匯率波動對出口貿易量之不對稱影響－－台灣產業之實證研究

自1973年3月布列頓森林協定(The Bretton Woods International Monetary System)全面瓦解後，世界各主要工業國家，如美國、英國、德國、日本等，紛紛放棄以美元為中心的固定匯率制度，改採浮動匯率制度。在浮動匯率制度下，各國匯率是根據外匯市場的外匯供需狀況，自行浮動和調整的結果，不再受限於匯率上下波動幅度之規定，央行也毋須擔負維持波動上下限的義務。

This paper investigates the asymmetric effects of exchange rate volatility on the export volumes of two of Taiwan’s export categories, the mechanical & electronic and textile industries, using monthly data over the period from January 1990 to December 2001. Methodologically, we use Engle’s (1982) autoregressive conditional heteroskedastic (ARCH) process to measure the exchange rate volatility. In conformity with Granger and Teräsvirta (1993), we adopt the smooth transition autoregressive (STAR) model to examine whether there are asymmetric effects on export volumes in response to exchange rate fluctuations during both turbulent and smooth periods, and further compare whether the impact of exchange rate volatility on export volume is asymmetric in appreciation and depreciation periods. We also compare the difference of asymmetry between the mechanical & electronic and textile industries.
The results can be described in three perspectives: First, the mechanical & electronic industry is better able than the textile industry to solve the problem of exchange rate volatility temporarily through the pricing-to-market mechanism. Second, the mechanical & electronic industry has stronger export competitiveness than the textile industry. Finally, the export volume is not immediately affected by exchange rate volatility due to consumers’slow response and firms’ex-ante contractual commitment. The investigation not only contributes to the literature on asymmetries, but also provides some implications for the exchange rate channel of monetary transmission.