本論文的主要目的，在探討Balassa-Samuelson效果，是否能有效解釋實質匯率長期變動，並且運用晚近追蹤資料單根檢定法、追蹤資料共整合檢定法及fully modified OLS等研究方法，研究的國家為東亞七國，研究期間為1985到2002年，來檢定以本論文中以Balassa-Samuelson模型推導之的四個檢定方程式：
1. 本國的貿易財部門與非貿易財部門的產能成長率差距，對兩部門相對物價上漲率差距的影響。
2. 兩國模型中，國內產業產能成長率與世界其他國家相同產業產能成長率的差距，對國內產業物價與世界其他國家相同產業的物價成長率的影響。
3. 兩國模型中相對價格差距，所導致之實質匯率的上升與下降。
4. 兩國模型中產能成長率差距，所導致之實質匯率的變動。
由實證結果可得知，當國內兩部門產業的生產效率不同時，亦即當兩部門的產能成長率有1%的差距時，長期將導致兩部門的物價會有0.28%的變化；當在兩國模型中，產能成長率的差距將會導致實質匯率的下降。

The main purpose of this thesis is to explore whether the Balassa-Samuelson hypothesis can effectively explain the long-term change of the real exchange. The recent panel unit root, panel cointegration tests and fully modified OLS are applied to examine the four tested equations that are based on the Balassa-Samuelson hypothesis. The data span is from 1985 to 2002, and includes 7 east asian countries.
1. Relative differential productivity between traded and non-traded sectors influences price differential in two sectors.
2. We extend the relative productivity in non-traded and traded sectors causing change in non-traded relative price into the two-country model.
3. The appreciation (depreciation) of the real exchange results from the different relative price of the two-country model.
4. The appreciation (depreciation) of the real exchange is caused by the different relative productivity of the two-country model.
Finally, we can observe from the results of the empirical study: when productivity of the domestic sectors differentiates, that is, 1% increase in relative productivity between traded and non-trade sectors causes 0.28% increase in domestic relative prices. When it is taken into the two-country model, the increase of productivity will cause the appreciation of the real exchange rate.

目 錄
第一章 緒論---------------------------------------------------------------------------------1
第一節 研究動機------------------------------------------------------------------------------1
第二章 文獻回顧--------------------------------------------------------------------------4
第一節 匯率決定理論與匯率變動因素--------------------------------------------------4
一、匯率決定理論----------------------------------------------------------------------------4
二、匯率變動因素----------------------------------------------------------------------------6
第二節 國內外有關文獻探討-------------------------------------------------------12
一、 英文文獻------------------------------------------------------------------------------12
二、 國內文獻------------------------------------------------------------------------------15
第三章 模型推導與方法說明-------------------------------------------------------22
第一節 實質匯率模型----------------------------------------------------------------------22
第二節 研究方法----------------------------------------------------------------------------25
第四章 實證分析結果-----------------------------------------------------------------32
第一節 數據資料和研究期間-------------------------------------------------------------32
第二節 實證結果----------------------------------------------------------------------------34
第五章 結論與研究限制--------------------------------------------------------------41
參考文獻-------------------------------------------------------------------------------------43






表目次
表(一)：三種追蹤資料單根檢定方法-----------------------------------------------------35
表(二)：Pedroni追蹤資料共整合檢定----------------------------------------------------37
表(三)：Fully Modified OLS實證檢定結果--------------------------------------------- 39

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