臺灣博碩士論文加值系統

在全球化及自由化潮流下，資本流量變動對匯率的影響已遠大於貿易流量，解釋短期匯率波動的現象，就必須考慮資本移動因素的影響效益。本研究主旨在探討匯率變動與資本移動之關連性，及台灣外匯市場是否存在匯率過度反應的情形。

本研究採Frenkel and Rodriguez(1982)一文之資本不完全移動模型並予以擴充，以小型開放經濟體(台灣)為研究對象，並採用MacDonald(1995)的國際收支平衡分析，作為本研究之理論模型，除了考量資本移動因素之外，並納入預期心理因素進行實證分析，依據實證結果解釋資本移動與匯率的關聯性及各因素之市場效益。

研究方法運用單根檢定、Johansen共整合檢定及誤差修正模型，分別對匯率、兩國利率差距、名目有效匯率值、兩國相對股價報酬率及外匯交易價量值進行實證分析，期望可以從所獲致的資訊中進一步了解各個變數在長期均衡關係與短期動態調整之相關性，以及外匯市場發生匯率過度反應情形之時機與原因，並分析央行干預效果對短期匯率波動的影響。

實證結果顯示：一、資本移動因素對短期匯率波動確實有顯著的影響；兩國利率差距、兩國相對股價報酬率對匯率具有長期的負向關係，外匯交易價量值對匯率具有長期的正向關係。二、長期而言，台灣外匯市場匯率過度反應的情形並不明顯，除了少數幾個時間點可調整的均衡匯率與名目匯率產生較大的偏離，亦即表示匯率出現短期的過度反應，可能的原因是受到國際美元走勢或其他非經濟因素的影響，產生對新台幣過度升貶的預期心理。三、隨著資本管制的逐一放寬，央行穩定外匯市場的功能將越來越明顯，亦即呈現管理浮動匯率制度的特色。

Under globalization and liberalization trend, it impact on exchange rate that the capital flow change has already been far greater than the trade flow, explain the volatility of exchange rate in the short term, must consider that the capital movement variables, this research mainly to confer connection between the capital movement variables and the volatility of exchange rate, and whether foreign exchange market of Taiwan has situation of the exchange rate overshooting or not.

This research adopts the Frenkel and Rodriguez(1982) that the model of imperfect capital mobility, and adopting MacDonald(1995) that the balance of international payments analytic, be the theories model of this research, taking small open economy (Taiwan) as a research object, not only consider of capital movement variables, but also add expectation factor to the empirical analysis. According to the empirical evidence explains the relationship between capital movement variables and the volatility of exchange rate.

The research approach uses Johansen cointegration test to test if exchange rate and variables exit long-run equilibrium relation, and use error correction model to discuss short-run dynamic adjust processes of these variables, to look for the real causes of the exchange rate overshooting on the foreign exchange market, also analyzed the influence of central bank's intervention policies in the short term.

Empirical results are found that First, capital movement variables have obvious influence on the volatility of exchange rate in the short term, and there are two cointegrated relationships in these five variables. Second, a situation of the exchange rate overshooting on foreign exchange market of Taiwan has not obvious in the long term. Third, as the financial deregulation the function that central bank has more and more obvious to stabilize the foreign exchange market, in other words appear the characteristic of the managed floating exchange rate system.

目錄
第一節 研究動機與動機…………………………………………………………1
第二節 研究目的…………………………………………………………………4
第三節 研究架構…………………………………………………………………4

第二章 文獻回顧…………………………………………………………………6
第一節 匯率決定理論……………………………………………………………6
第二節 匯率過度反應模型相關文獻 …………………………………………10
第三節 資本移動相關文獻 ……………………………………………………12
第四節 預期心理與央行政策相關文獻 ………………………………………16

第三章 理論模型與研究方法 …………………………………………………22
第一節 理論模型 ………………………………………………………………22
第二節 研究方法 ………………………………………………………………28

第四章 實證結果與分析 ………………………………………………………38
第一節 資料來源與變數說明 …………………………………………………38
第二節 共整合分析之實證研究 ………………………………………………42
第三節 匯率過度反應之歷史佐證 ……………………………………………55
第四節 匯率過度反應小結 ……………………………………………………66

第五章 結論與建議 ……………………………………………………………69
第一節 結論 ……………………………………………………………………69
第二節 建議 ……………………………………………………………………70

附錄一 國際收支帳主要項目說明 …………………………………………… 71
附錄二 國際收支帳 …………………………………………………………… 74
參考文獻 ………………………………………………………………………75

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