Abstract
The study wants to investigate the effect of exchange rate on the trade of Taiwan’s major trade commodities between United States and Japan, and we also want to investigate how these major trade commodities affect the Taiwan's output. And we refer to Wang Hung-Jen (2005) approach, taking the Central bank intervention in the foreign exchange market into the model, discussing the effect as well as the Central bank revalued the exchange rate and the exchange rate appreciation. In this study, according to Board of Foreign Trade and export statistics we find the largest proportion of the three export and import commodities between United States and Japan, and we establish a Structural Vector Autoregression model (SVAR) included five variables in each commodity. We discuss the effect of exchange rates and central bank intervention on the relative price and the trade proportion and the effect of trade proportion on the Taiwan’s output. The study included 2000M1-2013M10, a total of 166 data. The results showed that when the NT dollar appreciate 1 dollar by US dollar the greatest impact on optical instrument’s relative prices and steel’s trade proportion with the U.S., respectively, it can make the highest optical instrument’s relative prices rose 0.067% and 1.328% decline in the trade proportion of steel ; whereas when the NT dollar appreciate 1 dollar by Japan dollar the greatest impact on nuclear mechanical’s relative prices and optical instrument’s trade proportion with Japan, respectively, relative prices can make the highest optical instruments rose 0.067% and 1.328% decline in the optical instrument’s trade proportion. And we also find that the effects are significant weakness no matter the exchange rate shock or the Central bank shock. Finally, this study also verified the Wu Chung-Shu ’s (1995) arguments “ Differences in commodity or industry varies may the effect of exchange on the commodity prices.” Key Word：exchange rate, relative prices, trade proportions, SVAR model, the central bank intervention