台灣對外直接投資、出口及匯率動態關聯之研究：多變量時間序列模型之應用

The Dynamic Relationships of Foreign Direct Investment, Exports and Exchange Rate in Taiwan: Empirical Evidences Based on Multivariate Time Series Analysis

本文提出一般化多變量Student-t GARCH-M模型，針對台灣匯率、對外直接投資和出口貿易之一階及二階交互動態關聯作探討。實証結果顯示，匯率及其波動風險之於對外直接投資影響要大於出口貿易之衝擊，隱含藉由台幣貶值刺激出口及減少資金外移，以提振經濟成長及減少失業率的政策可行性。其次，出口之於對外直接投資的影響，大於對外直接投資之於出口的衝擊，說明出口表現為台灣廠商考量是否對外投資的重要決策依據。最後，針對國內企業對外直接投資之動機，本文發現國內企業投資於開發中國家，主要著眼於尋求相對低廉之生產要素，屬防禦型對外投資動機；而已開發國家相對台灣股市熱絡程度所引發的財富效果，亦為吸引台灣廠商投資之考量因素。

This paper proposes a general multivariate student-t GARCH-M model to examine the dynamic relationship among Taiwan foreign direct investment (FDI), exports and exchange rates. The estimation results reveal that real exchange rate and associated volatility have significantly negative effect on FDI and significantly positive effect on exports. In addition, exchange rate and associate volatility appear stronger impact on FDI than that of exports, providing the policy implication that the central bank could stimulate the exports and slowdown the capital fly by directing the Taiwanese dollar depreciation policy. We also found evidence of substitution relationship between FDI and exports. Furthermore, the impact of FDI on exports is stronger than vice versa; demonstrating that the performance of exports is one of the important concerns for outward foreign direct investment considerations. Finally, our investigation have proved that the motivation of domestic industries invest on developing countries mainly focus on the benefit of relative cheaper production factors, called ''defensive FDI''. On the other hand, domestic industries choose FDI on developed countries more concentrate on the benefit of stressing on raising funds in oversea stock markets, a type of ''expansionary FDI''.