The Impact of Real Effective Exchange Rate Volatility on the Trade in Taiwan-An ARDL Approach

• Main Authors: LI, SHU-HUI, 李淑慧
• Other Authors: LEE, CHIEN-HUI
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/xby5jh

碩士 === 國立高雄應用科技大學 === 國際企業系碩士在職專班 === 106 === The Impact of Real Effective Exchange Rate Volatility on the Trade in Taiwan-An ARDL Approach Student: Shu-Hui Li 　　　　　 Advisor: Dr. Chien-Hui Lee Department of International Business National Kaohsiung University of Science and Technology Abstract It is a critical issue regarding the impact of exchange rate risks on the trade. There is no unanimous conclusion whether in theoretical or empirical aspects. This paper uses conventional import and export equation. The exchange rate volatility is modeled as a GARCH(1,1) process. We employ the popular ARDL model to investigate the impact of Real Effective Exchange Rate Volatility on the Trade in Taiwan. Four countries, the United States, Germany, Japan, and France are investigated. The period is from January 2001 to December 2017. The ARDL bounds testing results show that Taiwan’s imports from and exports to the United States, Germany, Japan, and France have a long-term equilibrium relationship with real effective exchange rate, real effective exchange rate volatility, and income. In the long-run, the impact of real effective exchange rate volatility on export of Taiwan is positive in all cases. However, the impact of real effective exchange rate volatility on import of Taiwan is negative in most cases. In the short-run, German imports is significantly affected by the second and third period lags and the United States is significantly affected by the second period lags of the real effective exchange rate volatility. Keywords: Exchange rate volatility, import and export, bounds testing, ARDL co-integration