本文以Seo(2006) 具門檻共積模型基礎下的門檻共積檢定, 檢定台灣十四產業是否存
在非線性匯率轉嫁現象。以具顯著門檻共積之產業建構三區間門檻向量誤差修正模型, 利
用Seo(2003) 提出之MLE 法估計門檻參數與共積係數。傳統文獻多使用格點搜尋找最
適解, 但在多變數時, 利用格點搜尋不具效率性, 因此本文使用遺傳演算法改進多變數下
格點搜尋無效率性。

實證結果指出台灣十四產業中有六產業存在顯著門檻共積效果, 分別為動物產品產業、
礦產品產業、塑膠及其製品產業、木及木製品產業、基本金屬製品產業、運輸工具產業; 當
中有3產業可觀察到不對稱的匯率轉嫁, 其原因為出口商會在菜單成本的考量下選擇是否
調整出口報價, 若調整出口報價的利潤大過調整報價的成本, 國外出口商會選擇調整出口
報價保持市場競爭力, 此時匯率轉嫁為零, 反之, 若調整出口報價的利潤小於調整報價的
成本, 匯率轉嫁較為明顯。

This paper applies a test for the linear no cointegration null hypothesis in a
threshold vector error correction model by M.Seo(2006) to investigates non-linear
exchange rate pass-through (ERPT) in Taiwan. It use the MLE method to estimate
threshold value and cointegrating vector. The traditional literature using the grid
search to find optimal solution.But in a multi-model, the use of grid search is not
efficient, and therefore we adept a genetic algorithm to improve its efficiency.

Empirical results indicate that there are six industries reflect significant threshold
cointegration effect among the fourteen industries. Three industries among
the six industries observed asymmetric exchange rate pass through. Our reasults
support that exporters consider menu costs in determining whether to adjust the export
price.

1 緒論.................................................................................1
1.1 研究動機與目的. . . . . . . . . . . . . . . . . . . . . . . . . . . . . ... 1
1.2 研究流程. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ..... 3
2 文獻回顧...........................................................................4
2.1 不完全匯率轉嫁. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ...4
2.2 不對稱匯率轉嫁. . . . . . . . . . . . . . . . . . . . . . . . . . . . . ... .7
3 實證方法..........................................................................10
3.1 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .... . . 10
3.2 門檻自我迴歸單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . 11
3.2.1 估計. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ............ 11
3.2.2 檢定門檻效果. . . . . . . . . . . . . . . . . . . . . . . . . ......... . 13
3.2.3 檢定單根. . . . . . . . . . . . . . . . . . . . . . . . . . .......... . . . 13
3.3 共積檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ..... 14
3.4 門檻共積檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .... 15
3.5 門檻向量誤差修正模型. . . . . . . . . . . . . . . . . . . . . . . . . . 17
3.6 遺傳演算法. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .... 20
4 實證結果分析....................................................................24
4.1 資料來源與說明. . . . . . . . . . . . . . . . . . . . . . . . . . . . . ... 24
4.2 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .... 25
4.3 門檻共積檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .... 28
4.4 三區間門檻誤差修正模型估計. . . . . . . . . . . . . . . . . . . . . 30
5 結論與建議........................................................................32
參考文獻..............................................................................33
A 遺傳演算法估計結果...........................................................37
B 門檻向量誤差修正模型估計結果..........................................37

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