貨幣於國際上的強弱反映在該國之經濟實力上，一個國家在國際間被認為有很高的經濟實力，在貨幣市場的交易中就屬於強勢的一方。藉由本篇研究，我們(1)利用HP過濾法與馬可夫狀態轉換模型客觀的將全球經濟狀況區分為兩個狀態；再(2)利用向量自我迴歸模型與向量誤差修正模型建立一消費模型，衡量即期匯率與遠期匯率之匯差關係；(3)並探討貨幣在浮動匯率制度、管理浮動匯率制度與固定匯率制度之下的差異。最後，建議台灣金融管理當局應於經濟穩定時，致力於資本市場的改革，於經濟不穩定時，加強控管匯率波動，以防止輸入性通膨等造成國內物價大幅波動。

The power of a currency reflect a country's economic strength. A country in the international community is considered to have high economic strength , its currency belongs to the strong side in foreign exchange market. In this paper, we use (1) HP filter and Markov-Regime Switching Model to divide global economic situation into two parts objectively, (2) using Vector Autoregression model and Vector Error Correction Model to build a consumption model, which measure spread on Forward Exchange Rate and Spot Exchange Rate. (3) Then we discuss the difference between floating exchange rate regime, managed floating exchange rate regime and fixed exchange rate regime. Finally, we recommend Taiwan’s financial authorities should be committed to reform capital market when global economy is stable, and strength control of currency fluctuation to prevent imported inflation

論文審定書 i
誌謝辭 ii
摘 要 iii
Abstract iv
目 錄 v
圖 次 vi
表 次 vii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 9
第三節 研究架構與內容 10
第二章 實務背景與文獻探討 12
第一節 實務背景 12
第二節 文獻探討 12
第三章 研究步驟與模型應用 15
第一節 研究步驟 15
第二節 模型應用 16
第四章 實證結果與分析 21
第一節 樣本資料之描述 21
第二節 實證結果與分析 23
第五章 結 論 37
參考文獻 39

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