一般之經常帳跨期模型大都假設在小型開放經濟下利率為外生固定。然而，在實証研究上，此種模型對於大國
之經常帳資料卻擁有較高的解釋能力，此與理論本身之假設矛盾。有鑑於此，本文在假設一個擁有兩種商品之
小型開放經濟下，以恆常所得理論所隱含之消費平滑觀念和理性預期的觀點為架構，建立一著重於消費面之經
常帳跨期現值模型，利用利率與匯率之可變性來解釋貿易經常帳的決定。此外，文中利用對數線性化與一階泰
勒展開式的方法，推導出對數線性化之跨期預算限制式，並建立與理論對應之VAR模型，利用未受限VAR模型估
計之參數，對理論模型之限制式作現值檢定，試以解釋台灣地區1981年第一季至2000年第一季間經常帳之波動
情況。實証結果顯示，考慮利率與匯率可變性下之跨期經常帳模型確實較一般的基本模型更能解釋經常帳餘額
波動的情形。

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目 錄
第一章 緒論 ……………………………………………………………………1
第一節 研究動機與目的 ………………………………………………………1
第二節 研究方法 ………………………………………………………………3
第三節 論文架構 ………………………………………………………………3
第二章 跨期經常帳模型之文獻回顧 …………………………………………5
第一節 國內、外文獻之回顧 …………………………………………………5
第二節 台灣地區實証研究之概述 ……………………………………………7
第三章 理論與實証模型之推衍………………………………………………10
第一節 利率與匯率可變下之經常帳模型……………………………………10
第二節 VAR模型 ………………………………………………………………15
第四章 模型實証分析…………………………………………………………19
第一節 資料來源、變數設定與參數估計……………………………………19
(一) 資料來源與變數設定…………………………………………………19
(二) 參數設定………………………………………………………………21
第二節 資料分析………………………………………………………………22
(一) 單根檢定………………………………………………………………22
(二) 遞延階數之選取………………………………………………………24
第三節 模型之檢定與評估……………………………………………………25
(一) 現值檢定………………………………………………………………25
(二) 實証結果分析…………………………………………………………29
第五章 結論與建議……………………………………………………………33
參考文獻 …………………………………………………………………………35
英文部份 …………………………………………………………………………33
中文部份 …………………………………………………………………………39
附錄一、最適消費組合的推導 …………………………………………………40
附錄二、對數線性化之跨期預算限制式的推導 ………………………………45
圖表目錄
《表1》單根檢定…………………………………………………………………23
《表2》遞延階數檢定……………………………………………………………24
《表3-1》現值檢定表—Benchmark Model ……………………………………28
《表3-2》現值檢定表—Optimal Model ………………………………………28
《表4》統計量摘要………………………………………………………………31
《圖1》Benchmark Model 經常帳之實際值與理論值…………………………25
《圖2》Optimal Model 經常帳之實際值與理論值……………………………26
《圖3》經常帳與淨產出成長率…………………………………………………32
《圖4》經常帳與相對物價變動…………………………………………………32

一、英文部份
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Backus, D.K., P.J. Kehoe and F.E. Kydland (1992), “International Real Business Cycles,” Journal of Political Economy, Vol. 100, 745-775.

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Brock, P. (1988), “Investment, the Current Account and the Relative Price of Non-Traded Goods in a Small Open Economy,” Journal of International Economics, Vol. 24, 235-253.

Campbell, J.Y. (1987), “Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis,” Econometrica, Vol. 55, 1249-1273.

Campbell, J.Y., A.W. Lo and A.C. Mackinlay (1997), The Econometrics of Financial Markets. Princeton: Princeton University Press.

Campbell, J.Y. and N.G. Mankiw (1989). “Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence.” In (O.J. Blanchard and S. Fischer eds.) NBER Macroeconomics Annual. Cambridge, MA: MIT Press, 185-244.

Campbell, J.Y. and R. Shiller (1987), “Cointegration and Tests of Present Value Models, ” Journal of Political Economy, Vol. 95, 1062-1288.
Campbell, J.Y. and R. Shiller (1989), “The Dividend-Price Ratio and Expectations of Future Dividends and Discount factors,” The Review of Financial Studies, Vol. 1, 195-228.

Dornbusch, R. (1983), “Real Interest rates, Home Goods and Optimal External Borrowing,” Journal of Political Economy, Vol. 91, 141-153.

Ghosh, A.R. (1995), “International Capital Mobility among the Major Industrialized Countries: Too Little or Too Much?,” Economics Journal, Vol. 105, 107-128.

Ghosh, A.R. and J.D. Ostry (1995), “The Current Account on Developing Countries: a Perspective from the Consumption-Smoothing Approach,” World Band Economics Review, 305-333.

Greenwood, J. (1983), “Expectations, the Exchange Rate and the Current Account,” Journal of Monetary Economics, Vol. 31, 543-570.

Haul, R.E. (1978), “Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence,” Journal of Political Economy, Vol. 86, 971-987.

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Hayashi, F. (1982), “The Permanent Income Hypothesis: Estimation and Testing by Instrumental Variables,” Journal of Political Economy, Vol.90, 895-916.

Huang, C.H. (1993), “An Empirical Study on Taiwan’s Current Account: 1961-90,” Applied Economics, Vol. 25, 927-936.


Huang, C.H. and K.S. Lin (1993), “Deficits, Government Expenditures, and Tax Smoothing in the United Sates: 1929-1988, ” Journal of Monetary Economics, Vol. 31, 317-339.

Johnson, D. (1986), “Consumption, Permanent Income and Financial Wealth in Canada: Empirical Evidence on the Intertemporal Approach to the Current Account,” Canadian Journal of Economics, Vol. 19, 189-206.

Karfakis, C. (1996), “Testing the Intertemporal Model of the Current Account: Some Evidence form Greece,” Applied Economics Letters, Vol. 3, 759-762.

Kravis, I., A. Heston, and R. Summers (1982), World Product and Income: International Comparisons and Real GDP, Baltimore, MD: Johns Hopkins University Press.

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Mehra, R and E. Prescott (1985), “The Equity Premium: a Puzzle,” Journal of Monetary Economics, Vol. 15, 145-161.

Milbourne, R. and G. Otto (1992), “Consumption Smoothing and the Current Account,” Australian Economics Papers, 369-384.

Obstfeld, M. (1981), “Macroeconomic Policy, Exchange-Rate Dynamics, and Optimal Asset Accumulation,” Journal of Political Economy, Vol. 189, 1142-1161.

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Obstfeld, M. and K. Rogoff (1996), Foundations of International Macroeconomics, Cambridge, MA: the MIT Press.

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Roubini, N. (1988), “Current Account and Budget Deficit in an Intertemporal Model of Consumption and Taxation smoothing. A Solution to the Feldstien-Horioka Puzzle,” National Bureau of Economic Research Working Paper, No. 2773.

Sachs, J. (1982), “The Current Account and Macroeconomic Adjustment Process,” Scandinavian Journal of Economics, Vol. 84, 147-159.

Sheffrin, S.M. and W.T. Woo (1990a), “Present Value Tests of an Intertemporal Model of the Current Account the Consumption Function,” Journal of International Money and Finance, Vol. 9, 220-233.

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Stokman, A. and L. Svensson (1987), “Capital Flows, Investment and Exchange Rate Systems,” Journal of Monetary Economics, Vol. 19, 171-202.

Stockman, A. C. and L. Tesar (1995), “Tastes and Technology in a Two-Country Model of the Business Cycle: Explaining International Comovements,” American Economic Review, Vol. 85, 168-185.

Svensson, L. and A. Razin (1983), “The Terms of Trade and the Current Account: The Harberger-Laursen-Metzler Effect,” Journal of Political Economy, Vol. 91, 91-125.

二、中文部份
陳信忠 (1994), “台灣地區經常帳的實証研究-VAR模型的應用,” 國立政治大學經濟學研究所碩士論文。

黃朝熙、祁玉蘭 (1995), “六個東亞國家恆常所得跨期模型經常帳模型的實證研究,”開放總體經濟論文集, 89-120。

趙欣儀 (1998), “消費與租稅平滑理論下之台灣地區經常帳及預算赤字跨期替代模型之實証研究,” 國立清華大學經濟學研究所碩士論文。