本文以G7會員國1981年6月至2013年7月為樣本期間，透過實質匯率差分與實質利差之向量自我回歸模型來估計預期實質匯率變動，進而將其值與實質利差進行回歸。由於預期實質匯率變動與實質利差間之回歸係數值，隱含向量自我回歸模型係數間之跨方程式限制式，故本文以Wald檢定跨方程式限制式，即檢定係數估計值是否等於年化因子(本文年化因子等於1)。此外回歸係數值可分解為相關係數與相對標準差之乘積，藉此可判斷係數值不為一之原因為何。此外，藉由Blanchard and Quah (1989)之認定方法，本文以衝擊反應函數分析實質利差對實質匯率之影響。
實證結果指出除日本外之大部分國家皆接受跨方程式限制式成立之虛無假設。透過係數估計值分解，本文亦指出預期實質匯率變動與實質利差間之相關性非常高，但導致此兩變數間之回歸係數值不為一之主要原因為相對標準差過小。除日本外之其他國家而言，衝擊反應函數分析顯示，當干擾使得實質利差擴大，造成實質匯率短期下降，然後再逐漸上升，此反映實質利差縮小造成實質匯率上升而將下降之部分慢慢抵銷，即實質利差與實質匯率之變化呈現負向關係。日本則受到利差交易之影響，使得實質利差與實質匯率之變化呈現正向關係。

This paper applies a vector autoregressive model of real exchange rate changes and real interest rate differentials to estimate expected real exchange rate changes. The constructed real exchange rate changes are then regressed on real interest differentials. The estimated slope coefficient from the above regression implies cross-equation restrictions on the coefficients of the VAR model. We adopt the Wald test to examine the validity of the above restrictions. Besides, the estimated slope coefficient can be decomposed to the product of the correlation and relative standard deviation of expected real exchange rate changes and real interest differentials, which allows us to examine the reason why the estimated coefficient being different from 1.0. Finally, we apply the impulse response analysis to examine the effect of shocks on real exchange rates and real interest rate differentials.
Our empirical results indicate that although most countries fail to reject the validity of cross-equation restrictions, the estimated slope coefficient is not close to one, and the reason is due to the small relative standard errors of real expected real exchange rate changes and real interest differentials. Finally, the results from the impulse response analysis point out that the increase in the real interest differential of a domestic country leads to a currency appreciation of that country, except for Japan, which supports the negative relationship between real exchange rates and real interest differential for most countries under investigation. As for the positive relationship between the real interest differential and the real exchange rate, it could be due to the influence of the carry trade.

論文審定書……………………………………………………… i
謝辭……………………………………………………………… ii
中文摘要…………………………………………………….….. iii
英文摘要………………………………………..………………. iv
1 緒論…………………………………………………………… 1
1.1 研究目的與動機………………………………………… 1
1.2 研究流程………………………………………………… 3
2 文獻回顧……………………………………………………… 4
3 研究方法……………………………………………………… 13
3.1 模型設定………………………………………………… 13
3.2 單根檢定………………………………………………… 15
3.3 向量自我回歸模型……………………………………… 17
3.4 Wald檢定………………………………………………… 22
3.5 內生性檢定……………………………………………… 25
3.6 衝擊反應函數…………………………………………… 26
4 實證結果分析………………………………………………… 29
4.1 資料來源與說明………………………………………… 29
4.2 實證結果………………………………………………… 29
4.2.1 實質匯率與實質利差…………………………… 29
4.2.2 預期實質匯率變動與實質利差………………… 33
4.2.3 Wald檢定………………………………………… 37
4.2.4 Hausman檢定 …………………………………… 40
4.2.5 衝擊反應圖… …………………………………… 42
5 結論…………………………………………………………… 49
參考文獻 ……………………………………………………….… 50
附錄 ……………………………………………………………….. 53

中文部分：
1. 楊奕農 (2009) 《時間序列分析：經濟與財務上應用》，臺北：雙葉書廊，第二版。
2. 陳旭昇 (2007) 《時間序列分析─總體經濟與財務金融之應用》，臺北：東華書局，初版。
3. 賴景昌 (2011) 《總體經濟學》，臺北：雙葉書廊，第三版。
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