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用以觀察國際變數是否具弱外生性。
而弱外生性檢定精神在於,因個別國家的誤差修正項不應對該國之國際變數具 有解釋能力,因此以檢定誤差修正項的估計係數是否顯著異於零,來觀察其是否存 在回饋效果,當檢定結果顯著,表示變數不存在弱外生性質,唯其計算過程繁瑣,在 此即不詳細敘述; 可參考 Johansen (1992) 與Harbo et al. (1998) 等文獻。
D.5 衝擊反應函數
模型估計的最後, 我們可藉由衝擊反應函數 (impulse response function) 來 觀察特定變數的衝擊將對其他變數造成的影響。 其精神在於給定已知的條件設定 中, 突然進行一個即時性的變動, 使其與未發生變動的原始環境相比, 觀察兩者期 望值差距的幅度,藉此預測總體變數未來可能的走勢。 而衝擊反應函數可以大致區 分為 Cholesky 分解 (Cholesky decomposition) 的衝擊反應函數, 以及一般化 衝擊反應函數 (generalized impulse response function) 。 前者需要依據變數影 響的程度來手動設定排列順序, 不同的排序有可能會造成截然不同的結果; 後者為 Pesaran and Shin (1988) 提出, 不需排序即可知曉衝擊反應函數的結果, 因此可 避免先入為主的人為因素,而造成可能因果關係失真, 本文研究主要亦是著重於一 般化衝擊反應函數的分析,其函數定義如下:
GIRF (xt; uilt, n) = E(xt+n|uilt =√
σii,ll, Ωt−1) − E(xt+n|Ωt−1),
其中, Ωt−1 為t − 1期的資訊集合 (information set) , σii,ll 代表第i個國家中第 l 個方程式的變異數—共變異數矩陣主對角線元素, n 為預測期間長度。
D.6 同期影響效果
同期影響效果主要是觀察當國際變數變動時, 本國相對變數變動的情形。 透過 估計出的係數, 我們能夠觀察於同一時間, 本國與全球變數連動的程度, 更進一步 的說, 這是一種於國內外變數影響彈性 (impact elasticity) 的概念。 面對國際變 數1%的變動,高度的影響彈性表示國內外同步的關係較為強烈。 此一數據能幫助 我們了解各國經濟的開放程度, 也能對該國於全球互動的緊密程度有初步的認識 與解讀。
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E 附表
附表1: 美國量化寬鬆政策
政策 期間 規模 備註
QE1 2008/11 ∼ 2010/03 1.75兆 自2008宣布後,2009/03加碼 QE2 2010/11 ∼ 2011/06 6000億 買入公債
OT 2011/09 ∼ 2012/12 6000億 買入公債
QE3 2012/09 ∼ 400億/月 買入 MBS
QE4 2012/12 ∼ 450億/月 繼 QE3 後加碼買入公債
QE 退場 2014/01 ∼ 註: OT為扭轉操作。
附表2: 2008年-2010年GDP-PPP之平均值
國家 GDP-PPP
AUT 324511416387.75 BEL 392143424687.11 FIN 192388033060.38 FRA 2156087868508.19 DEU 2983500824153.86 ITA 1910438272196.80 NLD 684533898439.04 ESP 1467285768331.49
註:單位:國際元。
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附表3: 國家代碼對照表
國家 代碼 國家 代碼
阿根廷 ARG 日本 JPN 澳洲 AUS 南韓 KOR 奧地利 AUT 墨西哥 MEX 比利時 BEL 馬來西亞 MYS 巴西 BRA 荷蘭 NLD 加拿大 CAN 挪威 NOR 瑞士 CHE 紐西蘭 NZL 智利 CHL 祕魯 PER 中國大陸 CHN 菲律賓 PHL 德國 DEU 沙烏地阿拉伯 SAU 西班牙 ESP 新加坡 SGP 歐元區 EUR 瑞典 SWE 芬蘭 FIN 泰國 THA 法國 FRA 土耳其 TUR 英國 GBR 中華民國 TWN 印尼 IDN 美國 USA 印度 IND 南非 ZAF 義大利 ITA
註:除歐元區外,其餘國家採用ISO 3166-1三位字母代碼
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附表4: 敘述統計-產出
y Mean Med. Max Min S.D. Skew. Kurt.
ARG 4.5132 4.4908 5.1047 4.1608 0.2467 0.5929 2.4014 AUS 4.4436 4.4316 4.9187 3.9578 0.2982 0.0045 1.6943 BRA 4.5306 4.5195 4.9940 4.1293 0.2303 0.2249 2.1833 CAN 4.4508 4.4091 4.8126 4.0313 0.2409 - 0.0326 1.6844 CHN 4.2811 4.2557 5.8595 2.8258 0.8628 0.1218 1.9196 CHL 4.3383 4.4549 5.0493 3.5722 0.4640 - 0.1976 1.5885 EUR 4.4822 4.4873 4.7400 4.1679 0.1797 - 0.2769 1.7771 IND 4.3926 4.3608 5.4159 3.5708 0.5319 0.2047 1.8825 IDN 4.4589 4.5520 5.1707 3.7342 0.4070 - 0.1867 1.8863 JPN 4.5216 4.5765 4.7333 4.1547 0.1655 - 0.9047 2.5345 KOR 4.2866 4.4223 5.0418 3.2022 0.5431 - 0.4442 1.9546 MYS 4.2871 4.4442 5.0732 3.3784 0.5261 - 0.2241 1.6312 MEX 4.4385 4.4087 4.8154 4.1121 0.2323 0.1153 1.5343 NOR 4.3590 4.3871 4.7058 3.9118 0.2548 - 0.2148 1.6543 NZL 4.7908 4.7805 5.1255 4.4582 0.2072 0.2493 1.6247 PER 4.5649 4.5193 5.2305 4.1074 0.2815 0.7081 2.5277 PHL 4.5142 4.4748 5.1033 4.0676 0.2994 0.4135 1.9149 ZAF 4.5597 4.4971 4.9799 4.2894 0.2116 0.6333 2.0209 SAU 4.5250 4.4974 4.9932 4.1293 0.2341 0.1587 1.9776 SGP 4.2389 4.3684 5.1561 3.2159 0.5754 - 0.1871 1.7303 SWE 4.4945 4.4535 4.8501 4.1728 0.1978 0.1437 1.7783 CHE 4.5317 4.5093 4.7895 4.2801 0.1449 - 0.0172 2.0361 THA 4.3823 4.5427 5.0468 3.4505 0.4891 - 0.5054 1.9205 TUR 4.4248 4.4519 5.0801 3.7775 0.3585 - 0.0353 1.9456 TWN 4.2774 4.3964 5.0402 3.3012 0.5108 - 0.3848 1.8943 GBR 4.4761 4.4681 4.7928 4.0858 0.2160 - 0.1476 1.7576 USA 4.4281 4.4296 4.7717 3.9653 0.2552 - 0.2381 1.7570
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附表5: 敘述統計-物價成長率
Dp Mean Med. Max Min S.D. Skew. Kurt.
ARG 0.1557 0.0246 1.8981 - 0.0105 0.2841 3.3589 17.4221 AUS 0.0106 0.0088 0.0409 - 0.0042 0.0088 0.8294 3.5128 BRA 0.2145 0.0428 1.5565 - 0.0035 0.2945 1.7763 6.3192 CAN 0.0078 0.0070 0.0321 - 0.0100 0.0072 1.0961 5.4807 CHN 0.0134 0.0084 0.0842 - 0.0112 0.0171 1.7135 6.2907 CHL 0.0247 0.0190 0.1148 - 0.0105 0.0222 1.2823 5.0025 EUR 0.0083 0.0068 0.0302 - 0.0028 0.0061 1.4960 5.3657 IND 0.0194 0.0188 0.0576 - 0.0207 0.0116 0.3389 4.2142 IDN 0.0235 0.0178 0.1829 - 0.0227 0.0286 3.9515 21.4705 JPN 0.0019 0.0009 0.0168 - 0.0086 0.0047 0.6222 3.3040 KOR 0.0110 0.0094 0.0504 - 0.0049 0.0085 1.9573 8.8249 MYS 0.0072 0.0063 0.0403 - 0.0158 0.0070 1.0367 7.5927 MEX 0.0582 0.0305 0.3286 0.0036 0.0654 1.6656 5.3495 NOR 0.0093 0.0074 0.0375 - 0.0168 0.0087 0.5580 4.4849 NZL 0.0119 0.0076 0.0854 - 0.0080 0.0131 2.2661 10.3983 PER 0.1471 0.0242 2.1413 - 0.0059 0.2912 3.7986 21.4203 PHL 0.0209 0.0170 0.1589 - 0.0350 0.0243 3.1827 18.1448 ZAF 0.0228 0.0224 0.0573 - 0.0065 0.0124 0.1831 2.3877 SAU 0.0030 0.0020 0.0441 - 0.0461 0.0100 - 0.0227 8.7919 SGP 0.0047 0.0047 0.0342 - 0.0116 0.0070 1.1521 6.9402 SWE 0.0089 0.0061 0.0366 - 0.0085 0.0091 0.7705 3.1040 CHE 0.0049 0.0038 0.0235 - 0.0075 0.0055 0.9625 4.0771 THA 0.0092 0.0087 0.0394 - 0.0281 0.0092 0.0895 5.3993 TUR 0.0899 0.0918 0.3433 - 0.0037 0.0568 0.6487 4.6045 TWN 0.0048 0.0051 0.0609 - 0.0244 0.0109 1.1148 9.2058 GBR 0.0096 0.0080 0.0348 - 0.0025 0.0067 1.3070 4.8703 USA 0.0079 0.0079 0.0282 - 0.0215 0.0057 - 0.4587 9.3414
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附表6: 敘述統計-股價
eq Mean Med. Max Min S.D. Skew. Kurt.
ARG 0.3374 0.2346 1.5827 - 1.0878 0.5900 0.4719 2.5543 AUS 2.0081 2.0222 2.8756 1.0402 0.4641 - 0.2091 2.0647 BRA
CAN 1.7087 1.5723 2.6420 0.6767 0.5467 0.1545 1.5871 CHN
CHL 1.8162 2.3190 3.4191 - 0.5831 1.2090 - 0.7767 2.1689 EUR 1.7161 1.6776 2.5788 0.5056 0.5472 - 0.4899 2.4543 IND 1.4004 1.4281 2.9230 0.0235 0.7487 - 0.0294 2.1045 IDN
JPN 1.3428 1.3730 2.1093 0.5437 0.3626 - 0.1567 2.6012 KOR 0.4997 0.6249 1.3674 - 0.5694 0.5498 - 0.5939 2.3281 MYS 1.4781 1.5267 2.1548 0.3308 0.4237 - 0.5314 2.6994 MEX
NOR 1.7017 1.7632 2.9520 0.1276 0.7195 - 0.3116 2.1290 NZL 0.4697 0.5135 1.0761 - 0.2298 0.2572 - 0.3868 2.7808 PER
PHL 1.2979 1.6966 2.6296 - 1.6326 1.1358 - 1.2438 3.3839 ZAF 3.7142 3.7129 4.7425 2.4069 0.5543 0.0141 2.2813 SAU
SGP 0.8879 0.9055 1.5817 0.0919 0.3182 - 0.2238 2.6150 SWE 2.2111 2.1367 3.4406 0.4712 0.7901 - 0.2467 1.9078 CHE 1.3113 1.4438 2.3462 - 0.0623 0.7314 - 0.3015 1.6495 THA 1.3335 1.4653 2.5521 - 0.0026 0.7008 - 0.3647 2.2778 TUR
TWN 3.8982 4.1841 5.0575 1.9613 0.7975 - 1.1405 2.9976 GBR 3.1418 3.2301 3.7510 2.1075 0.4313 - 0.7332 2.7434 USA 1.6820 1.7978 2.5735 0.4832 0.6046 - 0.3263 1.7952
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附表7: 敘述統計-匯率
ep Mean Med. Max Min S.D. Skew. Kurt.
ARG - 4.0407 - 4.0943 - 2.7402 - 4.6303 0.4887 0.3788 2.0132 AUS - 4.1718 - 4.1246 - 3.6072 - 5.0010 0.3155 - 0.5632 2.7292 BRA - 4.0061 - 4.0335 - 3.2483 - 4.8475 0.3950 0.0712 2.1199 CAN - 4.2478 - 4.2160 - 3.7287 - 4.8653 0.2791 - 0.3647 2.4690 CHN - 2.5198 - 2.4982 - 2.1149 - 3.0183 0.1994 - 0.4170 2.6731 CHL 1.7716 1.7360 2.3044 1.1867 0.2766 0.0957 2.2117 EUR - 3.6224 - 3.6889 - 2.7717 - 4.2616 0.4049 0.5924 2.4335 IND - 0.9017 - 0.8601 - 0.5950 - 1.4850 0.1900 - 1.1923 4.1256 IDN 4.0827 4.0310 5.0503 3.5949 0.2578 1.0312 5.0922 JPN 0.3293 0.1976 1.1414 - 0.1739 0.3602 1.0091 2.8603 KOR 2.4590 2.4117 2.9354 2.0004 0.2687 0.2817 1.9976 MYS - 3.3621 - 3.3053 - 3.1714 - 3.7440 0.1411 - 0.8238 2.5552 MEX - 2.0754 - 2.1618 - 1.3016 - 2.6430 0.3854 0.4593 1.9446 NOR - 2.5223 - 2.5248 - 1.8263 - 3.1353 0.3225 0.2424 2.4213 NZL - 3.9437 - 3.9163 - 3.1498 - 4.6959 0.3724 0.1256 2.3033 PER - 3.0369 - 3.3674 - 1.5441 - 3.8450 0.7004 0.9552 2.3141 PHL - 0.8232 - 0.7917 - 0.2990 - 1.3839 0.2563 - 0.2934 2.1729 ZAF - 2.7878 - 2.8278 - 2.1340 - 3.3058 0.2357 0.4120 2.8352 SAU - 3.2943 - 3.2877 - 3.1413 - 3.5850 0.0959 - 1.0881 4.4416 SGP - 3.9857 - 4.0524 - 3.5055 - 4.5932 0.2814 0.1559 2.0021 SWE - 2.4716 - 2.5273 - 1.8397 - 2.9553 0.2784 0.6347 2.6021 CHE - 4.1190 - 4.1706 - 3.2806 - 4.8464 0.3716 0.5230 2.4620 THA - 0.9850 - 0.9646 - 0.6364 - 1.4782 0.2040 - 0.5602 2.3681 TUR - 4.9843 - 4.9434 - 4.2847 - 5.9287 0.4671 - 0.4674 2.1922 TWN - 0.9196 - 1.0074 - 0.4273 - 1.2482 0.2464 1.0114 2.5391 GBR - 4.9154 - 4.9787 - 4.1111 - 5.4762 0.3426 0.4104 2.2465
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附表8: 敘述統計-短期利率
r Mean Med. Max Min S.D. Skew. Kurt.
ARG 0.1361 0.0288 1.6297 0.0058 0.2168 3.5339 21.2723 AUS 0.0195 0.0152 0.0409 0.0074 0.0093 0.8302 2.3158 BRA 0.2422 0.0752 1.6072 0.0207 0.3120 1.9021 6.5817 CAN 0.0152 0.0122 0.0459 0.0005 0.0097 0.7357 3.0317 CHN 0.0136 0.0140 0.0269 0.0049 0.0073 0.3342 1.8596 CHL 0.0359 0.0284 0.1374 0.0015 0.0277 1.0266 3.7371 EUR 0.0152 0.0130 0.0360 0.0009 0.0090 0.3058 1.9740 IND 0.0187 0.0194 0.0309 0.0080 0.0045 0.1409 3.8861 IDN 0.0320 0.0284 0.1387 0.0110 0.0214 2.9167 12.6261 JPN 0.0064 0.0013 0.0204 0.0000 0.0069 0.5664 1.6820 KOR 0.0217 0.0225 0.0536 0.0046 0.0114 0.2308 2.0189 MYS 0.0106 0.0100 0.0213 0.0047 0.0040 0.5223 2.1893 MEX 0.0592 0.0421 0.2130 0.0100 0.0472 1.0980 3.5230 NOR 0.0190 0.0170 0.0448 0.0039 0.0099 0.2311 1.8459 NZL 0.0231 0.0198 0.0621 0.0062 0.0120 1.0067 3.7806 PER 0.0999 0.0417 1.0414 0.0051 0.1700 3.1804 13.6195 PHL 0.0282 0.0277 0.0883 0.0028 0.0155 1.0167 4.6429 ZAF 0.0283 0.0273 0.0492 0.0133 0.0086 0.2904 2.2013 SAU
SGP 0.0090 0.0079 0.0309 0.0011 0.0062 1.0224 3.9907 SWE 0.0168 0.0158 0.0366 0.0004 0.0105 0.1914 1.6449 CHE 0.0065 0.0051 0.0212 0.0000 0.0056 1.0566 3.3347 THA 0.0175 0.0172 0.0469 0.0024 0.0122 0.4193 1.9791 TUR 0.0960 0.0949 0.2064 0.0192 0.0390 - 0.0156 2.1851 TWN 0.0116 0.0119 0.0371 0.0002 0.0076 0.6358 3.5162 GBR 0.0169 0.0144 0.0343 0.0010 0.0086 0.1805 2.3191 USA 0.0121 0.0122 0.0351 0.0001 0.0076 0.6120 3.5531
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附表9: 敘述統計-長期利率
lr Mean Med. Max Min S.D. Skew. Kurt.
ARG
AUS 0.0213 0.0181 0.0372 0.0103 0.0082 0.4170 1.5222 BRA
CAN 0.0187 0.0181 0.0396 0.0085 0.0074 0.5495 2.4432 CHN
CHL
EUR 0.0175 0.0168 0.0354 0.0076 0.0075 0.5254 2.1693 IND
IDN
JPN 0.0086 0.0055 0.0216 0.0016 0.0059 0.6558 1.9788 KOR 0.0251 0.0273 0.0570 0.0090 0.0108 0.3585 2.6578 MYS
MEX
NOR 0.0186 0.0155 0.0321 0.0062 0.0085 0.2851 1.5294 NZL 0.0214 0.0174 0.0428 0.0097 0.0088 0.8048 2.3667 PER
PHL
ZAF 0.0307 0.0325 0.0409 0.0177 0.0070 - 0.4308 1.7157 SAU
SGP
SWE 0.0190 0.0185 0.0321 0.0063 0.0085 0.0719 1.3880 CHE 0.0096 0.0099 0.0169 0.0034 0.0032 0.2104 2.2875 THA
TUR TWN
GBR 0.0180 0.0185 0.0364 0.0080 0.0070 0.4297 2.2525 USA 0.0166 0.0152 0.0346 0.0067 0.0068 0.8306 2.9348
附表10: 敘述統計-油價
Mean Med. Max Min S.D. Skew. Kurt.
OIL PRICE 3.3387 3.2768 4.8074 2.4065 0.5847 0.7623 2.6889
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附表11: 貿易矩陣-1/4
Country ARG AUS BRA CAN CHN CHL EUR
ARG 0.0000 0.0017 0.1051 0.0016 0.0069 0.0542 0.0073 AUS 0.0056 0.0000 0.0071 0.0045 0.0378 0.0091 0.0145 BRA 0.3234 0.0059 0.0000 0.0066 0.0256 0.0766 0.0281 CAN 0.0124 0.0099 0.0180 0.0000 0.0241 0.0232 0.0183 CHN 0.1302 0.2126 0.1684 0.0640 0.0000 0.1896 0.1439 CHL 0.0560 0.0027 0.0279 0.0032 0.0106 0.0000 0.0072 EUR 0.1733 0.0977 0.2168 0.0580 0.1683 0.1586 0.0000 IND 0.0137 0.0397 0.0207 0.0053 0.0266 0.0203 0.0258 IDN 0.0088 0.0242 0.0093 0.0028 0.0162 0.0040 0.0091 JPN 0.0167 0.1665 0.0490 0.0303 0.1418 0.0870 0.0477 KOR 0.0145 0.0667 0.0340 0.0125 0.0946 0.0666 0.0246 MYS 0.0101 0.0320 0.0081 0.0040 0.0260 0.0030 0.0124 MEX 0.0301 0.0051 0.0263 0.0296 0.0154 0.0382 0.0162 NOR 0.0009 0.0013 0.0058 0.0087 0.0037 0.0019 0.0358 NZL 0.0008 0.0402 0.0005 0.0011 0.0033 0.0007 0.0022 PER 0.0132 0.0006 0.0095 0.0047 0.0041 0.0283 0.0030 PHL 0.0044 0.0045 0.0025 0.0015 0.0111 0.0029 0.0038 ZAF 0.0122 0.0084 0.0079 0.0018 0.0096 0.0018 0.0157 SAU 0.0045 0.0068 0.0169 0.0041 0.0201 0.0016 0.0179 SGP 0.0022 0.0503 0.0094 0.0030 0.0307 0.0023 0.0175 SWE 0.0029 0.0074 0.0072 0.0031 0.0056 0.0070 0.0543 CHE 0.0077 0.0075 0.0134 0.0056 0.0059 0.0033 0.0906 THA 0.0101 0.0430 0.0109 0.0038 0.0213 0.0055 0.0103 TUR 0.0055 0.0027 0.0053 0.0022 0.0079 0.0057 0.0383 TWN 0.0046 0.0323 0.0137 0.0045 0.0513 0.0207 0.0122 GBR 0.0145 0.0361 0.0227 0.0265 0.0263 0.0144 0.1782 USA 0.1217 0.0942 0.1836 0.7071 0.2050 0.1733 0.1652
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附表12: 貿易矩陣-2/4
Country IND IDN JPN KOR MYS MEX NOR
ARG 0.0045 0.0036 0.0015 0.0023 0.0028 0.0059 0.0005 AUS 0.0481 0.0337 0.0511 0.0353 0.0328 0.0036 0.0024 BRA 0.0205 0.0108 0.0120 0.0159 0.0079 0.0157 0.0081 CAN 0.0135 0.0091 0.0191 0.0150 0.0088 0.0465 0.0288 CHN 0.1645 0.1256 0.2394 0.2831 0.1579 0.0497 0.0387 CHL 0.0070 0.0016 0.0085 0.0111 0.0010 0.0080 0.0011 EUR 0.1948 0.0796 0.0966 0.0877 0.0841 0.0733 0.4431 IND 0.0000 0.0427 0.0108 0.0209 0.0269 0.0047 0.0051 IDN 0.0323 0.0000 0.0357 0.0274 0.0432 0.0016 0.0014 JPN 0.0410 0.1586 0.0000 0.1345 0.1091 0.0247 0.0169 KOR 0.0430 0.0701 0.0753 0.0000 0.0428 0.0267 0.0231 MYS 0.0287 0.0563 0.0332 0.0234 0.0000 0.0075 0.0023 MEX 0.0081 0.0033 0.0126 0.0177 0.0090 0.0000 0.0014 NOR 0.0027 0.0009 0.0028 0.0057 0.0014 0.0005 0.0000 NZL 0.0023 0.0047 0.0041 0.0030 0.0049 0.0008 0.0003 PER 0.0016 0.0004 0.0025 0.0027 0.0002 0.0027 0.0013 PHL 0.0027 0.0104 0.0144 0.0107 0.0134 0.0019 0.0007 ZAF 0.0190 0.0045 0.0096 0.0053 0.0045 0.0006 0.0027 SAU 0.0507 0.0207 0.0400 0.0472 0.0085 0.0014 0.0010 SGP 0.0624 0.1710 0.0307 0.0469 0.2060 0.0044 0.0082 SWE 0.0081 0.0034 0.0033 0.0039 0.0028 0.0019 0.1213 CHE 0.0167 0.0032 0.0100 0.0037 0.0045 0.0034 0.0079 THA 0.0189 0.0429 0.0442 0.0158 0.0572 0.0024 0.0028 TUR 0.0096 0.0068 0.0027 0.0064 0.0037 0.0010 0.0061 TWN 0.0170 0.0403 0.0555 0.0350 0.0344 0.0039 0.0034 GBR 0.0409 0.0100 0.0168 0.0122 0.0159 0.0061 0.2123 USA 0.1415 0.0858 0.1675 0.1273 0.1160 0.7011 0.0589
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附表13: 貿易矩陣-3/4
Country NZL PER PHL ZAF SAU SGP SWE
ARG 0.0014 0.0294 0.0035 0.0121 0.0016 0.0004 0.0012 AUS 0.2574 0.0046 0.0143 0.0220 0.0080 0.0365 0.0109 BRA 0.0025 0.0614 0.0070 0.0182 0.0169 0.0057 0.0087 CAN 0.0155 0.0730 0.0115 0.0103 0.0102 0.0064 0.0097 CHN 0.1270 0.1674 0.1838 0.1555 0.1310 0.1316 0.0480 CHL 0.0016 0.0626 0.0022 0.0015 0.0006 0.0005 0.0033 EUR 0.1015 0.1479 0.0759 0.2754 0.1431 0.0982 0.5417 IND 0.0139 0.0106 0.0079 0.0482 0.0559 0.0387 0.0101 IDN 0.0255 0.0021 0.0250 0.0090 0.0175 0.0965 0.0037 JPN 0.0911 0.0607 0.1513 0.0849 0.1504 0.0810 0.0189 KOR 0.0382 0.0370 0.0573 0.0260 0.1018 0.0605 0.0096 MYS 0.0328 0.0021 0.0451 0.0133 0.0099 0.1391 0.0043 MEX 0.0085 0.0303 0.0064 0.0026 0.0024 0.0048 0.0044 NOR 0.0013 0.0051 0.0012 0.0038 0.0007 0.0039 0.1128 NZL 0.0000 0.0013 0.0051 0.0021 0.0024 0.0049 0.0010 PER 0.0012 0.0000 0.0004 0.0008 0.0001 0.0001 0.0017 PHL 0.0103 0.0010 0.0000 0.0016 0.0109 0.0264 0.0011 ZAF 0.0053 0.0016 0.0016 0.0000 0.0168 0.0036 0.0074 SAU 0.0137 0.0004 0.0284 0.0395 0.0000 0.0269 0.0066 SGP 0.0421 0.0010 0.1100 0.0118 0.0401 0.0000 0.0055 SWE 0.0047 0.0083 0.0024 0.0130 0.0054 0.0026 0.0000 CHE 0.0060 0.0114 0.0028 0.0193 0.0062 0.0079 0.0125 THA 0.0255 0.0065 0.0511 0.0175 0.0258 0.0440 0.0048 TUR 0.0023 0.0041 0.0017 0.0124 0.0157 0.0022 0.0126 TWN 0.0204 0.0141 0.0616 0.0155 0.0445 0.0375 0.0048 GBR 0.0354 0.0095 0.0100 0.0748 0.0167 0.0219 0.0870 USA 0.1150 0.2466 0.1322 0.1088 0.1656 0.1179 0.0677
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附表14: 貿易矩陣-4/4
Country CHE THA TUR TWN GBR USA
ARG 0.0022 0.0036 0.0032 0.0012 0.0018 0.0044 AUS 0.0070 0.0521 0.0061 0.0291 0.0134 0.0124 BRA 0.0125 0.0114 0.0101 0.0109 0.0099 0.0215 CAN 0.0125 0.0094 0.0097 0.0088 0.0257 0.2051 CHN 0.0297 0.1533 0.0939 0.2628 0.0686 0.1588 CHL 0.0013 0.0021 0.0022 0.0058 0.0021 0.0072 EUR 0.6151 0.0875 0.5147 0.0762 0.5137 0.1449 IND 0.0245 0.0211 0.0170 0.0145 0.0163 0.0166 IDN 0.0020 0.0402 0.0088 0.0270 0.0035 0.0087 JPN 0.0369 0.1877 0.0209 0.1675 0.0246 0.0731 KOR 0.0064 0.0367 0.0242 0.0602 0.0114 0.0325 MYS 0.0032 0.0712 0.0071 0.0313 0.0060 0.0154 MEX 0.0049 0.0066 0.0029 0.0054 0.0046 0.1432 NOR 0.0049 0.0018 0.0066 0.0017 0.0482 0.0041 NZL 0.0008 0.0046 0.0007 0.0028 0.0024 0.0022 PER 0.0004 0.0011 0.0011 0.0018 0.0006 0.0045 PHL 0.0009 0.0201 0.0011 0.0194 0.0014 0.0058 ZAF 0.0067 0.0084 0.0120 0.0053 0.0140 0.0055 SAU 0.0052 0.0283 0.0276 0.0348 0.0061 0.0194 SGP 0.0120 0.0669 0.0050 0.0450 0.0135 0.0189 SWE 0.0080 0.0038 0.0167 0.0030 0.0248 0.0060 CHE 0.0000 0.0168 0.0347 0.0052 0.0210 0.0138 THA 0.0203 0.0000 0.0079 0.0216 0.0070 0.0122 TUR 0.0191 0.0045 0.0000 0.0040 0.0150 0.0057 TWN 0.0056 0.0299 0.0090 0.0000 0.0066 0.0207 GBR 0.0453 0.0194 0.0693 0.0136 0.0000 0.0375 USA 0.1125 0.1115 0.0876 0.1412 0.1380 0.0000
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附表15: 單根檢定-產出,物價成長率
y Dy DDy Dp DDp DDDp
ARG -2.0380 -5.0126 -7.2362 -3.6595 -12.1334 -14.5751 AUS -3.4557 -4.1536 -9.3057 -3.2513 -7.2119 -10.0589 BRA -1.9398 -5.6448 -7.8689 -2.8752 -6.0604 -8.5763 CAN -2.1357 -4.9199 -7.2440 -3.8845 -7.7030 -10.9751 CHN -1.6218 -3.5608 -11.6640 -2.9877 -6.6442 -8.5457 CHL -2.5782 -5.0289 -10.6900 -5.5334 -7.6918 -10.8664 EUR -1.6089 -4.8446 -10.6196 -3.6187 -6.5957 -9.6959 IND 0.0298 -7.0905 -9.7612 -5.9755 -8.8403 -10.0268 IDN -1.7824 -6.9533 -7.9624 -5.7722 -6.8136 -8.3206 JPN -1.2723 -4.6678 -7.5433 -4.3672 -8.1490 -10.6099 KOR -1.2398 -5.9130 -10.1677 -5.0471 -7.7585 -8.9555 MYS -1.4034 -5.5176 -8.2365 -6.8277 -8.4909 -11.3638 MEX -3.6260 -5.8472 -9.4170 -4.5833 -5.7135 -14.4345 NOR -0.3292 -6.8879 -8.3244 -3.3586 -11.2855 -10.0586 NZL -1.8404 -6.3037 -9.1354 -4.0588 -10.1357 -9.0576 PER -1.5096 -7.4625 -8.9143 -3.3242 -7.7161 -9.8138 PHL -2.7004 -3.4818 -9.1786 -5.0615 -7.6384 -8.3619 ZAF -1.9951 -4.8277 -8.2823 -4.4253 -7.9947 -9.0561 SAU -7.0558 -3.1140 -19.5652 -5.9023 -10.6854 -9.3527 SGP -1.9023 -5.7716 -8.5311 -7.1984 -8.6407 -12.7219 SWE -2.7286 -6.2297 -8.4437 -3.3042 -7.8294 -8.5032 CHE -2.4210 -5.2286 -8.1115 -3.5983 -8.2173 -10.5028 THA -1.1808 -5.3049 -9.1184 -5.8657 -8.4685 -9.5853 TUR -2.6360 -7.4248 -9.3296 -2.2946 -7.9237 -9.8913 TWN -1.5112 -5.2415 -7.8565 -8.1776 -11.2051 -13.5191 GBR -1.8889 -3.5564 -11.4318 -4.9799 -8.1661 -9.9144 USA -1.6694 -5.4665 -6.5342 -6.4351 -9.4647 -9.8434
臨界值 -3.45 -2.89 -2.89 -3.45 -2.89 -2.89
註: 以t統計量在95 % 信心水準下之檢定結果。
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附表16: 單根檢定-股價, 匯率
eq Deq DDeq ep Dep DDep
ARG -3.5621 -7.3243 -9.6867 -2.0491 -7.2191 -8.3154 AUS -3.3378 -6.6845 -9.1502 -1.4989 -4.2260 -10.0569
BRA -1.7603 -7.0048 -10.1686
CAN -3.5525 -6.6038 -8.4546 -1.5750 -7.3835 -8.5052
CHN -1.9754 -6.9053 -10.5355
CHL -1.6203 -5.7708 -7.3868 -2.9623 -7.2352 -8.7549 EUR -2.3997 -6.7117 -9.9340 -2.0257 -5.1660 -10.3964 IND -3.5092 -6.8425 -8.8824 0.0966 -6.7166 -12.2500
IDN -1.8188 -7.8867 -10.8742
JPN -2.5730 -4.8192 -7.7214 -2.1010 -4.9077 -10.7982 KOR -2.4926 -5.7852 -12.7991 -2.5581 -7.7142 -7.9500 MYS -3.1381 -5.8426 -9.6610 -2.2419 -6.9347 -8.6207
MEX -4.2635 -4.7678 -8.3296
NOR -3.3840 -7.7912 -7.9543 -2.4227 -7.4400 -8.8833 NZL -2.6545 -6.0047 -7.2093 -2.4868 -6.6144 -8.0480
PER -1.6830 -8.5278 -8.4406
PHL -1.5078 -4.5150 -12.7961 -1.7520 -5.9540 -7.3008 ZAF -4.4826 -8.3138 -8.1081 -2.6504 -4.8835 -15.3376
SAU -0.4654 -2.6690 -10.9718
SGP -3.7443 -7.5872 -10.1412 -1.1844 -6.2491 -8.1925 SWE -3.0440 -6.7714 -12.3053 -2.2623 -7.1415 -8.7362 CHE -1.6175 -6.5718 -11.9781 -2.2945 -5.1057 -9.8236 THA -1.6460 -7.3804 -8.5965 -1.6356 -5.4878 -8.7715
TUR -2.6162 -8.1758 -10.0082
TWN -2.1074 -8.6909 -8.2459 -1.6750 -3.9220 -9.8156 GBR -1.8577 -7.3216 -8.0098 -2.7187 -8.4575 -9.3174 USA -1.8067 -6.2837 -7.7032
臨界值 -3.45 -2.89 -2.89 -3.45 -2.89 -2.89
註: 以t統計量在95 % 信心水準下之檢定結果。
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附表17: 單根檢定-短期利率, 長期利率
r Dr DDr lr Dlr DDlr
ARG -2.6321 -15.6723 -12.6326
AUS -2.8138 -7.2742 -10.3625 -1.9351 -6.3911 -8.2220 BRA -3.1158 -8.9450 -11.0191
CAN -4.3622 -4.7166 -16.9292 -4.3549 -6.7892 -7.6127 CHN -1.9484 -5.8999 -7.6326
CHL -4.8105 -9.0113 -14.0387
EUR -2.9106 -5.2178 -9.2240 -2.3983 -5.6857 -7.6838 IND -3.4942 -6.1843 -9.2082
IDN -3.8993 -6.2804 -11.8637
JPN -2.4400 -4.4015 -8.4082 -2.2116 -5.5576 -11.2897 KOR -2.7010 -8.9193 -9.1760 -4.6801 -5.9089 -8.9514 MYS -2.4168 -6.7356 -8.2408
MEX -3.1343 -9.6793 -10.5964
NOR -3.5535 -7.4213 -7.7253 -2.9950 -7.8325 -8.0799 NZL -3.1565 -7.9332 -9.0985 -2.0335 -7.3118 -8.9736 PER -3.3697 -4.2234 -8.6517
PHL -4.4970 -7.7647 -9.4581
ZAF -4.1537 -6.1715 -8.1520 -2.5917 -8.5783 -8.2485 SAU
SGP -3.2862 -6.6635 -9.5650
SWE -2.9616 -6.7748 -10.1506 -4.3808 -7.1219 -7.8810 CHE -2.1785 -4.6126 -9.6201 -2.9461 -7.5112 -7.6712 THA -3.8665 -6.2298 -7.4552
TUR -1.7795 -10.0427 -8.7747 TWN -3.0182 -11.4378 -10.6498
GBR -3.4932 -5.0045 -8.8259 -4.2784 -8.4869 -9.2700 USA -3.7820 -4.4353 -7.1158 -4.2484 -6.9079 -7.5096
臨界值 -3.45 -2.89 -2.89 -3.45 -2.89 -2.89
註: 以t統計量在95 % 信心水準下之檢定結果。
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附表18: 落後期數選擇
國家 p q AIC 國家 p q AIC ARG 1 1 598.2349 NZL 1 1 2305.352 ARG 2 1 642.721 NZL 2 1 2328.572 AUS 1 1 2528.537 PER 1 1 679.3404 AUS 2 1 2524.991 PER 2 1 720.6086 BRA 1 1 775.5807 PHL 1 1 1411.984 BRA 2 1 774.7966 PHL 2 1 1442.696 CAN 1 1 2856.458 ZAF 1 1 2333.475 CAN 2 1 2846.194 ZAF 2 1 2363.905 CHN 1 1 1605.929 SAU 1 1 1237.082 CHN 2 1 1603.724 SAU 2 1 1265.571 CHL 1 1 1377.235 SGP 1 1 1852.481 CHL 2 1 1380.83 SGP 2 1 1853.123 EUR 1 1 2964.755 SWE 1 1 2458.188 EUR 2 1 2975.983 SWE 2 1 2477.37 IND 1 1 1645.987 CHE 1 1 2765.729 IND 2 1 1656.604 CHE 2 1 2763.211 IDN 1 1 1111.551 THA 1 1 1590.52 IDN 2 1 1123.928 THA 2 1 1594.382 JPN 1 1 2653.531 TUR 1 1 1063.933 JPN 2 1 2641.113 TUR 2 1 1063.598 KOR 1 1 2233.177 TWN 1 1 1461.388 KOR 2 1 2246.827 TWN 2 1 1456.076 MYS 1 1 1798.201 GBR 1 1 2745.969 MYS 2 1 1797.567 GBR 2 1 2739.358 MEX 1 1 1172.907 USA 1 1 2499.548 MEX 2 1 1168.789 USA 2 1 2505.747 NOR 1 1 2418.78
NOR 2 1 2431.01 註:落後期數以AIC 較大者為佳。
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附表19: 共整合結果
國家 共整合關係 國家 共整合關係
ARG 2 NZL 3
AUS 4 PER 3
BRA 1 PHL 2
CAN 4 ZAF 2
CHN 2 SAU 2
CHL 2 SGP 2
EUR 2 SWE 2
IND 1 CHE 3
IDN 3 THA 1
JPN 2 TUR 1
KOR 4 TWN 1
MYS 1 GBR 2
MEX 2 USA 2
NOR 3
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附表20: 弱外生性檢定
Country Fcrit 0.05 ys Dps eqs eps rs lrs poil
ARG 3.0882 0.6357 2.0557 0.4376 6.0137 0.6576 0.9453 AUS 2.4617 0.7897 5.3241 0.9026 1.0304 4.6772 0.4538 BRA 3.9343 0.2188 0.0932 0.5260 0.0527 0.0002 0.0114 CAN 2.4617 2.7855 1.5021 2.1916 0.8507 0.0995 0.6951 CHN 3.0829 1.5153 0.9510 0.1184 0.8665 1.5408 0.7715 CHL 3.0882 0.2811 2.6544 2.0714 2.0885 0.3980 0.3166 EUR 3.0902 2.1018 2.3504 0.0368 2.7021 0.6383 1.5887 IND 3.9361 0.2115 0.6686 0.2383 3.1048 0.8152 0.1345 IDN 2.6955 2.6769 1.1714 1.1864 0.3094 0.8870 1.4580 JPN 3.0902 0.5089 0.0889 0.0080 4.8784 2.3212 1.2166 KOR 2.4675 0.3719 0.1620 1.7410 0.6334 1.3474 2.0270 MYS 3.9316 0.2240 0.0207 0.4049 0.0325 0.5664 0.0421 MEX 3.0829 0.9334 2.7305 1.9605 0.4064 1.8090 1.8595 NOR 2.6994 1.8762 0.1707 1.6961 0.7188 0.4341 0.3840 NZL 2.6994 0.2120 0.7833 0.8444 2.7666 1.3600 0.7848 PER 2.6955 0.5648 2.2592 0.0868 1.0949 1.4813 0.2274 PHL 3.0882 0.0085 1.6417 1.7277 0.5028 0.5945 1.9628 ZAF 3.0902 0.6904 0.7043 0.1392 0.5060 0.3420 3.6915 SAU 3.0846 1.8038 0.1608 2.1642 0.9212 0.5040 1.0411 SGP 3.0837 0.1925 0.8105 0.6711 0.9683 0.2205 3.3255 SWE 3.0902 0.2677 1.5073 0.1892 0.5901 2.0850 0.6281 CHE 2.6994 2.6917 0.7462 0.8629 0.1808 0.9847 0.7173 THA 3.9361 0.3215 0.2502 0.0647 0.0778 0.0210 0.1576 TUR 3.9343 0.9933 2.6122 0.0829 1.7854 2.5556 1.6754 TWN 3.9361 0.2865 0.3132 0.0070 0.2251 0.5656 0.0059 GBR 3.0846 0.4096 0.7732 0.2709 0.7629 0.0578 0.0153
USA 3.0864 1.5441 0.5497 0.5241
註: 以f統計量在95 % 信心水準下之檢定結果。
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F 附圖
AUT 3% BEL
4%
FIN 2%
FRA 21%
DEU 29%
ITA 19%
NLD 7%
ESP 15%
歐元區GDP-PPP比重
附圖1: 歐元區GDP-PPP比重
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