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題名：探討實質匯率與匯率波動對台灣與中國貿易之影響
作者：蔡錦昌
作者(外文)：Tsai, Chin-Ching
校院名稱：中華大學
系所名稱：科技管理博士學位學程
指導教授：徐子光
學位類別：博士
出版日期：2014
主題關鍵詞：實質匯率；匯率波動；ARDL模型；標準差型態波動；Real exchange rate；Exchange rate volatility；ARDL model；Standard deviation type volatility
原始連結：連回原系統網址new window
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本文旨在探討實質匯率與匯率波動對台灣與中國在總體產業進出口及個別產業進出口之共整合關係與短期衝擊影響。並分析在不同階段的人民幣匯率制度改革、中國與台灣在加入WTO 組織前後、及2008年全球金融海嘯前後是否對台灣與中國相互間貿易產生影響。
研究期間始於1993年1月到2013年12月，採用標準差計算來衡量匯率的波動，並應用 Pesaran, Shin, and Smith ( 2001)發展之ARDL ( Autoregressive Distributed Lag) 邊界檢定法檢定序列是否存在共整合關係。進而應用ARDL模型對具有共整合產業做短期動態調整分析，並對全部產業做短期關係分析 。
研究結果如下:
檢定發現台灣出口到中國與台灣從中國進口之總出口值與總進口值皆具有共整合關係。在82個個別產業中，台灣出口到中國有62個產業具有共整合，台灣從中國進口有75個產業具有共整合。結果說明大部分產業都具有共整合關係，亦即長期而言變數間具有共移現象。
短期動態調整分析發現，實質匯率、匯率波動、中國匯率制度改革、WTO影響、金融海嘯影響等變數在總體產業上都沒有顯著影響到台灣出口到中國與台灣從中國進口之貿易。在個別產業上，台灣出口到中國與台灣從中國進口之貿易，僅有少數貿易額較小產業會受到實質匯率正向影響，大多數產業呈現不顯著影響。在匯率波動方面，也僅有少數貿易額較小產業會受到實質匯率負向影響，大多數產業亦呈現不顯著影響。另外，中國匯率制度改革、WTO影響、金融海嘯影響等三個變數也都沒有顯著影響到台灣出口到中國與台灣從中國進口之貿易。
在短期關係分析發現，實質匯率與匯率波動在總體產業上都沒有顯著影響到台灣出口到中國與台灣從中國進口之貿易；在其他變數方面，也只有第一次匯率改革有負向影響到台灣出口到中國貿易，其餘變數都沒有顯著影響。在個別產業方面，台灣出口到中國與台灣從中國進口之貿易，只有少數產業會受到實質匯率正向影響，大多數產業呈現不顯著影響。在匯率波動方面，只有少數台灣從中國進口之貿易會受到實質匯率負向影響，大多數產業仍呈現不顯著影響。另外，除中國第一次匯率制度改革有負向顯著影響台灣出口到中國之貿易，其餘變數都沒有顯著影響到台灣出口到中國與台灣從中國進口之貿易。
台灣與中國雙邊政治與經濟關係特殊，但很少有完整分析實質匯率與匯率波動對雙邊貿易的影響；況且過去對台灣與中國在貿易上的研究也都沒有考慮到匯率制度改革的影響，因此本研究探討這些主題便成研究上之重要貢獻。另外，本研究不僅關注在台灣與中國間相互出口總貿易的影響，也針對個別產業(HS二分類碼之項目)進行分析，此亦是本研究之重要貢獻。
The main purpose of this study was to explore trade effects of real exchange rate and exchange rate volatility on Taiwan and China bilateral trade. As such, aggregate trade and eight-two industry trade data were used to explore long- and short-term flow relationships. This research further aimed to (1) analyze the effect of RMB exchange rate regime reform in three reform stages, (2) bilateral trade flow effects before and after WTO participation, and (3) whether bilateral trade was affected by the 2008 global financial crisis.
Data of January 1993-December 2013 periods were targeted for investigation, and standard deviation type volatility was used to measure exchange rate fluctuation. For exploring long-term flow relationships, co-integration was examined by the ARDL boundary test model, and short-term relationship was proven by ARDL error correction mode and general ARDL model.
The first analysis step was to test co-integration relationship. The results confirmed co-integration regardless of aggregate export and import. Among 82 individual industries, co-integration was found in 62 Taiwan’s export industries and 75 Taiwan’s imports industries, implying that most industries had co-integration relationships. In other words, long-term equilibrium relationships existed among variables and these variables had co-move phenomenon in the long term.
Short-term dynamic adjustment analysis found that real exchange rate, exchange rate volatility, RMB exchange rate regime reform, WTO impact and global financial crisis in aggregate industry did not have significant impacts on Taiwan’s import and export trade. Specifically, in individual industries, Taiwan’s export and import as well as real exchange rate had short-term positive effects to only a fraction of industry while most industries showed no significant effect. In terms of exchange rate volatility, only a few industrial were negatively influenced whilst most industries showed no significant effect. In addition, three times of RMB exchange rate regime reform, WTO impact and global financial crisis were found to have no significant impact on Taiwan and China bilateral trade.
Concerning Taiwan’s exports and import in short-term relationship, real exchange rate and exchange rate volatility were found to have no significant effect on aggregate trade. Regarding other variables, only Taiwan’s export to China was significantly negatively affected by the first time of China’s exchange rate regime reform while the rest of variables were not.
Regarding Taiwan’s export and import, real exchange rate showed significantly positive impact on only a few of individual industries. Non-significant effects were found in most of industries. Exchange rate volatility was found to exert significantly negative impact on only a fraction of Taiwan’s import, not on the rest part of this industry. Moreover, only the first time of China’s exchange rate regime reform had significant negative effects on Taiwan’s export. The rest of variables were not significantly affected.
Finally, despite bilateral political and economic relations between Taiwan and China has been considered a special research issue, only few studies have explored the impact of real exchange rate and exchange rate volatility on bilateral trade. Additionally, the impact of the China’s exchange rate regime reform has not been sufficiently taken into consideration in past studies on Taiwan and China bilateral trade. Hence, this study has beneficially contributed important references regarding Taiwan and China bilateral trade. Furthermore, analyses on not only aggregate trade but also individual industries were other contributions of this study.
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