The Effects of Exchange Rate Volatility on Trade Volume of Export by a Nonlinear Dynamic Model

• Main Authors: Je-yi Su, 蘇哲逸
• Other Authors: Pao-yuan Chen
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/09801660996657024812

碩士 === 南華大學 === 經濟學研究所 === 94 === 　　There are numerous theoretical and empirical studies that analyze the effects of exchange rate volatility on trade volume of export by linear econometrics models. The theoretical and empirical results, however, are contradictory. This paper investigates the nonlinear effects of exchange rate volatility on the export volume of the small trading nation (Taiwan) and the big trading nation (U.S.) during the period from January of 1990 to December of 2003. In this research, we first use conditional variances of the real effective exchange rate series modeled as an autoregressive conditional heteroskedastic (ARCH) and a generalized autoregressive conditional heteroskedastic (GARCH) process to measure the exchange rate volatility. We then adopt the smooth transition error correction model (STECM) to examine that the short-run export function adjustment toward the long-run equilibrium is a nonlinear process. The empirical results indicate that the nonlinear effects of exchange rate volatility on the export volume are asymmetric and there is a positive and negative relationship between them in the logistic smooth transition error correction model (LSTECM) in the case of Taiwan. Furthermore, the exchange rate volatility is positively and negatively related to the export volume in the LSTECM model of U.S. The empirical results also show that the export volume of the small trading nation (Taiwan) is more sensitive than the big trading nation (U.S.) in terms of the impact of exchange rate volatility.