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題名:實質所得、相對價格、匯率與國際貿易之動態關聯分析--以臺灣對美日貿易為例
書刊名:貿易調查叢刊
作者:柯勝揮 引用關係江朝宗
作者(外文):Ko, Sheng-hueiJiang, Chao-zong
出版日期:2011
卷期:22:2
頁次:頁75-100
主題關鍵詞:實質所得相對價格匯率向量自我迴歸動態模型Real incomePrice ratioExchange rateVector autoregression method
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:4
  • 點閱點閱:82
本研究主要係以台灣對美國與日本貿易為例,探討實質所得、相對價格和匯率與國際貿易之間的動態關聯,採用的模型有 ADF、VAR和動態貿易模型,研究樣本期間為 1990年 1季至 2010年 4季之季資料。 根據研究結果顯示,就台美貿易而言,美國實質所得領先台灣對美國出口值之時差為 5季,相對價格領先台灣對美國出口值 6季,台美匯率領先台灣對美出口值 6季。再就台日貿易來看,台灣實質所得領先台灣對日進口值 5季,相對價格領先台灣對日進口值 3季,台日匯率領先台灣對日進口值 3季。再根據貿易動態模型分析結果指出,在台灣對美國出口中,相對價格與台灣對美國出口值呈現負向顯著關係,匯率與台灣對美國出口值呈現正向不顯著關係,美國實質所得與台灣對美國出口值呈現正向顯著關係。在台灣對日本進口方面,相對價格與台灣對日本進口值呈現負向不顯著關係,匯率與台灣對日本進口值呈現正向顯著關係,台灣實質所得與台灣對日本進口值呈現正向顯著關係。
The main purpose of this study is to explore the dynamic relationship between real income, price ratio, exchange rate and International trade in Taiwan. The Vector autoregression method and the dynamic method are applied to study the relationship between international trade and its determinants. The data applied are quarterly ranging from the first quarter of 1990 to fourth quarter 2010. The vector autoregressive model results indicate that U.S. real income lag before Taiwan's exports to five quarters, price ratio and exchange rate lag before Taiwan's exports to six quarters. Other results indicate that Taiwan’s real income lag before Taiwan's imports to five quarters, price ratio and exchange rate lag before Taiwan's imports to three quarters. The export equation results indicate a significant negative effect of the price ratio on Taiwan's exports and a significant positive effect of the U.S. real income on Taiwan's exports. The import equation results reveal a significant positive effect of the Taiwan’s real income and exchange rate on Taiwan’s imports.
期刊論文
1.De Grauwe, P.(1988)。Exchange Rate Variability and the Slowdown in Growth of International Trade。International Monetary Fund Staff Papers,35(1),63-84。  new window
2.Chowdhury, A. R.(1993)。Does Exchange Rate Volatility Depress Trade Flows? Evidence from Error-correction Models。The Review of Economics and Statistics,75(4),700-706。  new window
3.Dellas, H.、Zilberfarb, B. Z.(1993)。Real Exchange Rate Volatility and International Trade: A Reexamination of the Theory。Southern Economic Journal,59(4),641-647。  new window
4.Rodrik, Dani、Kenen, Peter B.(1986)。Measuring and Analyzing the Effects of Short-term Volatility in Real Exchange Rates。The Review of Economics and Statistics,68(2),311-315。  new window
5.Klein, M. W.(1990)。Sectoral Effects of Exchange Rate Volatility on United States Exports。Journal of International Money and Finance,9(3),299-308。  new window
6.Sukar, A. H.、Hassan, S.(2001)。US Exports and Time-Varying Volatility of Real Exchange Rate。Global Finance Journal,12(1),109-119。  new window
7.Cushman, D. O.(1983)。The Effects of Real Exchange Rate Risk on International Trade。Journal of International Economics,15,45-63。  new window
8.Gotur, P.(1985)。Effects of Exchange Rate Volatility on Trade: Some Further Evidence。International Monetary Fund Staff Papers,32(3),475-512。  new window
9.Hooper, P.、Kohlhangan, S. W.(1978)。The Effect of Exchange Rate Uncertainty on the Prices and Volume of International Trade。Journal of International Economics,8(4),483-511。  new window
10.Slottje, Daniel J.、Osang, Thomas、Arize, Augustine C.(2000)。Exchange-rate Volatility and Foreign Trade: Evidence from Thirteen LDC's。Journal of Business & Economic Statistics,18(1),10-17。  new window
11.柯勝揮、吳雪伶(20091200)。臺日匯率、物價之因果與時差之探討--多變數光譜分析法之應用。文大商管學報,14(2),53-69。new window  延伸查詢new window
12.Arize, A. C.(1997)。Foreign Trade and Exchange-Rate Risk in the G-7 Countries: Cointegration and Error-Correction Models。Review of Financial Economics,6(1),95-112。  new window
13.Sercu, P.、Vanhulle, C.(1992)。Exchange rate volatility, International Trade, and the Value of Exporting Firms。Journal of Banking and Finance,16(1),155-182。  new window
14.Baak, S. J.(2008)。The bilateral real exchange rates and trade between China and the U.S.。China Economic Review,19(2),117-127。  new window
15.Asseery, A.、Peel, D. A.(1991)。Estimates of a Traditional Aggregate Import Demand Model for Five Countries。Economics Letters,35(4),435-439。  new window
16.Arize, A. C.(1995)。Trade Flows and Real Exchange-rate Volatility: An Application of Cointegration and Error-correction Modeling。The North American Journal of Economics and Finance,6(1),37-51。  new window
17.Arize, A. C.、Osang, T.、Slottje, D. J.(2008)。Exchange-rate Volatility in Latin America and its Impact on Foreign Trade。International Review of Economics & Finance,17(1),33-44。  new window
18.Barkoulas, J. T.、Baum, C. F.、Caglayan, M.(2002)。Exchange Rate Effects on the Volume and Variability of Trade Flows。Journal of International Money and Finance,21(4),481-496。  new window
19.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。  new window
20.Daly, K.(1998)。Does Exchange Rate Volatility Impede the Volume of Japan’s Bilateral Trade?。Japan and the World Economy,10(3),333-348。  new window
研究報告
1.Akhtar, M.、Hilton, R. Spence(1984)。Effects of Exchange Rate Uncertainty on German and US Trade。Federal Reserve Bank of New York:Research Paper。  new window
學位論文
1.趙蒼頡(2006)。匯率波動對台灣出口量的影響:以新加坡和泰國為例(碩士論文)。臺灣大學。  延伸查詢new window
2.黃素玲(2005)。匯率不確定性對進出口貿易的影響--台灣之實證研究(碩士論文)。國立中正大學。  延伸查詢new window
3.黃久倫(2009)。匯率波動對貿易進出口影響之實證研究(碩士論文)。國立中正大學。  延伸查詢new window
4.蔡孟純(2000)。匯率波動風險對出口量的影響-對不同資料形態的分析。淡江大學。  延伸查詢new window
5.郭佩婷(2008)。匯率不確定性對臺灣出口波動之影響。政治大學。  延伸查詢new window
6.黃韻禎(2007)。匯率波動對臺灣出口的影響。政治大學。  延伸查詢new window
圖書
1.鍾惠民、周賓凰、孫而音(2011)。財務計量:Eviews的運用。臺北:新陸書局股份有限公司。  延伸查詢new window
2.施能仁、施純楨、施若竹(2004)。計量經濟。臺北。  延伸查詢new window
 
 
 
 
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