國際金融上以資產價格來解釋匯率的波動已經流行了幾十年之久，並且主要以貨幣模型為依歸，但是在實證上的正確性一直備受各界爭論。本文假定貨幣模型失敗的原因可能在於先天假設不同國家間的資產為完全替代所致，因而納入資產組合平衡模型的學說:假定兩國間的資產為非完全替代，同時未拋補利率平價理論(Uncovered Interest Rate Parity)不成立，期待模型能夠更足以解釋匯率的波動。然而本文並不揚棄貨幣學派的學說，而是期望將資產組合平衡模型的假設納入以後能夠使得模型更為一般化，更貼合現實，同時結果也更為確實。
本文以加拿大匯率為本國匯率，並透過Johansen(1988)以及Stock & Walson(1988)共整合模型檢定資料期間為1973Q1到2004Q4中，美元/加元、日圓/加元、英鎊/加元三組匯率的個別關係。結果發現模型中大部分的係數都正確，也達到顯著性差異。說明資產組合效果的確存在，在建立模型的同時，不應該將其忽略；貨幣模型如果納入資產組合模型的結論，確實能夠提升對於匯率的解釋力。

Using asset prices to explain the fluctuations of nominal exchange rate is popular for decades. A majority of papers focused on Monetary Model but failed to make a consistent conclusion. In this article, we suggest that the failure of monetary model might be coming from the basic assumption of taking different countries’ assets as “perfect substitutes”. Under such circumstances, we introduce another model named as “Portfolio Balance Model” where assets of different countries are no longer be taken as “perfect substitutes” , implying that UIP( Uncoverd Interest Rate Parity)exist no more either. We do not overthrow the entire theory of Monetary Model. Instead, we expect the combination of these two models will turn something out that can be much more general, consistent, and robust.
We take Canada as our domestic currency and adopt Johansen(1988) and Stock & Walson(1988) by using co-integration to test on three exchange rates relation (USD/CAD,GBP/CAD,JPY/CAD) from 1973 Q1 to 2004 Q4. It turns out that most of the coefficient are correct and passing statistical significance, such result suggest that the portfolio balance effect should not be ignored in the model.

第一章 緒論 1
　第一節 研究背景與動機 1
　第二節 研究目的 4
第三節 研究對象 4
第二章 文獻探討 9
第一節 貨幣學派的缺陷 9
第二節 理論文獻探討 10
第三節 實證文獻探討 13
第三章 理論模型推導 17
第一節 基本假設 17
第二節 均衡分析 18
第三節 模型安定條件 19
第四節 靜態均衡分析 20
ㄧ、公開市場操作對於匯率的影響 22
二、干預市場操作對於匯率的影響 23
三、沖銷政策對於匯率的影響 24
四、發行新債券對於匯率的影響 25
五、發行新貨幣對於匯率的影響 27
六、經常帳盈餘對於匯率的影響 28
第五節 模型之延伸與改進 29
第四章 研究方法 33
第一節　單根檢定 33
一、ADF Test 33
二、 PP Test 33
三、落遲期數選擇 35
第二節 向量自我回歸模型 36
第三節 共整合模型 37
第四節 係數限制下的共整合檢定 40
第五章 研究成果 41
第一節 研究變數與資料來源 41
第二節 單根檢定 52
第三節 落遲期數選擇 56
第四節 共整合模型檢定 58
第五節 標準化係數檢定 61
第六節 遺漏變數檢定 63
第六章 結論 64
參考文獻 66

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二、中文文獻
黃瓊玲譯，2006，《國際金融 Dennis R. A, Alfred J. F, Steven L. Cobb著 》，麥格羅希爾出版，東華總代理
楊奕農著，2005，《時間序列分析 : 經濟與財務上之應用》，雙葉書廊
賈昭南著，2002，《國際金融實務與理論》，華泰文化
萬哲鈺著，2005，《國際金融 International finance》，雙葉書廊
蕭欽篤著，2006，《國際金融 International finance》，智勝文化