臺灣博碩士論文加值系統

本文的目的是利用台灣市場實際資料來探討金融發展程度以及外資開放等因素與匯率行為之間的關係，分析代表金融發展指標的變數、外資進入台灣市場前後等因素是否顯著影響匯率長期關係以及新臺幣兌美元匯率間的波動程度。
實證結果發現：一、兩國利率相對水準（RATE），對匯率呈現負相關，表示當本國利率高於國外利率時，國外資本將會進入台灣市場，造成本國貨幣呈現升值，這與匯率理論所預期的結果是相符合。二、代表金融發展程度的指標，亦即金融機構發展因素及股票市場發展因素，二者都對匯率有顯著影響。三、台灣在1987年資本帳管制的放寬，對匯率有正向效果。上述結果亦隱含了政策意涵，外資開放須與國內金融健全發展相互配合。若一國的金融體制尚未發展健全時，貿然開放外資的結果非但無法提昇經濟成長，反而可能造成金融市場不穩定，進而扼殺了經濟成長，也會使匯率產生過度波動。

關鍵字：匯率波動、利率平價學說、金融發展指標、外資開放

This article aims at discussing the relationship between the factors of the financial development degree, foreign capital opening and the exchange rate behavior by using the actual data in Taiwan market, and analyzing whether do the factors of the financial development index variables, and the time of foreign capital entering in Taiwan market exercise obviously the influence in the long-term relationship of exchange rate as well as the volatility of exchange rate between New Taiwan Dollars and US Dollars.
According to the empirical tests, we discover that, firstly, the effect of difference between both countries interest rates (RATE) on exchange rate is negative , means that when our interest rate is higher than the overseas interest rate, then the foreign capital will enter in Taiwan market, therefore the domestic currency presents the revaluation. This situation is accordance with the expected result of the exchange rate theory. Secondly, it means that the index representing the financial development degree, the financial institution development factor and the stock market development factor, they both have a great influence on the exchange rate. Thirdly, Taiwan’s opening policy in capital account control in 1987 produced a good effect on exchange rate. The results above also reveal the policy implications that the foreign capital opening must coordinate mutually with the well-developed domestic financial market. When a country’s financial system is not yet well developed, to open rashly the foreign capital fails to promote the economy growth; instead, it may make the financial market unstable, strangle the economical growth, and also cause an excessive volatility in exchange rate.

Keywords：Volatility of Exchange Rate, Interest Rate Parity, The Index of Financial Development, Foreign Capital Opening

中文摘要..................................................I
英文摘要.................................................II
誌謝.....................................................IV
目錄......................................................V
表目錄..................................................VII
圖目錄.................................................VIII

第一章 緒論.............................................1
第一節 研究動機.........................................1
第二節 研究目的.........................................2
第三節 論文架構與研究流程...............................3

第二章 文獻探討.........................................5
第一節 匯率決定理論.....................................5
第二節 金融市場開放與外資對經濟成長及匯率的影響.........8
第三節 綜合評述........................................16

第三章 研究方法........................................20
第一節 資料來源及變數說明..............................20
第二節 實證方法........................................24
第三節 建立實證模型....................................24

第四章 實證結果與分析..................................28
第一節 資料分析........................................28
第二節 實證分析........................................32
第三節 彙整與比較......................................49

第五章 結論............................................50

參考文獻.................................................53

附錄一...................................................59

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