臺灣博碩士論文加值系統

1990年代新興市場國家通貨危機之特有現象是:危機之前，出現大幅資本流入與持續性之經常帳赤字；危機之後，出現大幅資本流出與經常帳赤字之改善。Sarisony-Guerin (2003) 和Yan (2007) 之實證研究發現，就因果關係而言，新興市場國家呈現資本移動 (以金融帳表示)影響經常帳；而工業化國家則呈現經常帳領先資本移動之現象，亦即資本移動是用來融通(Finance)，亦即資本移動會促使經常帳失衡：國家儲蓄與投資所留下之缺口。這些發現之政策意涵是新興市場國家因金融體制不健全，貿然開放資本自由移動，會造成經常帳失衡至不可支撐 (Non-Sustainable) 之地步而引發通貨危機。本研究是針對既有之經常帳與金融帳因果關係之探討缺乏理論基礎，提出在跨期平衡限制下之經常帳與金融帳之長短因果關係。由於新興市場國家近來持有之外匯準備日益增加，從持有外匯準備之成本與效益來分析，外匯準備之增加 (或減少)有一定限度，亦即需符合跨期平衡，我們推導出只要外匯準備之變動為定態 (Stationary) 則外匯準備即符合跨期平衡。而外匯準備之變動為定態隱含國際收支帳中之經常帳與金融帳存在共整合 (Cointegration) ，本研究將據此探討經常帳和金融帳之因果關係。我們分別將經常帳與金融帳分儲蓄和投資與股權型式和債權型式資本流入，使用三變數之共整合分析與估計誤差修正模型來探討因果關係。我們共分析日本、美國、韓國與泰國四個國家，實證發現長期之下，誤差修正項 (即外匯準備之變動) 都會影響經常帳與金融帳之變動，所有國家之儲蓄對於金融帳有顯著的負向效果，但是投資對於金融帳卻有顯著的正向效果；大部分國家股權型式與債權型式資本流入對於經常帳有顯著的負向效果。另外，先進國家和新興市場國家皆呼應Sarisony-Guerin (2003) 和Yan (2005) 的實證結果，經常帳影響金融帳和金融帳會影響經常帳，如美國是經常帳影響股權型式資本流入，泰國是股權型式與債權型式資本流入會影響經常帳，韓國則是金融帳會影響儲蓄和投資。本文最後使用衝擊反應函數分析發現，大部分國家除了日本以外，當金融帳產生變動時，儲蓄首先會減少再增加，而投資首先會上升再減少；大部分的國家當股權型式資本流入變動時，經常帳會先上升然後下降；當債權型式資本流入變動時，經常帳會先下降然後上升，且新興市場國家對於資本流入對於經常帳的影響反應皆是不穩定。

摘要.................................................i
目錄.................................................ii
圖目錄...............................................iv
表目錄...............................................v
第一章 緒論..........................................1
第一節 研究動機與目的..............................1
第二節 本文架構....................................3
第三節 研究流程....................................4
第二章 文獻回顧......................................5
第一節 資本移動、經常帳赤字與通貨危機................5
ㄧ、資本移動與資本帳危機.........................5
二、持續經常帳赤字與通貨危機.....................7
第二節 外匯準備持有之適足性........................8
第三節 資本移動與經常帳之因果關係..................9
一、經常帳和金融帳因果關係的影響管道.............10
二、經常帳和金融帳因果關係檢定的相關文獻.........12
第四節 外匯準備持有之適足性與經常帳及資本流動之因果關
係..........................................14
第三章 理論模型......................................16
第一節 簡介國際收支帳..............................16
第二節 跨期外匯準備平衡............................19
第四章 計量方法......................................24
第一節 單根檢定（Root Test）.......................24
第二節 共整合......................................26
一、共整合的意義.................................26
二、最大概似檢定法(Maximum Likelihood Test)......27
第三節 誤差修正模型................................30
第四節 衝擊反應函數................................31
第五章 實證結果分析..................................32
第一節 資料來源和處理..............................32
第二節 單根檢定....................................43
第三節 長期關係~共整合檢定.........................46
第四節 因果關係檢定................................58
第五節 衝擊反應分析................................63
第七章 結論..........................................74
附錄一...............................................76
參考文獻.............................................77

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