90年代末東亞金融危機造成多國貨幣大幅貶值，銀行紛紛倒閉。基本上金融危機可分為通貨危機(Currency Crisis)與銀行危機(Banking Crisis)；通貨危機是指當年中任一季名目匯率貶值超過25%，且貶值幅度比前一季超過10個百分點。諸多實證文獻顯示，高估一國匯率為其通貨崩潰之先驅；又由於近年來新興國家快速開放資本市場，以致於成為危機之導火線。為分析此一現象，本文首先編製金融帳權數之新台幣實質有效匯率指數，並將東亞之台灣、印尼、韓國、菲律賓、泰國等五國之匯率、相對物價（各國與美國物價）、金融帳餘額等變數做共整合關係檢定，觀察三個變數的長期均衡關係，再將誤差項加入模型中，建構向量誤差模型。實證結果發現，金融帳與相對物價對匯率有顯著之影響力。

The 1997 East Asian Crises had made exchange rate depreciations and bank bankruptcies. Broadly speaking, it can be divided into currency crisis and banking crisis. Nominal exchange rate of any season in a year, which is depreciated over 25% and 10% than last season, is called a currency crisis. Lots of papers demonstrate that overvaluation is a precursor of a currency crash. Furthermore, developing countries have opened capital markets so rapidly that it became the tinderbox of crises. To analyze the phenomenon, this thesis first compile Taiwan’s financial weighted real effective exchange rate index, then examine exchange rates, relative prices (compare to American consumer price index), and net financial account of Taiwan, Indonesia, Korea, Philippine, and Thailand with cointegrated test to identify the long run equilibrium relationships between variables; then adding error terms into models to estimates vector error correction model (VECM). The empirical results show that financial account and relative price influence exchange rate significantly.

第一章 緒論
第一節 研究動機與背景 ……………………………………………1
第二節 研究目的 ……………………………………………………2
第三節 研究方法與步驟 ……………………………………………3
第四節 研究對象與資料來源 ………………………………………3
第五節 論文架構 ……………………………………………………4
第二章 匯率、物價、金融帳之特徵及概況分析
第一節 匯率、物價、金融帳之概況分析 …………………………6
第二節 匯率、物價、金融帳之特徵 ………………………………12
第三節 本章小結 …………………………………………………12
第三章 理論基礎與文獻回顧
第一節 理論基礎 …………………………………………………15
第二節 文獻回顧 …………………………………………………16
第三節 本章小結 …………………………………………………20
第四章 實證模型與計量方法之建構
第一節 實質有效匯率指數之編製方法 …………………………21
第二節 計量方法─單根檢定 ……………………………………25
第三節 計量方法─共整合檢定模型 ……………………………27
第四節 計量方法─向量誤差修正模型 ……………………………30
第五章 實證結果與分析
第一節 變數定義與單根檢定 ……………………………………31
第二節 新台幣實質有效匯率指數分析 …………………………34
第三節 Johansen共整合檢定與分析 ……………………………38
第四節 本章小結 …………………………………………………50
第六章 結論與建議
第一節 結論 ………………………………………………………51
第二節 建議與未來研究方向 ……………………………………52
參考文獻 …………………………………………………………………53
附錄 ………………………………………………………………………58

中文部份
沈中華，1998，「金融風暴後匯率制度與貨幣政策中間目標的抉擇」，金融研訓，91卷，頁62-68。。
沈中華，2000，「40分鐘學會匯率危機預測」，台北：新陸書局。
吳中書，1999，「台灣匯率與資本移動關聯性之探討」，中央銀行季刊，21卷，2期，頁48-63。
胡春田，1999，「由東亞金融風暴看資本帳之結構問題與開放政策─中、泰、印、韓之比較」，中央銀行季刊，21卷，3期，頁13-48。
曹添旺、張文雅，1999，「金融危機的研究及其台灣的啟示─兼論未來的研究方向」，台灣經濟預測與政策，1卷，1期，頁183-202。
曹添旺、賴景昌、鍾俊文、郭炳伸、蔡文禎，2002，「新台幣實質有效匯率指數之動態分析」台灣經濟預測與政策， 32卷，2期，頁93-130。
許嘉棟，1999，「開放資本自由移動之影響與因應」，中央銀行季刊，21卷，4期，頁23-36。
黃榮燦，1998，「亞洲金融風暴」，台北：中華徵信所企業股份有限公司。
彭淮南，1998，「亞洲金融風暴」，台北銀行月刊，第28卷，第4期，頁4-36
劉憶如、何佳，1999，「東亞十國金融風暴前與後」，商鼎財經顧問。
鍾俊文、楊佳寧，2000，「新台幣實質有效匯率指數之試編」，貨幣觀測與信用評等，25，頁3-11。
英文部份
Bhagwati, J., 1998, ”The Capital Myth-The Difference between Trade in Widget and Dollars,” Foreign Affairs, Vol. 77, May/June, pp. 7-12.
Carlson, M. and L. Hernandez, 2002, “Determinants and Repercussions of the Composition of Capital Inflows,” Board of Governors of the Federal Reserve System, International Finance Discussion Papers, Number 717.
Calvo, G. A., 1998, “Capital Flows and capital Market Crisis: The Simple Economics of Sudden Stops,” Journal of Applied Economics, Vol. 1, No. 1, pp. 35-54.
Calvo, G. A., 1998, “Varieties of Capital-Markets Crisis,” in The Debt Burden and its Consequences for Monetary Policy, International Economic Association Press, New York, pp. 181-207.
Cashin, P. and C. J. Mcdermott, 2003, “An Unbiased Appraisal of Purchasing Power Parity,” IMF Staff Papers, Vol. 50, No. 3 pp. 321-351.
Chinn, M. D., 2000, “Before the fall: were East Asian currencies overvalued?” Emerging Markets Review, Vol. 1, pp. 101-126.
Dickey, D.A. and W.A, Fuller, 1979, “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of American Statistical Association, Vol. 74, pp. 427-431.
Dickey, D.A. and W.A, Fuller, 1981, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, Vol. 49, pp. 1057-1072.
Economist, 2004, “Finance and Economic: Burgers or Beans?; The Starbucks index,” January 17th,Vol. 370, pp. 75.
Engle, R.F. and C.W.J., Granger, 1987, “Cointegration and Error Correction Representation, Estimation and Testing,” Econometrica, Vol. 55, pp. 251-277.
Fuller, W. A., 1976, “Introduction to Statistical Time Series,” New York: John Wiley.
Furman, J. and J. E. Stiglitz, 1998, “Economic Crisis: Evidence and Insights from East Asia,” Brookings Papers on Economic Activity, Vol. 2, pp. 1-135.
Hausmann, R. and E. Fernandez-Arias, 2000, “Foreign Direct Investment; Good Cholesterol,” Inter-American Development Bank Working Paper, Vol. 417.
Hirsch, F. and I. Higgins, 1970, “An indicator of Effective Exchange Rate Indices,” IMF staff Papers, Vol. 25, No. 1, pp. 48-75.
Johansen, S., 1988, “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control, Vol. 12, pp. 231-254.
Johansen, S., and K. Juselius, 1990, “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand For Money,” Oxford Bulletin of Economics and Statistics, Vol. 52, pp. 169-209.
Kane and Edward J., 2000, “Capital Movements, Banking Insolvency, and Silent Runs in Asian Financial Crisis,” Pacific-Basin Finance Journal, pp. 153-175.
Lane, P. R. and G. M. Milesi-Ferretti, 2001, “The External Wealth of Nations: Measures of Foreign Assets and Liabilities for Industrial and Developing Countries,” Journal of International Economics, Vol. 55, pp. 263-294.
McDonald, R., 1995, “Long-Run Exchange Rate Modeling-a survey of recent evidence,” IMF staff Papers, Vol. 42, No. 3.
Milesi-Ferretti, G.M. and Razin, A., 1996, “Current account sustainability; selected East Asian and Latin American experiences,” NBER Working Paper, No. 5791, National Bureau of Economic Research, Cambridge.
Ott, M., 1987, “The Dollar’s Effective Exchange Rate: Assessing the Impact of Alternative Weighting Schemes,” Review of the Federal Reserve Bank of St. Louis, February, 5-14.
Phillips, P.C.B. and P. Perron, 1988, “Testing for Unit Root in Time Series Regression,” Biometrika, Vol. 75, pp. 335-346.
Razin, A. and Y. Rubinstein, 2004, “Growth Effects of Exchange Rate Regimes and Capital Account Liberalization in the Presence of Crisis: A Nuanced View,” IMF Conference in Honor of Guillermo A. Calvo, Apr. 15-16, 2004.
Robinson, E. S., T. Y. Wang, and L. E. Foo, 1998, “What Lies Behind Singapore’s Real Exchange Rate? An Empirical Analysis of the Purchasing Power Parity Hypothesis,” Economics Department, Monetary Authority of Singapore.
Rodrik, D., and A. Velasco, 1999, “Short-Term Capital Flows,” NBER Working Paper, No. 7364.
Said, S.E. and D.A. Dickey, 1984, “Testing for Unit Roots in Autoregressive-Moving Average Models for Unknown Order,” Biometrika, Vol. 71, pp. 599-608.
Sjaastad, L. A., 1998, “Why PPP Real Exchange Rates Mislead,” Journal of Applied Economics, Vol. 1, pp. 179-207.
Stijn, C., M. Dooley, and A. Warner, 1995, “Portfolio Capital Flows: Hot or Cold,” The World Bank Economic Review, Vol. 9, No.1, January.
Stock and M. Watson, 1988, “Testing for Common Trends,” Journal of American Statistical Association, Vol. 83, pp. 1097-1107.
Tirole, J., 2000, “Financial Crisis, Liquidity, and the International Monetary System,” New Jersey: Princeton University Press.
Makin, T. and A. Robison, 1999, “Comparing Capital- and Trade-Weighted Measures of Australia’s Effective Exchange Rate,” Pacific Economic Review, Vol. 4, No. 2, pp. 203-214.
Walter, E., 1995, “Applied Econometric Time Series,” New York: John Wiley and Sons.
Williamson, J. (Ed.), 1994, “Estimating equilibrium rates,” Institute for International Economics, Washington, DC.
Yoshitomi, Masaru, and K. Ohno, 1999, “Capital-Account Crisis and Credit Contraction-The New Nature of Crisis Requires New Policy Responses”, prepared for The 5th Annual Nanyang Asia-Pacific Central Banking Conference, Singapore, July 8-10, 1999.