本文採Pesaran，Shin and Smith (2001)區間測試法，以台灣1986:01至 2003:04區間為樣本，探討Dornbush (1976)價格僵固的貨幣理論匯率決定模型及其隱含的匯率「過度反應」現象。以克服同時存在I(1)及(0)整合級次不一致現象問題的ARDL-UECM-MAIC(1, 10, 10, 8, 10)模型設定，本研究之實證發現，不但無法支持Dornbush(1976)價格僵固模型的匯率貶值過度反應現象，即一般學理所認定貨幣供給額增加對匯率之走勢的正向貶值效應(此隱含著台灣在短期間之匯率過度波動的泡沫投資現象不易發生)，更也推翻了匯率決定模型中總體經濟變數於長期間對匯率的影響預估能力。 We employ the newly developed ARDL-UECM-MAIC bounds test (Pesaran, Shin and Smith, 2001) testing for the exchange rate overshooting phenomenon in Taiwan over 1986:01~2003:04. The ARDL approach is appropriate to test for the dynamic modeling irrespective of whether the variables are I(0) or I(1). We find the evidence that there do not exist a short-run overshooting phenomenon, which implies that no abnormal fluctuation of exchange rate in the presence of speculative bubble occurs during the sample period considered in Taiwan. The empirical finding also provides the evidence for no existence of a long-run relationship between exchange rate and macroeconomic variables (money supply, industrial production, interest rate, and inflation rate), which objects the Dornbush's(1976) stick price model of monetary approach to exchange rate determination.
