The Impact of the US Dollar's Volatility on Taiwanese Economy - A Case of Export-led Growth

Fu, Janice (2005) The Impact of the US Dollar's Volatility on Taiwanese Economy - A Case of Export-led Growth. [Dissertation (University of Nottingham only)] (Unpublished)

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According to the trading records over decades, Taiwanese economy seems to be long dependent on the U.S. market and hence it is suggested that exchange rate uncertainty has a long-term effect on exports. The proxy of volatility in this study is measured using three techniques including the GARCH (1,1) procedure, the ordinary moving average method and a moving average standard deviation approach. The real exchange rate is employed throughout the study in order to reflect the property of the exchange rate over time. A striking result is found in this study.

Whereas the long-term relationship between economic fundamentals and the export volume at both of aggregate and disaggregated levels is suggested by Johansen's cointegration approach, a further cointegration test using ARDL procedure largely disapproves the result. As a result, exchange rate volatility contributes minimal impact to the export volumes irrespective of the method by which it is derived from, and also ambiguous long-term relationship is discovered during various tests. The result tends to reject the hypotheses that exchange rate volatility is of significant effect on Taiwan's economy and that the economic fundamentals have long-term relationship with export volumes to the U.S. market.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 07 Dec 2005
Last Modified: 21 Mar 2022 15:27

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