The Relationship of Exchange Rate and Economic Growth in Taiwan：A Quantile Regression Approach

• Main Authors: Tzu-ChingChung, 鐘姿菁
• Other Authors: Ming-Yuan Leon Li
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/92687378268872680550

碩士 === 國立成功大學 === 財務金融研究所 === 99 === This article reports a study that analyzes financial data between exchange rate changes and the economic growth rate of Taiwan relationship during March 1962 to June 2010 to examine the asymmetric effects of the informative variables on the economic growth rate of Taiwan between the boom and bust conditions in exchange rate . The study includes analysis of changing distribution of the economic growth rate of Taiwan across exchange rate and over time by using a quantile regression model and comparison of the results with OLS and LAD estimates. The empirical results show that the effect is quite different across various business cycle stages. There are asymmetric effects between these two factors. While the business cycle stage is in highly expansive condition, there are significant positive relationship between exchange rate and economic growth. And the effect is negative significant while the business cycle stage is on recessional condition. On the other hand, linear regressions estimated by the ordinary least square method is unable to reveal such patterns from the sample distribution.