匯率是一國經濟實力消長的具體指標，對經貿活動頻繁的台灣，更扮演著關鍵性角色。近二十年來，我國隨著國際貿易的開拓與國際金融的擴張，已由昔日的資本輸入國轉變為資本輸出國，資本移動產生了明顯的結構性轉變，在此資本快速且大量移動的時代，本文根據MacDonald(1995)文章中所提到的效率購買力平價(EMPPP)理論推導出匯率與資本移動相關性之實證模型，探討台灣對美國匯率的變動情況。整個實證研究之期間為1982年第一季至2003年第二季，所選取之變數計有：名目匯率 (E)、兩國相對價格水準 (RP) 、兩國貿易生產力(Z)、淨國外資產(N)，在資本移動變數方面包括：淨外人投資(NFI)、淨資產組合投資(NPI)、淨其他投資(NOI)；在研究方法方面，希望藉由時間序列相關資料探討各變數間相互的均衡關係，故以「共整合」方式進行實證推估。
首先，對各變數作單根檢定，以檢定變數為非定態數列，並確定其具有相同的整合級數；結果顯示所有變數除了淨資產投資組合與其他淨資產外，皆為具有單根的I(1)數列。接著採用Johansen’s最大概似法(Maximum Likelihood；MLE )來進行共整合檢定，藉以檢定理論模型的長期均衡關係，最後利用自我相關迴歸模型來探討變數之短期調整過程。
綜合本文之實證結果，可歸納出以下幾點結論：名目匯率、兩國相對物價水準、淨國外資產( N )、兩國相對工業指數、淨外人投資、淨資產投資組合、淨其他資產等七個變數存在共整合關係；且變數與匯率之關係除兩國相對工業指數與理論不符外，其他皆與理論一致。此外，變異數分解發現匯率的變動可能受到許多的變數所干擾，而其中淨資產組合投資是資本移動中持續對匯率變動影響較劇烈；至於淨國外資產及兩國工業指數對匯率亦產生非常顯著且持續性的影響；其他如兩國相對物價水準與淨其他投資的效果則不是很明顯。

Interest rate is a solid indication of economic power of the country. It also plays an essential part in Taiwan where economic and trading activities take places frequently. In the past 20 years, with the development of international trading and the expansion of international economics, our country has grown from a capital importer to a capital exporter. There has been a noticeable structure change in the capital movement. During the era of fast and massive capital movement, the article discuss the fluctuation situation of Taiwan-US exchange rate based on the experiment model regarding the association between exchange rate and capital movement resulted from EMPPP mentioned in and MacDonald (1995) article. The research time period is from the first quarter of 1982 to the second quarter of 2003. Variables include: Nominal Interest Rate (E), Relative Price Between 2 Countries (RP), Relative GTP Between 2 Countries (Z), and Net Overseas Asset (N). Capital movement variables include: Net Foreign Investment (NFI), Net Asset investment portfolio (NPI) and Net Other Investment (NOI). As far as research method concerns, in order to probe into the equilibrium relationships among all variables based on timeline related data, we choose “co-integration” method to conduct the evidence-based estimation.
First of, conduct single-rooted analysis for all variables to ensure that all variables are non-stationary and make sure that they have the same integration level. The result shows that except for NPI and NOI, all variables have single-rooted I (1). Then we adopt Johnasen’s Maximum Likelihood (MLE) to perform co-integration in order to examine the long-term equilibrium relationships of theoretic models. Finally, we use autoregression model to explore the process of short-term adjustment.
Based on the results from the study, we can conclude the following: 7 variables include nomial interest rate, relative price between 2 countries, net overseas assets (N), relative industrial index between 2 countries, net foreign investm3nt, net assets investment portfolio and net other investment have the co-integration relationships. The relations among all variables and interest rate match the theory except for relative industrial index between 2 countries. In addition, variable analysis shows that the fluctuation of interest rate can be affected by many others variables, among which, net asset investment portfolio has the most influence on interest rate in capital movement. Noticeable and continuous influence on interest rate can also be from the net foreign assets and relative industrial index between 2 countries. Other variables such as relative price between 2 countries and net other investment have somewhat unnoticeable effect.

目 錄
第一章 緒論……………………………………………………………1
第一節 研究動機與目的…………………………………………..1
第二節 研究方法…………………………………………………..2
第三節 研究架構…………………………………………………..3
第二章 文獻回顧…………………………………………………..5
第一節 相關匯率模型……………………………………………..6
第二節 國內外相關文獻………………………………………….10
第三章 匯率與資本移動關聯性之理論模型…………………….18
第一節 實證模型的建構………………………………………….18
第二節 實證方法論……………………………………………….24
第三節 研究流程………………………………………………….35
第四章 實證結果與分析………………………………………….37
第一節 台灣金融帳的結構分析………………………………….37
第二節 變數、變數期間的選擇與資料來源…………………….43
第三節 共整合分析之實證研究………………………………….45
第四節 向量自我迴歸(VAR)模型實證結果與分析……………..62
第五章 結論與建議………………………………………………….73
第一節 結論……………………………………………………….73
第二節 建議……………………………………………………….75
附錄一…………………………………………………………………76
參考文獻………………………………………………………………81

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