續研究的修正Engel and West(2005)模型為主軸，檢視其運用於新台幣對其他主
要工業國家的匯率變化的預測能力作為最終目標之成效，以作為相關單位與續
2002年 97.70 100.00 61.06 13.90 18.56 -0.61 52.89 45.80 2003年 96.97 100.00 60.39 13.87 18.61 -0.21 57.03 49.69
2004年 96.75 100.00 60.72 13.24 21.87 0.78 63.06 59.68
2005年 97.52 100.00 61.31 13.08 21.29 0.09 64.24 60.01
2006年 97.45 100.00 60.23 12.63 21.24 0.26 69.68 64.04
2007年 97.43 100.00 58.90 12.10 21.11 0.39 73.48 65.99
2008年 97.38 100.00 61.56 12.64 20.62 0.59 74.38 69.78
資料來源：行政院主計處「國民所得統計」。
出與通貨膨脹缺口差及實質匯率與最終目標變數－名目匯率變動間，是否存在 短期乃至中長期的相關性。迴歸分析顯示名目匯率具樣本內之可預測性，然部 份解釋變數不顯著且模型之判定係數偏低，反映出部份重要解釋變數被遺漏，
未來如何進一步理論模型之建構以找尋出具解釋能力之變數為本文未來之研究 方向。
參考文獻
一、中文部份：
1、吳致寧(1994),”匯率與單根—台灣之實證研究”，經濟論文，22 (1)，pp101–
103。
2、呂桂玲(1989),”新台幣對美元決定之實證研究”,逢甲大學經濟研究所碩士論 文。
3、袁中越(1990),”匯率預測-時間序列之應用”，東吳大學經濟研究所碩士論 文。
4、陳信宏(1992), “新台幣對美元之決定與預測—貨幣學說之實證研究”，淡 江大學金融研究所碩士論文。
5、鄭鴻章(1987),”匯率估計與預測之研究－台灣實証分析”，國立政治大學國 際貿易研究所碩士論文。
6、蕭美珠(1983) ,”購買力－台灣之實証研究”，國立政治大學國際貿易研究所 碩士論文。
7、藍世偉(1999),”未預期新聞對匯率的影響─以新台幣兌美元匯率為例”,中山 大學財務管理學系研究所碩士論文。
二、英文部份：
1、Balassa, B. (1964), “The Purchasing Power Doctrine: A Reappraisal,” Journal of Political Economy, Vol. 72, No. 6, pp. 584-596.
2、Brason, W.H. & Halttunen H. and Masson, P.(1997),”Exchange rate in the short
run: the dollar deutschemark rate”, European Economic Review 10.
3、Ball, L.(1999)”Policy Rules for Open Economies,” in Monetary Policy Rules, John b.Taylor. Ed., University of Chicago Press, 1999, pp.127-156.
4、Ball, L.(2000)”Policy Rules and External Shocks,” NBER Working Paper No.7910. Sep.2000.
5、Chinn, M.D. and Meese, R.A. (1995). "Banking on Currency Forecasts: How Predictable Is Change in Money?" J. Internat. Econ. 38:pp.161-178.
6、Cheung, Y.W. & Chinn, M.D. and Garcia, P.A. (2003). "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?" Working paper, University of California-Santa Cruz.
7、Clarida, R. & Gali, J. and Gertler, M. (1998) “Monetary Rules in Practice: Some International Evidence,” European Economic Review 42, pp.1033-1067.
8、Dickey, D.A. and Fuller, W.A. (1979), “Distribution of the estimator for autoregressive times with a unit toot,” Journal of the American Statistical Association, 74,pp. 427-431.
9、Dickey, D. A. and Fuller, W. A. (1981), “Likelihood ratio statistics for
autoregressive time series with a unit root,” Econometrica, 49, pp.1057-1072.
10、Dornbusch, R.(1976a) “Expectations and exchange rate dynamics”, Journal of Polictical Economy,84,pp.1161-76.
11、Dornbusch, R.(1976b) “Exchange rate expectations and monetary policy”, Journal of International Economic,6,pp.231-244.
12、Engle, C. & Mark, N. and West, K. (2007) “Exchange Rate Model are Not as Bad
13、Engle, C. & Mark N. and K. West(2005) “Exchange Rate and Fundamentals”, Journal of Political Economy 113, pp. 485-517.
14、Engel, C. and K. D. West (2006) “Taylor Rules and the Deutschmark-Dollar Real Exchange Rate,” Journal of Money, Credit and Banking 38(5),pp. 1175-1194.
15、Engel, C and West, K.D. (2006), “Taylor Rules and the Deutschmark-Dollar Real Exchange Rates”. Journal of Money, Credit and Banking 38, pp. 1175-1194.
16、Frenker, J.A.(1976), “A monetary approach to the exchange rate : doctrinal aspects and empirical evidence” Scandinavian Journal of
Economics,78,pp.200-224.
17、Genberg, H. (1978) "Purchasing Power Parity under Fixed and Flexible Exchange Rates", Journal of International Economics, 8, pp. 247-76.
18、Groen, J. J. (2000) “The Monetary Exchange Rate Model as a Long-Run Phenomenon,” Journal of International Economics 52, pp. 299-319.
19、Granger, C.W. J. and Newbold P. (1974) ”Spurious regressions in econometrics.” Journal of Econometrics, 2, pp. 111-120.
20、Kilian, L. and Taylor M. (2003) “Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rate?” Journal of International Economics 60, pp. 85-107.
21、Meese, R. and Rogoff, K. (1983a), “Empirical exchange rate models of the seventies”, Journal of International Economics, 14: pp.3-24.
22、Meese, R and Rogoff, K. (1983b), “The out-of-sample failure of empirical exchange rate models, in J. Frenkel (ed.), Exchange Rate and International Macroeconomics”, University of Chicago Press:Chicago.
23、Mark, N.C. (1995). "Exchange Rates and Fundamentals: Evidence on Long
Horizon Predictability. "American Economic Review, 85: pp.201-218.
24、Mark, N.C. and Sul, D. (2001). "Nominal Exchange Rates and Monetary
Fundamentals: Evidence from a Small Post-Bretton Woods Sample. "J. Internat.
Econ. 53: pp. 29-52.
25、Mussa, M. (1982), “A Model of Exchange Rate Dynamics,” Journal of Political Economy, Vol.90, No.1, pp. 74-104.
26、Mark, N. and Sul, D. (2001) “Nominal Exchange Rates and Monetary Fundamentals Evidence from a Small Post-Bretton Woods Panel,” Journal of International Economics 53, pp. 29-52.
27、Mark, N.C. (2007). Changing Monetary Policy Rules, Learning and Real Exchange Rate Dynamics.Manuscript, University of Notre Dame
28、Nelson, C.R. and Plosser, C.I. (1982),”Trends and Random Walks in Macroeconomic Time Series: Some evidence and implications.” Journal of Monetary Economics, 10,pp. 139-162.
29、Phillips, P.C.B. and P. Perron (1988), “Testing for a Unit Root in Time Series Regression,” Biometrika, 75,pp. 335-346.
30、Taylor, J.B.(1993)”Discretion Versus Policy Rule In Practice.”
Carnegie-Rochester Conference Series on Public Publicy 39,pp.195-214.
31、Taylor, J.B.(1998)”A Historical Analysis of Monetary Policy Rules,” in Monetary Policy Rules, John b. Taylor. Ed., University of Chicago Press,1999,pp.319-341.
32、Taylor, J.B.(1999)”The robustness and efficiency of monetary policy rules as guideline for interest rate setting by the European central bank,” Journal of Monetary Economics, vol.43, pp. 655-679
33、Tanya, M. and David, H. P. (2008) “Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals” Journal of International Economics November 25,2008
34、Somanath, V.S. (1986),”Efficient exchange rate forecasts : Lagged model better than the random walk”, Journal of International Money and Finance, 5,
pp.195-220.