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中文論文名稱 匯率與總體變數非線性平滑轉換誤差修正模型之實證分析
英文論文名稱 The Exchange rate and among Macroeconomic Variables in Smooth Transition Error Correction Model.
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 94
學期 2
出版年 95
研究生中文姓名 鄭育姍
研究生英文姓名 Yu-Shan Cheng
學號 693490533
學位類別 碩士
語文別 中文
口試日期 2006-05-11
論文頁數 79頁
口試委員 指導教授-莊武仁
委員-林筠
委員-劉邦典
委員-李命志
中文關鍵字 匯率  失衡指數  共積分析  非線性平滑移轉誤差修正模型 
英文關鍵字 Exchange rate  Cointegration  Disequilibrium Index  Nonlinear Smooth Transition Error Correction Model 
學科別分類 學科別社會科學商學
中文摘要 本文探討匯率與總體變數的短期動態調整至長期均衡關係的調整過程,以曹添旺和朱美麗 (1990)所設定之模型為基礎,建立一個包括股票市場而價格可以調整的小型開放經濟模型。實證方法為匯率與總體變數之非線性平滑轉換誤差修正模型。
本文利用Granger,Yan and Francis (2003)所提出的失衡指數(disequilibrium index)當作轉換變數,再利用Teräsvira(1994)給予配適非線性平滑移轉誤差修正模型。
實證結果發現,匯率、物價、實質所得、實質股價、貨幣供給成長率與國外利率間存在兩條長期均衡關係。且其中一條共積關係符合利率評價理論與購買力平價說條件。
而新台幣兌美元匯率之短期動態調整至長期均衡的過程呈現非線性的行為,其調整過程是非對稱性的Logistic平滑轉換誤差修正模型。
英文摘要 The purpose of this paper is to investigate the relationship among exchange rate and macroeconomic variables. Theoretically, in a small open economy like Taiwan, the changes in current account have important effects on economic variables. A nonlinear smooth transition error correction model is specified and estimated with a disequilibrium index as a proxy for the transition variable.
The empirical results show that exchange rate, price level, real income, real stock price, money growth rate and foreign interest rate are cointegrated with each other. Furthermore, the hypothesis of Interest Rate Parity and Purchasing Power Parity hold in Taiwan.
The long-run equilibrium relationship among exchange rate and macroeconomic variables is stable with nonlinear adjustment. The evidences suggest that the LSTECM model is best for characterizing the behaviors.
論文目次 目錄
第一章 緒論
第一節 研究動機與目的…………………………………………………...1
第二節 研究範圍…………………………………………………………...4
第三節 研究架構與流程………………………………………………….. 5
第二章 文獻回顧
第一節 匯率呈非線性模型之相關文獻………………………………….. 7
第二節 非線性模型之相關文獻………………………………………….. 9
第三節 非線性STECM模型之相關文獻…………………………………12
第三章 研究方法
第一節 單根檢定………………………………………………………… 15
第二節 共積向量之估計與檢定………………………………………… 20
第三節 建立失衡指數…………………………………………………… 23
第四節 線性誤差修正模型……………………………………………… 26
第五節 非線性平滑轉換誤差修正模型………………………………… 27
第六節 非線性模型檢定與非線性模型之選擇………………………… 29
第四章 理論模型的設立……………………………………………………… 31
第五章 實證分析
第一節 研究資料………………………………………………………… 36
第二節 單根檢定………………………………………………………… 39
第三節 匯率與總體經濟變數之共積分析……………………………… 43
第四節 線性誤差修正模型……………………………………………… 56
第五節 失衡指數分析…………………………………………………… 58
第六節 非線性檢定與非線性模型之選擇……………………………… 60
第七節 非線性模型估計………………………………………………… 65
第五章 結論…………………………………………………………………… 69
參考文獻…………………………………………………………………………71


圖次目錄

圖1-1: 研究架構圖…………………………………………………………………6
圖5-1a:物價水準原始與差分序列走勢圖 ………………………………………41
圖5-1b:實質股價原始與差分序列走勢圖 ………………………………………41
圖5-1c:匯率原始與差分序列走勢圖 ……………………………………………41
圖5-1d:實質所得原始與差分序列走勢圖 ………………………………………41
圖5-1e:國外利率原始與差分序列走勢圖 ………………………………………41
圖5-1f:貨幣供給成長率原始與差分序列走勢圖 ………………………………41
圖5-1g:石油價格波動之原始與差分序列走勢圖 ………………………………42
圖5-1h:大陸對我國出進口總量之原始與差分序列走勢圖 ……………………42
圖5-2: 殘差自我相關和交叉相關圖…………………………………………… 44
圖5-3: 伴隨矩陣的特性根……………………………………………………… 46
圖5-4: 共積向量 圖 ……………………………………………………………46
圖5-5: 共積殘差圖 ………………………………………………………………50
圖5-6: Trace檢定………………………………………………………………….53
圖5-7: 穩定性檢定-最大概似值……………………………………………….54
圖5-8: 觀察期間(1998:Q1)之 穩定性檢定……………………………………..54
圖5-9: 兩個特性根不為0之檢定………………………………………………….55
圖5-10:調整後失衡指數( ) ……………………………………………………...59
圖5-11: 之轉換函數圖 ………………………………………………………67







表次目錄

表5-1: 變數資料來源與說明……………………………………………………38
表5-2: 基本統計量………………………………………………………………39
表5-3: 單根檢定-水準項……………………………………………………….. 40
表5-4: 單根檢定-差分項……………………………………………………….. 40
表5-5: 殘差序列相關檢定………………………………………………………44
表5-6: 模型設定檢定……………………………………………………………44
表5-7: 匯率與總體經濟變數間之共積向量檢定………………………………46
表5-8: 未限制標準化之估計檢定結果…………………………………………47
表5-9: 受限制之估計檢定結果…………………………………………………49
表5-10:殘差序列相關檢定………………………………………………………49
表5-11:模型設定檢定……………………………………………………………50
表5-12:外生變數估計檢定………………………………………………………51
表5-13:t-1期短期調整矩陣…………………………………………………….. 52
表5-14:t-2期短期調整矩陣…………………………………………………….. 52
表5-15:線性誤差修正模型之估計與檢定結果…………………………………57
表5-16:物價(P)變數之線性檢定之P值………………………………………….60
表5-17:實質所的(Y)變數之線性檢定之P值……………………………………61
表5-18:匯率(E)變數之線性檢定之P值…………………………………………62
表5-19:實質股價(Q)變數之線性檢定之P值……………………………………63
表5-20:國外利率(Rf)變數之線性檢定之P值 ………………………………….63
表5-21:貨幣供給成長率(Mg)變數之線性檢定之P值 …………………………63
表5-22:匯率變數之LSTECM模型估計與診斷………………………………….65

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