檢視臺灣機電及紡織出口貿易受匯率波動影響的不對稱性－－格子搜尋法虛擬變數的應用

INVESTIGATING THE ASYMMETRIES OF EXCHANGE RATE VOLATILITY ON TAIWAN’S EXPORTS OF ELECTRO-MECHANICS AND TEXTILES: THE IMPLICATION OF GRID SEARCH AND DUMMIES

本研究探討1990 年1 月至2001 年12 月期間， 臺灣匯率升貶值波動對於機電類及紡織類兩產業的出口貿易量是否具有不對稱性的影響。主要計量技巧是藉由格子搜尋（grid search） 法設定虛擬變數以架構非線性模型， 用以探討匯率走勢震盪及平穩時， 對出口貿易是否造成不對稱性影響。文中首先以自我迴歸條件變異模型（autoregressive conditional heteroskedastic model，簡稱ARCH 模型） 估計匯率波動幅度， 然後展開正式估計。文中除比較匯率升貶值對出口貿易是否可能造成不對稱性影響外， 並同時估計產業間是否存在不對稱性的差異。結果發現，無論產業內或產業間，該不對稱影響確實存在，此一結果實有助於觀察實證上匯率不對稱性影響的現象與該影響對整體經濟波動相關議題之探討。

This research investigateswhether there exist asymmetries of exchange rate volatility on Taiwan’s exports of electro-mechanics and textiles, using monthly data over the period from 1990:01 to 2001:12. Econometrically, this empirical work employs the grid search method to set dummy variables such that we can construct a nonlinear model in order to explore the differential impacts on Taiwan’s exporting volumes, either when exchange rate fluctuation is slight or great. We firstmeasure the exchange rate volatility by adopting Engle’s (1982) autoregressive conditional heteroskedastic (ARCH) process, and then build up a nonlinearmodel to reach our goals. Our purpose not only examines whether there are the asymmetric effects of exporting volumes in response to exchange rates during both harsh and smooth periods, but also compares the disparities of exchange rate volatility during appreciation and depreciation periods. Furthermore, we contrast the differentials in industries. In all cases,we provide the evidence on asymmetries either intra- or inter-industries. Our results not only contribute to the literature on nonlinearities, but also provide further implications of business cycle fluctuations.