| Summary: | 碩士 === 東吳大學 === 經濟學系 === 92 === Interest rate is a solid indication of economic power of the country. It also plays an essential part in Taiwan where economic and trading activities take places frequently. In the past 20 years, with the development of international trading and the expansion of international economics, our country has grown from a capital importer to a capital exporter. There has been a noticeable structure change in the capital movement. During the era of fast and massive capital movement, the article discuss the fluctuation situation of Taiwan-US exchange rate based on the experiment model regarding the association between exchange rate and capital movement resulted from EMPPP mentioned in and MacDonald (1995) article. The research time period is from the first quarter of 1982 to the second quarter of 2003. Variables include: Nominal Interest Rate (E), Relative Price Between 2 Countries (RP), Relative GTP Between 2 Countries (Z), and Net Overseas Asset (N). Capital movement variables include: Net Foreign Investment (NFI), Net Asset investment portfolio (NPI) and Net Other Investment (NOI). As far as research method concerns, in order to probe into the equilibrium relationships among all variables based on timeline related data, we choose “co-integration” method to conduct the evidence-based estimation.
First of, conduct single-rooted analysis for all variables to ensure that all variables are non-stationary and make sure that they have the same integration level. The result shows that except for NPI and NOI, all variables have single-rooted I (1). Then we adopt Johnasen’s Maximum Likelihood (MLE) to perform co-integration in order to examine the long-term equilibrium relationships of theoretic models. Finally, we use autoregression model to explore the process of short-term adjustment.
Based on the results from the study, we can conclude the following: 7 variables include nomial interest rate, relative price between 2 countries, net overseas assets (N), relative industrial index between 2 countries, net foreign investm3nt, net assets investment portfolio and net other investment have the co-integration relationships. The relations among all variables and interest rate match the theory except for relative industrial index between 2 countries. In addition, variable analysis shows that the fluctuation of interest rate can be affected by many others variables, among which, net asset investment portfolio has the most influence on interest rate in capital movement. Noticeable and continuous influence on interest rate can also be from the net foreign assets and relative industrial index between 2 countries. Other variables such as relative price between 2 countries and net other investment have somewhat unnoticeable effect.
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