The Study on the Relationship among Exchange Rate,Imports and Exports- The case of China, Hong Kong and Taiwan

[[abstract]]本文中以探討兩岸三地間之匯率、進出口值間的關聯性為主軸，透過單根檢定及共整合檢定分析時間序列之穩定性及長期均衡關係，再採用誤差修正模型之短期動態分析、Granger 因果關係、預測誤差變異數分解及衝擊反應分析，研究兩岸三地間之匯率、進出口值九個變數間的關係。實證結果發現：兩岸三地間之匯率、進出口值間具有長期之均衡關係；由向量誤差修正模型，發現九個變數長期關係的存在，主要是由於大陸進口值、港幣匯率、台灣進口值的調整；由因果關係得知，人民幣匯率不易受其他變數影響，台幣匯率易受其他貿易變數之影響；香港在貿易上具地理位置的優勢，促使兩岸三地間貿易存在一定程度之互相依賴；另由衝擊反應函數得知，兩岸三地在匯率上，人民幣匯率對於來自本身衝擊反應程度較大，而台灣及香港之匯率短期分別受其他變數些許影響，顯示出台灣及香港之匯率較易隨市場情勢調整，兩岸三地在出口值方面，短期皆受到彼此間出口值衝擊影響，兩岸三地在進口值短期亦受到彼此間進口值不同程度之衝擊影響。[[abstract]]This paper investigates the relation among exchange rate, import and export in Mainland China, Taiwan and Hong Kong. We use the unit root and cointegration test to examine the stability of time series and long-term equilibrium, and we adopt the short-term dynamic analysis, Granger causality, forecast error variance decomposition and impulse response analysis to study the relation across the nine variables. The empirical results indicate that there’s a long-term equilibrium relation across the exchange rate and value of import and export. We find the existence of long-term relation of nine variables with Vector Error Correction Model because of the adjustment of the Mainland export value, HKD exchange rate and Taiwan import value. By the causality, we find the RMB exchange rate is not affected easily by other variables, but the NTD rate is； Hong Kong is superior in location than the others to urge the dependence of the greater China area in trading； We also find there’s a greater response of impulse in exchange rate of RMB itself. The NTD and HKD exchange rate are affected by other variables individually, indicating the two rates would adjust according to the situation of market easily. The export value in Mainland China, Taiwan and Hong Kong is affected by the exports value from the three locations in short-term, and imports is, too