本文旨在檢視匯率制度對各國景氣衰退及復甦的影響效果，我們使用1970-2018年34個OECD國家的季資料，尤其，運用 Harding and Pagan (2002) 的方法及實質GDP季資料，判定景氣循環的轉折時點，並採用 lzetzki, Reinhart, and Rogoff (2019) 的匯率制度分類。我們發現相較於固定匯率者，在衰退期間浮動匯率者的衰退程度較小且復甦速度較快，隱含名目匯率扮演「衝擊吸收者」的角色，實證結果也指出名目匯率的衝擊吸收功能隨著匯率制度彈性增加而變大。更重要的是，我們發現多數浮動匯率的國家在衰退期間發生貨幣貶值的現象。最後，我們亦發現經濟體的經常帳餘額赤字與衰退程度具有關聯性，而危機前國內信用及房價的成長速度越快速，將導致危機時較嚴重的衰退程度及較緩慢的復甦速度。

In the study, we use the quarterly data from 1970 to 2018 for 34 OECD countries to examine the effects of exchange rate regimes on the duration and amplitude of recession as well as the speed of recovery. Especially, we utilize Ilzetzki, Reinhart, and Rogoff (2019) exchange rate regime classifications, and quarterly real GDP data with the method proposed by Harding and Pagan (2002) to identify the turning points in business cycles. First, we find that the floaters tend to have less severe recession and more speedy recovery than the fixers, implying the important role played by nominal exchange rate flexibility as “shock-absorber”. We also find that the currency tend to depreciate during the recession in most countries with flexible exchange rate regimes. Moreover, we find that pre-crisis current account deficits, domestic credit and house price growth have adverse effect on the severity of recession and the pace of recovery.

中文摘要
英文摘要
1 前言 1
2 文獻回顧 4
2.1 匯率制度與景氣衰退及復甦 4
2.2 金融體系、總體經濟變數與景氣衰退及復甦 6
3 研究方法 7
3.1 Harding and Pagan (2002) 景氣循環轉折點認定方法 7
3.2 Ilzetzki, Reinhart and Rogoff (2019) 匯率制度分類 9
3.3 實證模型及實證資料 11
4 實證結果 14
4.1 敘述統計 14
4.2 迴歸分析 19
4.2.1 主要估計結果 19
4.2.2 名目/實質有效匯率指數 24
4.2.3 穩健性分析 26
5 結論 33
參考文獻 34
附錄 37

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