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系統識別號 U0002-2805200716514300
中文論文名稱 匯率之非線性平滑轉換誤差修正模型實證研究
英文論文名稱 Nonlinear Smooth Transition Error Correction Model in Exchange Rates
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 95
學期 2
出版年 96
研究生中文姓名 蔡育蓉
研究生英文姓名 Yu-Jung Tsai
學號 694490045
學位類別 碩士
語文別 中文
口試日期 2007-05-17
論文頁數 82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 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 
英文關鍵字 Spot Exchange Rates  Forward Exchange Rates  Nonlinear  Smooth Transition Error Correction Model  STECM 
學科別分類 學科別社會科學商學
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.
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

參考文獻 一、中文部份

邱顯比與葉銀華(1993),台灣外匯市場效率性檢定與風險溢價之研究─cointegration和ARCH模型,社會科學論叢,第四十一輯,頁185-205。

林秋桂(1996),台灣外匯市場效率性檢定,淡江大學財務金融研究所碩士論文。

陳學毅(2004),匯率預測模型績效之研究--時間序列及灰色預測模型之應用,東海大學國際貿易學系碩士論文。

許琇庭(2006),台灣利率期限結構之非線性平滑轉換誤差修正模型實證研究,淡江大學財務金融研究所碩士論文。

廖元宏(2002),以STAR模型研究新台幣實質有效匯率,國立中山大學財務管理研究所碩士論文。

楊凱文(2004),貨幣學派均衡匯率偏離之非線性動態調整,中原大學國際貿易學系碩士論文。

二、英文部分

Barnhart, S. W., and A. C. Szakmary (1991), “Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co-Integration, and Stochastic Coefficients,” Journal of Financial and Quantitative Analysis, 26, 245-267.

Bekaert, G., and R. J. Hodeick (2001), “Expectations Hypotheses Tests,” Journal of Finance, 4, 1357-1394.

Bergman, U. M., and J. Hansson (2005), “Real Exchange Rates and Switching Regimes,” Journal of International Money and Finance, 24, 121-138.

Chen, S. L., and J. L. Wu (2005), “Long-run Money Demand Revisited: Evidence from a Non-linear Approach,” Journal of International Money and Finance, 24, 19-37.

Clements, M. P., and J. Smith (2001), “Evaluating Forecasts from SRTAR Models of ExchangeRates,” Journal of International Money and Finance, 20, 133-148.

Eitrheim, Ø., and T. Teräsvirta (1996), “Testing the Adequacy of Smooth Transition Autoregressive Models,” Journal of Economics, 74, 59-75.

Engel, C. (1994), “Can the Markov Swithching Model Forecast Exchange Rates?” Journal of International Finance, 36, 151-165.

Engel, C. (1996), “The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence,” Journal of Empirical Finance, 3, 123-192.

Granger, C. W. J., and T. Teräsvirta (1993), “Modeling Non-linear Economic Relationships,” Oxford:Oxford University Press.

Hakkio, C. S., and M. Rush (1989), “Market Efficiency and Cointegration: An Approach to the Sterling and Deutschemark Exchange Markets,” Journal of International Money and Finance, 8, 75-88.

Hsieh, D. A. (1989), “Testing for Nonlinear Dependence in Foreign Exchange Rates,” Journal of Business, 62, 339-368.

Johansen, S., and K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration-With Applications to the Demand for Money,” Oxford Bulletin of Economics and Statistics, 52,169-210.
Kanas, A. (2005), “Modelling the US/UK Real Exchange Rate-Real Interest Differential Relation: A Multivate Regime Switching Approach,” The Manchester School, 73, 123-140.

Kanas, A. (2005), “Regime Llinkages in the US/UK Real Exchange Rate-Real Interest Differential Relation,” Journal of International Money and Finance, 24, 257-274.

Kollmann, R. (2005), “Macroeconomics Effects of Nominal Exchange Rate Regimes: New Insights into the Role of Price Dynamics,” Journal of International Money and Finance, 24, 275-292.

Lai, K. S., and M. Lai (1991), “A Cointegration Test for Market Efficiency,” Journal of Futures Markets, 11, 567-575.

Leung, M. T., A. S. Chen, and H. Daouk (2000), “Forecasting Exchange Rates Using General Regression Neural Networks,” Computers & Operations Research, 27,1093-1110.

Ma, Y., and A. Kanas (2000), “Testing for A Nonlinear Relationship Among Fundamentals and Exchange Rates in the ERM,” Journal of International Money and Finance, 19, 135-152.

McMillan, D. G. (2005), “Smooth-transition Error-correction in Exchange Rates,” North American Journal of Economics and Finance, 16, 217-232

Michael, P., A. R. Nobay, and D.A. Peel (1997), “Transaction Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation,” Journal of Political Economy, 105, 862-879.

Persson, A., and T. Teräsvirta (2003), “The Net Barter Terms of Trade: A Smooth Transition Approach,” International Journal of Finance and Economics, 8, 81-97.
Rapach, D. E., and M. E. Wohar (2006), “The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior,” International Journal of Forecasting, 22, 341-361.

Sarantis, N. (1999), “Modeling Non-linearities in Real Effective Exchange Rates,” Journal of International Money and Finance, 18, 27-45.

Taylor, M. P., and D. A. Peel (2000), “Nonliear Adjustment Long-run Equilibrium and Exchange Rate Fundamentals,” Journal of International Money and Finance, 19, 33-53.

Teräsvirta, T., and H. M. Anderson (1992),”Characterizing nonlinearities in business
cycles using smooth transition autoregressive models,” Journal of Applied Econometrics, l7, 119-36.

Teräsvirta, T. (1994),”Specification, estimation, and evaluation of smooth transition autoregressive models,” Journal of the American Statistical Association, 89, 208-218.
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