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題名：匯率與資本管制--臺灣的實證研究
書刊名：經濟論文
作者：朱美麗 引用關係／簡美瑟 引用關係
作者(外文)：Chu, Mei-lie／Chien, Mei-se
出版日期：1999
卷期：27:2
頁次：頁209-246
主題關鍵詞：匯率；資本管制；Exchange rate；International capital mobility control
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:2
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　　　　　本文從存、流量互動的觀點，建立一資本管制且涵蓋央行外匯干預的資產選擇模型，探討資本管制放寬對匯率與政策變數關係的影響，以及央行外匯干預的可能衝擊；並且利用臺灣的資料，以共整合分析從事實證的研究。本文主要論點有二：（1）理論分析發現本國信用擴張與本國債券發行會導致本國通貨貶值；此外，資本管制程度變小，本國信用擴張對匯率的影響力變大，但債券發行對匯率的影響則不一定，與央行外匯干預幅度的大小有關。（2）實證結果顯示，臺灣在1984年1月至1997年12月這段期間，本國信用擴張與本國債券發行確實導致本國通貨貶值，而此種政策效果，在臺灣放寬資本管制的措施後皆顯著性增強，隱含央行在國際資本管制逐漸解禁的趨勢下，外匯干預幅度已變小。
　　　　　This paper constructs a portfolio model with the central bank's intervention to study the effects of deregulation of capital control on exchange rates and policy influences. In addition, the role of foreign exchange intervention during the process of capital account liberalization is investigated. There are two main conclusions in this paper. First, both domestic credit expansion and government bond issues theoretically lead to depreciation in the domestic currency. Moreover, the increasing capital mobility strengthens the effect of monetary expansion on the exchange rate, while such a change may increase or decrease the effect of bond issues on exchange rates depending on the magnitude of the central bank's foreign exchange intervention. Second, the empirical evidence shows that during the period from January 1984 to December 1997, the data of Taiwan is quite consistent with the findings of theoretical investigation. In addition, the increasing influence on the exchange rate from bond issues indicates that Taiwan's central bank intervention in the foreign exchange market seems to have declined.
期刊論文
1.Penati, A.、Gultekin, N. B.、Gultekin, M. N.(1989)。Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets。The Journal of Finance，44(4)，849-870。  new window
2.Cheung, Yin-Wong、Lai, Kon S.(1993)。Finite-Sample Size of Johansen's Likelihood Ratio Tests for Cointegration。Oxford Bulletin of Economics and Statistics，55(3)，313-328。  new window
3.Johansen, Soren、Juselius, Katarina(1992)。Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK。Journal of Econometrics，53(1-3)，211-244。  new window
4.Mundell, Robert A.(1963)。Capital Mobility and Stabilization Policy under Fixed and Flexible Exchange Rates。Canadian Journal of Economics and Political Science，29(4)，475-485。  new window
5.Gonzalo, Jesus(1990)。Five Alternative Methods of Estimating Long-run Equilibrium Relationships。Journal of Econometrics，60(2)，203-233。  new window
6.Godfrey, Leslie G.(1978)。Testing Against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables。Econometrica，46(6)，1293-1302。  new window
7.Kouri, Pentti J. K.(1976)。The Exchange Rate and the Balance of Payments in the Short Run and in the Long Run: A Monetary Approach。Scandinavian Journal of Economics，78(2)，280-304。  new window
8.Karefakis, C. I.、Parikh, A.(1993)。A cointegration approach to monetary targeting in Australia。Australian Economic Papers，32(2)，53-72。  new window
9.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。  new window
10.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society，49(4)，1057-1072。  new window
11.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control，12(2/3)，231-254。  new window
12.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics，52(2)，169-210。  new window
13.Fleming, J. Marcus(1962)。Domestic Financial Policies under Fixed and Floating Exchange Rates。IMF Staff Papers，9(3)，369-379。  new window
14.朱美麗、曹添旺、簡美瑟(19960900)。匯率與沖銷干預--臺灣的實證研究。經濟論文叢刊，24(3)，383-411。new window  延伸查詢new window
15.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association，74(366)，427-431。  new window
16.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika，75(2)，335-346。  new window
17.Branson, W. H.(1977)。Asset Markets and Relative Prices in Exchange Rate Determination。Sozialwwissenschaftliche Annalen，1，68-89。  new window
18.Koenker, R.(1981)。A Note on Studentizing a Test for Heteroscedasticity。Journal of Econometrics，17(5)，107-112。  new window
19.MacDonald, R.、Taylor, M. P.(1993)。The Monetary Approach to the Exchange Rate: Rational Expectations, Long-run Equilibrium, and Forecasting。International Monetary Fund Staff Papers，40(1)，89-107。  new window
20.Ramsey, J. B.(1969)。Tests for Specification Errors in Classical Linear Least Squares Regression Analysis。Journal of the Royal Statistical Society, Series B: Methodological，31(2)，350-371。  new window
21.Ericsson, N. R.、Hendry, D. F.(1991)。An Econometric Analysis of U. K. Money Demand in Monetary Trends in the United States and the United Kingdom by Milton Friedman and Anna J. Schwartz: Alternative Approaches to Analyzing Economic Data。The American Economic Review，81(3)，8-38。  new window
22.Arellano, J. P.(1982)。Macroeconomic Stability and the Optimal Degree of Capital Mobility。Journal of Development Economics，10(3)，377-393。  new window
23.Branson, William H.、Halttunen, Hannu、Masson, Paul(1977)。Exchange Rates in the Short Run: The Dollar-Deutschemark Rate。European Economic Review，10，303-324。  new window
24.Davies, N.、Newbold, P.(1979)。Some Power Studies of a Portmanteau Test of Time Series Model Specification。Biometrika，66(1)，153-155。  new window
25.賴景昌、朱雲鵬、蕭文宗、張文雅(1986)。Exchange Rate Intervention and Capital Mobility Control: Comparisons and Simultaneous Optimization。Journal of Development Economics，23(1)，119-134。  new window
26.Gylfason, T.、Helliwell, J. F.(1983)。A Synthesis of Keynesian, Monetary, and Portfolio Approaches to Flexible Exchange Rates。The Economic Journal，93(372)，820-831。  new window
27.Johansen, S.(1990)。Cointegration, Error Correction, and Purchasing Power Parity between Canada and the United States。The Canadian Journal of Economics=Revue canadienne d'Economique，23(4)，839-855。  new window
28.賴景昌、張文雅(1987)。Flexible Exchange Rates, Capital Mobility Control and Macroeconomic Policies。Journal of Economic Development，12(2)，183-188。  new window
29.Min, Hong-Ghi、McDonald, J.(1993)。The Portfolio-Balance Model of Exchange Rates: Short-run Behavior and Forecasting (The Korean Won/ U. S. Dollar Case)。International Economic Journal，75-87。  new window
30.Godfrey, L.(1978)。Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables。Econometrica，46(6)，1303-1310。  new window
圖書
1.Dornbusch, R.(1980)。Open Economy Macroeconomics。New York, NY：Cambridge University Press。  new window
2.Hendry, D. F.(1987)。Econometric Methodology: A Personal Perspective。Advances in Econometrics: Fifth World Congress, Vol. 2。Cambridge。  new window
3.MacDonald, R.(1987)。Floating Exchange Rates: Theories and Evidence。Floating Exchange Rates: Theories and Evidence。London, UK。  new window
4.Obstfeld, M.(1982)。Capital Mobility and the Scope for Sterilization: Mexico in the 1970s。Financial Policies and the World Capital Market: The Problem of Latin American Countries。Chicago, IL。  new window
 
 
 
 
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