臺灣博碩士論文加值系統

本文利用資產組合模型探討印尼是否有通貨替代的現象，又在金融危機發生後至今日，匯率對民眾貨幣需求的影響是否有異於過去。在考量通貨替代情況下，貨幣需求函數除了包含所得、利率變數外，還包括匯率，此外也加入時間虛擬變數與匯率的交叉項，研究期間則為1996年1月至2006年5月。應用Johansen共整合分析法之實証結果顯示印尼的貨幣需求雖深受匯率所影響，但並不存在通貨替代的現象，且隨著金融風暴陰霾遠去，印尼民眾較願意持有印尼盾。

This paper employs monthly data over the 1996-2006 periods to investigate whether currency depreciation in Indonesia has resulted in currency substitution away from Rupiah. To take account of currency substitution, the demand for money that includes the exchange rate in addition to income, interest rate, also an interaction dummy variable between time dummy and exchange rate. The methodology is based on an application of the Johansen and Juselius（1990）cointegration technique. There is no evidence of currency substitution in real M1 equation.

第一章 緒論 1
第一節 研究動機與研究架構 1
第二節 通貨替代 6
第二章 文獻回顧 8
第三章 實證模型 16
第一節 實證模型之建立 16
第二節 實證方法 17
第四章 實證結果 23
第一節 資料來源及處理 23
第二節 單根檢定結果 27
第三節 共整合檢定結果 29
第五章 結論 36
參考資料 37

李建強(1998)，「台灣地區通貨替代的實證研究」，企銀季刊，22：2，頁111-136。
邱琇玲(1994)，「台灣通貨替代的實証研究」，政治大學經濟學研究碩士論文。
施燕(1983)，「台灣地區短期貨幣需求函數之再探討」，中央銀行季刊，10：4，頁21-49。
張昭嵐(1999)，「通貨替代與台灣外匯存款」，台灣大學經濟學研究所碩士論文。
彭怡華(1998)，「通貨替代與貨幣需求-日本之實證研究」，台灣大學國際企業學研究所碩士論文。
黃仁德、蕭明福(1998)，「通貨替代與貨幣需求：台灣實證研究」，經濟論文，26：4，頁403-440。
黃佳雯(2003)，「台灣遠期外匯市場重新開放後通貨替代之實證研究」，台北大學經濟學研究所碩士論文。
劉完淳(1997)，「通貨替代、資本移動與貨幣需求－台灣實證研究」，台灣銀行季刊，48：4， 頁270-287。
蕭景州(2001)，「台灣通貨替代的實證研究」，中山大學經濟學研究所碩士論文。
Akcay, O. C.; Alper, C. E. and Karasulu, M. "Currency Substitution and Exchange Rate Instability: The Turkish Case." European Economic Review, 1997, 41(3), pp. 827-35.
Anglingkusumo, R. "Stability of the Demand for Real Narrow Money in Lndonesia." 2005.
Arango, S. and Nadiri, M. I. "Demand for Money in Open Economies." Journal of Monetary Economics, 1981, 7(1), pp. 69±83.
Bahmani-Oskooee, M. and Malixi, M. "Exchange Rate Sensitivity of the Demand for Money in Developing Countries." Applied Economics, 1991, 23, pp. 1377–84.
Bahmani-Oskooee, M. and Karacal, M. "The Demand for Money in Turkey and Currency Substitution." Applied Economics Letters, 2006, 13(10), pp. 635-42.
Bahmani-Oskooee, M. and Techaratanachai, A. "Currency Substitution in Thailand." Journal of Policy Modeling, 2001, 23(2), pp. 141-45.
Basurto, G. and Ghosh, A. "The Interest Rate-Exchange Rate Nexus in Currency Crises." IMF Staff Papers, 2000, 47, pp. 99–120.
Bordo, M. D. and Choudhri, E. U. "Currency Substitution and the Demand for Money: Some Evidence for Canada." Journal of Money, Credit and Banking, 1982, 14(1), pp. 48-57.
Chetty, V. K. "On Measuring the Nearness of near-Moneys." The American Economic Review, 1969, 59(3), pp. 270-81.
Chowdhury, A. R. "The Financial Structure and the Demand for Money in Thailand." Applied Economics, 1997, 29(3), pp. 401-09.
Cuddington, J. "Currency Substitution, Capital Mobility and the Demand for Domestic Money." Journal of International Money and Finance, 1983, 2, pp. 111–33.
Daniel, B. C. and Fried, H. O. "Currency Substitution, Postal Strikes, and Canadian Money Demand." The Canadian Journal of Economics, 1983, 16(4), pp. 612-24.
Dickey, D. A. and Fuller, W. A. "Distribution of the Estimators for Autoregressive Time Series with a Unit Root." Journal of the American Statistical Association, 1979, 74(366), pp. 427-31.
____. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root." Econometrica, 1981, 49(4), pp. 1057-72.
Holman, J. A. "Gmm Estimation of a Money-in-the-Utility-Function Model: The Implications of Functional Forms." Journal of Money, Credit and Banking, 1998, 30(4), pp. 679-98.
Imrohoroglu, S. "Gmm Estimates of Currency Substitution between the Canadian Dollar and the Us Dollar." Journal of Money, Credit & Banking, 1994, 26(4).
Johansen, S. "Cointegration in Partial Systems and the Efficiency of Single-Equation Analysis." Journal of Econometrics, 1992, 52(3), pp. 389–402.
Johansen, S. and Juselius, K. "Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money." Oxford Bulletin of Economics and Statistics, 1990, 52(2), pp. 169-210.
Joines, D. H. "Deficits and Money Growth in the United States 1872-1983." Journal of Monetary Economics, 1985, 16(3), pp. 329-51.
McKinnon, R. I. "After the Crisis, the East Asian Dollar Standard Resurrected: An Interpretation of High-Frequency Exchange-Rate Pegging." Rethinking the East Asian Miracle, 2001, pp. 197-246.
Miles, M. A. "Currency Substitution, Flexible Exchange Rates, and Monetary Independence." The American Economic Review, 1978, 68(3), pp. 428-36.
Pantula, S. G. "Testing for Unit Roots in Time Series Data." Econometric Theory, 1989, 5(2), pp. 256–71.
Phillips, P. C. B. and Perron, P. "Testing for a Unit Root in Time Series Regression." Biometrika, 1988, 75(2), pp. 335.
Prock, J.; Soydemir, G. A. and Abugri, B. A. "Currency Substitution: Evidence from Latin America." Journal of Policy Modeling, 2003, 25(4), pp. 415-30.
Ramirez-Rojas, C. "Currency Substitution in Argentina, Mexico and Uruguay." IMF Staff Papers, 1985, 32(4), pp. 629-67.
Said, S. E. and Dickey, D. A. "Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order." Biometrika, 1984, 71(3), pp. 599.
Selcuk, F. "Currency Substitution: New Evidence from Emerging Economies." Economics Letters, 2003, 78(2), pp. 219-24.
Schuler, K. M. "Dollarising Indonesia." Bulletin of Indonesian Economic Studies, 1999, 35(3), pp. 97-113.
Siregar, R. and Rajan, R. S. "Impact of Exchange Rate Volatility on Indonesia’s Trade Performance in the 1990s." Center for International Economic Studies Discussion Paper No, 2002, 205.
Siregar, R. Y. "Real Exchange Rate Targeting and Inflation in Indonesia: Theory and Empirical Evidence." Applied Financial Economics, 1999, 9(4), pp. 329-36.