為了反映全球自由貿易的趨勢，以及全球經濟整合程度提高，本文以消費平滑的跨期替代觀點，將以個別國家經濟變數為主的傳統單一國家VAR模型，延伸為考慮其他國家經濟影響的跨國VAR估計模型。
本文以北美自由貿易協定為例，探討區域內國與國間，及個別國家國內的國民現金流量與經常帳變數間之因果關係，並以此推論國際間之區域經濟政策合作是否有其必要性。
本文根據Diebold and Mariano（1995）中所介紹的預測能力檢定方法，比較兩種模型的樣本外預測能力，經實證結果顯示，考慮跨國影響VAR模型確實比傳統單一國家VAR模型有更好的解釋能力。考慮跨國影響VAR模型較能準確地預測實際經常帳的走勢，此隱喻著一國的經常帳不只受本國經濟影響，亦與其他國家經濟景氣有密切相關。因此各國政府在擬定總體經濟及國際貿易政策時，應注重其他國家的經濟表現。

This paper is based on the viewpoint of the intertemporal substitution of the consumption smoothing. In order to reflection the tendency of economic liberation and the increasing degree of globally regional economic integration, we modify the traditional single-country VAR model which is based on the single country’s economic variable themselves to a cross-country VAR model which is considering international affecting effect.
We take one of the most famous region in the world---NATFA（North America Free Trade Agreement）for example, to investing the Granger causalities between current account and national cash flows within each country, to see if international macroeconomic policy cooperation in the region is necessary or not.
In this study, we use six kinds of test which are introduced by Diebold and Mariano（1995） to compare which estimation model has better explaining power to forcast the actual current account. Empirical results show that the cross-country VAR estimation model does provide a better estimation about the dynamic performance of current accounts for Canada, US and Mexico. It implies that one’s current account is not only affected by her own economic variable, but also others. We conclude that one country should consider the other countries’ economic performance when making macroeconomic and international trade policies.

中文摘要……………………………………………………………………………I
英文摘要……………………………………………………………………………II
致謝…………………………………………………………………………………III
目錄…………………………………………………………………………………IV
表目錄………………………………………………………………………………VI
圖目錄………………………………………………………………………………VII
第一章 緒論………………………………………………………………………1
第一節 研究背景………………………………………………………………1
第二節 研究動機與目地………………………………………………………2
第三節 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
第一節 理論模型………………………………………………………………7
一、 未扣除消費偏向效果之跨期經常帳模型……………………………7
二、 排除消費偏向效果之跨期經常帳平衡模型 ………………………10
三、 估計理論經常帳 ……………………………………………………11
四、 傳統理論模型的延伸 ………………………………………………12
第二節 實證方法 ……………………………………………………………16
一、單根檢定 ……………………………………………………………16
二、Enders建議之單根檢定程序 ………………………………………18
三、共積估計與檢定 ……………………………………………………20
四、向量自我迴歸模型 …………………………………………………21
五、Granger因果關係檢定………………………………………………22
六、Wald檢定……………………………………………………………23
七、建構樣本外預測值………………………………………………… 25
八、信賴區間的檢定 ……………………………………………………26
九、模型預測能力之檢定 ………………………………………………27
第四章 實證結果 ………………………………………………………………33
第一節 實證資料選取及處理 ………………………………………………33
一、 實證資料來源及選取 ………………………………………………33
二、 實證資料期間 ………………………………………………………34
三、 實證資料處理 ………………………………………………………34
四、 世界利率的選定 ……………………………………………………35
第二節 模型實證分析 ………………………………………………………35
一、單根檢定結果 ………………………………………………………35
二、消費偏向效果之估計與檢定 ………………………………………36
三、經常帳現值估計模型 ………………………………………………37
四、經常帳估計模型之檢定 ……………………………………………42
第五章 結論 ……………………………………………………………………44
文獻參考 …………………………………………………………………………63

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