摘要
臺灣為一海島型國家，地小人稠，貿易依存又相當高，是一典型之小型開放經濟體。在天然資源缺乏、腹地極小，且又有強大的敵對政治實體之情形下，經濟實力是台灣少數能依賴生存的本錢之一。
自1971年8月15日美國總統Nixon宣佈『新經濟政策』(New Economic Policy)後，布列頓森林協定(The Bretton Woods International Monetary System)便宣告結束。而後世界各主要工業國定便先後採用浮動匯率制度。台灣考量本身經濟情況後，也在1978年7月宣布新臺幣兌匯率開始由緊釘美元改採行機動匯率制度。
匯率是最直接影響進出口的因素，匯率的波動對主要以出口導向累積經濟實力的台灣來說，無非是一項很大的衝擊。因為一般市場交易本身便是商品貨幣價格的交換，且自由貿易下價格是會隨著時間及供需失衡而波動，便已是一種風險。而國際貿易更牽扯著貨幣價格的波動，其不確定自然加倍。然而我們關心的是匯率風險對國際貿易是屬於正相關、負相關或是不確定，以便政府部門及企業擬定對策。
本文以Johansen’s 模型為基礎，為引入時間趨勢並加以限制之VAR計量模型。以Johansen’s最大概似法求得共整合矩陣。檢定共整合向量數目方法，除Johansen 之Trace Test及 test外，考慮其在未知母體確定項參數下，其檢定力可能過低之缺點，輔以 (2000)之LM-type 檢定，因LM-type 檢定之漸近分配並不相依於確定項之參數，以模擬結果得知其在大部份情況下有較高之檢定力。又其檢定結果與LR test一致，故使其結果更為可信。

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目錄
第㆒章 緒論..................................... 1
第㆒節 研究動機與目的........................... 1
第㆓節 研究方法與架構........................... 3
第㆓章 理論基礎與文獻回顧....................... 4
第㆒節 理論背景與模型........................... 4
第㆓節 文獻回顧................................. 7
第㆔章 研究方法................................ 14
第㆒節 共整合之介紹............................ 14
第㆓節 單根檢定................................ 15
第㆔節 共整合檢定方法.......................... 18
第㆕節 引㆟時間趨勢之VAR 共整合LM 檢定......... 28
第㆕章 實證結果................................ 39
第㆒節 資料來源................................ 39
第㆓節 單根檢定................................ 40
第㆔節 共整合向量估計.......................... 43
第㆕節 共整合向量數目檢定...................... 47
第五章 結論與建議.............................. 51
第㆒節 結論.................................... 51
第㆓節 建議.................................... 52
附錄........................................... 53
參考文獻....................................... 54

參考文獻
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