本文探討實質有效匯率波動度對經濟成長之非對稱影響，並進一步分析其是否隨貿易依存度與貿易集中度而呈現異質性。我們以 2000–2024 年全球 25 國非平衡面板資料為樣本，採用面板分量迴歸方法，並結合門檻迴歸概念，依貿易特徵劃分高、低體制進行比較分析。相較於過去多著重平均效果之文獻，本文方法更能捕捉極端景氣狀態下匯率波動對經濟成長之異質性影響。實證結果顯示，匯率波動度對經濟成長整體具有顯著負向影響，且在低成長分量下更為明顯，顯示經濟處於低迷或衰退階段時，對匯率不穩定愈加敏感；反之，在高成長分量下，其影響多未達統計顯著水準。此外，高貿易依存度與高貿易集中度國家之負向效果不僅較大，且更具穩定性，顯示貿易結構特徵將進一步放大匯率波動對經濟成長的不利影響。

This study examines the asymmetric effects of real effective exchange rate (REER) volatility on economic growth and investigates whether these effects vary with trade dependency and trade concentration. Using an unbalanced panel dataset of 25 countries from 2000 to 2024, we employ panel quantile regression combined with a threshold based regime classification to distinguish high and low trade characteristic conditions. Unlike the existing literature, which primarily focuses on average effects, our approach captures heterogeneous impacts across different growth states. The results show that REER volatility has a significantly negative effect on economic growth, with stronger impacts at lower growth quantiles, indicating heightened vulnerability during economic downturns. In contrast, the effects are generally insignificant at higher growth quantiles. Furthermore, the negative impact is larger and more persistent in countries with higher trade dependency and greater trade concentration, suggesting that trade structure amplifies the adverse effects of exchange rate volatility on economic performance.

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鐘姿菁 (2011)。《台幣匯率與台灣經濟成長的關係－分量迴歸的應用》(未出版之碩士論文)。國立成功大學財務金融研究所，台南市。