台灣對中國大陸直接投資與進出口貿易互動關聯性之研究──Panel VECM之應用

A Study on the Interactive Relationships among Foreign Direct Investment, Import and Export between Taiwan and Mainland China: An Application of Panel VECM

本文研究旨在檢測台灣對中國大陸外人直接投資與進出口貿易之決定因素及其互動關聯性，藉以瞭解台海兩岸外人投資與經貿之互動關係。文內分析過程採併合時間序列以橫斷面資料，即引用1993年1月至2007年12月月資料分析並瞭解國內四大產業（資訊電子業、金屬機械業、化學業、民生業）在台海兩岸有關進出口貿易及台灣對大陸投資之決定因素。另外，本文為進一步探討台灣對中國大陸外人直接投資與進出口貿易之互動關係，則採用panel共整合分析，配合完全修正最小平方法(FMOLS)求解共整合向量之長期關係，該項panel向量誤差修正模型(Panel VECM)實證結果指出台灣與大陸外人直接投資與進出口貿易該三變數具有一共同隨機趨勢之共整合系統，台灣與大陸外人直接投資與進出口貿易在長期將趨向一均衡關係，顯示台灣與大陸外人直接投資與進出口貿易間之互動具有共移現象，此引申台灣與中國大陸市場具投資經貿整合之可能性。根據該項實證結果所獲資訊有利於產業界及政府單位擬定台灣與中國大陸投資及進出口貿易相關政策擬定之參考。

The main purpose of this study is to investigate the determinants and relationships among foreign direct investment, import and export of four manufacturing industries between Taiwan and Mainland China. First, the simultaneous equation model is constructed to detect the determinants of foreign direct investment, import and export by applying the panel data from January 1993 to December 2007. The fixed effect model is estimated and has indicated that foreign direct investment, import and export are positively interacted one another between Taiwan Mainland China. Furthermore, the study tries to explore linkage effects of foreign direct investment, import and export relationship between Taiwan and Mainland China. By using panel co-integration analysis and fully modified OLS (FMOLS) to resolve the long-term relationship of co-integration vector, the result shows there is a long-term co-movement among foreign direct investment, import and export between Taiwan and Mainland China. Based on the estimated results of panel vector error correction model (Panel VECM), it points out that a possible space for market and/or economic integration between Taiwan and Mainland China. Basically, the empirical results of this study would provide useful information for firm to managerial strategy and policy-making for government agent.