| Summary: | 碩士 === 中原大學 === 國際經營與貿易研究所 === 100 === Abstract
Taiwan is an export-oriented country; therefore, export and economic growth are easily disturbed by the volatility of exchange rates. Since 1986, Taiwan has released the regulation of the exchange rate of New Taiwan dollar with respect to the US dollar. In 1989, Taiwan began to adopt the managed exchange rate system, which will enlarge the impact of exchange rate volatility on export. The aim of this paper is to evaluate the degree of pass-through, as the exporters face the change in exchange rates. In performing empirical estimation, we take the top four trade partners of Taiwan as sample objects, and employ the fixed effects model and error correction model. The estimation methods we use can improve the shortcoming originated from traditional least square method.
Empirical results can be summarized as follows:
1. According to the estimation results of the fixed effects model, export prices are significantly influenced by market concentration ratio, consumer price level, interest rate differentials, and exchange rates (spot rate and forward rate). The negative estimated coefficient of spot rate reveals that the appreciation of foreign currency is helpful for Taiwan’s exporters to increase their export, satisfying the expectation of theoretical model. Additionally, the higher the market concentration ratio is, the larger the export price would be. The reason may be that these four countries have high dependence on the exports from Taiwan; therefore, as the concentration ratio increases, they are unable to search other import substitution, which in turn stimulate Taiwan’s export prices. Finally, as the prices of import substitutes increase, Taiwan’s export price also rise, implying that the beach effect for Taiwan’s exporters is not clear.
2. In the error correction model of export price measured by spot rate, the adjustment coefficient is -0.045312, meaning that as the last period of export price is not in its long-term equilibrium level, it will have a downward adjustment at the speed of 4.5312% in the next period. However, in the error correction model of export price measured by forward rate, the adjustment coefficient is -0.072363, meaning that as the last period of export price is not in its long-term equilibrium level, it will have a downward adjustment at the speed of 7.2363% in the next period. Evidently, the adjustment speed of the former model is smaller than the latter one.
|
|---|
