由於經濟的全球化與國際貿易的蓬勃發展，引伸出的國際間通貨交換問題也就日趨嚴峻。而匯率為衡量國際間通貨交換之指標，且從固定匯率轉變為浮動匯率制度會造成匯率水準巨幅波動。所以對於小型開放體系又以出口導向政策為主的台灣而言，更難以避免此一衝擊。因此研究匯率波動具有其重要意義。
本研究以1981年第1季至2003年第4季為樣本期間，比較北美洲、歐洲以及亞洲等三個區域與台灣之間長期之下影響實質匯率波動之因素。理論上引用Clarida and Gali（1994）提出之模型基礎，觀察相對產出比、實質有效匯率以及國內貨幣供給作為研究變數；在實證上運用單根檢定確認存在單根並經由共整合檢定確認無共整合關係，再根據Blanchard and Quah（1989）運用長期限制條件來建構結構式向量自我迴歸模型，並以衝擊反應函數及變異數分解來進行分析。
經由實證發現，當台灣面對以工業化國家為主之北美洲及歐洲區域時，長期下實質匯率波動之因素來自於需求面衝擊，此項結果與Lastrapes（1992）、Clarida and Gali（1994）以及Chen and Wu（1997）之實證文獻相同。而面對以開發中國家為主之亞洲區域則發現長期下影響實質匯率波動以供給面衝擊為主，說明產出效果於亞洲區域之重要性。此外，長期貨幣中立性亦於各個區域之實證結果下成立。

Because of economic globalization and prosperous growing international trade, the problem of international currency exchange derived from these situations becomes more serious. The exchange rate is the index for measuring the currency changing rate internationally, and the changing of exchange rate regime from fixed to floating will cause the volatility of exchange rate fluctuation. For Taiwan, a small open economy, and its exporting intensive policy, it is more difficult to avoid this impact. Therefore, it is meaningful to study the fluctuating of exchange rate.

The study compares the sources of real exchange rate fluctuations between Taiwan and North America, Europe and Asia in the long run over the period 1981:1 to 2003:4. The theoretical model of Clarida and Gali (1994) is used to observe related output, real effective exchange rate, and domestic money supply which are variables of this study. In empirical, the unit root is used to confirm that the unit root is exist and through the cointegration test to make sure that there is no relation of cointergration. And then, make use of the way provided by Blanchard and Quah (1989), using the long run restriction to construct the structural VAR model, and impulse response function and variance decomposition is derived to analyze the problem.

Through the empirical result, we can find that when Taiwan compare to North America and Europe, the source of long run real exchange rate fluctuation comes from demand shock, and this result is the same as Lastrapes (1992), Clarida and Gali (1994) and Chen and Wu (1997). For countries in Asia, which are developing countries mainly, the source of long run real exchange rate fluctuation comes from supply shock, and it explains the importance of effect of output .Besides, the long term monetary neutrality come into existence in each region, empirically.

第一章 緒論……………………………………………………………………1
第一節 研究背景與目的………………………………………………………1
第二節 研究架構………………………………………………………………3
第二章 文獻回顧………………………………………………………………4
第一節 實質匯率之理論回顧…………………………………………………4
第二節 實質匯率之實證回顧…………………………………………………9
第三章 研究方法………………………………………………………………11
第一節 理論模型……………………………………………………………11
第二節 單根檢定……………………………………………………………14
第三節 向量自我迴歸模型…………………………………………………19
第四章 實證分析………………………………………………………………28
第一節 資料說明……………………………………………………………28
第二節 實證結果……………………………………………………………30
第五章 結論……………………………………………………………………45
參考文獻…………………………………………………………………………46
表 目 錄
表1：國內貿易依存度之歷年平均………………………………………………… 2
表2：各區域之貿易比重……………………………………………………………29
表3：各項變數之單根檢定…………………………………………………………30
表4：各區域之Johansen共整合檢定………………………………………………31
表5：各區域之共同落遲期數檢定…………………………………………………32
表6：北美洲區域之變異數分解……………………………………………………41
表7：歐洲區域之變異數分解………………………………………………………42
表8：亞洲區域之變異數分解………………………………………………………43

圖 目 錄
圖1：相對產出之衝擊反應函數（北美洲區域）…………………………………34
圖2：實質有效匯率之衝擊反應函數（北美洲區域）……………………………34
圖3：國內貨幣供給之衝擊反應函數（北美洲區域）……………………………35
圖4：相對產出之衝擊反應函數（歐洲區域）……………………………………36
圖5：實質有效匯率之衝擊反應函數（歐洲區域）………………………………37
圖6：國內貨幣供給之衝擊反應函數（歐洲區域）………………………………37
圖7：相對產出之衝擊反應函數（亞洲區域）……………………………………38
圖8：實質有效匯率之衝擊反應函數（亞洲區域）………………………………39
圖9：國內貨幣供給之衝擊反應函數（亞洲區域）………………………………39

中文部分

林孟鋒（2003），影響臺灣出口之相關總體經濟變數，國立台北大學經濟學研究所碩士論文。

林政德（2001），台灣均衡實質匯率之研究-BEER模型之應用，逢甲大學經濟學研究所碩士論文。

紀燕翎（2002），購買力平價說對匯率動態的解釋能力？不同開發程度國家匯率實證結果，國立暨南國際大學經濟學研究所碩士論文。

陳志詳（2003），實質匯率之探討-以OECD國家實證研究，國立中山大學中山學術研究所碩士論文。

陳冠樺（1999），均衡實質匯率與亞洲金融風暴，國立台北大學經濟學研究所碩士論文。

陳盛通（2001），開發中國家貶值緊縮效果-以台灣及韓國為例，國立中山大學經濟學研究所碩士論文。

曾俊達（2003），單一貨幣制度對匯率的影響-以歐元發行前後對美元匯率為例，國立東華大學國際經濟研究所碩士論文。

廖先昱（2001），匯率不確定性與經濟成長，國立台北大學經濟學研究所碩士論文。

劉佳雨（2002），出口不穩定與經濟成長之因果關係-東亞地區實證研究，東吳大學國際貿易研究所碩士論文。

鍾明宏（2001），實質匯率非線性調整之實證研究，國立中正大學國際經濟研究所碩士論文。

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