本研究主要是探討國內外衝擊，對實質匯率所造成的影響，以台灣和三個主要貿易伙伴為研究對象，期間是1982:1-2004:3的季資料。北美洲、亞洲、歐洲三個經濟區域，是台灣主要往來的貿易伙伴，故以區域整合的多邊貿易為研究方向，取代以往的雙邊貿易研究，探討台灣與三個區域實質匯率的變動。一般會造成實質匯率變動的因素，如產出、價格、利率、貨幣等等。其相關研究如下：
　　Balassa-Samuelson model (1964) 的研究是首創先驅，其研究指出產出的增加會造成匯率升值。Rogoff (1992) 運用開放經濟來說明實質匯率高度振盪，主要是來自於產出或政府支出所引起的。近期Hoffmann and MacDonald (2001) 使用SVAR模型來探測G7的實質產出、利率差和實質匯率之間的關係。
　　價格水準亦是探討實質匯率變動的變數之一，因為實質匯率是二國價格比產生的，而Obstfeld and Rogoff (1995)是近期有名的研究，因此後起者都以他們的研究為基礎。Engel (2001) 延續Obstfeld and Rogoff (1995) 模型進行研究，同樣發現價格是對實質匯率造成影響的因素之一。Ng (2003) and Benigno (2004) 亦提供一個實證研究，認為價格僵固是造成實質匯率波動的影響。
　　根據文獻的研究結果，選擇區域產出、區域價格、國內產出、國內價格與實質匯率變數，進行探討實質匯率波動的影響。在進行模型架設之前，先行檢測單根檢定與共整合檢定，本研究變數之間為穩定數列，且沒有共整合關係。研究的結論:
1.台灣與亞洲地區實質匯率的影響：主要是實質匯率本身，第二是　亞洲產出，第三是亞洲價格。
2.台灣與歐洲地區實質匯率的影響：主要是實質匯率本身，第二是　歐洲價格，第三是歐洲產出。
3.台灣與北美洲地區實質匯率的影響：主要是實質匯率本身，第二　是北美洲價格，第三是台灣產出。
　　由上述的結果可得知，台灣是小型的經濟個體對於實質匯率的影響較小，實質匯率的影響主要來自於本身或者是實質匯率內在因素，其次是區域經濟體的影響，台灣對於實質匯率影響小，表示台灣非常需要仰賴貿易活動。

　　Taiwan lacks of natural resources and highly industrialized at the same time. International trade activities are the most crucial way to obtain raw materials for production and channels to sell Taiwan’s output to the rest of the world. Therefore, the fluctuation of real exchange rate influences exports and imports just as double blades sword, and subtly causes welfare issue. In this paper, we combine traditional productivity argument proposed by Balassa-Samuelson and recent literatures focusing on sticky price both to cause real exchange rate in the long-run using Taiwan as a case. Using structural VAR model to decompose unobservable shocks, change in productivity between domestic economy and the trading blocs is still the most influencing factor to explain the fluctuation of real exchange rate of Taiwan.

Abstract 1
1. Introduction 2
2. Empirical Model 6
2.1. Brief of trading relation 6
2.2. Preliminary tests for data in the system 8
2.2.1. Unit Root Test 8
2.2.2. The Johansen Methodology 11
2.3. Structural VAR and identification 12
2.3.1. An empirical model 12
2.3.2. Identification restrictions 14
3. Empirical Analysis 17
3.1. Impulse Responses 18
3.1.1. Impulse Responses - Asia 18
3.1.2. Impulse Responses - Europe 22
3.1.3. Impulse Responses - North America 26
3.2. Variance Decomposition 30
3.2.1. Variance Decomposition - Asia 31
3.2.2. Variance Decomposition - Europe 34
3.2.3. Variance Decomposition - North America 37
4. Conclusions 40
Appendix A. Dynamic General Equilibrium Model 42
Appendix B. Unit Root Test 43
1. Augmented Dickey-Fuller 43
2. Phillips-Perron 44
3. KPSS 44
Table A. Choosing the lags length for unit root test 45
Appendix C. Johansen Methodology 45
Appendix D. Granger Causality Methodology 48
Table B. Granger Causality Tests - Asia 49
Table C. Granger Causality Tests - Europe 50
Table D. Granger Causality Tests - North America 51
Appendix E. Shares of Trading Regions 52
Appendix F. Theoretical Model 53
References 57

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