我國為小型開放經濟體系，是個對外貿易依存度很高的國家，國內經濟活動與國際經濟情勢的關連性十分緊密。2017年進出口金額占國內生產毛額（GDP）比率已接近七~八成。而台灣出口第一的國家為中國，第三則為美國。本研究主要為探討美元及人民幣波動對於出口產業的影響，採用單根檢定、共整合檢定、VECM誤差修正模型、GARCH檢定模型等統計方法來分析美元及人民幣匯率變動與我國(台灣)出口產業的關係。

實證結果顯示，在單根檢定中已確定所有產業的個股、匯率變數經過一階差分後為I(1)階定態，具有相同的整合級次。在共整合檢定中，僅有四個個股的股票價格與匯率存在共整合關係，須進行修正誤差模型(VECM)檢定。向量誤差修正模型下，實證結果得出，南亞科、可成、福懋、儒鴻等四檔個股皆會受其他變數之前期所影響，福懋同時也被自身前期所影響。GARCH模型檢定結果得出匯率變動皆影響電子產業及傳統產業之股票報酬，但其影響程度、反應行為卻不相同。人民幣及美元匯率的變動正向影響紡織業、電機業、化學業、玻璃業、鋼鐵業以及運輸業之股票報酬，增加公司獲利能力。美元及人民幣匯率的變動負向影響電子業、塑膠業、電纜業、橡膠業及其他產業之股票報酬。降低產業的獲利能力，存在當期效果。

As a small open economic system, Taiwan is a country with high dependence on foreign trade, and its domestic economic activities are closely related to foreign economic situations. In 2017, the ratio of import and export to domestic gross domestic product (GDP) is close to 70% and 80%. The country with the first export of Taiwan is China, and the third is the United States. This study mainly explores the impact of US dollar and CNY fluctuations on the export industry. It uses statistical methods such as single-check, co-integration verification, VECM error correction model, and GARCH verification model to analyze the relationship between US dollar and CNY exchange rate changes and export industries.

The empirical results show that in the unit root test, the individual stocks, exchange rates variables of all industries have been determined in the single-check to be I(1)-ordered after the first-order difference, with the same integration level. In the co-integration verification, only four stocks have a co-integration relationship with the exchange rate, and vector error correction model verification is required. Under the vector error correction model, the empirical results show that the four stocks of Nanya Technology Corporation, Cather Technology Corporation, Formosa Taffeta CO., LTD and Eclat Textile CO., LTD. will be affected by the previous period of other variables, and the welfare is also affected by its own previous period. The GARCH model verification results show that exchange rate changes affect the stock returns of the electronics industry and traditional industries, but the degree of influence and reaction behavior are different. Changes in the exchange rate of the CNY and the US dollar are positively affecting the stock returns of the textile, motor, chemical, glass, steel and transportation industries, increasing the company's profitability. Changes in the US dollar and the CNY exchange rate negatively affected stock returns in the electronics, plastics, cable, rubber and other industries. Reducing the profitability of the industry has the effect of the current period.

論文審定書 i
致謝辭 ii
摘要 iii
Abstract iv
目次 v
圖次 vii
表次 viii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 6
第三節 研究內容與流程 6
第二章 文獻回顧與檢視 7
第一節 匯率變動對出口之影響 7
第二節 匯率與經濟的關係 10
第三章 研究方法 12
第一節 單根檢定(Unit Root Test) 13
第二節 共整合檢定(Cointergration Test) 17
第三節 向量誤差修正模型檢定(VECM Test) 20
第四節 變動相關雙變量GARCH(1,1)模型 21
第四章 實證結果與分析 24
第一節 變數說明與資料來源 24
第二節 敘述統計 25
第三節 單根檢定 27
第四節 Johansen共整合檢定 29
第五節 VECM向量誤差修正模型檢定 37
第六節 變動相關雙變量GARCH(1,1)模型 44
第五章 結論與建議 52
第一節 研究結論 52
第二節 研究建議 55
參考文獻 56
一、中文文獻 56
二、英文文獻 57

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