摘 要
本文是研究台灣和南韓的實質匯率變動對產出之影響。在既有理論與相關實證研究發現，貨幣貶值對產出之影響，是有貶值擴張、貶值緊縮或沒有影響等效果。在1997年的亞洲金融危機後，發現台灣和南韓經歷其貨幣的急速貶值後，卻未能帶來產出的增加。這是令人感到相當意外，過去理論認為貶值有刺激產出效果，透過改變國內外商品的相對價格，刺激出口與增加產出。台灣和南韓都是出口貿易導向的經濟體，均高度依賴國際貿易，國際貿易對兩國經濟是具有相當的重要性，而實質匯率變動便深深地影響各自的國際貿易和經濟表現。

故本文比較台灣和南韓過去經濟發展過程中，實質匯率變動與產出之關係，其貨幣貶值究竟是有利或是不利產出？本文應用Agenor的理論模型與Johansen的共整合檢定，以及向量自我迴歸模型（VAR model），來進行此一議題之探討。使用台灣自1970年第一季至2002年第四季之季資料與南韓的1971年第一季至2002第四季之季資料。經由實證發現：一、在台灣長期分析中，新台幣貶值對產出之影響呈現出貶值擴張效果；短期分析中，新台幣貶值對產出則沒有影響。二、在南韓長期分析中，韓圜貶值對產出是沒有影響；而短期分析中，韓圜貶值對產出則有貶值緊縮效果。顯示貶值雖提升出口貿易競爭力，但會使中間進口財價格上漲，使生產者成本增加，對總合供給有不利的影響。 三、實證發現兩國的產出水準與貿易依存度之間，在共整合分析下兩變數的確有長期的正面關係存在，顯示過去國際貿易的成長，有助於經濟成長。

故在評估匯率政策時，要考慮到國內經濟結構與國際貿易等相關因素。本文認為台灣在貿易依存度相當高狀況下，促使新台幣匯率貶值並不一定有利於本國經濟。雖然新台幣貶值在長期之下可能有利產出，但短期內則無顯著影響，故中央銀行的政策目標應持續維持穩定的匯率水準，減少匯率波動風險。反觀，韓圜貶值對長期的產出並無顯著影響，但短期內可能有不利於產出的貶值緊縮效果。故關於一國貨幣是否能利用其貶值之擴張效果的爭議，不應該僅從單方面的價格競爭力思考，其不但損害原有國民之福祉，亦難見有短期的正面實質效果。

Abstract
The thesis intends to investigate the impact of exchange rate fluctutations on a country’s real output (GDP). More specifically, whether the depreciation of domestic currency is expansionary or contractionary for Taiwan’s and South Korea’s economies. According to the traditional theory, it is expected that depreciation in domestic currency generally decreases the relative price of domestically produced goods and imports while stimulating exports, and thereby generates an expansionary effect on output. Following the 1997-98 financial crisis with drastic depreciation of their respective currencies in the hard-hit countries. This outcome seems counterintuitive at the first sight. To examine the issue, Taiwan and South Korea, two major export-oriented economies in Asia are considered.
Johansen’s cointegration analysis and Vector Autoregressive (VAR) model are employed to test exchange rate fluctutationons on the effect of outputs. For Taiwan’s and South Korea’s time series data of 1970I~2002IV and 1971I~2002IV, respectively, several findings can be provided. First, the long-run impact of exchange rate fluctuations, on Taiwan’s output, real depreciation of the NT dollar is said to be expansionary; while a depreciation of the Korean won is no effect in output. Second, for the short-run impact of exchange rate fluctuations on output, real depreciation of the Korean won is contractionary. Because depreciation raises the cost of imports, especially the intermediate inputs and capital goods, and hence. It lowers the aggregate supply. Third, the result from the cointegration analysis implies a significant relation between the output and trade dependence, therefore International trade development indeed promotes economy growth for Taiwan or South Korea.
From our empirical studies, prompting depreciation of the NT dollar is not a wise choice. It should be considering a nation’s economic structure and high trade dependence. For exchange rate policy, an important policy implication can be derived that the central bank should maintain a stable exchange rate and reduce the risk of major fluctuations in exchange rate. And exchange rate policy should be executed extremely cautiously. The depreciation of the currency may not have an expansionary effect in the long-run, and could have an adverse effect in the short-run.

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五、報紙文獻

1. 杜鎮華：〈台幣貶值景氣？走偏鋒、取捷徑，不如回歸基本面〉，《聯合報》， 2001年5月23日，第十五版。
2. 林景春：〈台幣貶值有助於改善經濟體質〉，《經濟日報》，2001年12月30日，第七版。
3. 徐碧華：〈弄錯焦點〉，《經濟日報》，2003年3月13日，第二版。
4. 黃茂雄：〈央行應大膽放手讓新台幣貶值〉，《工商時報》，2001年11月19日。
5. 辜朝明：〈南韓靠貶值救經濟，台、日不宜學〉，《自由時報》，2001年12月25日，第十八版。
6. 〈當心台幣貶值政策加速資金外流〉，《聯合報》， 2001年6月7日，第二版。
7. 〈日本應善盡維持日圓穩定的國際責任〉，《經濟日報》，2001年7月12日。
8. 〈新台幣匯率應由市場供需決定〉，《工商時報》， 2001年7月16日，第19版。
9. 〈央行順勢而為，默許貶值〉，《經濟日報》，2001年12月19日，第二版。
10. 〈台幣貶值與經濟走向的爭議〉，《經濟日報》，2001年12月27日，第二版。
11. 〈日圓貶值，恐引發亞洲貨幣競貶〉，《經濟日報》，2001年12月28日，第四版。
12. 〈台幣貶值 非提振景氣良方〉，《經濟日報》，2002年10月28日。
13. 〈台幣貶值效應不容忽視〉，《聯合報》， 2002年11月6日，第二十二版。