relation. Third, after determining the existence of co-integration relation, we will conduct an equal variance test. Finally, we can't reject the null hypothesis under the empirical test of equal variance test, that means we can't conclude that the export trade volume between Taiwan and these three countries is closely related to foreign income or exchange rate.
目次 Table of Contents
1 緒論 ………………………………………………………...……….. 1
1.1 研究動機 ……………………………………………..…..………. 1
1.2 研究目的……………………………………………......………… 2
1.3 研究架構……………………………………...…….…....……….. 3
2 文獻回顧..………………………………….....………………….........4
3 研究方法…………………………………………………...……….....6
3.1 理論模型…………………………………………...……………....6
3.2 單根檢定…………………………………………………...………7
3.2.1 Dicker-Fuller 單根檢定……………………………...……..8
3.2.2 Augmented Dicker-Fuller 單根檢定………………............9
3.2.3 Phillips-Perron 單根檢定....................................................10
3.2.4 DF-GLS單根檢定……………………………...……….....11
3.3 共整合檢定……………………………...………..........................11
3.3.1 Engle-Granger 兩階段的共整合檢定………………........12
3.3.2 Johansen 共整合檢定……………………………...…..…13
3.4 建構均等變異數檢定的研究方法…………………………….....15
3.5 用 OLS 估計的共整合均衡誤差平方的漸近分配.......................17
3.6 檢定統計量……………………………...………………………..20
4 實證分析研究……………………………...………………………...23
4.1 資料來源與處理……………………………...………..................23
4.2 單根檢定實證結果……………………………...………..............23
4.3 Johansen 共整合檢定實證結果……………………………...…25
4.4 Engle-Granger 兩階段的共整合檢定實證結果………………..26
4.5 均等變異數檢定實證結果……………………………...………..27
5 結論……………………………...…………………………………...29
參考文獻……………………………...………………………………...30
參考文獻 References
參考文獻
中文部分
1. 柯勝揮、江朝宗 (2011), ``實質所得、相對價格、 匯率與國際貿易之關聯分析 : 以台灣對美貿易為例', 華人經濟研究, 9 (2), 21-32。
2. 陳旭昇 (2009), ``時間序列分析 : 總體經濟與財務金融之應用', 臺北市, 東華書局, 修訂初版。
英文部分
1. Arize, A. C. (1995), ``The effects of exchange-rate volatility on U.S. exports : An empirical investigation',
Southern Economic Journal, 62 (1), 34-43.
2. Asseery, A., and Peel, D. A. (1991), ``Estimates of a traditional aggregate import demand model for five countries', Economics Letters, 35 (4), 435-439.
3. Choudhry, T. (2005), ``Exchange rate volatility and the United States exports : evidence from Canada and Japan', Journal of the Japanese and International Economies, 19 (1), 51-71.
4. Davidson, J. (1994), Stochastic limit theory : An introduction for econometricians, Oxford University Press, USA.
5. Davidson, J. (2002), ``Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series process', Journal of Econometrics, 106 (2), 243-269.
6. Dickey, D. A., and Fuller, W. A. (1979), ``Distribution of estimators for time series regressions with a unit root', Journal of the American Statistical Association, 74 (366), 427-431.
7. Elliott, G., Rothenberg, T. J., and James, H. S. (1996), ``Efficient tests for an autoregressive unit root', Econometrica, 64(4), 813-836.
8. Engle, R. F., and Granger, C. W. J. (1987), ``Co-integration and error correction : representation, estimation, and testing', Econometrica, 55(2), 251-276.
9. Grier, K. B., and Smallwood, A. D. (2007), ``Uncertainty and export performance : evidence from 18 countries', Journal of Money, Credit and Banking, 39 (4), 965-979.
10. Ibragimov, I. A. (1962), ``Some limit theorems for stasionary processes', Theory of Probability and Its Applications, 7 (4), 349-382.
11. Johansen, S., and Juselius, K. (1990), ``Maximum likelihood estimation and inference on cointegration-with applications to the demand for money', Oxford Bulletin of Economics and Statistics, 52 (2), 169-210.
12. Kiefer, N. M., Vogelsang, T., and Bunzel, H. (2000), ``Simple robust testing of regression hypotheses', Econometrica, 68 (3), 695-714.
13. Lee, C., Shie, F., and Chang, C. (2012), ``How close a relationship does a capital market have with other such markets?', Pacific-Basin Finance Journal, 20 (3), 349-362.
14. McKenzie, M. D. (1999), ``The impact of exchange rate volatility on international trade flows', Journal of Economics Surveys, 13 (1), 71-106.
15. Phillips, P. C. B., and Ouliaris, S. (1990), ``Asymptotic properties of residual based tests for cointegration', Econometrica, 58 (1), 165-193.
16. Phillips, P. C. B., and Perron, P. (1988), ``Testing for a unit root in time series regression', Biometrika, 75 (2), 335-346.
17. Said, S. E., and Dickey, D. A. (1984), ``Testing for unit roots in autoregressive-moving average models of unknown order', Biometrika, 71 (3), 599-607.
18. Schwert, G. W. (1989), ``Tests for unit roots : A monte carlo investigation', Journal of Business and Economic Statistics, 7 (2), 147-159.
19. Stock, J. H. (1987), ``Asymptotic properties of least squares estimators of cointegrating vectors',Econometrica, 55 (5), 1035-1056.
20. White, H. (2001), ``Asymptotic theory for econometricians', Academic press.
21. Yang, L., Lee, C., and Shie, F. (2014), ``How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test', Pacific-Basin Finance Journal, 26 (1), 198-226.
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