臺灣博碩士論文加值系統

摘要
本文主要研究匯率對台灣與其貿易國家之間雙邊貿易收支的長、短期效果，然而台灣的前三大貿易順差國為中國、香港和美國，而日本、韓國和馬來西亞為台灣的前三大貿易逆差國 （除了石油輸出國家外），故本文將以台灣與這六個國家為主要的研究對象。本文在實證方法上，先使用 Johansen and Juselius （1990） 的最大概似共整合分析法來檢定台灣與這六國家雙邊貿易收支的匯率和貿易收支是否存在長期關係，再利用修正誤差模型 （error correction model, ECM），探討匯率與貿易收支是否可以達到長期的均衡，與台灣是否存在 J 曲線效果，最後採用 Pesaran and Shin（1995） 的自我迴歸遞延分配分析法 （autoregressive distributed lag approach, ARDL），再進一步檢定台灣與其貿易國家之間的匯率與貿易收支的關係。本文的實證結果為：台灣與其六個主要貿易國家之間的總體變數對其雙邊貿易收支之間具有顯著的長期關係，而新台幣貶值時，只有台灣對香港和美國的雙邊貿易收支大致呈現出 J 曲線的型態，其餘則否。

Abstract
We use Johansen cointegration approach, autoregressive distributed lag approach (ARDL) and error correction model (ECM) to examine the long-run and short-run relations of the real exchange rate and trade balance between Taiwan and her six major trading partners that include China, Hong Kong, U.S., Japan, Korea and Malaysia. The results indicate that evidence of the J-curve between Taiwan and Hong Kong as well as between Taiwan and U.S..

目錄
第一章 緒論…………………………………………………………………………1
第一節 研究背景與動機………………………………………………………1
第二節 研究目的………………………………………………………………4
第三節 研究方法………………………………………………………………4
第四節 論文架構………………………………………………………………5
第二章 文獻回顧……………………………………………………………………6
第一節 多邊貿易實證文獻……………………………………………………6
第二節 雙邊貿易實證文獻……………………………………………………11
第三節 台灣實證文獻…………………………………………………………12
第三章 實證方法……………………………………………………………………20
第一節 單根檢定………………………………………………………………20
一、 ADF 單根檢定法……………………………………………………20
二、 PP 單根檢定法………………………………………………………21
三、 KPSS 單根檢定法……………………………………………………21
第二節 共整合檢定與誤差修正模型…………………………………………22
一、 Johansen 最大概似共整合分析法…………………………………23
二、 自我迴歸遞延分配分析法……………………………………………26
三、 誤差修正模型…………………………………………………………26
第四章 實證模型與資料說明………………………………………………………28
第一節 模型建立………………………………………………………………28
第二節 資料來源與處理………………………………………………………29
第五章 實證結果分析………………………………………………………………32
第一節 單根檢定………………………………………………………………32
第二節 Johansen 最大概似共整合分析法…………………………………35
第三節 長短期之分析 (誤差修正模型)……………………………………38
第四節 自我迴歸遞延分配分析法……………………………………………41
第六章 結論與建議…………………………………………………………………48
參考文獻…………………………………………………………………………………51
數學附錄…………………………………………………………………………………55

參考文獻
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