本文探討匯率與總體變數的短期動態調整至長期均衡關係的調整過程,以曹添旺和朱美麗 (1990)所設定之模型為基礎,建立一個包括股票市場而價格可以調整的小型開放經濟模型。實證方法為匯率與總體變數之非線性平滑轉換誤差修正模型。 本文利用Granger,Yan and Francis (2003)所提出的失衡指數(disequilibrium index)當作轉換變數,再利用Teräsvira(1994)給予配適非線性平滑移轉誤差修正模型。 實證結果發現,匯率、物價、實質所得、實質股價、貨幣供給成長率與國外利率間存在兩條長期均衡關係。且其中一條共積關係符合利率評價理論與購買力平價說條件。 而新台幣兌美元匯率之短期動態調整至長期均衡的過程呈現非線性的行為,其調整過程是非對稱性的Logistic平滑轉換誤差修正模型。
The purpose of this paper is to investigate the relationship among exchange rate and macroeconomic variables. Theoretically, in a small open economy like Taiwan, the changes in current account have important effects on economic variables. A nonlinear smooth transition error correction model is specified and estimated with a disequilibrium index as a proxy for the transition variable. The empirical results show that exchange rate, price level, real income, real stock price, money growth rate and foreign interest rate are cointegrated with each other. Furthermore, the hypothesis of Interest Rate Parity and Purchasing Power Parity hold in Taiwan. The long-run equilibrium relationship among exchange rate and macroeconomic variables is stable with nonlinear adjustment. The evidences suggest that the LSTECM model is best for characterizing the behaviors.