本文使用吳致寧等（2012）設計之貨幣學派模型來估計台灣的理論匯率，其貨幣學派模型的特徵是將 Balassa-Samuelson（BS）效果以及購買力平價只在貿易財商品市場成立等因素考慮進去，估計自1999年1月至2019年12月之台灣理論匯率，並利用虛擬變數分析在名目匯率錯誤訂價下，外匯報酬率與台灣外匯市場交易量變動率之關係是否在實際名目匯率被低估時，交易量變動率與預期報酬率呈正向關係，而在實際名目匯率被高估時，交易量變動率與預期報酬率呈負向關係。實證結果發現：當美元被低估（新台幣被高估）時交易量變動率與報酬率之間呈現正向關係，而美元被高估（新台幣被低估）時交易量變動率與報酬率之間呈現負向關係，與預期結果相同。;This paper uses the Monetary model designed by Wu et al. (2012) to estimate Taiwan’s theoretical exchange rate. The characteristic of the Monetary model is that the Balassa-Samuelson (BS) effect and purchasing power parity are only established in the trading goods market. Estimating the theoretical exchange rate of Taiwan from January 1999 to December 2019, and using virtual variables to analyze whether the relationship between the foreign exchange rate of return and the rate of change in Taiwan’s foreign exchange market transaction volume under the mispricing of the nominal exchange rate is underestimated. The rate of change in transaction volume has a positive relationship with the expected rate of return, and when the actual nominal exchange rate is overestimated, the rate of change in transaction volume has a negative relationship with the expected rate of return. The empirical results found that: when the U.S. dollar is undervalued (the New Taiwan dollar is overvalued), there is a positive relationship between the rate of change in transaction volume and the rate of return, and when the U.S. dollar is overvalued (the New Taiwan dollar is undervalued) There is a negative relationship between them, which is the same as the expected result.
