系統識別號 | U0002-2805200716514300 |
---|---|
DOI | 10.6846/TKU.2007.00906 |
論文名稱(中文) | 匯率之非線性平滑轉換誤差修正模型實證研究 |
論文名稱(英文) | Nonlinear Smooth Transition Error Correction Model in Exchange Rates |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系碩士班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 95 |
學期 | 2 |
出版年 | 96 |
研究生(中文) | 蔡育蓉 |
研究生(英文) | Yu-Jung Tsai |
學號 | 694490045 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2007-05-17 |
論文頁數 | 82頁 |
口試委員 |
指導教授
-
莊武仁(ewjch@mail.tku.edu.tw)
委員 - 林筠 委員 - 劉邦典 委員 - 李命志 |
關鍵字(中) |
即期匯率 遠期匯率不偏性假說 非線性 平滑轉換誤差修正模型 |
關鍵字(英) |
Spot Exchange Rates Forward Exchange Rates Nonlinear Smooth Transition Error Correction Model STECM |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
本文係研究新台幣兌美元即期匯率與遠期匯率間的非線性動態調整行為,其中,遠期匯率包括10天期、30天期、60天期、90天期及180天期等五種。經單根檢定得知,所有序列資料需經過一次差分後為定態,均為I(1)序列,且除180天期遠期匯率外,即期匯率與各天期之遠期匯率間皆存在一個共積關係,經配適線性誤差修正模型與非線性檢定後,得知即期匯率與各天期之遠期匯率間應存在非線性關係,表示新台幣兌美元即期匯率與遠期匯率間存在非線性誤差修正調整之現象。 實證結果發現, 在共積關係中,所有遠期匯率皆為弱外生變數,表示10天期、30天期、60天期及90天期的遠期匯率在經濟體系失衡時並不作任何調整。經檢定發現即期匯率與各天期遠期匯率間皆以當期之誤差修正項進行轉換,而所有遠期匯率影響即期匯率的調整行為皆為非線性模型中的logistic型態,即LSTECM模型,表示由下區間(lower regime)轉換至上區間(upper regime)的調整行為是平滑(smooth)的,而非直接跳躍(jump)的。各模型的轉換速度( )都很小,表示從一個區間(regime)到另一個區間(regime)的轉換速度很緩慢。而門檻值(K)方面,即期匯率與各天期遠期匯率間的門檻值皆為接近零的負數,且越遠天期的遠期匯率其門檻值有越來越小的現象。 |
英文摘要 |
Recent research has increasingly suggested that exchange rates may be characterized by non-linear behaviors. The purpose of this paper is to investigate the exchange rates in Taiwan. The exchange rates include spot and forward exchange rates, and furthermore the forward rates include 10-days、30-days、60-days、90-days、180-days. We examined whether a series of spot and forward exchange rates exhibit non-linear smooth transition error correcting dynamic behaviors. The results show that all series of spot and forward exchange rates except 180-days have cointegrating relationship which is predicted by the Expectation Hypothesis. We consider error-correction term as a transition variable for non-linear error correction models. This paper finds that the smooth transition error correction model (STECM) may be appropriate to analyzing the series of spot and forward exchange rates. The evidence propose that the LSTECM model is the best for all series of spot and forward exchange rates, which means the adjustment behaviors from lower regime to upper regime is smooth not jump. |
第三語言摘要 | |
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 研究範圍與限制............................................................................................2 第三節 研究架構與流程............................................................................................2 第二章 理論基礎與文獻回顧 第一節 匯率預期理論...............................................................................................4 第二節 外匯市場效率性............................................................................................6 第三節 國內外文獻回顧............................................................................................8 第三章 研究方法與模型建立 第一節 單根檢定....................................................................................................14 第二節 共積檢定....................................................................................................20 第三節 線性誤差修正模型.......................................................................................24 第四節 非線性平滑轉換誤差修正模型.......................................................................25 第四章 實證分析 第一節 資料說明與處理..........................................................................................30 第二節 各變數之時間走勢圖....................................................................................31 第三節 單根檢定....................................................................................................33 第四節 共積分析....................................................................................................38 第五節 線性誤差修正模型.......................................................................................48 第六節 非線性檢定與非線性模型的選擇...................................................................54 第七節 平滑轉換誤差修正模型之估計......................................................................60 第五章 結論..........................................................................................................76 參考文獻..............................................................................................................78 圖次 【圖1-1】:研究流程圖.............................................................................................3 【圖4-1】:新台幣兌美元即期匯率原始序列走勢圖.....................................................31 【圖4-2】:新台幣兌美元10天期遠期匯率原始序列走勢圖...........................................31 【圖4-3】:新台幣兌美元30天期遠期匯率原始序列走勢圖...........................................32 【圖4-4】:新台幣兌美元60天期遠期匯率原始序列走勢圖...........................................32 【圖4-5】:新台幣兌美元90天期遠期匯率原始序列走勢圖...........................................32 【圖4-6】:新台幣兌美元180天期遠期匯率原始序列走勢圖.........................................32 【圖4-7】:新台幣兌美元即期匯率一次差分序列走勢圖...............................................36 【圖4-8】:新台幣兌美元10天期遠期匯率一次差分序列走勢圖.....................................36 【圖4-9】:新台幣兌美元30天期遠期匯率一次差分序列走勢圖.....................................36 【圖4-10】:新台幣兌美元60天期遠期匯率一次差分序列走勢圖...................................37 【圖4-11】:新台幣兌美元90天期遠期匯率一次差分序列走勢圖...................................37 【圖4-12】:新台幣兌美元180天期遠期匯率一次差分序列走勢圖.................................37 【圖4-13】:S-F10之誤差自我相關圖........................................................................41 【圖4-14】:S-F30之誤差自我相關圖........................................................................41 【圖4-15】:S-F60之誤差自我相關圖........................................................................42 【圖4-16】:S-F90之誤差自我相關圖........................................................................42 【圖4-17】:S-F10之共積向量β 圖.............................................................................44 【圖4-18】:S-F30之共積向量β 圖.............................................................................44 【圖4-19】:S-F60之共積向量β 圖.............................................................................45 【圖4-20】:S-F90之共積向量β 圖.............................................................................45 【圖4-21】:S-F10之logistic轉換函數值之時間走勢圖..................................................63 【圖4-22】:S-F10之logistic轉換函數.........................................................................64 【圖4-23】:S-F30之logistic轉換函數值之時間走勢圖..................................................67 【圖4-24】:S-F30之logistic轉換函數.........................................................................68 【圖4-25】:S-F60之logistic轉換函數值之時間走勢圖..................................................71 【圖4-26】:S-F60之logistic轉換函數.........................................................................71 【圖4-27】:S-F90之logistic轉換函數值之時間走勢圖..................................................74 【圖4-28】:S-F90之logistic轉換函數.........................................................................74 表次 【表4-1】:各變數之基本統計量.................................................................................31 【表4-2】:原始序列之單根檢定.................................................................................34 【表4-3】:一次差分序列之單根檢定..........................................................................35 【表4-4】:S-F10、S-F30、S-F60、S-F90之弱外生檢定..............................................39 【表4-5】:S-F10、S-F30、S-F60、S-F90之誤差序列相關檢定....................................41 【表4-6】:S-F10、S-F30、S-F60、S-F90之共積向量個數檢定....................................44 【表4-7】:S-F10、S-F30、S-F60、S-F90之共積向量(根據理論基礎).......................46 【表4-8】:S-F10、S-F30、S-F60、S-F90之誤差序列相關檢定(經過共積檢定後)........47 【表4-9】:S-F10之線性誤差修正模型估計...................................................................49 【表4-10】:S-F30之線性誤差修正模型估計.................................................................50 【表4-11】:S-F60之線性誤差修正模型估計.................................................................51 【表4-12】:S-F90之線性誤差修正模型估計.................................................................52 【表4-13】:非線性模型之選擇...................................................................................54 【表4-14】:S-F10之非線性檢定.................................................................................55 【表4-15】:S-F30之非線性檢定.................................................................................56 【表4-16】:S-F60之非線性檢定.................................................................................56 【表4-17】:S-F90之非線性檢定.................................................................................57 【表4-18】:S-F10之LSTECM模型估計結果.................................................................60 【表4-19】:S-F30之LSTECM模型估計結果.................................................................64 【表4-20】:S-F60之LSTECM模型估計結果.................................................................68 【表4-21】:S-F90之LSTECM模型估計結果.................................................................72 【表4-22】:實證研究結果..........................................................................................75 |
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