鑑於過去研究台灣貨幣需求函數的實證研究中，多採用封閉經濟模型，忽略匯率變動因素對貨幣需求的影響，因此本文利用Johansen and Juselius (1990) 共整合分析法及誤差修正模型，估計開放經濟下之台灣的貨幣需求函數，並進一步探討長、短期間是否具有通貨替代的現象。實證結果發現，在1985年11月至1996年10月這段期間，不論狹義(mlb)或廣義實質貨幣(m2)都與實質所得、名目利率、預期匯率變動率之間存有長期的均衡關係，其中m2的所得彈性較mlb為大，但利率彈性較mlb為小。此外，流動性較大的mlb在長、短期均存在通貨替代的現象，而m2僅長期間存在，且其中又以mlb的通貨替代程度為大。
This paper examines open economy monetary demand function in Taiwan, and tests for the existence of currency substitution during long-run and short-run period between Taiwan and the United States using the Johansen and Juselius (1990) method of cointegration and corresponding the error correction model. Results show that both real Ml b and real M2 have the long-run equilibrium relationship with real income, nominal interest rate, and expected exchange rate of depreciation from 1985: 11 to 1996: 10.
In the effect, the income elasticity of real M2 is larger than real M1b’s, but the interest rate elasticity of real M2 is smaller than real M1b’s. In addition real M1b is more volatile, have currency substitution phenomena in long-run and short-run period. However, real M2 only have currency substitution phenomena in long-period. Especially, the currency substitution degree is more in real M1b.
