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研究生:林祐生
研究生(外文):You-sheng Lin
論文名稱:外匯準備持有適足性之探討-跨期平衡觀點
論文名稱(外文):The Adequacy of Foreign Reserve Holdings – The Perspective of Intertemporal Approach
指導教授:顏厚棟顏厚棟引用關係
指導教授(外文):Ho-Don Yan
學位類別:碩士
校院名稱:逢甲大學
系所名稱:經濟學所
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:2009
畢業學年度:97
語文別:中文
論文頁數:63
中文關鍵詞:結構性改變跨期平衡通貨危機外匯準備單根檢定
外文關鍵詞:Foreign ReserveIntertemporal ApproachUnit Rootcurrency crisisstructure change
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自從1980年代中期以來,國際間之資本移動風起雲湧,新興市場國家在1990年代中期陸續發生通貨危機 (currency crisis),咸認外匯準備持有不足是主因, 1997-98之東南亞通貨危機之後,為何新興市場 (尤其是亞洲新興市場) 國家外匯準備持有量快速的增加,引起許多文獻探討外匯準備持有適足性的問題。本研究首先就目前文獻上從成本效益觀點探討最適持有外匯準備問題提出批評,接著我們提出藉由跨期平衡的觀點來看外匯準備的適足性的問題,外匯準備的持有須符合跨期平衡是指一國之外匯準備持有不足或過多,若持續在一個不穩定之路徑,在成本大於效益之下,終究不能持久,受跨期平衡的限制,勢必要調整回復至穩定之路徑。我們共研究3個先進國家 (加拿大、日本、美國) 與6個開發中國家 (台灣、巴西、阿根廷、墨西哥、韓國、泰國),利用各種單根檢定的結果發現至2007年12月為止,先進國家大抵皆符合跨期平衡,而開發中國家則否。考慮到結構性改變的問題,利用Zivot and Andrews (1992) 與Lee and Strazicich (2003) 之檢定顯示開發中國家大抵符合結構性改變下之跨期平衡。我們亦發現許多開發中國家在通貨危機之前存在有持續性違反跨期平衡的現象。
目錄
第一章 緒論……………………………………………1
第一節 研究目的………………………………………1
第二節 研究流程與架構………………………………2
第二章 外匯準備持有適足性之文獻回顧……………3
第一節 外匯準備的定義………………………………4
第二節 外匯準備持有之適足性………………………5
第三節 外匯準備的效益………………………………10
第四節 持有外匯準備之機會成本……………………11
第五節 結論……………………………………………13
第三章 跨期外匯準備平衡……………………………15
第一節 跨期外匯準備平衡……………………………15
第二節 實證研究之文獻回顧…………………………16
第三節 結論……………………………………………18
第四章 實證方法………………………………………19
第一節 恆定與非恆定時間數列………………………19
第二節 單根檢定………………………………………21
第三節 結構性改變單根檢定…………………………23
第五章 實證結果與分析………………………………31
第一節 資料來源與處理………………………………31
第二節 實證結果………………………………………38
第六章 結論……………………………………………50
參考文獻…………………………………………………52


圖表目錄

表1 資料樣本時間……………………………………………………………......34
表2 各國外匯準備持有敘述統計………………………………………….….....35
表3 各國外匯準備變動敘述統計……………………………………….….…....35
表4 單根檢定結果……………………………...……………………………..….40
表 5 Zivot and Andrews (1992) 結構性單根結果………………………………43
表 6 考慮一個結構點Lee and Strazicich (2003) 單根檢定結果……………….43
表7 各國恆定性測試結果 (結構改變前)……………………………………….48
表8 各國恆定性測試結果 (結構改變後)……………………………………….49
圖一 各國外匯準備持有量…………………………………………………...…..36
圖二 各國外匯準備變動量…………………………………………………….....37
參考文獻
中文參考文獻

1.朱珍珍 (1997) “跨期平衡與匯率危機-墨西哥與台灣之實證研究”,逢甲大學經濟學研究所碩士論文。

2.張志超 (2008) “最優國際儲備理論與測度:文獻綜述”,中國社會科學院世界經濟與政治研究所國際金融研究中心, Working Paper, NO. 0818。

3.黎家銘 (2001) “探討跨期平衡與固定匯率崩潰之關係-印尼、馬來西亞、菲律賓及泰國之實證分析”,中山大學經濟研究所碩士論文。

4.顏厚棟 (1997) “跨期平衡與固定匯率之崩潰”,經濟論文叢刊,25輯,第1期,頁27~44。


英文參考文獻

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