| Summary: | 碩士 === 國立臺灣大學 === 國際企業學研究所 === 99 === This paper analyses the influence of exchange rate volatility on the real exports of Taiwan to United States, Japan and China. GARCH models are used to generate a measure of exchange rate volatility. We adopt the ADF unit root test to examine whether the variables are used in export equations are stationary or not. By Johansen cointegration test, we find that the cointegration exist for United States, Japan and China’s export equation. The Vector Error Correction Model and Granger causality test are applied to find out the long-term and short-term relationship between the variables are used in export equations.
We obtain the result that a stationary long run equilibrium relationship exists between Taiwan’s real exports to the United States, Japan, and China, and its determinants respectively. The nominal exchange rate volatility has negative effects on Taiwan’s real exports to the United States, Japan and China. The result from Vector Error Correction Model indicates that the effect of nominal exchange rate volatility on real export is uncertain in the short run.
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