本文主要在探討歐洲經濟暨貨幣聯盟(EMU)會員國匯率的長期均衡關係，所使用的方法包括單根檢定及共整合分析法。
研究期間為1997年1月至2000年12月之各會員國貨幣對美元的即期匯率日資料。 在進行共整合分析前，本文先採用ADF單根檢定法來檢驗會員國匯率是否為定態的時間序列；經由實證結果顯示大部分會員國匯率尚且無法拒絕其具有單根的特性。其次本文亦採用Johansen的最大概似共整合分析法來檢測會員國匯率間的長期趨勢，結果發現在歐盟誕生之後的採樣期間(亦即1999年1月至2000年12月)存在10個共整合向量，表示會員國之間具有更明顯的長期均衡關係。

The purpose of this thesis is to investigate the long-run equilibrium relationship among the 10 original Economic and Monetary Union (EMU) countries'' exchange rates, by using unit root test and cointegration analysis.
The data sets include daily spot price of the exchange rate of the 10 EMU countries in terms of U. S. dollars, and cover the period from Jan. 1997 to Dec. 2000. Before estimating cointegration analysis, we using Augmented Dickey-Fuller (ADF) tests the 10 EMU countries'' exchange rate for a unit root to proof whether the exchange rate is stationary or not.
Our empirical results show that for most of the time series, we are unable to reject the unit root hypothesis, but there are some exceptions. We are also using Johansen Cointegration Test to investigate the linkages among the EMU countries'' exchange rates. If they are found to be cointegrated, implying that they will be tied together in the long run.
The conclude is that this paper support the view, that the exchange rates among the EMU countries are cointegrated, no matter which exchange rate data is used.When the test period is form January of 1999 to December of 2000.The empirical results show that there are 10 cointegrating vectors existed, and this is the focus of our paper.

第壹章 緒論 ……………………………………………………………1
第一節 研究動機………………………………………………………1
第二節 研究目的………………………………………………………3
第三節 研究架構………………………………………………………4
第貳章 歐洲經濟暨貨幣聯盟之概述 …………………………………7
第一節 歐洲經濟暨貨幣聯盟之緣起…………………………………7
第二節 歐盟各國加入歐洲經濟暨貨幣聯盟的條件…………………8
第三節 歐元實施的時間表……………………………………………9
第四節 歐元的未來……………………………………………………10
第參章 文獻回顧 ………………………………………………………16
第一節 國外文獻………………………………………………………16
第二節 國內文獻………………………………………………………20
第肆章 研究方法………………………………………………………27
第一節 樣本資料說明…………………………………………………27
第二節 單根檢定與共整合分析………………………………………32
第伍章 實證結果分析……………………………………………………36
第一節 單根檢定………..………………………………………36
第二節 共整合檢定…………………………………………………..38
第陸章 結論及建議……………………………………………………58

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