臺灣博碩士論文加值系統

匯率問題的研究向來是經濟學領域熱門的議題，近年來隨著中國大陸經濟的改革與開放，人民幣匯率波動行為的合理性亦逐漸引起各界討論。
為了確實衡量人民幣價值的變動，本文以人民幣實質有效匯率指數當作討論指標，沿用Montiel（1999）整理可能影響均衡匯率變動之四大要素，另外配合張曉朴（1999,2000）針對人民幣波動的探討，尋求適當總體經濟變數建構模型，採用Johansen最大概似估計法及誤差修正模型進行實證研究，實證期間選擇1992Q1至2001Q2。
研究結果發現，1992年初至2001年第二季，人民幣實際波動情況與均衡匯率間具相同趨勢，惟1994年前人民幣明顯低估；匯率併軌之後，適逢中國大陸境內通貨膨脹問題嚴重，人民幣實質匯率逐年攀升，原本匯率低估情形轉呈現高估，直至1997年初才獲得控制；亞洲金融風暴期間，中國大陸在有效調控國內經濟情況下，降低了風暴可能產生的影響，人民幣也因此減輕了貶值壓力；2000年開始，面對全球經濟不景氣陰影籠罩以及各國調降匯率提昇貿易競爭力的同時，人民幣實質有效匯率高估情況再現，若不正視問題存在，將不利於中國大陸未來經濟發展。此外，短期內顯著影響人民幣實質有效匯率變動的因素，主要為前一期實質有效匯率與貿易差額的變化。

Exchange rate problem has always been a popular topic in the field of Economic. Recent economic reform of the Mainland China has attracted variety of reasonable discussions on the equilibrium level of the Renminbi (RMB) fluctuation behavior in all dimensions.
To ensure the changes of the equilibrium level of the RMB, this paper will illustrate these changes through the real effect exchange rate index. This paper is based upon the four major factors of the changes in equilibrium exchange rate research done by Montiel (1999) with Zhang (1999,2000) research on “Investigation on Renminbi Fluctuation.” The paper adopted Johansen’s Maximum Likelihood Approach and the Error Correction Model to complete the empirical research. The research period is taken in between 1992Q1 to 2001Q2.
Evidence shows real exchange rate trend was similar to equilibrium exchange rate from 1992Q1 to 2001Q2, but overvalued before 1994.When the consolidation of the exchange rate occurred, Mainland China has experienced serious inflation problem that lead to an annual increment on the RMB real exchange rate, which in eventually turn an undervalued exchange rate into overvalued exchange rate. This problem was not solved until early 1997. During the Asian Economic Crisis, Mainland China government had effectively control its domestic economic situation, which in turn lowered the potential effects that might be caused by the crisis. Consequently, the RMB also lower its pressure on depreciation. Starting from the year 2000, the global economic recession has affected all nations, including China. Moreover, China has continuously facing threats from all other nations. These nations have adjusted their exchange rate to enhance their trading competitiveness; as a result, the overvalued of the real effect exchange rate of the RMB has once again occurred. Ultimately if these problems persist, subsequently it would be unfavorable to the future development of the Chinese economic. In short term, the lag of one real effect exchange rate and its balance of trade are the major factors that would alter the RMB behavior scientifically.

目 錄
頁次
論文題目………………………………………………………………………………I
論文口試委員審定書………………………………………………………………..II
誌 謝………………………………………………………………………………III
中文摘要……………………………………………………………………………. IV
英文摘要………………………………………………………………………………V
目 錄………………………………………………………………………………..VI
圖目錄……………………………………………………………………………..VIII
表目錄………………………………………………………………………………..IX
第壹章 緒論
第一節 研究背景與動機………………………………………………………1
第二節 研究目的………………………………………………………………3
第三節 研究步驟………………………………………………………………3
第四節 研究範圍與限制………………………………………………………4
第貳章 文獻回顧……………………………………………………………………..5
第參章 中國大陸外匯管理制度與人民幣匯率走勢之歷史演進
第一節 中國大陸外匯管理制度………………………………………………9
一、 國民經濟恢復時期（1949 － 1952年）……………………………9
二、 計劃性經濟制度時期（1953 － 1979年）…………………………10
三、 改革開放時期（1979年迄今）………………………………………10
（一）1979年改革開放－1994年匯率併軌…………………….….11
（二）1994年匯率併軌迄今…………………….………………….12
第二節 人民幣匯率走勢之歷史演進……………………………….……….13
一、國民經濟恢復時期（1949 － 1952年）……………………………13
二、計劃性經濟制度時期（1953 － 1979年）…………………………14
三、改革開放時期（1979年迄今）………………………………………15
（一）官方匯價與貿易內部結算匯價….………………………… 15
（二）調劑市場匯價…………………….………………………… 17
第肆章 理論基礎與實證模型
第一節 實質匯率概論……………………………….……………….………19
第二節 理論與實證模型…………………………………………………… 20
第伍章 實證方法與預期結果
第一節 實證方法…………………………………………………………… 24
第二節 變數解釋與資料來源……………………………………………… 24
第三節 單根檢定（Unit Root Test）…………………………………… 28
一、 最適落後期數的選擇……………………………………………… 28
二、ADF單根檢定結果…………………………………………………...29
第四節 共整合檢定（Cointegration Test）…………………………… 32
一、共整合意義………………………………………………………… 32
二、共整合檢定結果…………………………………………………… 32
第五節 誤差修正模型（Error Correction Model）……………………..38
一、誤差修正概述……………………………………………………… 38
二、誤差修正模型結果………………………………………………… 39
第陸章 結論與建議……………………………………………………………… 42
參考文獻……………………………………………………………………………..46

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