THE IMPACT OF EXCHANGE RATE VOLATILITY AND INCOME UNCERTAINTY ON TAIWAN’S EXPORTS AND IMPORTS
碩士 === 國立臺北大學 === 經濟學系 === 99 === Since the breakdown of Bretton Wood system of fixed exchange rate in 1978, the effect of increased exchange rate variability on foreign trade has been investigated in large number of empirical and theoretical studies. This paper examines empirically how real exchang...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/28318406242633078837 |
| Summary: | 碩士 === 國立臺北大學 === 經濟學系 === 99 === Since the breakdown of Bretton Wood system of fixed exchange rate in 1978, the effect of increased exchange rate variability on foreign trade has been investigated in large number of empirical and theoretical studies. This paper examines empirically how real exchange-rate volatility and foreign income uncertainty impact international trade flows utilizing a 5-county data set of monthly bilateral real export for 1991-2010.
Estimates of the short-run dynamics and long-run equilibrium are obtainted for each country using the error-correction technique and cointegration. We also use conditional variance of real exchange rate series and foreign income series modeled as a generalized autoregressive conditional heteroskedastic (GARCH) process to measure the exchange rate volatility and foreign income uncertainty.
The major results indicate that increases in the volatility of exchange rate and foreign income exert significant effect upon international trade flows in most of countries in the short-run and lon
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