臺灣博碩士論文加值系統

持續性赤字一般認為是通貨危機發生的先行指標，而東南亞金融危機前有大量國外資本流入，因此各界多有爭論資本移動是造成經常帳持續性赤字之原因，近年來大量國外資本流入融通美國持續性經常帳赤字，亦引起人們認為美國會步上類似東南亞通貨危機的後塵。本人文旨在驗證先進國家與新興市場國家之資本移動與經常帳之因果關係會不同。本文之研究方法分為兩部分，首先，利用縱橫資料（panel data）估計經常帳與資本淨流入及經常帳與資本毛流入，並加入總體經濟面與制度面的控制變數估計其因果關係與是否出現反饋效果，我們發現經常帳與資本淨流入互為因果，亦即具反饋效果，經常帳與資本毛流入於工業化國家中具有反饋效果，新興市場國家則是資本毛流入影響經常帳。接著利用Geweke（1982）將資本流入及經常帳分解為三個影響效果，我們發現工業化國家主要為經常帳影響資本淨流入，新興市場國家於東南亞金融危機前則是資本淨流入的影響程度較經常帳的影響為高，新興市場國家之經常帳與資本毛流入之因果關係，亦為資本毛流入之影響程度較高經常帳之影響，新興市場國家之資本移動顯著的影響經常帳，這個跡象在東南亞金融危機前（1987~1996年）尤其明顯。我們亦發現自從東南亞金融危機之後，資本移動與經常帳之因果關係有明顯式微的現象。新興市場國家在金融危機之時吸取教訓，不僅經常帳不再如危機前之持續赤字，體認到資本可以快速移入、亦可突然移出，為免經濟體系受此影響，東南亞金融危機之後則顯示新興市場國家普遍採取累積外匯準備以自保，不只經常帳反轉為盈餘，資本流入亦大幅增加，因此經常帳與資本移動之關係亦與金融危機之前不同。

摘要 i
目錄 ii
圖目錄 iii
表目錄 iv
第一章 緒論 1
第一節 研究背景 1
第二節 研究目的 3
第三節 本文架構 4
第二章 文獻回顧 5
第一節 經常帳持續失衡與通貨危機 5
一、經常帳持續失衡與東南亞金融危機 5
二、美國外部失衡 6
三、經常帳失衡之調整 7
第二節 資本移動與通貨危機 8
一、國際資本移動之原因 9
二、資本移動之形式 10
三、資本帳危機 11
第三節 資本移動與經常帳之因果關係之相關文獻 12
第四節 討論 17
第三章 計量方法 19
第一節 縱橫資料單根檢定（Panel Unit Root Test） 19
第二節 縱橫資料（panel data）迴歸估計 23
第三節 Geweke因果關係估計與分解 24
第四章 經常帳與資本流入之縱橫資料實證結果分析 27
第一節 資料來源與處理 27
第二節 縱橫資料單根檢定實證結果 30
第三節 縱橫資料迴歸估計- Granger因果關係檢定 31
一、經常帳與資本淨流入之因果關係 31
二、經常帳與資本毛流入之因果關係 32
第四節 Geweke分解檢定實證結果 33
一、經常帳與資本淨流入之Geweke分解檢定實證結果 34
二、經常帳與資本毛流入之Geweke分解檢定實證結果 35
第五節 討論 36
第五章 結論 51
參考文獻 53

中文部分：
焦玉瑩（2001），「資本移動、經常帳餘額與通貨危機」，逢甲大學經濟研究所碩士論文。
李貞儀（2005），「遠期與即期匯率關係之探討─Panel共整合的應用」，國立中山大學經濟研究所碩士論文。
林淑惠（2003），「台灣區域性失業率之磁滯效應─Panel單根檢定方法與應用」，逢甲大學經濟研究所碩士論文。

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