有關經常帳的影響因素分析，國內外文獻已有廣泛的研究成果，但都側重對經濟體外影響來源因素之探討；為瞭解並提升政府靈活運用利率和匯率等政策工具主導經常帳變動，以與整體經濟情勢切合之能力，本文採用1987年第3季至2009年第1季共87筆季資料，建立台灣經常帳對國內生產毛額比值誤差修正模型，分別探討利率、匯率及消費者物價指數季增率，隨著時間變動時，使得經常帳產生增減變化情形，同時應用線性最小平方迥歸分析方法及非線性平滑轉換迥歸分析方法，實證結果發現非線性模型的解釋能力較佳，較為適合描述經常帳與利率、匯率及消費者物價指數之間的實際現象，即經常帳與利率、匯率及消費者物價指數之間的動態調整過程可能是非線性的。並且，由誤差修正模型的長期均衡關係發現，消費者物價指數係數是負的，匯率係數是正的，利率係數是負的。因此，當消費者物價上漲時，經常帳餘額占GDP比值減少。當匯率上升時，經常帳餘額占GDP比值增加。而當利率下跌時，經常帳餘額占GDP比值增加，說明利率變動的確對消費產生所得果。凡此不僅足以解釋實際的經濟現象，也符合經濟理論的預期。

The existing literature on current account’s analysis of influencing factors-related issues had had extensive research achievements, but they mostly stressed the discussion of influencing factors from outside the economic body. To better understand and improve government’s ability of controlling variations in current account balance in order to suit the macro economic situation through the use of nimble interest and exchange rate policies, we employ the analytical tool to examine factors that influence Taiwan's excess saving during the period from 1987Q3 to 2009Q1. We modify the current account share of GDP regression by including interest rate, exchange rate and quarterly rate of inflation to reflect the effect of current account dynamics. Empirical evidences indicate that the coefficients of the long-run relationship are significantly crucial. We apply both the linear error-correction model (ECM) and nonlinear smooth transition regression model to investigate the dynamics of current account vis-a-vis interest rate, exchange rate and the quarterly rate of inflation. and find supportings to the appropriateness of nonlinear smooth transition regression model. Furthermore, exchange rate was found having positive impact on current account balances. That is, a depreciation in the exchange rate would improve the current account and an appreciation, on the other hand, will worsen the current account. But the quarterly rate of inflation has a significantly negative effect, with an increase in the quarterly rate of inflation leading to a decrease in current account balances. Finally, from the long run cointegrating relationship, current account balances raises while the interest rate is decreasing, indicating there might exist income effect when interest rates fall. Because a fall in income reduces consumption, and increases saving, in turn, causes current account balances to rise, and vice versa. The empirical results shows all coefficients’ sign can not only explain and interpret real economic phenomena, but also are consistent with theoretical expectations.

目 錄
頁次
謝辭 i
中文摘要 ii
英文摘要 iii
目錄 iv
圖目錄 vi
表目錄 vii
第一章 緒 論 1
第一節 前 言 1
第二節 研究動機與目的 1
第三節 研究架構 6
第二章 文獻回顧與探討 10
第一節 經常帳實證之文獻回顧 10
第二節 非線性STAR模型相關文獻 12
第三章 實證模型與研究方法 15
第一節 實證模型 15
第二節 實證研究架構 18
第三節 研究方法 19
第四章 實證結果與分析 33
第一節 實證資料選取與說明 33
第二節 變數資料處理與說明 34
第三節 實證結果與分析 34
第五章 結論與建議 45
第一節 結論 45
第二節 建議事項 46
參考文獻 48

圖 目 錄
頁 次
圖3.1 研究方法架構圖 18
圖3.2 LSTAR1模型轉換函數 26
圖3.3 LSTAR2模型轉換函數 27
圖3.4 ESTAR模型轉換函數 28
圖4.1 經常帳占GDP比值非線性模型轉換函數 42
圖4.2 經常帳占GDP比值非線性模型估計值與實際值之配適 42

表 目 錄
頁 次
表1.1 中央銀行重貼現率 7
表1.2 平均每人民間消費支出 9
表3.1 線性檢定的虛無假設及檢定統計量 29
表4.1 模型變數定義及資料來源 33
表4.2 ADF、PP及KPSS檢定結果(含截距項不含時間趨勢項) 35
表4.3 ADF、PP及KPSS檢定結果(含截距項及時間趨勢項) 35
表4.4 VAR模型最適落後期數選取 36
表4.5 經常帳占GDP比值VECM模型跡檢定及最大特徵根檢定結果 36
表4.6 共整合向量個數及VECM模型選取 37
表4.7 經常帳占GDP比值(ca)線性誤差修正模型的估計結果 38
表4.8 線性模型最適落後期數選取 39
表4.9 經常帳占GDP比值非線性模型選取轉換變數及模型 40
表4.10 非線性模型估計結果 41
表4.11 經常帳占GDP比值非線性模型序列相關檢定結果 43
表4.12 經常帳占GDP比值非線性模型無異質變異檢定、常態分配檢定結果 43
表4.13 經常帳占GDP比值非線性模型參數不變檢定結果 43

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