O objetivo desse estudo é avaliar a validade da Teoria da Paridade do Poder de Compra (PPC) no Brasil em sua recente experiência de regime de câmbio flutuante, 1999M01-2009M12. São empreendidas decomposições da taxa de câmbio real de forma a evidenciar o papel da taxa de câmbio nominal, dos preços de bens comercializáveis e não comercializáveis, e preços das exportações e importações. A validade da PPC é diretamente testada através de testes de cointegração. Os resultados apontaram que ambos os setores, dos comercializáveis e não comercializáveis, são relevantes nos desvios da taxa de câmbio real, mas que a fonte de desvios não estacionários da PPC está relacionada ao setor dos não comercializáveis, tendo-se, portanto, evidência favorável à validade da Teoria da PPC para o setor dos comercializáveis no Brasil durante o período. Na relação de cointegração do setor dos comercializáveis, a taxa de câmbio nominal se apresentou fracamente exógena e os índices de preços tiveram velocidades de ajustamento significativas, sendo maior para os preços externos. Esses resultados são consistentes com um cenário em que a determinação da taxa de câmbio nominal é dominada por fatores fora do escopo da PPC e os preços dos comercializáveis se ajustam à relação de equilíbrio. / The aim of this study is to evaluate the validity of the Purchasing Power Parity Theory (PPP) in Brazil during its recent experience of floating exchange rate regime, 1999M01- 2009M12. Real exchange rate decompositions are undertaken in order to highlight the role of nominal exchange rate, prices of tradable goods and relative prices of nontradable goods, and prices of exports and imports. The validity of PPP is directly tested through cointegration tests. The results have shown that both sectors are relevant for the deviations of the real exchange rate, but that the source of non-stationary deviations from PPP is related to the nontradable sector, and, therefore, there was favorable evidence for the validity of PPP theory for tradable goods sector in Brazil between 1999 and 2009. For the cointegration relationship of the tradable sector, the nominal exchange rate appeared to be weakly exogenous and the index prices presented significant speeds of adjustment, which was higher for foreign prices. These results are consistent with a scenario in which the nominal exchange rate determination is dominated by factors outside the scope of the PPP and the prices of tradable goods adjusts to the equilibrium relationship.

This paper investigates whether the ¡§Taylor rule¡¨ can appropriately describe the Central Bank¡¥s monetary policy in Asia-Pacific countries. The countries under consideration were export-oriented countries that adopted floating exchange rate system, and affected by the Asian financial crisis. They include Taiwan, Korea, Philippines, Thailand, Indonesia, Japan, Singapore. In addition we divide the sample period into two sub period based on the mid-1997 outbreak of the Asian financial crisis, to check the robustness of our results from the whole period. Furthermore, we investigate that the central bank cares for the quarterly inflation, or annual inflation. The results over the whole period showed that the Taylor rule describe Central Bank¡¥s monetary policy except for Thailand, Japan and Singapore. The Taylor rule can not describe Japan's monetary policy when the period before Asian financial crisis is adopted. Besides, in addition to Thailand, the central banks concerned quarterly inflation rates than annual inflation rates.

O objetivo desse estudo é avaliar a validade da Teoria da Paridade do Poder de Compra (PPC) no Brasil em sua recente experiência de regime de câmbio flutuante, 1999M01-2009M12. São empreendidas decomposições da taxa de câmbio real de forma a evidenciar o papel da taxa de câmbio nominal, dos preços de bens comercializáveis e não comercializáveis, e preços das exportações e importações. A validade da PPC é diretamente testada através de testes de cointegração. Os resultados apontaram que ambos os setores, dos comercializáveis e não comercializáveis, são relevantes nos desvios da taxa de câmbio real, mas que a fonte de desvios não estacionários da PPC está relacionada ao setor dos não comercializáveis, tendo-se, portanto, evidência favorável à validade da Teoria da PPC para o setor dos comercializáveis no Brasil durante o período. Na relação de cointegração do setor dos comercializáveis, a taxa de câmbio nominal se apresentou fracamente exógena e os índices de preços tiveram velocidades de ajustamento significativas, sendo maior para os preços externos. Esses resultados são consistentes com um cenário em que a determinação da taxa de câmbio nominal é dominada por fatores fora do escopo da PPC e os preços dos comercializáveis se ajustam à relação de equilíbrio. / The aim of this study is to evaluate the validity of the Purchasing Power Parity Theory (PPP) in Brazil during its recent experience of floating exchange rate regime, 1999M01- 2009M12. Real exchange rate decompositions are undertaken in order to highlight the role of nominal exchange rate, prices of tradable goods and relative prices of nontradable goods, and prices of exports and imports. The validity of PPP is directly tested through cointegration tests. The results have shown that both sectors are relevant for the deviations of the real exchange rate, but that the source of non-stationary deviations from PPP is related to the nontradable sector, and, therefore, there was favorable evidence for the validity of PPP theory for tradable goods sector in Brazil between 1999 and 2009. For the cointegration relationship of the tradable sector, the nominal exchange rate appeared to be weakly exogenous and the index prices presented significant speeds of adjustment, which was higher for foreign prices. These results are consistent with a scenario in which the nominal exchange rate determination is dominated by factors outside the scope of the PPP and the prices of tradable goods adjusts to the equilibrium relationship.

本文主要嘗試引進泡沫於匯率目標區中，藉由調整政府政策來避免含泡沫 之匯率路徑，不符合匯率目標區之限制。最後分別比較匯率目標區與浮動 匯率兩制度的匯率變異性。

A considerable body of theoretical and empirical literature has evaluated the credit channel of monetary transmission. This paper sets up an open-economy model under floating exchange rates with imperfect international capital mobility based on the Bernanke and Blinder model (1988). Employing our model, we show that a change in money supply has different impacts on the economy in many cases compared to the previous literature. The exchange rate puzzle may occur and when the exchange rate puzzle appears, the Fleming proposition is violated. Besides, by means of a cointegration analysis, we empirically verify the particular case of the exchange rate puzzle with the monthly data from May 1984 to January 2005 in Taiwan. Therefore, our empirical evidences can be matched with our theoretical derivations successfully.

中國大陸自「改革開放」以來，在經濟體制和結構上有著急遽的轉變，同時，海峽兩岸的經貿互動與依存程度也愈來愈高。因此，能有效分析中國大陸經濟情勢的政策模型，對於台灣與中國大陸的政策制定者與政策研究分析者而言皆十分重要。可計算一般均衡（Computable General Equilibrium，CGE）模型由於在數據需求的較大彈性及模型結構上的特性，成為中國大陸現今重要的經濟政策模型之一，本研究的目的在於考察、分析中國大陸可計算一般均衡（CGE）模型的研發背景、發展歷程、建模過程、主要政策應用方向及研究結果。 　　本研究的內容及流程如后：（1）依「歷史研究」、「調查研究」來歸納、分析中國大陸經濟學研究的發展歷程，以及中國大陸可計算一般均衡（CGE）模型的發展歷程；（2）接著依「文獻研究」來分析、分類本研究所蒐集的中國大陸可計算一般均衡（CGE）模型實證文獻（1978年－1998年）；（3）接著依「理論研究」來歸納、分析出可計算一般均衡（CGE）模型的發展、基本結構、數據基礎與建模（Modeling）；（4）以「可計算一般均衡」（CGE）方法，先依據最新的「1995年度中國投入產出表」，編制出兩張：「中國大陸1995年社會會計矩陣」、「中國大陸1995年金融社會會計矩陣」為模型數據基礎，然後應用中國大陸所研發的兩個可計算一般均衡（CGE）模型（「中國大陸經濟-環境可計算一般均衡模型」、「中國大陸金融可計算一般均衡模型」）的主要結構和方程式，以說明中國大陸可計算一般均衡（CGE）模型的建模過程和政策應用方向及模擬結果。 　　本研究的研究結果如后：（1）中國大陸經濟學研究的發展、實際經濟情況變化和政策制定需要，導致中國大陸可計算一般均衡（CGE）模型在「改革開放」後的發展可分為「啟蒙研發」和「政策應用」兩個階段；（2）將中國大陸可計算一般均衡（CGE）模型實證文獻（1978年－1998年）有系統地分類出「貿易政策問題」、「能源和環境政策問題」、「財政和稅收問題」、「經濟改革和發展策略問題」、「外來衝擊問題」、「貨幣金融問題」、「社會保險問題」等七類實證文獻；（3）應用兩個中國大陸研發的可計算一般均衡（CGE）模型，來說明建模（Modeling）與數據編制的過程，並延續、拓展相關的政策模擬研究，分析了環境政策（「綠色導向能源政策」，Green-Oriented Energy Policy：2000年－2015年）與匯率政策（「管理浮動匯率政策」，Managed Floating Exchange Rate Policy：1998年）對中國大陸經濟體的影響。 謝 詞 ii 中文提要 iv 英文提要 vi 中文目次 viii 英文目次 ix 表 次 x 圖 次 xi 1. 緒 論 1 1.1 研究動機 1 1.2 研究目的 3 1.3 研究流程與內容 4 2. 文獻探討 5 2.1 中國大陸經濟學研究的發展歷程 5 2.2 中國大陸可計算一般均衡模型的發展 11 2.3 中國大陸可計算一般均衡模型實證文獻回顧 20 3. 可計算一般均衡模型的發展、基本結構、數據基礎與建模 32 3.1 可計算一般均衡模型的概念與發展 32 3.2 可計算一般均衡模型的一般性基本結構 36 3.3 可計算一般均衡模型的數據基礎與校準 40 3.4 可計算一般均衡模型的計算機求解與建模過程 42 4. 中國大陸可計算一般模型之應用（1）─中國大陸經濟-環境可計算一般均衡模型 45 4.1 模型的基本結構 45 4.2 模型方程式 49 4.3 模型的數據基礎與校準 57 4.4 政策應用-中國大陸宏觀調控下環境政策之一般均衡分析 61 5. 中國大陸可計算一般模型之應用（II）─中國大陸金融可計算一般均衡模型 69 5.1 模型的基本結構 69 5.2 模型方程式 71 5.3 模型的數據基礎與校準 73 5.4 政策應用-中國大陸匯率政策之一般均衡分析 78 6. 結 論 83 6.1 本研究主要貢獻 83 6.2 研究限制與建議 84 6.3 後續研究建議 85 參考文獻 86 附錄1. 94 附錄2. 103 / Both the system and structure of Chinese economy have been changed rapidly since the launch of "economic reform and opening to the outside" in Mainland China, and the economic interaction and trade interdependence between Taiwan and Mainland China are intenser and closer. Effective policy analysis models for Chinese economy is very important to the policy makers and policy analysis researcher both in Taiwan and Mainland China. The Computable General Equilibrium （CGE） model has become one of the most important economic policy analysis model because of its characteristic of higher flexibility on benchmark data and structure. The purpose of this study is to review, investigate and analyze the developmental background, developmental progress, modeling procedure, policy simulations and research results. 　　The brief contents and procedure of this study consist of （1） reviewing on the development of economic research in mainland China and CGE modeling for Chinese economy, （2） reviewing on the literature of CGE models for Chinese economy used on Policy Analysis（1978－1998）, （3） reviewing on the development, basic structure, benchmark data and modeling of CGE model, （4） constructing two Chinese Social Accounting Matrix （SAM） tables developed from the most recent 1995 Chinese Input-Output table to be the benchmark data of two CGE models, the "Chinese Economic-Environmental CGE model" and the "Chinese Financial CGE model", which are developed from Chinese government and researchers, and we revise them in this study,（5） applying those two models to show and illustrate the modeling procedure and results of policy simulations of CGE models for Chinese economy. 　　In conclusion and contribution, it is composed of three parts. （1） The development of CGE model in Mainland China can be divided into two ages, "The Beginning"（1978－1991） and "The Take-off"（1992－）, which results from the development of economic research in Mainland China, the rapidly changed economic system and structure of Chinese economy, and government's urgent demands for policy-analysis tools. （2） The literature of CGE models for Chinese economy used on policy analysis from 1978 to 1998 can be classified into seven groups－ trade policy, energy and environmental policies, public finance and tax reform policies, economic reform and development strategy, external shocks, monetary and financial policies, and social insurance policy. （3） We apply those two CGE models for Chinese economy to analyze the economic and environmental impacts of environmental policy－ " Green-Oriented Energy Policy"（2000－2015） and the economic impacts of the " Managed Floating Exchange Rate Policy"（1998）.