在台灣的制度下，若貨幣需求函數為已知，則中央銀行能透過控制貨幣供給，來促進經濟成長及穩定物價。實際上，真正的貨幣需求函數為未知，因此本文的重點在於估得台灣的交易性貨幣需求函數。首先採用Augmented Dickey-Fuller檢定、 Phillips-Perron檢定及Ng-Perron檢定檢驗出台灣的實質國民所得、實質M1B及第一銀行的一個月定存利率具有一次單根，在Engle and Granger (1987) 的共整合模型下，採用Johansen (1988, 1991) 的最大概似法來估計共整合向量，實証結果與李慶男 (1996) 結論大致相同。在Engel and Granger的共整合模型下，具有相同齊次為一的數列，則其個別變數的線性組合會屬於I(0)，但有可能出現變數間雖具有共整合關係，其線性組合卻為非穩定，因此Engel and Granger的共整合模型無法包含全部的非定態經濟模型。Harris, McCabe, and Leybourne (2002) 提出隨機共整合模型，其放寬變數線性組合後須為穩定的限制。因此本文更進一步採用Harris, McCabe, and Leybourne (2002) 的隨機共整合模型來探討台灣的交易性貨幣需求，實証結果顯示：台灣的非定態的實質交易性貨幣M1B、實質國民所得及第一銀行的一個月定存利率有一隨機共整合關係。

In the system of Taiwan, if the demand function is given, then the Central Bank can improve economic growth and steady price by controlling the money supply. In fact, true money demand is unknown, so focal point of my paper is to estimate trading money demand function of Taiwan. First, I get that real income, real M1B, and nominal rate are integrated of order 1 processes by using Augmented Dickey-Fuller test (ADF test) , Phillips-Perron test (PP test) , and Ng-Perron (NP test) . In the conventional model of Engle and Granger (1987) , I use Johansen’s (1988, 1991) maximun likelihood method to estimate co-integrating vector.
The result is the same with Ching-Nun Lee (1996) . In the conventional model of Engle and Granger, a linear combination of individually I(1) series becomes I(0).
Series have cointegration, but their linear combination is not I(0). Therefore the conventional model of Engle and Granger does not encompass all non-stational economic models. Harris, McCabe, and Leybourne (2002) provided the stochastic cointegration. The stochastic cointegration allows that a linear combination of individually I(1) series is not I(0). Therefore, my paper also uses stochastic cointegration to test trading money demand of Taiwan. The result is real M1B, real income, and one month rate have stochastic cointegration.

謝辭
摘要
目錄......................................................i
圖目錄..................................................iii
表目錄...................................................iv
第一章 前言...............................................1
第二章 理論模型與文獻回顧.................................4
2.1 交易性貨幣需求理論模型................................4
2.2 國內文獻..............................................6
第三章 實証方法研究......................................11
3.1 單根檢定.............................................11
3.1.1 Dickey-Fuller檢定法................................12
3.1.2 Augmented Dickey-Fuller檢定法......................14
3.1.3 Phillips-Perron檢定法..............................15
3.1.4 KPSS檢定法.........................................17
3.1.5 Ng-Perron檢定法....................................17
3.2 傳統共整合...........................................18
3.3 隨機共整合...........................................23
3.3.1 模型 (Models)......................................24
3.3.2 回歸 (Regression)..................................25
3.3.3 假設檢定及檢定統計量 (Hypothesis Tests and Test Statistics)..............................................26
第四章 實証結果分析......................................28
4.1 資料的定義與來源.....................................28
4.2 單根檢定結果.........................................28
4.3 模型設定檢定.........................................30
4.4 Johansen共整合的估計與檢定...........................32
4.5 隨機共整合分析.......................................33
第五章 結論..............................................34
附錄A 圖表...............................................35
參考文獻.................................................40

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