國際資金的流動自1990年代開始，逐漸成為全球關注的課題。隨著全球化發展經濟體之間關係日漸緊密，開發中國家接受大量外資流入的同時，除了接受技術進步、經濟成長、人民生活水準提升等好處外，1994年墨西哥金融危機及1997年亞洲金融風暴也彰顯政府對資金流動監管的重要性。過去至今累積許多國際資金相關的文獻，許多研究以開發中國家作為關注的主角。本篇將以東亞的已開發國家為主，研究不同類型的外資包含國外直接投資(FDI)、證券投資(FPI)、熱錢(Hot money)，不同衝擊會對台灣、韓國、日本的總體變數造成什麼樣的影響。實證分析使用季資料，以遞迴式VAR進行估計分析衝擊發生時會造成的影響。結果發現，與開發中國家不同之處在於，直接投資對三個已開發國家經濟成長的影響並不如開發中國家來的有幫助，台灣、韓國及日本的總體變數主要受到證券投資和熱錢兩種資金類型的影響。

International capital flows play an important role in both developing and developed countries. It helps developed countries improving growth, living standards, and also production technologies. Every coin has two sides, the Mexican peso crisis in 1994 and Asian financial crisis in 1997 imply the importance of supervision of international capital flows. There are hundreds of papers relate to capital flows and the effect of recipient countries. However, few of them examine macroeconomic performance in developed countries by using different types of capital flows. Therefore, we consider three different capital flows, foreign direct investment, portfolio investment, and hot money, to analysis the impacts on Asia countries. In this paper we find the positive shock of portfolio investment and hot money are the main factors that affect the macro variables in Taiwan, South Korea, and Japan.

摘要﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍I
Abstract﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍II
目錄﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍III
第一章 緒論﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍1
第一節 前言﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍1
第二節 研究目的與動機﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍2
第三節 研究架構﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍4
第二章 文獻回顧 ﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍4
第一節 國際資金說明﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍4
第二節 研究相關文獻探討﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍6
第三章 研究方法及步驟 ﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍8
第一節 資料來源與變數解釋﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍8
第二節 變數檢定及結果 ﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍10
第三節 VAR模型說明﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍15
第四章 實證分析 ﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍17
第一節 VAR模型衝擊反映分析﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍17
第二節 延伸分析：以2008年第二季為結構性變動點 ﹍﹍﹍﹍﹍﹍﹍﹍﹍25
第三節 穩健性分析 ﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍38
第五章 結論 ﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍39
參考文獻﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍41
附錄 ﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍﹍44

1. Ahmad, F., Draz, M.U., and Yang, S.-C. (2015), Determinants of foreign portfolio inflows: analysis and implications for China. Asian Journal of Finance and Accounting, 7(2), 66-77.
2. Alley, I. and Poloamina, I. (2015), Private capital flow shocks and Sub-Saharan African macroeconomic performance. Journal of International Economic Studies, 29, 61-84.
3. Aziz, O.G. and Mishra, A.V. (2016), Determinants of FDI inflows to Arab economies. The Journal of International Trade and Economic Development, 25(3), 325-356.
4. Baharumshah, A.Z., Slesman, L., and Devadason, E.S. (2017), Types of foreign capital inflows and economic growth: new evidence on role of financial markets. Journal of International Development, 29, 768-789.
5. Berument, H. and Dincer, N.N. (2004), Do capital flows improve macroeconomic performance in emerging markets? Emerging Markets Finance and Trade, 40(4), 20-32.
6. Calvo, G.A., Leiderman, L., and Reinhart, C.M. (1996), Inflows of capital to developing countries in the 1990s. Journal of Economic Perspectives, 10(2), 123-139.
7. Chow, G.C. (1960), Tests of equality between sets of coefficients in two linear regressions. Econometrica, 28(3), 591-605.
8. Colombo, J.A., Loncan, T.R., and Caldeira, J.F. (2018), Do foreign portfolio capital flows affect domestic investment? Evidence from Brazil. International Journal of Finance and Economics, 24(2), 855-883.
9. Dickey, D.A. and Fuller, W.A. (1979), Autoregressive time series with a unit root. Journal of American Statistical Association, 74(3), 427-431.
10. Feng, L., Lin, C.-Y., and Wang, C. (2014), Hot money and stock prices in China. The Journal of American Academy of Business, Cambridge, 20(1), 198-204.
11. Feng, L., Lin, C.-Y., and Wang, C. (2017), Do capital flows matter to stock and house prices? Evidence from China. Emerging Markets Finance and Trade, 53(10), 2215-2232.
12. Fornari, F. and Stracca, L. (2013), What does a financial shock do? First international evidence. European Central Bank working paper series No. 1522.
13. Granger, C.W.J. (1969), Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438.
14. Gumus, G.K., Duru, A., and Gungor, B. (2013), The relationship between foreign portfolio investment and macroeconomic variables. European Scientific Journal, 9, 209-226.
15. Hamilton, J.D. (1989), A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57(2), 357-384.
16. Jayasuriya, S. and Leu, S. (2017), Volatile capital flows and macroeconomic performance in Indonesia: an SVAR analysis. Economic Papers: A Journal of Applied Economics and Policy, 36(2), 135-155.
17. Kanayo, O. and Emeka, O. (2012), Foreign private capital, economic growth and macroeconomic indicators in Nigeria: an empirical framework. Internaional Journal of Economics and Finance, 4(10), 111-124.
18. Kwoba, M.N. and Kibati, P. (2016), Impact of selected Macro economic variables on foreign direct investment in Kenya. International Journal of Economics, Finance and Management Sciences, 4(3), 107-116.
19. Martin, M.F. and Morrison, W.M. (2008), China’s “Hot Money” problems. United States Congressional Research Service, RS22921.
20. Ndubuisi, P. (2017), An analysis of the impact of macroeconomic variables and foreign direct investment in Nigeria: a VECM granger causality framework. Journal of Business and Economic Development, 2(3), 187-197.
21. Pala, A. and Orgun, B.O. (2015), The effect of Macro economic variables on foreign portfolio investments: an implication for Turkey. Journal of Business, Economics and Finance, 4(1), 108-126.
22. Phillips, P.C.B. and Perron, P. (1988), Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
23. Saini, N. and Singhania, M. (2018), Determinants of FDI in developed and developing countries: a quantitative analysis using GMM. Journal of Economic Studies, 45(2), 348-382.
24. Sims, C.A. (1980), Macroeconomics and reality. Econometrica, 48(1), 1-48.
25. Sun, W. and An, L. (2011), Dynamics of floating exchange rate: how important are capital flows relative to macroeconomic fundamentals? Journal of Economics and Finance, 35(4), 456-472.
26. Vita, G.D. and Kyaw, K.S. (2008), Determinants of capital flows to developing countries: a structural VAR analysis. Journal of Economic Studies, 35(4), 304-322.
27. Zakari, M. (2017), The impact of exchange rate fluctuations on foreign direct investment in Nigeria. Journal of Finance and Accounting, 5(4), 165-170.