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博碩士論文 etd-0801107-143831 詳細資訊
Title page for etd-0801107-143831
論文名稱
Title
通貨替代之探討-臺灣之實證研究
Currency Substitution:Empirical Investigation Of Taiwan
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
83
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2007-07-24
繳交日期
Date of Submission
2007-08-01
關鍵字
Keywords
通貨替代、資產組合平衡模型、誤差修正模型、共整合檢定
Portfolio Balance Approach, Currency Substitution, Error Correction Model, Cointegration
統計
Statistics
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中文摘要
在開放經濟體系下,若存在通貨替代現象,既使一國採取浮動匯率制度,仍可能失去貨幣政策的自主權。本文主要探討在小型開放經濟體系下,以資產組合平衡模型的觀點,建構一個涵蓋通貨替代因素的國內貨幣需求函數,檢定臺灣於管理浮動匯率期間是否存在通貨替代現象,以及其對國內貨幣需求及貨幣政策的影響。利用Johansen共整合檢定法分析1981年第一季至2005年第四季之季資料,找出國內貨幣需求與其他變數間之長期均衡關係,並以實質匯率檢定通貨替代是否存在,同時利用誤差修正模型探討短期動態調整過程。
單根檢定結果驗證國內貨幣需求與本國實質所得、本國名目利率、外國名目利率及實質匯率均為整合級次為1的非定態時間序列,具有單根性質;而Johansen共整合檢定結果發現變數間有一組共整合向量,亦即存在長期穩定的均衡關係;且實質匯率與國內貨幣需求的關係為負,顯示臺灣確實存在通貨替代現象,即當台幣貶值時,民眾傾向多持有外國貨幣而減少持有本國貨幣,造成國內貨幣需求降低。同時,利用誤差修正模型分析顯示,誤差修正項之係數為-0.17,表示若前期貨幣持有大於均衡值,產生市場失衡現象,則本期會以17%的速度減少貨幣持有,以消除均衡誤差。此一情形與前述共整合向量中相關變數之有效的長期均衡關係結果吻合。
本文實證結果顯示,通貨替代確實對貨幣需求及貨幣政策自主性產生重要影響,隨著臺灣經濟發展日益自由化與國際化,央行的貨幣政策勢必難以阻隔國際經濟情勢之影響,因此,就貨幣政策之擬定方面,除了考量產出水準、金融制度外,仍應將外國因素之影響列入考慮,並詳加觀察不同因素對經濟體系可能產生的衝擊,俾憑制定適宜的政策,以期達到真實之經濟目標。
Abstract
If there is currency substitution, the central bank will lose independence in monetary policy even if the flexible exchange rate system is adopted. In this paper, we investigate the existence of currency substitution between Taiwan and the United States in an open economy during the period of the managed floating exchange rate system, and examine the role of the factor influencing monetary policy and domestic money demand function derived from a small-country portfolio balance approach. To take account of currency substitution, we use quarterly data over 1981-2005 period on the demand for money and include data on the real exchange rate in addition to real income, domestic nominal interest rate and foreign nominal interest rate.
The methodology is based on an application of the Johansen and Juselius(1990)cointegration technique. Also use error correction model to discuss short-run dynamic adjustment processes of these variables. Application of the Augmented Dickey-Fuller test and Phillips-Perron test indeed reveal that all variables are integrated of order one. The result from the Johansen’s maximum likelihood mehtod reveal that there is only one cointegrating vector among the variables. This implies that there is long-run equilibrium relationship among the variables. There is clear evidence that demand for money is affected not only by changes in domestic variables such as real income, domestic nominal interest rate but also by fluctuations in foreign nominal interest rate and real exchange rate. And the coefficiect of the real exchange rate is negative and statistically significant. That means currency substitution is significant factor in the domestic money demand equation and currency substitution indeed exists in Taiwan.
This paper successfully provides a consistent result, currency substitution indeed exists in Taiwan. Therefore, to have an effective monetary policy, the monetary authorities should take into account the international factors.
目次 Table of Contents
目錄
誌謝辭………………………………………………………………………………Ⅰ
中文摘要……………………………………………………………………………Ⅱ
英文摘要……………………………………………………………………………Ⅲ
目錄…………………………………………………………………………………Ⅴ
表目錄………………………………………………………………………………Ⅵ
圖目錄………………………………………………………………………………Ⅶ
第一章 緒論 …………………………………………………………………… 1
第一節 研究動機與目的………………………………………………… 1
第二節 研究方法………………………………………………………… 4
第三節 研究流程………………………………………………………… 6
第四節 本文架構………………………………………………………… 7
第二章 理論探討與文獻回顧 ………………………………………………… 8
第一節 通貨替代的起源及意義………………………………………… 8
第二節 國內外文獻回顧…………………………………………………11
第三章 計量方法 ………………………………………………………………24
第一節 單根檢定…………………………………………………………26
第二節 共整合檢定………………………………………………………32
第三節 誤差修正模型……………………………………………………38
第四章 實證模型 ………………………………………………………………40
第五章 實證結果與分析 ………………………………………………………43
第一節 資料來源與處理…………………………………………………43
第二節 單根檢定結果……………………………………………………45
第三節 Johansen共整合檢定結果………………………………………47
第四節 誤差修正模型分析………………………………………………55
第六章 結論與建議 ……………………………………………………………58
第一節 結論 ………………………………………………………………58
第二節 建議 ………………………………………………………………60
附錄 …………………………………………………………………………………61
參考文獻 ……………………………………………………………………………69
參考文獻 References
參考文獻
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