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研究生:郭益瑄
研究生(外文):I-Shuan Kuo
論文名稱:亞洲單一貨幣之匯率變動性與壓力性的實證
論文名稱(外文):The Empirical Evidence of Exchange Rate Variability and Pressures for Asian Currency Unit
指導教授:陳若暉陳若暉引用關係
指導教授(外文):Jo-Hui Chen
學位類別:碩士
校院名稱:中原大學
系所名稱:企業管理研究所
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:英文
論文頁數:57
中文關鍵詞:銀行群組. 財政群組. 總體經濟群組區域整合Panel Data模型亞洲單一貨幣
外文關鍵詞:Panel Data ModelBanking factorsMacroeconomic factorsMonetary factorsRegional IntegrationACU
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1958年羅馬條約(Rome Treaty)開啟歐洲單一貨幣(EU)的發展,1981年海灣阿拉伯國家合作委員會(Cooperation council for the Arab states of the gulf,又稱 Gulf Cooperation Council,GCC)以中東六國之力擬定2010年實行單一貨幣制度之經濟整合計畫。而亞洲地區單一貨幣(ACU)共識雖不集中,但也同意單一區域貨幣的經濟重要性。因此,東南亞國協 (ASEAN),亞太經濟合作會 (APEC) 和亞洲貨幣基金 (AMF)的成立,不僅逐漸凝聚亞洲經濟勢力之整合也提昇實踐亞洲單一貨幣概念的機會。
本研究以1992年3月至2008年3月為期間,採用Panel Data模型中的固定與隨機效果模型,探討亞洲十國為標的之ACU匯率波動及壓力面對三個群組(銀行群組、財政群組與總體經濟群組,共10個變數)之間是否支持金融危機預警系統的研究結論。
研究結果指出,ACU的匯率變動與M2佔外匯存底比率、銀行脆弱性指標(BSF)及外匯存底成長率三個變數有顯著相關,而ACU的匯率壓力與國際收支經常帳佔GDP比率及工業生產指數(industrial production index)成長率存在顯著相關。此外,證實ACU區域經濟整合雖能增加亞洲地區經濟穩定,但仍需從上述五個變數監控銀行類、財政類與總體經濟類之訊息,以避免區域型之金融危機,此結論對於亞洲經濟整合與貿易機制之建立皆有重要參考性。
The development of European Unit (EU) had begun on the Rome Treaty of 1958. As of 1981, the Cooperation council for the Arab states of the gulf (also called Gulf Cooperation Council, GCC) planned explicitly to implement the Middle East currency unit in 2010. In the past 20 years the economics environments have progressed tremendously. The establish of Association of Southeast Asian (ASEAN), Asia Pacific Economic Cooperation (APEC) and Asian Monetary Fund (AMF) have integrated the rising force of economics and increased development of possibility of Asian currency unit (ACU).
This study adopts fixed effect and random effect model of Panel Data. The sample periods covered from March 2, 1992 to December 30, 2008. For exploring the exchange rate variability and exchange rate pressures of ACU connected with Early Warning System (EWS), this study applies three different sectors of explanatory variables, Banking factors, Monetary factors and Macroeconomic factors.
The result of this study has revealed that exchange rate variability and pressure have significant relationship with the five explanatory variables. In the regression of exchange rate variability, the estimates ratio of M2 to Foreign reserves, BSF and Foreign reserves growth rate have confirmed. In the regression of exchange rate pressure, the ratio of balance on current account to GDP and industrial production index growth rate also has proved the significant relationship. To the framework of ACU, this study revealed the stabilization of bank factor, international trade and money supplies will be the core of financial crises prevention. To sum up, this study will give a reference to integrate Asian countries into the economic alliance and establish the system of international trade.
摘要......................................................................I
ABSTRACT.................................................................II
Index....................................................................III
Table List...............................................................V
Figure List..............................................................VI
Chapter 1 Introduction...................................................1
1.1 Research background and motivation................................1
1.2 Research goal.....................................................3
1.3 Research flow path................................................4
Chapter 2 Literature Review..............................................5
2.1 Optimum currency Area (OCA) Theory....................................5
2.2 ACU Issues............................................................8
2.3 Financial Crisis......................................................12
2.3.1 Currency Crisis and Banking Crisis..................................12
2.3.2 Early Warning System................................................17
2.4 Banking Sector Fragile Index..........................................21
Chapter 3 Data Selection and Methodology.................................23
3.1 ACU Calculation.......................................................23
3.2 Defining Variables....................................................24
3.2.1 The Variables of Exchange rate variability and Exchange rate pressures ..................................................................24
3.2.2 The formulas of exchange rate variability and exchange rate pressures ..................................................................28
3.3 Empirical Methodology.................................................29
3.3.1 Individual Effects..................................................29
3.3.2 Fixed Effects Model.................................................30
3.3.3 Random Effects Model................................................31
3.3.4 The specification tests for selection models........................33
3.3.5 The model with Heteroscedasticity...................................33
Chapter 4 Empirical Analysis.............................................35
4.1 Descriptive Statistics................................................35
4.2 Results Analysis......................................................36
Chapter 5 Conclusion and Suggestion......................................45
5.1 Research Results......................................................45
5.2 Research Contribution.................................................46
5.3 Research Limitation and Suggestion....................................46
Reference.................................................................47
Appendix..................................................................50




Table List
Table 2.1 Optimum currency Area (OCA) theory.................................................. 7
Table 2.2 ACU Issues ..............................................................................................11
Table 2.3 Financial Crisis-Currency Crisis and Banking Crisis ...............................16
Table 2.4 Financial Crisis-Early Warning System ...................................................20
Table 2.5 Banking Sector Fragility ........................................................................22
Table 3.1 Indicators of Exchange rate variability and Exchange rate pressures .25
Table 3.2 Variables Expected Signs........................................................................28
Table 3.3 Fixed Effects Model and Random Effects Model ..................................30
Table 4.1 The Descriptive Statistics of Variables ...................................................35
Table 4.2 The Selections of Models ........................................................................36
Table 4.3 The Results of Exchange Rate Variability .............................................38
Table 4.4 The Results of Exchange Rate Pressure.................................................39
Table 4.5 The Selections of models of Exchange Rate Variability in Different
Table 4.6 The Results of Exchange Rate Variability in Different Factors ............42
Table 4.7 The Selections of models of Exchange Rate Pressure in Different
Factors ....................................................................................................................43
Table 4.8 The Results of Exchange Rate Pressure in Different Factors ...............44
Appendix 1 Indicators of Crisis .............................................................................50
Appendix 2 The Transformative Variables............................................................51


Figure List
Figure 1.1 Research flow path................................................................................. 4
Figure 2.1 Banking Crisis Occurrence...................................................................14
Figure 2.2 Banking Crisis and Currency Crisis (Twin Crisis)..............................15
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