| Summary: | 碩士 === 國立中正大學 === 國際經濟所 === 97 === The main contribution of this research extend the traditional import-export demand equation Bahmani-Oskooee (1998) which include the exchange rate volatility not only analyze the effect of macroeconomic variables but also the exchange rate volatility to the export and import volume. I use the Augmented Dickey Fuller (ADF) unit root test to examine the stationary of macro variables like exchange rate, CPI, production index and trading volume and the Granger causality between variables I further use the log-linear Ordinary least squares (OLS) regression equation that includes the GARCH(1,1) residual error term as the proxy of the exchange rate volatility to examine the impact of the exchange rate volatility on imports and exports.
My results suggest significant causal relationship between variables and export volumes. However, I find that income, relative prices and exchange rate have significant causal relationship with import volume from Taiwan to U.S, Japan and China. However, As for the effect of exchange rate volatility on the imports and exports volume, which the focus of my study; I find positive impact of effect rate volatility on exports from Taiwan to U.S. In addition, I find significant negative impact of exchange rate volatility of trading then decrease the impact of the imports from Japan to Taiwan.
The focus variable of this research is the exchange rate volatility spillover. According to Taiwan to U.S. and China export equation, empirical results find that significant exchange rate volatility spillover. However, I find significant negative lag period effect from Taiwan to Japan. Negative and significant coefficient tells us that uncertain exchange rate will increase the risk and impact the import. Lastly, I also find the positive significant lag period effect from Taiwan to China.
In all, the significant exchange rate volatility spillover effects to trading volume have been found from Taiwan to U.S., Japan and China.
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