The study of the effect of exchange rate related factors on exports in Taiwan

[[abstract]]本文以我國主要外銷國家美國、中國、日本、歐洲為研究對象，研究期間為2009年至2014年。採用近似表面不相關迴歸(seemingly unrelated regression)探討匯價相關因素變動對台灣外銷量影響，包含國內生產毛額、貨幣供給、匯率、消費者物價指數、匯率波動這五個變數間的關係。 實證結果顯示，貨幣供給方面，美國對外銷呈正相關，推測實施量化寬鬆政策；中國與歐洲貨幣供給較少，因此對外銷呈負相關。消費者物價指數四個國家分析結果與預期一致，對外銷量呈負向影響。在國內生產毛額中，美國、中國及日本，與預期一樣呈正相關；只有歐洲為負相關。在2009年至2014年，匯率方面，日本與歐洲匯率升值，外銷量增加，意味著匯價對出口呈正相關，相對的，美國與中國則呈負相關。匯率波動率方面，學者持不同意見，本文分析結果發現，匯率波動和匯率呈負相關。 情境分析結果，在貨幣供給及匯率皆增加3%後，得知美國與中國對貨幣供給影響外銷量的效用較大，而日本與歐洲則是對匯率的效用較大。且發現在2014 Q4外銷量有明顯增加的情況，因此考慮到季效果再加入虛擬變數後發現，同前分析一致，因此判定，大市場貨幣供給效用較大；小市場匯率效用較大。[[abstract]]In this paper the main exports in Taiwan to United States China Japan and Europe are studied during the period of 2009 to 2014 The seemingly unrelated regression (SUR) approach is applied to explore the impact of exchange rate related variables on Taiwan's export volume including gross domestic product money supply exchange rates consumer price index and exchange rate volatility The empirical results show that the money supply of the United States has a positive correlation to exports ever since the quantitative easing policy started while China and Europe having lower money supply exhibit negative correlation As expected consumer price index of all four countries shows negative correlation to exports Also as expected gross domestic product of the United States China and Japan has been evidenced positive correlation except Europe During 2009 to 2014 the exchange rates of Japan and Europe are appreciated and exports increase It means that the exchange rates of both countries have a positive correlation to exports However the United States and China expose negative correlation As to the effect of exchange rate volatility it acts negatively to that of the exchange rate The scenarios are created that the money supply and exchange rates increase 3% respectively for each country The money supply scenario effect of US and China having large markets is more profound on exports In contrast the exchange rate scenario effect of Japan and Europe having small market is much more prominent In fact 2014 Q4 sales surged apparently Thus considering quarterly seasonal effect and adding dummy variable to SUR the prediction of exports becomes better and the scenarios have the similar as aforementioned Thus the money supply effect arising from large markets is more sizable whereas the exchange rate effect arising from small markets is greate