本文研究目的在探討原物料價格變動與進口國匯率變動之間的關係。我們將各國的金融整合程度視為物價與匯率相互影響的傳導媒介，並討論原物料價格與匯率的關係是否會隨著進口國的金融整合程度而有所不同。採用兩種研究方法:第一為縱橫資料固定效果門檻模型，第二為縱橫平滑移轉迴歸模型。我們的研究結果發現能源價格、原物料價格、Balassa-Samuelson效應以及國外資產淨額占GDP比重對匯率的影響，會隨著金融整合程度的升高而減少。

The purpose of this paper is to explore the relationship between real commodity price  and real exchange rate of commodity-importing countries. We consider the degree of financial integration as a transmission channel through which commodity price affects exchange rate, and discuss whether the relationship between commodity prices and exchange rates varies with the degree of financial integration of commodity-importing countries. Two research methods are adopted: the first is the fixed-effect panel threshold model, and the second is the panel smooth transition regression model. Our results show that the effects of energy prices, raw materials prices, Balassa-Samuelson effect and the ratio of net foreign assets to GDP on exchange rate decrease as the degree of financial integration increases.

目錄	I
表目錄	III
圖目錄	IV
第一章、緒論	1
1.1研究動機	1
1.2研究目的	2
1.3研究架構	2
第二章、文獻回顧	4
2.1匯率相關	4
2.1.1以進、出口國為樣本	4
2.1.2以出口國為樣本	8
2.2金融整合相關	11
2.3 PSTR模型應用	11
2.4文獻回顧小結	13
第三章、資料與變數定義	13
3.1資料	13
3.2變數定義	14
第四章、方法與模型	15
4.1研究方法	15
4.1.1 縱橫資料固定效果門檻模型Fixed-effect Panel Threshold Model	16
4.1.2 縱橫平滑移轉迴歸模型Panel Smooth Transition Regression Model	16
4.2實證模型	18
第五章、實證結果	19
5.1 縱橫資料固定效果門檻模型之實證結果	19
5.2 縱橫平滑轉移迴歸模型之實證結果	24
5.3 FEPT與PSTR模型結果之比較	35
第六章、結論	36
參考文獻	38
附錄	40

表目錄
表5.1.1FEPT模型之門檻估計值:金融整合程度指標為M2/GDP	19
表5.1.2FEPT模型之門檻效果檢定:金融整合程度指標為M2/GDP	19
表5.1.3FEPT模型之門檻估計值:金融整合程度指標為FDI/GDP	20
表5.1.4FEPT模型之門檻效果檢定:金融整合程度指標為FDI/GDP	20
表5.1.5FEPT模型之估計結果:金融整合程度指標為FDI/GDP	21
表5.1.6FEPT模型之門檻估計值:金融整合程度指標為PC/GDP	22
表5.1.7FEPT模型之門檻效果檢定:金融整合程度指標為PC/GDP	22
表5.1.8FEPT模型之估計結果:金融整合程度指標為PC/GDP	24
表5.2.1PSTR模型之線性檢定	25
表5.2.2轉換函數形式檢定	26
表5.2.3PSTR模型之估計結果:金融整合程度指標為FDI/GDP	27
表5.3.1FEPT與PSTR模型估計結果比較	35
附表1.1進口國家列表	40
附表1.2變數定義與來源	41

圖目錄
圖1.3.1研究架構之流程圖	3
圖5.2.1BALASSA-SAMUELSON效應係數變化圖	29
圖5.2.2國外資產淨額占GDP比重係數變化圖	30
圖5.2.3能源價格係數變化圖	31
圖5.2.4原物料價格係數變化圖	32
圖5.2.5外國直接投資占GDP比重係數變化圖	33
圖5.2.6轉換函數圖	34

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