| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 97 === The aim of this paper is to study the relationship between exchange rate、current account and financial account. Employing the unit root tests, cointegration tests of Johansen (1988) and VECM, the purpose of empirical evidence is to examine the long run equilibrium relationship and causality between these variables. Besides, forecast error variance decomposition is adopted to understand the responses of each variable’s impulse. Finally, the impulse responses belong to long term or short term and influences are positive or negative. The summary of the empirical result as follows: First, the result of Johansen test reveals the five variables resist a co-integration relationship. The increase in current account and financial account will make New Taiwan Dollars appreciate, however financial account has larger influences than current account does. Second, the results of forecast error variance decomposition demonstate that the most endogenous variables is current account, because it can be explained by endogenous variables about 30%, the next is consumption price index, about 21%. However, financial account is the most exogenous variables because of its self-explained variance extent around 94%.
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