匯率貶值與出口

Abstract

本文建立雙變量GARCH-M模型，使用1979至2001年的月資料，聯立估計匯率貶值及其隨時間變動匯率風險對台灣出口貿易的影響，並據以評估匯率貶值刺激出口的效果。實證結果分析顯示，匯率貶值增加以本國貨幣表示的出口收益，但效果不大，而匯率貶值波動引發的匯率風險，則負面衝擊出口貿易收益，並造成出口貿易的波動，匯率及其風險的總合淨效果很小，僅是基本出口的干擾噪音，匯率不是增加出口貿易的有效工具。

The net effect of exchange rate depreciation and its risk on exports in Taiwan between 1979 and 2001 is investigated in a bivariate GARCH-M model that stimultaneously estimates time varying risk. Exchange rate depreciation is found to stimulate export revenue in domestic currency but the quantitative impact is small and any associated increase in exchange rate risk has a negative impact. Further evidence shows that the exchange rate and its risk only add noise to underlying export revenue fundamentals, suggesting that exchange rate depreciation has negligible net effect on exports. The exchange rate is not a viable tool of trade policy.