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系統識別號 U0002-0506200910525200
中文論文名稱 英、日匯率之長短期互動關係實證研究
英文論文名稱 The Short Dynamic Relationship and Long Run Relationship of the Foreign Exchange Rate in United Kingdom and Japan.
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 97
學期 2
出版年 98
研究生中文姓名 吳彥儒
研究生英文姓名 Yen-Ju Wu
學號 696530392
學位類別 碩士
語文別 中文
口試日期 2009-05-29
論文頁數 57頁
口試委員 指導教授-聶建中
共同指導教授-李沃牆
委員-聶建中
委員-李沃牆
委員-張倉耀
委員-何宗武
委員-唐代彪
中文關鍵字 即期匯率  遠期匯率  門檻自我迴歸模型  門檻誤差修正模型 
英文關鍵字 Spot Exchange Rate  Forward Exchange Rate  Threshold Autoregressive Model  Threshold Error-Correction Model 
學科別分類 學科別社會科學商學
中文摘要 外匯市場隨著國際貿易的發展而逐漸成為各國互通往來之重要媒介,在全球化之影響下蓬勃發展,也成為投資者積極參與之熱門場所,因此如何運用外匯進行投資及避險早已成為實務上及學術上爭相探討之重要話題,故本文以美元兌英鎊及日圓之外匯即期匯率與三十天期遠期匯率進行長短期互動關係之研究。
本研究先以單根檢定法檢測日圓及英鎊之外匯即、遠期匯率是否存在單根現象。許多學術研究已證實大部分的金融性資產在經過一段時間之互動將具有非對稱之調整,因此本研究將會使用動差門檻自我迴歸模型(M-TAR)及動差非線性誤差修正模型(M-TCEM)檢測日圓、英鎊之外匯即、遠期匯率間之長短期互動關係。
經本文之實證研究,日圓、英鎊之外匯即、遠期匯率原始序列存在單根現象,並在經過一次差分之後呈現定態,此表示日圓、英鎊之外匯即期匯率與遠期匯率皆屬於I(1)之時間數列資料。在門檻共整合檢定部分,實證結果顯示日圓外匯即、遠期匯率及英鎊之外匯即、遠期匯率間存在非對稱之門檻共整合關係。而在經非對稱之門檻誤差修正模型之檢定後發現﹕在短期互動下,日圓之即、遠期匯率只存在單向影響關係,並不存在雙向互動關係,另一方面,英鎊即、遠期匯率之間不存在短期之動態關係;在長期因果關係,日圓之遠期匯率對日圓即期匯率具有領先關係,而英鎊之即期匯率則是呈現領先英鎊遠期匯率的顯著關係。
英文摘要 Recent research has increasingly suggested that exchange rates may be characterized by non-linear behaviors. This study investigates the asymmetric causal relationships between the spot exchange rate and the forward exchange rate in United Kingdom Sterling and Japan Yen using the daily data running from 2001 to 2008.
The results from Granger-Causality tests based on corresponding threshold error-correction model clearly point out the following: In Japan, a unidirectional causality from the forward exchange rate market to the spot exchange rate market in the short run and a bidirectional causality running from the forward exchange rate market to the spot exchange rate market in the long run. In United Kingdom, there is not a short dynamic relationship between the spot exchange rate and the forward exchange rate market but there is a bidirectional causality running from the spot exchange rate market to the forward exchange rate market in the long run. These findings ought to be made readily available to individual investors and financial institutions holding investment portfolios in foreign exchange rate markets.
論文目次 目錄
第一章 緒論.......................................1
第一節 研究背景及動機...............................1
第二節 研究目的.....................................4
第三節 研究流程與步驟...............................5
第二章 文獻回顧...................................6
第三章 研究方法..................................11
第一節 單根檢定....................................12
第二節 門檻共整合檢定..............................18
第三節 門檻誤差修正模型............................23
第四章 實證結果與分析............................26
第一節 變數選取與資料來源..........................26
第二節 單根檢定....................................28
第三節 門檻共整合檢定..............................30
第四節 門檻誤差修正模型基礎之Granger因果關係檢定...35
第五章 結論與建議................................47
第一節 研究結論....................................47
第二節 研究建議....................................51
參考文獻...........................................52
圖表目次
【圖1.3.1】研究步驟流程圖...........................5
【表4.1.1】外匯即期匯率、遠期匯率之敘述統計資料....27
【表4.2.1】ADF、PP及NP之單根檢定結果...............29
【表4.3.1】日圓外匯即、遠期匯率之門檻共整合檢定(Enders and Granger, 1998).....................................33
【表4.3.2】英鎊外匯即、遠期匯率之門檻共整合檢定(Enders and Granger, 1998).....................................34
【表4.4.1】日圓之外匯即、遠期匯率動差誤差修正模型(M-TECM)之估計...............................................39
【表4.4.2】日圓即、遠期匯率之M-TECM模型短期互動關係檢定.................................................39
【表4.4.3】日圓即、遠期匯率之M-TECM模型長期因果關係檢定.................................................40
【表4.4.4】英鎊之外匯即、遠期匯率動差誤差修正模型(M-TECM)之估計...............................................45
【表4.4.5】英鎊即、遠期匯率之M-TECM模型短期互動關係檢定.................................................45
【表4.4.6】英鎊即、遠期匯率之M-TECM模型長期因果關係檢定.................................................46
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