臺灣博碩士論文加值系統

在匯率轉嫁的議題上，台灣實證大都利用加總資料(aggregated data)來做分析與研究。國外文獻發現，將產業細分後加以研究的結果，與使用加總資料之結果似乎有些出入。故本文將利用進口之鋼鐵、汽車、成衣、原油等產業細分資料，並採用共整合分析來尋找長期轉嫁關係。其結果發現：1.利用季資料頻率來做分析較為適合。2.長期匯率為不完全轉嫁，且轉嫁程度並不高。3.在不對稱轉嫁的研究結果顯示，長期不對稱轉嫁之現象並不明顯，惟鋼鐵產業據統計顯著性，表示其有不對稱性，但不對稱性之差異並不大。

In the past, most people used aggregated data to analyze Taiwan exchange rate pass-through. In this paper, we analyze Taiwan exchange rate pass-through into import price by subdividing industry data and use cointegrating test to estimate their relation in long run. We find out some difference from past documents of empirical analyses of Taiwan. First, using seasonal data is more suitable than using monthly data to analyze this issue. Second, exchange rate pass-through is uncompleted in the long run. And the magnitude of pass-through is far away from 1(completed pass-through). Third, in the long run, there is no asymmetry of exchange rate pass-through.

第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究內容與方法 3
第三節 本文架構 3

第二章 文獻回顧 4
第一節 理論文獻回顧 4
第二節 實證文獻回顧 8

第三章 實證模型與實證方法 12
第一節 實證模型 12
第二節 實證方法 16

第四章 實證結果分析 20
第一節 資料與資料來源 20
第二節 單根檢定 21
第三節 共整合檢定結果：月資料 28
第四節 共整合檢定結果：季資料 32

第五章 結論與未來研究方向 39
第一節 結論 39
第二節 研究限制與未來研究方向 40

參考文獻 41
附錄一 43
附錄二 49

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