本文使用台灣地區1991年至2005年期間的季資料，利用probit模型實證探討匯率波動性與國際金融整合程度兩項因素對於台灣地區資本淨流量之影響。結果如下：匯率波動性對於資本淨流量的影響，顯示出當匯率波動性較大時，金融不穩定性的機率會下降；而國際金融整合程度對於資本淨流量的影響，顯示出當國際金融整合程度愈高時，台灣地區的金融不穩定性的機率會提高。此外，以上兩個變數交叉項對資本淨流量為正向的關係，顯示匯率波動性可以抵銷國際金融整合程度的影響。但就台灣地區資料來看，當前的國際金融整合程度已經高到難以藉由浮動匯率制度予以抵銷，必須另謀他策。

This article applies a probit model to empirically estimate the effects of exchange rate fluctuations and international financial integration degree on the net capital flow in Taiwan using quaterly data covering the period from 1991 to 2005.Our finding proved that exchange rate fluctuations have generated negative effects to the net capital flow, indicating that financial instability might be eliminated by allowing fluctuations in foreign exchange rate. International financial integration can significantly generate adverse effect to financial stability. Finally, the interaction effect of the two variables is used to calculate the threshold that the extent to which the adverse effect of financial integration being eliminated by exchange rate fluctuation. Our data have shown that current level of international financial integration is too high to be eliminated by the exchange rate fluctuation.

第一章	緒論	1
第一節	研究背景與動機	1
第二節  研究目的	5
第三節  論文架構	6

第二章	文獻探討	8
第一節  資本流動性與金融易碎性的探討	8
第二節  匯率制度的探討	11
第三節  金融整合程度和資本控制的探討	14

第三章	實證模型	17
第一節  實證方程式	17
第二節  Probit模型	20
第三節  統計資料來源	25

第四章	實證估計與結果	38
第一節  實證結果-匯率波動性	38
第二節  實證結果-匯率制度	47
第三節  匯率波動性與國際金融整合程度交互作用	55

第五章	結論	68

附錄	71

參考文獻	75

表目錄
表3-1   變數定義、計算方式與資料來源 ------------------------------ 25
表3-2   各變數敘述統計量分析  ------------------------------------ 36
表4-1   實證估計結果   ------------------------------------------- 39
表4-2   實證估計結果   ------------------------------------------- 41
表4-3   實證估計結果   ------------------------------------------- 44
表4-4   實證估計結果   ------------------------------------------- 48
表4-5   實證估計結果   ------------------------------------------- 50
表4-6   實證估計結果   ------------------------------------------- 52
表4-7   實證估計結果   ------------------------------------------- 56
表4-8   實證估計結果   ------------------------------------------- 58
表4-9   實證估計結果   ------------------------------------------- 59
表4-10  實證估計結果   ------------------------------------------- 61
表4-11  實證估計結果   ------------------------------------------- 63
表4-12  實證估計結果   ------------------------------------------- 65
表4-13  金融整合程度(LMF)門檻值   -------------------------------- 66
附錄表1 實證估計結果    ------------------------------------------ 71
附錄表2 實證估計結果    ------------------------------------------ 72
附錄表3 實證估計結果    ------------------------------------------ 73
附錄表4 實證估計結果    ------------------------------------------ 74

圖目錄
圖1-1台灣地區資本流量   -----------------------------------------  3
圖1-2台灣地區國際金融整合程度   ---------------------------------  3
圖1-3台灣地區匯率標準差   ---------------------------------------  3
圖3-1金融帳餘額     --------------------------------------------- 26
圖3-2金融帳扣除衍生性投資餘額   --------------------------------- 27
圖3-3證券投資餘額   --------------------------------------------- 28
圖3-4證券投資中股權證券部分之餘額   ----------------------------- 29
圖3-5證券投資中債權證券部分之餘額   ----------------------------- 30
圖3-6台灣地區金融整合程度   ------------------------------------- 30
圖3-7台灣地區匯率波動性   --------------------------------------- 31
圖3-8台灣地區經常帳盈餘佔GDP的比率   ---------------------------- 32
圖3-9台灣地區貿易條件變動率   ------------------------------------ 32
圖3-10國際實質利率   --------------------------------------------- 33
圖3-11台灣地區財政赤字佔GDP的比率   ----------------------------- 34
圖3-12台灣地區外人投資佔GDP的比率   ----------------------------- 35
圖3-13台灣地區國際準備佔總外債的比率   --------------------------- 36
圖4-1台灣地區金融整合程度   -------------------------------------- 67

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