台灣通常被視為一個小型的開放經濟體系，經濟成長對貿易的依存度一直相當的高。並且在1980年代中以後，台灣在匯率以及國際貿易政策上都有了極重大的改變，不但讓貿易自由化，也讓新台幣匯率開始呈現大幅度的波動。本研究主要採用Cancer and Hansen(2004)所提出的工具變數門檻迴歸模型以及結合擴充型菲力普曲線，在針對經濟景氣因子和匯率變動方向及程度這兩個大方向下(即以國內產出缺口及匯率變動率作為門檻變數)，來探討台灣存在非線性的匯率轉嫁效果是否顯著，以及短期轉嫁效果是否具有不對稱性。實證結果顯示，台灣確實存在有非線性的匯率轉嫁效果，且在產出缺口以及匯率貶值高於某一數值時，台灣的短期匯率轉嫁效果較大並且呈現不對稱性。此結果顯示，匯率變動亦是影響台灣通貨膨脹率的重要因素之一。

Taiwan is usually considered as a small open economy. Trade and exchange rate policies in Taiwan have substantially changed since the mid-1980s. Not only has trade been liberalized, but exchange rates of the New Taiwan Dollar(NTD) were also allowed to fluctuate. This paper applies the Threshold Regression Model that puted forward of Cancer and Hansen (2004) and combines the expectation-augmented Phillips curve with a threshold for the pass-through. The paper examines whether the short-run magnitude of the pass-through is affected by the business cycle, direction and magnitude of the exchange rate change. For that purpose, two variables are tested as thresholds: (1)output gap, (2)exchange rate change. The results indicate that the short-run pass-through is higher when the economy is booming, as well as the exchange rate depreciates above some threshold. And they have important implications for monetary policy and are possibly related to pricing-to-market behavior and menu costs of price a djustment.

目錄..............................................................................................................................i
表目錄.........................................................................................................................iii
圖目錄.........................................................................................................................iv
1.緒論...........................................................................................................................1
1.1研究動機………………………………………………………………………....1
1.2研究內容與架構…………………………………………………………………2
2.理論模型與文獻回顧...............................................................................................3
2.1匯率轉嫁理論基礎及模型…………………………………................................3
2.1.1 Phillips Curve…………………………………………………………………..3
2.1.2匯率轉嫁的定義……………………………………………………………….4
2.1.3 匯率轉嫁理論基礎……………………………………………………………4
2.2 國外文獻回顧……………………………………...............................................8
2.3 國內文獻回顧……………………………………………………………………9
3.研究方法…………………………………………………......................................11
3.1 單根檢定..............................................................................................................11
3.1.1 DF單根檢定…………….……………………………….................................12
3.1.2 ADF單根檢定……………………………………………….….......................13
3.1.3 Phillips-Perron檢定………………………………………................................15
3.1.4 KPSS檢定…………………………………………..........................................17
3.2 門檻迴歸……………………………………………...........................................19
3.2.1 門檻迴歸的起源………………………………………………………………19
3.2.2 模型 (Models)...................................................................................................20
3.2.3 估計 (estimation)..............................................................................................22
3.2.4假設檢定及檢定統計量(Hypothesis test and test statistics).............................25
4.實証結果分析..........................................................................................................29
4.1 資料來源與處理………………………………………......................................29
4.1.1 變數的定義…………………………………………………………………...29
4.1.2 變數的處理…………………………………………………………………...31
4.2 單根檢定結果......................................................................................................31
4.3 門檻檢定結果......................................................................................................32
4.3.1 過度確認限制的檢定問題…………………………………….......................33
4.3.2 門檻迴歸模型:門檻變數為落後一期的產出缺口..........................................34
4.3.3 門檻迴歸模型:門檻變數為落後一期的匯率變動率………………………..37
5. 結論.......................................................................................................................40
6. 附錄……………………………………………………………………………...41
6.1附錄A…………………………………………………………………………..41
6.2 附錄B………………………………………………………………………….44
6.3 附錄C………………………………………………………………………….46
參考文獻......................................................................

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