有別於傳統文獻以購買力平價學說為基礎來計算匯率失衡，本文利用IMF(2006)所提出的基本均衡匯率模型(FEER)來計算匯率失衡後，在利用非線性的門檻模型來驗證台灣的匯率失衡與經濟成長的關連性。實證結果發現新台幣在1981至1987年與2002至2007年之間是呈現低估的現象;在1988至2001年之間，新台幣則有高估的情形。在向量自我門檻模型中,我們以出口為門檻變數,檢驗匯率失衡與經濟成長的關連性,其結果發現在出口較小的體制之下,匯率失衡對於經濟成長並沒有什麼影響,然而出口較大的體制,匯率失衡對於經濟成長有顯著的影響。 Different from traditional papers which were based on theory of purchasing power parity to calculate exchange rate misalignment, this paper uses model of fundamental equilibrium exchange rate (FEER) published by IMF to calculate exchange rate misalignment, and then uses nonlinear threshold model to test the Granger causality between exchange rate misalignment and economic growth of Taiwan.It is found from the empirical results that New Taiwan Dollar was undervalued in the periods of 1981-1987 and 2002-2007. In the period of 1998-2001, New Taiwan Dollar was overvalued.Under threshold vector autoregressive model, we uses export as an threshold variable to test the correlation between exchange misalignment and Granger causality. It is found that under a reqime with smaller export, exchange rate misalignment has no effect on economic growth, but a reqime with larger export, exchange rate misalignment has remarkable effect on economic growth.
