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研究生:林政德
研究生(外文):Cheng-De Lin
論文名稱:台灣均衡實質匯率之研究—BEER模型之應用
論文名稱(外文):A Study on Taiwan’s Equilibrium Real Exchange Rate — BEER Approach
指導教授:顏厚棟顏厚棟引用關係
指導教授(外文):Ho-Don Yan
學位類別:碩士
校院名稱:逢甲大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2001
畢業學年度:89
語文別:中文
論文頁數:57
中文關鍵詞:均衡實質匯率行為均衡匯率單根檢定共整合
外文關鍵詞:Equilibrium Real Exchange RateBehavioral Equilibrium Exchange RateUnit Roots TestCointegration
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自從1973年3月布列敦森林體制(Bretton Woods System)瓦解之後,各國紛紛將固定匯率制度改為浮動匯率制度,但是經過20餘年來浮動匯率制度之實驗結果,似乎使得匯率波動的幅度更為劇烈,匯率反應一國之經濟情況,因而匯率的變動與許多總體經濟變數之間存在密切的關聯性,因此均衡匯率之決定因素及衡量方式一直是經濟學界重要的議題,各種匯率決定模型也不斷的被提出。
而近年來的亞洲金融風暴對全球的經濟產生巨大的衝擊,造成東南亞各國的貨幣競相貶值,台灣也在此次金融風暴中遭受波及,新台幣出現巨幅貶值的現象。因此本研究以台灣為例,利用理論的行為均衡實質匯率(Behavioral Equilibrium Exchange Rate,簡稱BEER)模型,估算出台灣之行為均衡實質匯率值,我們發現實質利差、貿易條件、國外資產淨額、生產力差與風險溢價對台灣之實質匯率皆有顯著之影響力。我們並藉以解釋台灣的實質匯率在金融風暴時發生巨幅貶值,是否是因為在金融風暴發生之前持續的出現實質匯率失調(misalignment)的現象。
實證結果發現台灣的實質匯率在1974年出現較大幅的高估現象,而1982年到1985年則出現較大幅的低估現象。而在金融風暴發生之際,台灣的實質匯率反而出現低估的現象,因此判定台灣在金融風暴時出現幣值巨幅貶值的現象不適合以幣值高估的原因來說明,或許以跨國的傳染效果(contagion)來解釋較為恰當。另外,金融危機之後至1999年之前,台幣似乎仍存在當期失調(current misalignment)及長期失調,顯然處於低估的狀況。
摘要………………………………………………………………… i
表目錄……………………………………………………………… ii
圖目錄……………………………………………………………… iv
目錄………………………………………………………………… v
第壹章緒論……………………………………………………… 1
第一節研究動機與目的………………………………………… 1
第二節本文架構………………………………………………… 3
第貳章相關文獻回顧…………………………………………… 4
第參章匯率決定理論…………………………………………… 8
第一節經濟基要均衡實質匯率模型…………………………… 8
第二節行為均衡匯率(BEER)…………………………………… 9
第三節均衡實質匯率與經濟基要……………………………… 11
第肆章計量方法………………………………………………… 18
第一節單根檢定………………………………………………… 18
第二節VAR模型階數的選定……………………………………… 21
第三節共整合分析法…………………………………………… 22
第伍章 實證結果………………………………………………… 26
第一節資料來源與處理………………………………………… 26
第二節單根檢定………………………………………………… 27
第三節共整合實證分析………………………………………… 29
第陸章結論與建議……………………………………………… 35
第一節結論……………………………………………………… 35
第二節研究限制………………………………………………… 36
第三節建議……………………………………………………… 36
參考文獻……………………………………………………………… 52
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