本文以Kapetanios et al. (2006) 之非線性指數平滑轉換誤差修正模型為基礎架構, 探討台灣貨幣需求函數短期動態調整至長期的過程; 並且考慮到台灣為一小型開放經濟體系, 所以把匯率納入貨幣需求函數中考慮。實證結果發現台灣貨幣需求函數的資料使用非線性誤差修正模型來解釋是比較適合的, 也說明了民眾對於持有貨幣量的意願隨時都會做調整, 而調整速度也依據偏離長期的情況而不同。

The methodology is based on an application of nonlinear ESTR ECM by Kapetanios et al.
(2006) to analyze the short-run dynamic adjustment to long-run equilibrium in Taiwan money
demand function. We take consideration of Taiwan as a small open economy system, the exchange
rate could be included in money demand function. The result indicate that using ESTR
ECM to analyze the adjustment behavior of money demand function in Taiwan is better than
linear ECM. Our findings point out that the public adjusts at any time for holding money and
the speed of adjustment for real balances depends on the size of deviation.

1 緒論...................................................................................1
1.1 研究動機目的................................................................1
1.2 研究架構.............................................................. .........2
2 經濟理論與文獻回顧.......................................................4
2.1 理論背景........................................................................4
2.2 文獻回顧........................................................................5
3 研究方法...........................................................................8
3.1 單根檢定.......................................................................8
3.1.1 Dickey-Fuller test(DF 檢定)................................... 8
3.1.2 Augmented Dickey-Fuller test(ADF 檢定) .........10
3.1.3 Phillips-Perron test(PP 檢定) ............................. 13
3.1.4 Ng-Perron test(Ng-Perron 檢定, 2001) ..............15
3.1.5 DF-GLS test(DF-GLS 檢定)...................................16
3.2 共積檢定.......................................................................17
3.2.1 Johansen 最大概似估計法....................................18
3.3 線性誤差修正模型之建立...........................................20
3.3.1 以VAR 模型選取最適落後期數...............................21
3.3.2 Johansen 共積向量檢定........................................21
3.3.3 弱外生變數檢定(Weakly Exogenous Test) ........22
3.4 非線性平滑轉換誤差修正模型(Nonlinear Smooth Transition ECM) ............................................................... 22
3.4.1 模型........................................................................... 23
3.4.2 檢定............................................................................24
3.5 模型診斷性檢定............................................................31
3.5.1 Q 統計量檢定............................................................31
3.5.2 ARCH-LM 檢定.........................................................31
3.5.3 Ramsey RESET 定..................................................32
3.5.4 模型預測力................................................................32
4 實證分析...........................................................................33
4.1 資料來源說明...............................................................33
4.2 單根檢定.......................................................................36
4.3 最適落後期的選取...................................................... 37
4.4 Johansen 共積向量檢定............................................38
4.5 弱外生變數檢定...........................................................39
4.6 建立線性誤差修正模型及估計與診斷.......................40
4.7 非線性誤差修正模型之共積檢定.............................. 40
5 結論...................................................................................43
5.1 實證結論...................................................................... 43
5.2 建議...............................................................................44
參考文獻....................................................................45

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