印尼通貨替代之實證

Abstract

本文利用資產組合模型探討印尼是否有通貨替代的現象，又在金融危機發生後至今日，匯率對民眾貨幣需求的影響是否有異於過去。在考量通貨替代情況下，貨幣需求函數除了包含所得、利率變數外，還包括匯率，此外也加入時間虛擬變數與匯率的交叉項，研究期間則為1996年1月至2006年5月。應用Johansen共整合分析法之實証結果顯示印尼的貨幣需求雖深受匯率所影響，但並不存在通貨替代的現象，且隨著金融風暴陰霾遠去，印尼民眾較願意持有印尼盾。

This paper employs monthly data over the 1996-2006 periods to investigate whether currency depreciation in Indonesia has resulted in currency substitution away from Rupiah. To take account of currency substitution, the demand for money that includes the exchange rate in addition to income, interest rate, also an interaction dummy variable between time dummy and exchange rate. The methodology is based on an application of the Johansen and Juselius（1990）cointegration technique. There is no evidence of currency substitution in real M1 equation.