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研究生:郭怡婷
研究生(外文):Kuo, Yi-Ting
論文名稱:由金融帳之角度探討亞洲通貨危機
論文名稱(外文):From Financial Account to Asian Currency Crisis
指導教授:沈中華沈中華引用關係
指導教授(外文):Shen, Chung-Hua
學位類別:碩士
校院名稱:國立政治大學
系所名稱:經濟研究所
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:2004
畢業學年度:92
語文別:中文
論文頁數:67
中文關鍵詞:亞洲通貨危機新台幣實質有效匯率指數共整合關係檢定向量誤差修正模型
外文關鍵詞:Asian Currency CrisisReal effective exchange rate index (REER index)CointegrationVector error correction model (VECM)
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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
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Economist, 2004, “Finance and Economic: Burgers or Beans?; The Starbucks index,” January 17th,Vol. 370, pp. 75.
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Fuller, W. A., 1976, “Introduction to Statistical Time Series,” New York: John Wiley.
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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.
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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.
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