臺灣博碩士論文加值系統

本研究擷取1999~2007年間的數據資料，進行匯率、貿易及資本移動之間的關聯性探討，以往文獻多將上述變數兩兩分開研究，本文利用一系列計量實證方法來求得此三因子的長短期互動關係。實證結果得到在短期下，匯率與貿易收支之間存在J曲線效果，長期上除了兩者符合Marshall-Lerner條件，也顯示資本移動會與名目有效匯率指數呈現顯著負相關。且因為貿易部門無法立即反應，所以偏離長期均衡關係時，多為匯率與資本移動兩因子進行調整。雖然，不同的資本移動變數在短期內與其他變數呈現出不同的變動情形，但仍可發現多數模型中的資本移動變數為匯率與經常帳餘額的領先指標。

Using the monthly data between 1999 and 2007 in Taiwan, we examine the relationship of exchange rate, trade and capital flow in this paper. Granger causality test and impulse response from vector autoregressive model are employed to obtain the short-run dynamics among the variables, and Johansen cointegration test and error correction model are applied to study the long-run equilibrium. This paper reconfirms the J-curve effect in the short run and the validity of Marshall-Lerner condition in the long run. Our results also show the negative correlation of capital flow and the nominal effective exchange rate. Limited by the slow adjustment speed of trade balance, exchange rate and capital flow are the major drives back to equilibrium when the system deviates from the long-run equilibrium. Further, the capital flow variables are the leading indicators of the others in the most cases. However, different capital flow variables induce different patterns of dynamics in the short-run.

目 錄
論文審定書 i
誌 謝 ii
摘 要 iii
Abstract iv
第一章 緒論 1
第一節 研究動機與目的 1
第二節 論文架構 3
第二章 文獻探討 5
第一節 匯率與貿易之間的探討 5
第二節 匯率與資本市場之間的探討 6
第三章 研究方法與變數說明 8
第一節 單根檢定 8
第二節 向量自我迴歸模型 9
第三節 共整合檢定與向量誤差修正模型 11
第四節 資料來源與變數說明 13
第四章 實證結果與分析 16
第一節 單根檢定結果 16
第二節 第一模型實證分析 (匯率、經常帳餘額) 20
第三節 第二模型實證分析 (匯率、經常帳餘額、股價指數) 23
第四節 第三模型實證分析 (匯率、經常帳餘額、外資買超) 28
第五節 第四模型實證分析 (匯率、經常帳餘額、外資賣超) 32
第六節 第五模型實證分析 (匯率、經常帳餘額、短期資本流出) 36
第七節 第六模型實證分析 (匯率、經常帳餘額、長期資本流出) 39
第八節 實證結果彙總分析 43
第五章 結論與建議 47
第一節 研究結論 47
第二節 研究限制與建議 49
參考文獻 50
圖表附錄 53

參考文獻
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