本研究乃透過國際間各國之比較，以了解匯率變動對貿易收支與國內產生之效果。共 分成兩大部分，第一部分探討匯率變動對貿易收支的影響。根據傳統的國際收支理論 ，認為在某些情況下，一國匯率的貶值可以改善貿易收支。Miles （１９７９）首先 針對匯率與貿易收支的關係進行實證研究。然而，由於生產與消費有時間落後的現象 ，匯率變動對貿易的效果往往無法立即反映，甚至呈現先惡化再逐步改善的情況，一 般稱為Ｊ曲線效果。針對開發中國家是否存在Ｊ曲線效果，Bahmani-Oskooee （１９ ８５）利用Almon 三階多項分配加以驗證。本文係根據他的模型加以延伸，文中運用 Almon 多項分配方法探討１９７３至１９８７年十個工業國家與十個開發中國家，匯 率變動對貿易收支的影響。為了估計落後期數與多項分配階數，使用兩階段的程序， 首先以Akaike提出的final prediction errer為標準，選擇最適落後期數，然後再檢 定多項分配的階數。第二部分探討匯率變動對產出的影響，依照傳統的理論，匯率貶 值會引起出口增加、進口減少，使國內產出擴充。然而Cooper（１９７１）觀察落後 國家資料，卻發現貶值對國內產出有緊縮效果。Edwards （１９８６）首先使用變異 成分分析開發中國家之匯率變動效果，本文對Edwards 的模型加以延伸，利用Almon 多項分配方法估計，檢視匯率變動是否有Cooper效果，同時比較國際間各國之差異。

Made available in DSpace on 2016-06-02T20:06:02Z (GMT). No. of bitstreams: 1 2567.pdf: 3332442 bytes, checksum: 1e03b44e1c1f61f90b947fdca5682355 (MD5) Previous issue date: 2009-03-06 / Financiadora de Estudos e Projetos / Several techniques are proposed to determine the lag length of a dynamic regression model. However, none of them is completely satisfactory and a wrong choice could imply serious problems in the estimation of the parameters. This dissertation presents a review of the main criteria for models selection used in the classical methodology and presents a way for determining the lag length from the perspective Bayesian. A Monte Carlo simulation study is conducted to compare the performance of the significance tests, R2 adjusted, final prediction error, Akaike information criterion, Schwarz information criterion, Hannan-Quinn criterion, corrected Akaike information criterion and fractional Bayesian approach. Two estimation methods are also compared, the ordinary least squares and the Almon approach. / Na literatura, muitas técnicas são propostas para determinar o tamanho da defasagem de um modelo de regressão dinâmico. Entretanto, nenhuma delas é completamente satisfatória e escolhas erradas implicam em sérios problemas na estimação dos parâmetros. Este trabalho apresenta uma revisão dos principais critérios de seleção de modelos disponíveis na metodologia clássica, assim como aborda uma maneira de determinar o tamanho da defasagem sob a perspectiva Bayesiana. Um estudo de simulação Monte Carlo é conduzido para comparar a performance dos testes de significância, do R2 ajustado, do erro de predição final, dos critérios de informação de Akaike, Schwarz, Hannan-Quinn e Akaike corrigido e da aproximação Bayesiana fracionada. Também serão comparados os métodos de estimação de Mínimos Quadrados Ordinários e de Almon.

本文探討研發支出資本化與攤銷之理論，並以國內股票上市公司為實證對象。本研究使用聯立方程式及Almon lag procedure來檢測企業研發投資效益遞延之情形，然後以Feltham and Ohlson（1995）之評價模式，探討研發支出資本化與攤銷後之權益帳面價值與盈餘之特性，並探討研發投資是否為股票報酬之長期風險因素。本研究並以研發強度（研發費用對銷貨凈額比）區分高、低研發強度二組樣本，比較其與研發有關問題。 本文發現如下： (1)研究發展支出效益遞延實現之現象，似乎存續自第三年開始至未來數期（第四、五年）；平均而言，一元之研發投資可於未來4-5年產生2元以上之獲利，高研發強度廠商則有3元以上之獲利；而低研發強度之公司，研發支出獲益則不顯著的於研發初期二年實現。 (2)在股票評價模式中，高研發強度廠商之研發支出採取資本化，對模式解釋能力較高；而低研發比例（強度）廠商之研發支出則採取費用化，「似乎」對模式解釋能力較高。 (3)目前「一般公認會計原則」對於評價模式的解釋，對低研發強度的廠商之解釋能力較高；反之，對高研發強度廠商較不適用。 (4)研發資本存量對市場比率為股票報酬之長期風險因素。 / This study analyzes the theory of capitalization and amortization of R&D expenditures. This study uses the simultaneous equations and Almon lag procedure to examine whether earnings reflect benefits from past R&D expenditures of public firms in Taiwan. Based on asset valuation model generated by Fetham and Ohlson(1995) and Bernard (1995), this study examines the properties of coefficients of parameters of valuation model and explainary power. In addition, this study estimates the R&D capitalization, and tests whether the R&D capitalization is the long risk factor of stock return or not. Moreover, this study groups sample firms into high or low intensity groups by R&D intensity (R&D expenses-to-sales ratio), and compares the above issues of capitalization of R&D expenditures. The major findings of this study follows: (1)Earnings almost reflect realized benefits from R&D, but there are two years time lag. On average, every one N.T. dollar invested in R&D will produce 2 N.T. dollars profits during four or five - years period. In the high R&D intensity group, every one N.T. dollar invested in R&D will produce 3 N.T. dollars profits in future. On the contrary, in the low R&D intensity group, the benefits of R&D outlays are insignificantly reflected in the first two years. (2)The explainary power (Radj2) of valuation model of R&D capitalized in the high R&D intensity group is higher than that of in the low R&D intensity groups. (3)The relevance of stock valuation generated by present GAAPs for the high R&D intensity group is lower than that of the lower R&D intensity group. (4)The R&D capital-to-market values ratio is the long risk factor of stock returns.