自1973年布林頓森林制度瓦解之後，影響匯率之因素就成為經濟學家與政策制定者所關切的議題，各種匯率決定的模型不斷被提出。本研究運用Branson(1977)所提出之資產組合平衡模型為理論架構，以Johansen(1988,1990)提出之共整合檢定為實證研究方法，並以經濟結構類似之台灣和南韓為研究對象，主要探討貨幣供給、本國人民持有之本國債券、本國人民持有之外國債券與外國利率四項總體經濟變數和匯率之間在亞洲金融風暴前後是否有長期均衡的關係？對匯率的影響程度如何？是否與理論相符？
實證結果顯示，無論台灣或南韓，在亞洲金融風暴前後皆存在一組共整合關係，顯示亞洲金融風暴並未嚴重影響各變數與匯率之間的長期均衡關係；而經由共整合向量與係數檢定得知各變數對匯率影響大致上與理論相符且兩國的本國貨幣供給與本國人民持有之外國債券為影響匯率最顯著之變數。

After the collapse of Bretton Woods System in 1973, the fluctuation of exchange rate has become the topic for discussion of economists and policy-makers, and every kind of exchange rate determination models were constantly proposed. This research is based on portfolio balance model proposed by Branson (1997) as a theoretical frame; Johansen’s multivariate co-integration test (1988, 1990) as an empirical method; and employs Taiwan and South Korea as empirical subjects. Primarily, the discussion is about whether there is a long-run equilibrium relationship between the four macroeconomic variables (money supply, domestic holdings of domestic bonds, domestic holdings of foreign bonds and foreign interest rate) and exchange rate before and after Asian financial crisis? And the extent of its influence on exchange rate, the effect is positive or negative, are they consistent with the theory?
The empirical result reveals that there is one co-integrating relationship in both periods for Taiwan and South Korea. The overall conclusion describes that the Asian financial crisis did not significantly affect the long run equilibrium relationship among exchange rate, money supply, domestic holdings of domestic bonds, domestic holdings of foreign bonds and foreign interest rate for two countries considered in this research. Moreover, we can find that each variable is consistent with theory except foreign interest
rate. Besides, money supply and domestic holdings of foreign bonds are the most significant variables to exchange rate for both countries through co-integrating vector and coefficient test.

CHAPTER
1 Introduction…………………………1
2 Literature Review…………………………6
2.1 Review of Asian financial crisis…………………………6
2.2 The Portfolio Balance Model…………………………9
3 Theoretical model and Methodology…………………………14
3.1 Theoretical mode…………………………14
3.2 Empirical model and Methodology…………………………18
4 Empirical Result and Analyses…………………………32
4.1 Data collection…………………………32
4.2 Empirical result of Taiwan……………………………36
4.3 Empirical result of South Korea…………………………42
4.4 Empirical analysis…………………………48
5 Conclusion…………………………52
References…………………………56
Appendixes…………………………60
Appendix A…………………………60
Appendix B…………………………62



LIST OF FIGURES
Figure 2-1 The research structure…………………………5
Figure 3-1 The empirical flowchart…………………………20



LIST OF TABLES

Table 3-1 The effect of each variable on exchange rate…………………30
Table 4-1 Taiwan’s selected variables……………………34
Table 4-2 Korean selected variables……………………34
Table 4-3 Unit root test result of the first sub-period of Taiwan…36
Table 4-4 Lag order selected by AIC criterion……………………37
Table 4-5 Co-integration result of the first sub-period of Taiwan…38
Table 4-6 Normalized co-integrating coefficients……………………38
Table 4-7 Coefficient test of the first sub-period of Taiwan…………39
Table 4-8 Unit root test result of the second sub-period of Taiwan…40
Table 4-9 Lag order selected by AIC criterion……………………41
Table 4-10 Co-integration result of the second sub-period of Taiwan41
Table 4-11 Normalized co-integrating coefficients……………………41
Table 4-12 Coefficient test of the second sub-period of Taiwan………42
Table 4-13 Unit root test result of the first sub-period of Korea…43
Table 4-14 Lag order selected by AIC criterion……………………44
Table 4-15 Co-integration result of the first sub-period of Korea…44
Table 4-16 Normalized co-integrating coefficients……………………44
Table 4-17 Coefficient test of the first sub-period of South Korea…45
Table 4-18 Unit root test result of the second sub-period of Korea…46
Table 4-19 Lag order selected by AIC criterion……………………46
Table 4-20 Co-integration result of the second sub-period of Korea…47
Table 4-21 Normalized co-integrating coefficients……………………47
Table 4-22 Coefficient test of the second sub-period of South Korea47
Table 4-23 significant coefficients for Taiwan and South Korea………48

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