新台幣實質有效匯率之實證研究

本文旨在依據各種類型貨幣籃，編製1995:1~2006:12這段期間的新台幣實質有效匯率指數，並執行穩定性與結構變遷檢測。實證結果顯示，台灣財貨市場的購買力平價說，可能是以新台幣實質有效匯率歷經兩次結構性貶值的方式存在。第一次貶值時點估計為1997:8~1997:12，與亞洲金融危機的疫情蔓延時點相符；第二次貶值時點則分散在2001:4與2002:6~2002:10兩段期間內，本文推測同時段國內利率的大幅調降，可能扮演關鍵角色。最後，本文也藉由樣本外模擬預測的方式，彙整各項有效指數的綜合預測表現。

The motive of this paper is to select several types of currency baskets, in order to construct the corresponding time series for real effective exchange rate (REER) index of New Taiwan Dollar (NTD), during 1995:1-2006:12. The empirical results show that the Purchasing Power Parity (PPP) for Taiwan commodity market exists, with structure changes incorporating two break points of real devaluation, for the major REER index of NTD. Furthermore, the estimated time period of the first break mentioned above, 1997:8-1997:12, coincided with the contagious diseases of the East Asia Financial Crisis, while the second break point is estimated to occur either at 2001:4 or during 2002:6- 2002:10, attributed by the dramatic decrease of domestic interest rate. In the end of this paper, we also present the comprehensive prediction performance of all REER index of NTD constructed in our work, by the empirical method of out-of-sample forecasting.