(3.232.129.123) 您好!臺灣時間:2021/02/26 22:06
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:李錫信
研究生(外文):Hsi-Shin Lee
論文名稱:通貨互補抑或替代?泛亞地區之實證研究
論文名稱(外文):Currency Complement or Substitute? The Empirical Study of Pan Asia
指導教授:張瑞娟張瑞娟引用關係
指導教授(外文):Jui-Chuan Chang
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:英文
論文頁數:99
中文關鍵詞:通貨替代Morishima替代彈性
外文關鍵詞:Currency substitutionMorishima elasticity of substitution
相關次數:
  • 被引用被引用:0
  • 點閱點閱:179
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本研究的目的是調查通貨替代的重要性,以十個泛亞地區經濟體,探討各國國內與國外貨幣性資產,分析各國之本國通貨與國外通貨為替代或互補性資產。本文以Morishima替代彈性估計本國通貨與國外通貨,分別以本國貨幣、在商業銀行內儲蓄存款及外幣存款,評量資產之間的替代性。以1970年第一季至2008年第一季資料,探討各通貨在台灣、澳洲、巴西、加拿大、中國、香港、日本、韓國、紐西蘭及俄羅斯之間的替代程度。據我們觀察顯示,本國貨幣與國外通貨在各國間均為Morishima替代品,同時透過匯率貶值影響持有本國貨幣的機會成本,比透過國內利率,來影響持有外國通貨更為顯著,並且隨著時間的推移,通貨替代程式將更明顯。貨幣替代建立一個渠道,將國外貨幣的干擾傳遞至本國的通貨,此一現象在浮動匯率制度下將更為明顯。本篇提供的資訊,有必要建立一個充足的外匯儲備,以容納一定程度的貨幣替代及外來衝擊。
The objective of this study is to investigate the importance for the currency substitute of foreign assets to ten Pan-Asia economies, as a substitute or complement to domestic monetary assets. Towards this goal, the Morishima elasticity of substitution is estimated between domestic currency and foreign currency (real money balances, time and savings deposits and domestic holding foreign deposits at commercial banks) during 1970:Q1 to 2008:Q1 in Taiwan, Australia, Brazil, Canada, China, Hong Kong, Japan, Korea, New Zealand and Russia. Meanwhile, the demand for the foreign assets relative to the domestic assets appears to respond more to a change in the opportunity cost of holding domestic currency (exchange rate depreciation) than the opportunity cost of holding the foreign currency (the domestic interest rate). Moreover, there is an indication of an increasing degree of currency substitution over time in every country. Currency substitution creates a channel for the transmission of exogenous monetary disturbances from abroad, and this will be enhanced in a floating exchange rate regime. This study is toward to provide sufficient information to build up an adequate foreign reserve to adapt for the currency substitution and exogenous shocks.
Chapter One Introduction 1
1.1 Research Motive 1
1.2 Research Objective 1
1.3 Research Framework 2
Chapter Two Literature Review 3
2.1 The Model and Measure of Currency Substitution 3
2.2 The Implications of Currency Substitution 9
2.3 Taiwan's Relevant Research 13
Chapter Three Model Specification 16
3.1 Analytical Model 16
3.2 Elasticity of Substitution 23
3.3 Estimation Procedure 27
Chapter Four Data and Estimation Results 30
4.1 Data 30
4.2 Estimation Results 32
Taiwan 33
Australia 34
Brazil 35
Canada 35
China 36
Hong Kong 37
Japan 38
Korea 39
New Zealand 40
Russia 41
Summary 42
Chapter Five Concluding Remarks 43
5.1 Main Observations 43
5.2 Suggestions for Further Research 44
References 46
Appendix A 54
Appendix B 56
Appendix C 57
Tables iii
Figures iv
Allen, R. G. D. and Hicks, J. R. (1934), "A Reconsideration of the Theory of Value," Economica, 1 (2), 196-219.
Allen, R. G. D. (1938), “Mathematical Analysis for Economists,” London: Macmillan.
Arize, C. A. (1991), “Currency Substitution in Korea,” American Economist, 35 (2), 67-72.
Baade, R. A. and Nazmi, N. (1989), “Currency Substitution and Money Demand in the United States, West Germany, and Japan,” Kredit und Kapital, 22 (3), 363-374.
Bahmani-Oskooee, M. and Karacal, M. (2006), “The Demand for Money in Turkey and Currency Substitution,” Applied Economics Letters, 13 (10), 635-642.
Barnett, W. A. (1978), “The User Cost of Money,” Economics Letters, 1 (2), 145-149.
Batten, D. S. and Hafer, R. W. (1984), “Currency Substitution: A Test of Its Importance,” Federal Reserve Bank of St. Louis Review, 8, 5-11.
Batten, D. S. and Hafer, R. W. (1986), “The Impact of International Factors on U.S. Inflation: An Empirical Test of the Currency Substitution Hypothesis,” Southern Economic Journal, 53 (2), 400-412.
Belongia, M. T. and Chrystal, K A. (1991), “An Admissible Monetary Aggregate for the United Kingdom,” Review of Economics, 73 (3), 497-503.
Bergstrand, J. H. and Bundt, T. P. (1990), “Currency Substitution and Monetary Autonomy: The Foreign Demand for US Demand Deposits,” Journal of International Money and Finance, 9 (3), 325-334.
Blackorby, C. and Russell, R. R. (1989), “Will the Real Elasticity of Substitution Please Stand Up? A Comparison of the Allen/Uzawa and Morishima Elasticities,” American Economic Review, 79 (4), 882-888.

Bufman, G. and Leiderman, L. (1993), “Currency Substitution under Nonexpected Utility: Some Empirical Evidence,” Journal of Money, Credit and Banking, 25 (3), 320-335.
Branson, W. H. and Henderson, D. W. (1985), “The Specification and Influence of Asset Markets,” in Jones, R. W. and Kenen, P. B. Eds. Handbook of International Economics, 2 (1), Amsterdam: North Holland.
Calvo, G. A. and Rodriguez, C. A. (1977), “A Model of Exchange Rate Determination under Currency Substitution and Rational Expectations,” Journal of Political Economy, 85 (3), 615-627.
Calvo, G. and Végh C. A. (1992), “Currency Substitution in Developing Countries – An Introduction,” IMF Working Papers 92/40.
Cantarelli, D. (2005), “Elasticities of Complementarity and Substitution in Some Functional Forms: A Comparative Review,” International Review of Economics and Business, 52 (3), 289-317.
Chen, C. N. (1973), “Diversified Currency Holdings and Flexible Exchange Rates,” Quarterly Journal of Economics, 87 (1), 96-111.
Chen, C. N. and Tsaur, T. W. (1983), “Currency Substitution and Foreign Inflation,” Quarterly Journal of Economics, 98 (1), 177-184.
Chen, C. N. (1992), “Currency Substitution, Factor Demand Theory, and the Dynamics of Exchange Rates,” Academia Economic Papers, 20 (2), 313-335.
Chen, C. N., Tsaur, T. W. and Chou, C. F. (1981), “Gross Substitution, Greasham's Law, and Hayekk's Free Currency System,” Journal of Macroeconomics, 3 (4), 547-557.
Chetty, V. K. (1969), “On Measuring the Nearness of Near-Moneys,” American Economic Review, 59 (3), 270-281
Cuddington, J. T. (1983), “Currency Substitutability, Capital Mobility and Money Demand,” Journal of International Money and Finance, 2 (2), 111-133.
Darrat, A. F., Al-Mutawa, A., and Benkato, O. M. (1996), “On Currency Substitution and Money Demand Instability,” International Review of Economics and Finance, 5 (3), 321-334.
Diewert, W. E. and Wales, T. J. (1987), “Flexible Functional Forms and Global Curvature Conditions,” Econometrica, 55 (1), 43-68.
Drake, L. M. and Fleissig, A. R. (2004), “Semi-Nonparametric Estimates of Currency Substitution: the Demand for Sterling in Europe,” Review of International Economics, 12 (3), 374-394.
Ewis, N. A. and Fisher, D. (1984), “The Translog Utility Function and the Demand for Money in the United States,” Journal of Money, Credit and Banking, 16 (1), 34-52.
Friedman, M. (1953), “The Case for Flexible Exchange Rates,” in Essays in Positive Economics, Chicago: University of Chicago Press, 157-203.
Galant, A. R. (1981), “On the Bias in Flexible Functional Forms and an Essentially Unbiased Form: The Fourier Flexible Form,” Journal of Econometrics, 15 (2), 211-245.
Girton, L. and Roper, D. E. (1981), “Theory and Implications of Currency Substitution,” Journal of Money, Credit and Banking, 13 (1), 12-30.
Giovannini, A. and Turtelboom, B. (1994), “Currency Substitution,” The Handbook of International Macroeconomics, Cambridge: Blackwell Publishers, 390-436.
He, Y. and Sharma, S. C. (1997), “Currency Substitution and Exchange Rate Determination,” Applied Financial Economics, 7 (4), 327-336.
Hicks, J. R. (1932), “Theory of Wages,” London: MacMillan and Co., Ltd.
Hicks, J. R. (1970), “Elasticity of Substitution Again: Substitution and Complements,” Oxford Economic Papers, 22, 289-296.

Imrohoroglu, S. (1994), “GMM Estimates of Currency Substitution between the Canadian Dollar and the U.S. Dollar,” Journal of Money, Credit and Banking, 26 (4), 792 - 807.
Johnson, H. G. (1972), “The Case for Flexible Exchange Rates,” in Further Essays in Monetary Economics, Winchester: Allen and Irwin, 198-222.
Komárek, L. and Melecký, M. (2003), “Currency Substitution in a Transitional Economy with an Application to the Czech Republic,” Eastern European Economics, 41 (4), 72-99
Livitan, N. (1981), “Monetary Expansion and Real Exchange Rate Dynamics,” Journal of Political Economy, 89 (6), 1218-1227.
McFadden, D. (1978), “The General Linear Profit Function,” in Production Economics: A Dual Approach to Theory and Applications, 1, Elsevier North-Holland, 269-286.
McKinnon, R. I. (1963), “Optimum Currency Areas,” American Economic Review, 53, 717-725.
Miles, M. A. (1978), “Currency Substitution, Flexible Exchange Rates and Monetary Independence,” American Economic Review, 68 (3), 428-436.
Miles, M. A. (1981), “Currency Substitution: Some Further Results and Conclusions,” Southern Economic Journal, 43 (8), 78-86.
Mizen, P. and Pentecost, E. J. (1994), “Evaluating the Empirical Evidence for Currency Substitution: A Case Study of the Demand for Sterling in Europe,” Economic Journal, 104 (426), 1057-1069.
Mizen, P. and Pentecost, E. J. (1996), “Currency Substitution in Theory and Practice,” The Macroeconomics of International Currencies: Theory, Policy and Evidence, 8-43.
Ramirez-Rojas, C. L. (1985), “Currency Substitution in Argentina, Mexico, and Uruguay,” IMF Staff Papers, 32 (4), 629-667.

Sarajevs, V. (2000), “Econometric Analysis of Currency Substitution: A Case of Latvia,” Bank of Finland Discussion Papers, 4, Institute for Economies in Transition.
Sharma, S. C., Kandil, M., Chowdhury, A. and Parker, T. (2006), “Substitution between Money and Near-Monies in Switzerland,” Journal of Quantitative Economics, 4 (1), 133-154.
Sharma, S. C., Kandil, M. and Chaisrisawatsuk, S. (2005), “Currency Substitution in Asian Countries,” Journal of Asian Economics, 16 (3), 489-532.
Sims, G. E., Takayama, A. and Chao, C. C. (1987), “The Dual Approach to Measuring the Nearness of Near-Monies,” Review of Economics and Statistics, 69 (1), 118-127.
Stiroh, K. J. (1999), “Measuring Input Substitution in Thrifts: Morishima, Allen-Uzawa, and Cross-Price Elasticities,” Journal of Economics and Business, 51 (2), 145-157.
Tavlas, G. S. and Ozeki, Y. (1992), “The Internationalization of Currencies: An Appraisal of the Japanese Yen,” IMF Occasional Papers, 90.
Tavlas, G. S. (1996), “Currency Substitution and the International Demand for the Yen,” The Macroeconomics of International Currencies: Theory, Policy and Evidence, 178-192.
Tsaur, T. W., Lai, C. C., Jung, C. W., Kuo, B. S. and Tsay, W. J. (2002), “Dynamic Analysis on Taiwan’s Real Effective Exchange Rate Index,” Taiwan Economic Forecast and Policy, 32 (2), 93-130.
Zervoyianni, A. (1988), “Exchange Rate Overshooting, Currency Substitution and Monetary Policy,” The Manchester School of Economic and Social Studies, 56 (3), 247-267.
Zervoyianni, A. (1992), “International Macroeconomics Interdependence, Currency Substitution and Price Stickiness,” Journal of Macroeconomics, 14 (1), 59-86.
許耀瓊 (1980),「通貨替代、通貨膨脹稅及安定性-兩國競爭模型之分析」,國立台灣大學經濟學研究所碩士論文。
廖四郎 (1980),「浮動匯率的政策效果與國外干擾」,國立台灣大學經濟學研究所碩士論文。
吳榮昌 (1982),「通貨替代與匯率的動態決定」,國立政治大學經濟學研究所碩士論文。
張惠美 (1982),「通貨替代彈性與政策效果-小型開放經濟模型」,國立台灣大學經濟學研究所碩士論文。
董醒亞 (1982),「通貨替代與匯率之動態調整」,國立台灣大學經濟學研究所碩士論文。
張傳章 (1984),「管理浮動匯率與通貨替代」,國立政治大學國際貿易研究所碩士論文。
謝德宗 (1985),「通貨替代的個體基礎與總體政策效果」,國立台灣大學經濟學研究所博士論文。
林緯卿 (1986),「通貨替代與避險工具之選擇」,國立政治大學經濟學研究所碩士論文。
董芳君 (1986),「通貨替代、理性預期與貿易政策的動態效果」,國立台灣大學經濟學研究所碩士論文。
王自青 (1987),「通貨替代,經濟成長與匯率動態」,國立政治大學經濟學研究所碩士論文。
吳愛顗 (1989),「通貨替代、關稅政策、與匯率之動態調整」,國立台灣大學經濟學研究所碩士論文。

陳政郎 (1989),「通貨替代,公共支出與匯率的動態調整」,國立政治大學經濟學研究所碩士論文。
萬哲鈺 (1990),「內生化貨幣供給法則與自我引發性惡性通貨膨脹」,國立台灣大學經濟學研究所博士論文。
林淑芬 (1992),「兩種通貨經濟體系下之通貨競爭」,國立政治大學國際貿易研究所碩士論文。
楊淑惠 (1992),「台灣地區通貨替代的實證研究:1981-1992」,淡江大學金融研究所碩士論文。
王瑞源 (1993),「匯率預期與通貨替代」,淡江大學國際企業研究所碩士論文。
邱琇玲 (1993),「台灣通貨替代的實證研究」,國立政治大學經濟學研究所碩士論文。
楊玉娟 (1993),「雙元匯率制度與通貨替代-Niehans 模型的應用」,國立中正大學國際經濟研究所碩士論文。
顏麗真 (1993),「臺灣地區通貨替代實證研究需求系統方法」,淡江大學金融研究所碩士論文。
林玫足 (1994),「壟斷性競爭市場下,貨幣供給成長率對經濟體系影響之研究」,國立政治大學國際貿易研究所碩士論文。
謝振興 (1996),「金融創新與通貨替代」,國立中興大學經濟學研究所碩士論文。
沈委任 (1997),「外匯自由化後新台幣兌美元之變動」,淡江大學國際貿易研究所碩士論文。
吳朝欽 (1997),「台灣消費替代與通貨替代之實證研究」,國立暨南大學經濟學研究所碩士論文。
彭怡華 (1997),「通貨替代與貨幣需求-日本之實證研究」,國立台灣大學國際企業研究所碩士論文。
楊建昌 (1997),「通貨競爭-不同時點下的貨幣理論模型之研究」,國立政治大學國際貿易研究所碩士論文。
張昭嵐 (1998),「通貨替代與臺灣的外匯存款」,國立台灣大學經濟學研究所碩士論文。
蕭景州 (2000),「台灣通貨替代的實證研究」,國立中山大學經濟學研究所碩士論文。
吳昆龍 (2002),「通貨替代與通貨膨脹:代表性個人模型」,國立台灣大學法教分處經濟學研究所碩士論文。
陳淑華 (2002),「內生成長與跨期相依偏好」,國立台灣大學法教分處經濟學研究所博士論文。
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」,國立台北大學經濟學研究所碩士論文。
蔡佩君 (2003),「貨幣為生產要素之通貨替代模型」,國立政治大學經濟學研究所碩士論文
張凱亮 (2005),「通貨替代相對於貨幣需求的影響-台灣實證研究」,東吳大學經濟學研究所碩士論文。
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔