本文以消費平滑的跨期替代觀點,在考慮跨國經濟的互動影響下,利用經常帳現值估計方法來探討經常帳預估模型。
一般傳統的跨期經常帳模型,皆是以單一國家個別VAR估計方法來驗證模型的適當性,而未考量國際相互間的影響效果。然而國際之間互動越趨頻繁之下,各國之間的經濟動態,就理論上而言,應該也會相互影響。基於這個觀點,本文鑒於傳統的跨期模型經常帳理論實證上結果往往無法有效支持該模型的推論,故加入了跨國影響效果的VAR估計方法來分析,期望能有效改善傳統模型的估計能力。此外一個好的模型除了樣本內的配適度佳外,我們還希望該模型樣本外的預測力能有效地預測變數的未來走向,故本文依據 Diebold and Mariano (1995) 中所介紹的預測能力檢定方法，試圖比較出傳統模型與跨國模型的樣本外預測能力。
本文實證結果發現,從配適度的角度來看,對於日本而言,相較於傳統單一國家個別估計,考慮跨國影響的模型的確有較佳的配適結果。但對於美國而言,跨國模型並無法大幅度改進配適結果,不過無論傳統模型或是跨國模型對於美國都是極佳的配適,其可能是美國本身就是世界政經中心,美國化表性個人本身也就具有世界觀,故在從事消費行為時就已考量了國外經濟狀況,於是當再考量國外影響時,並沒有更多的改善空間。另外從預測力的角度來看,美日實證的結果都一致顯示跨國影響模型比傳統模型有較佳的預測能力。
基於上述,本文的結論認為在消費平滑經常帳的實證預測上,考量跨國影響模型比傳統單一國家模型的確能有效改善模型的估計能力,也符合實際的經濟現況。各國政府訂定經濟政策時更應注重國與國之間的貿易情況。

This study is based on the viewpoint of the intertemporal substitution of the consumption smoothing. Under considering the interactive influences on the international economy, the writer employs the present value model to investigate an estimated model of the current accounts.
The basis of the traditional current account model is to apply the traditional single-country VAR estimation, and not to consider the internationally interactive effects among countries. However, with the more and more frequent interactions among nations, the economic development in different countries, for the aspect of economic theory, may have interactive influences on each other. Respecting this viewpoint that the current account theory of the traditionally intertemporal model are actually unable to effectively support the inference of the model, the writer therefore adds the cross-country VAR estimation method analyze the transnational influences. I hope that the model can effectively modify the estimation index for the conventional model. In addition, a good model not only should contain in-sample goodness of fit, but also could reveal the variables of the future by using the out-of-sample. Therefore, according to the method of predictive capability assessment proposed by Diebold and Mariano (1995), I attempt to compare the out-of-sample prediction between the single and the cross-country VAR.
From the aspect of the goodness of fit, the finding of this study has proven that the model considered the cross-country VAR indeed has a relatively better goodness-of-fit result in Japan, if compared to the traditional single-country. However, in the U.S., the traditional single-country model does not immensely improve the goodness-of-fit result. The finding shows that either the traditional single-country VAR or cross-country VAR, it possesses the perfect goodness of fit. The reason, perhaps, is that America itself has already been the center of the politics and economy. Also, it seems those Americans representative households have as well as the worldview. Therefore, people in the States might have considered the economic conditions of other countries when they are engaged in consumption behaviors. If this is the case, there are no many opportunities for those people to adjust their behaviors when considering the foreign economic situations. On the other hand, from the viewpoint of the prediction capability, the final result conducted both in the U.S. and in Japan agreeably demonstrates that it is a better method of prediction using the cross-country VAR estimation than the traditional single-country one.

第一章 緒論 1
1.1 前言 1
1.2 研究動機與目的 1
1.3 本文架構 2
第二章 文獻回顧 3
第三章 理論模型與實證方法 7
3.1 理論模型 7
3.1.1 未扣除消費偏向效果之跨期經常帳模型 7
3.1.2 扣除消費偏向效果之跨期經常帳平衡模型 9
3.1.3 估計理論經常帳 10
3.1.4 傳統理論模型的延伸 12
3.2 實證方法 15
3.2.1 單根檢定 15
3.2.2 共整合的估計與檢定 18
3.2.3 完全修正向量自我迴歸模型 19
3.2.4 Granger因果關係檢定 22
3.2.5 Wald檢定 22
3.2.6 模擬樣本外之預測值與該信賴區間之檢定 24
3.2.7 檢定模型預測能力 26
第四章 實證結果與分析 31
4.1 實證資料選取及處理 31
4.1.1 實證資料來源及選取 31
4.1.2 實證資料期間 33
4.1.3 實證資料處理 33
4.1.4 世界利率的選定 33
4.2 實證結果 34
4.2.1 單根與消費偏向效果之估計與檢定結果 34
4.2.2 經常帳現值估計模型 40
4.2.3 Granger因果關係檢定 43
4.2.4 k權數的選定 45
4.2.5 Wald檢定 46
4.2.6 國際資本移動程度 47
4.2.7 預測值信賴區間估計的檢定 48
4.2.8 模型預測能力的比較結果 49
第五章 結論 60
參考文獻 63

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