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研究生:彭怡華
研究生(外文):Peng, Yi-Hwa
論文名稱:通貨替代與貨幣需求-日本之實證研究
論文名稱(外文):Currency Substitution and Money Demand in Japan
指導教授:陳思寬陳思寬引用關係---
指導教授(外文):Chen Shi-Kuan
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:國際企業學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:1998
畢業學年度:86
語文別:中文
論文頁數:71
中文關鍵詞:通貨替代預期匯率變動率貨幣需求資本移動
外文關鍵詞:Currency SubstitutionExpected Exchange Rate DepreciationMoney DemandCapital Mobility
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七十年代是變動的時代。隨著匯率制度之重大變革、石油危機及各種金融
制度的改變,各國經濟出現前所未有之混亂情勢與嶄新局面。在這樣的交
替背景下,傳統之貨幣需求函數便無法完整代表影響貨幣需求真正之因素
。因此本研究將代表外國資產報酬率之預期匯率變動率及國外利率納入,
討論在開放經濟體系下之通貨替代現象。

本文研究對象為日圓。日本自戰後所創造之經濟奇蹟有目共睹,事實上在
七十年代前日本之金融政策極為封閉保守。在七十年代受迫於國內外金融
改革之壓力,主管機關大藏省始進行改善。而日圓走勢自1973年改為浮動
匯率後持續升值局面,直到1995年中為止。本文研究目的在於希望能了解
日本對外金融改革開放後是否存有通貨替代現象及程度高低。

本文首先對變數進行單根檢定以確定所有變數均為非定態;再利用共積檢
定找出變數間長期均衡關係,並利用誤差修正模型求導出短期動態式。根
據實證結果發現:(1)日圓狹義貨幣供給(M1)的確存有通貨替代現象;(2)
根據短期動態模型可知日貨幣需求函數調整至長期均衡約為5至6季;(3)
雖然共積檢定顯示美國國庫券利率之加入可與其餘變數形成均衡關係,但
符號卻與理論結果不合。本文認為應是大眾對日圓走勢之強烈預期升值心
理導致即使外國利率調升,居民不但不會將資金匯出,且增加對日圓持有
之情況。
The 1970s were the ages of alternation. The economic situation
of each country appeared severe confusion in the past
accompanied by oil crisis , significant changes of exchange
rate regimes and financial systems. Under such a circumstance,
the traditional money demand function wasn*t able to include
all important factors influencing money demand completely.
Therefore, the study added expected exchange rate depreciation
and foreign rate which both implied the returns of foreign
assets to the money demand fun
Our research target was Japanese Yen. There was no denying
about the miracle of Japanese*s economic situation after World
War two. In fact the financial policies of Japan before 1970
were quite conservative and close. The governmental institution
began to deregulation gradually in 1970s under the pressures of
financial improvement .The main goal of the study is to realize
whether Japan existed currency substitution phenomenon from
1979 to 1997 or not .
First we confirmed that all variables were non-stationary with
unit root test, then we found long-term relationships within
all variables with co-integration tests, and we made use of the
error-correction model to calculate the short-term dynamic
function. According to the research result, we could find some
conclusions as follows:
1. The narrow money supply(M1) of Japanese Yen indeed existed
currency substitution phenomenon;
2. The adjustment period for the money demand of Japan to long-
term equilibrium was about 5 to 6 quarters;
3. The co-integration test showed that the participation of the
rate of the US treasury could get another equilibrium
relationship, but the sign of the foreign rate was opposite of
our expectation. The persuasive reason was that owing to the
strong appreciation expectation of the public, the public would
not adjust their portfolio via reducing Japanese Yen positions
to increasing US dollar positions even the rate of US treasury
rose.
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