本研究以台灣和日本為對象,使用了Enders and Siklos (2001)門檻共整合模型,研究貨幣供給(M2)、實質國內生產總值(GDP)與匯率間的長期均衡關係,並試圖建立一匯率的評價與預測的模型。本研究發現不管是用共整合模型或是門檻共整合模型都顯示貨幣供給(M2)及實質國內生產總值(GDP)與匯率之間具有共整合的關係。門檻誤差修正模型顯示,當匯率偏離模型預估值,下一期會修正並回歸長期均衡;且當偏離的絕對值超過門檻值,下一期修正並回歸長期均衡的速度會更快。本研究發現門檻共整合模型的預測誤差低於共整合模型,且兩者都具有預測未來匯率走勢的能力。
This study investigates the relation among Taiwan-Japan exchange rate, money supply and real gross domestic product by using threshold co-integration model (Enders and Siklos, 2001). We intend to find the long-term equilibrium of exchange rate in order to evaluate and predict the trend. Both threshold co-integration and co-integration models show that exchange rate co-integrates with money supply and real gross domestic product. Threshold error correction model indicates the deviations of exchange rate will disappear in the next period. In addition, when the deviations exceed a certain level, the correction will take place faster. This study shows that the threshold model has grater predict power than the one does not consider threshold effects, and both models can predict the future trends of exchange rates.