本文以台灣為研究對象，研究資料採年資料，期間自1962年至2014年共53年。變數包含貨幣供給(M2)、政府支出和GDP。除了均等變異數檢定法，也採用標準的時間數列分析技術例如單根檢定、共整合分析等。運用ADF單根檢定及DF-GLS單根檢定的結果顯示變數均為一階共積的I(1)數列，接著使用 Engle and Granger 兩階段檢定法對貨幣供給與GDP、政府支出與GDP進行共整合檢定，檢定的結果為：貨幣供給與GDP、政府支出與GDP兩組變數均以5%及1%的顯著水準拒絕不存在共整合關係的虛無假設，顯示變數間確實存在長期均衡關係。最後採用Yang et al. （2014） 發表的均等變異數檢定法探討此長期均衡關係的緊密程度，檢定的結果無法拒絕兩組變數的共整合均衡誤差變異數為相等的虛無假設；換句話說，實證結果顯示研究期間台灣的貨幣供給、政府支出與GDP之間的長期均衡關係的緊密程度是沒有顯著差異的。

Taiwan is research object in this paper. The study uses yearly data of 53 years. The time duration is 1961 to 2013. Our data consists of three time series：money supply(M2)、government expenditures and GDP of Taiwan. In addition to the equal variance test approach, we also have employed standard time series technique such as unit root test and cointegration analysis for our analysis. The results from the ADF test and the DF-GLS test indicating all the data series are integrated of order one (or I (1) ). Then the two-step Engle and Granger (1987) cointegration methodology was used to examing the relationship between money supply and GDP，and the relationship between government expenditures and GDP. The result of cointegration test indicates that：the null hypotheses of no cointegration between money supply and GDP, and government expenditures and GDP are rejected at 5% and 1% levels of significance respectively. The results suggest that these variables are cointegrated or they possess long-run equilibrium relationships. Finally we employed the equal variance test approach to discriminate the degrees of cointegrating relationships between money supply and GDP , and government expenditures and GDP. The results show that the variance of the cointegrating equilibrium errors of these two set of variables could not reject the null hypotheses of being equal. In other words, the empirical results indicate that：The degrees of long-run equilibrium relationships between money supply and GDP, and government expenditures and GDP in Taiwan are of no difference.

論文審定書……………………………………………………………………… i
論文公開授權書………………………………………………………………… ii
誌謝……………………………………………………………………………… iii
中文摘要………………………………………………………………………… iv
英文摘要………………………………………………………………………… v
目錄……………………………………………………………………………… vi

第一章 緒論…………………………………………………………………… 1
1.1 研究動機與目的……………………………………………………… 1
1.2 研究架構……………………………………………………………… 4
第二章 文獻回顧……………………………………………………………… 6
2.1 貨幣供給與國民所得關係的文獻…………………………………… 6
2.2 政府支出與國民所得關係的文獻…………………………………… 9
第三章 研究方法……………………………………………………………… 14
3.1 單根檢定……………………………………………………………… 14
3.1.1 Augmented Dickey-Fuller(ADF)檢定…………………………… 14
3.1.2 DF-GLS單根檢定……………………………………………… 15
3.2 共整合檢定…………………………………………………………… 16
3.3 均等變異數檢定……………………………………………………… 18
3.3.1 模型與假設…………………………………………………… 18
3.3.2 用OLS法估計共整合均衡誤差平方的漸進分配…………… 20
3.3.3 檢定統計量…………………………………………………… 21
第四章 實證分析……………………………………………………………… 24
4.1 資料來源及處理……………………………………………………… 24
4.2 單根檢定……………………………………………………………… 26
4.3 共整合檢定…………………………………………………………… 30
4.4 均等變異數檢定……………………………………………………… 31
第五章 結論…………………………………………………………………… 33
參考文獻………………………………………………………………………… 35

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