新台幣對美元之通貨替代實證研究貨幣需求之穩定性分析

Empirical Study of Currency Substitution for New Taiwan Dollar-U.S. Dollar Analyzing the Stability in Money Demand

台灣是一個開放的經濟體系，資本及金融市場呈現了高度的自由化；民眾持有多元的國際資產組合，勢必會對貨幣需求產生一些不穩定的衝擊。有鑑於此，本文分析的焦點，是藉由探討本國貨幣與外國資產之間的替代關係，估計出更為全面的貨幣需求函數，以提供決策當局較精確的參考指標。我們利用台灣1985Q4-2005Q4的季資料，驗證台灣與美國之間存在著廣義的通貨替代（CSB）；並描述實質貨幣需求的長期均衡關係式。實證的結果，台灣呈現顯著的通貨替代關係；換句話說，國內的貨幣體系對源自國際間的干擾因素，具有高度的敏感性。是貨幣當局在決策的過程中，不容忽視的問題。

Taiwan is an open economy which is highly characterized by free movements in capital and financial markets. However, with growing international portfolio diversification of domestic people's asset holdings, it may cause a distabilizing impact on monetary demands. This paper focuses on the substitution between domestic and foreign assets, trying to estimate a more comprehensive money demand which can be used for a reference for government policy. We use quarterly data during 1985Q4-2005Q4 to prove CSB between Taiwan and United States, explaining a long-run relationship in real money demand. Our empirical results show that there is a significant relationship of currency substitution in Taiwan. It also implies that domestic monetary system is very sensitive to the international shocks, which deserves more attention from the monetary authority.