臺灣博碩士論文加值系統

本研究主要是針對匯率受國際資金移動影響的特性，利用兩狀態馬可夫轉換模型，來描述匯率波動所處的狀態與外資買賣所處狀態之間的關聯性，探索匯率波動與外資買賣兩時間序列間的性質。而且由於亞洲金融風暴對新台幣匯率可能產生結構性的改變，因此對於研究期間的設定，除了全體樣本期間外，更劃分成亞洲金融危機發生前、發生時、發生後等三個子樣本期間，探討亞洲金融危機發生前後匯率波動與外資買賣之間的關係是否有所轉變，同時亦據以檢視馬可夫轉換模型是否具有穩健性的結果。
本研究結論如下：
1.無論在全體或各子樣本期間，匯率波動所處狀態與外資買賣所處狀態之間的關聯性，兩者間是互相獨立的。
2.無論在全體或各子樣本期間中，最適模型估計出的轉換機率係數均相當顯著，表示資料本身確實存在狀態轉換的情況。
3.各子樣本期間均認定匯率波動所處狀態與外資買賣所處狀態間，狀態轉換是由各自獨立的事件所產生的，表示馬可夫轉換模型無論在何種時期均具有穩健性。
4.描述匯率變動率波動度大的狀態轉換係數值，在金融危機發生期間明顯大於其他各期，甚至高於全體樣本期間。顯示在金融危機發生時，匯率變動率出現巨幅波動的現象。
5.在匯率變動率ARCH項所加入的不對稱性參數，除了在金融危機發生時之外，其他在全體樣本期間、危機前、危機後等均發現有不對稱性效果存在。

The thesis mainly focuses on the properties of foreign exchange rate influenced by the international capital movements. Using two-state Markov switching model explores the relationship and their characteristics between exchange rate fluctuation and foreign portfolio investment. According to the financial crisis of Asia could inspire the structure change of NTD exchange rate, the research period of the thesis is classified as four parts, one of the parts is the overall sample period, else are, three sub-periods, the before, in, after period of the financial crisis of Asia. Investigating the relationship between the exchange rate fluctuation and the foreign portfolio investment is seemly happened switching or not whereas before or after the financial crisis of Asia, finally, would like to drawing a conclusion on the two-state Markov switching model whether or not having the consistent outputs.
The conclusions of thesis are listed as below:
1.The relationship between exchange rate fluctuation and foreign portfolio investment is mutually independent whether in overall sample period or in else three sub-periods.
2.The estimation of transition probabilistic coefficients all are statistically significant, and imply the nature of data exactly existing the state switching whether in overall sample period or in else three sub-periods.
3.The two-state Markov switching model can obtain the consistent outputs because of the same output in three sub-periods.
4.Showing the change rate of exchange rate has high and violent vibration phenomenon when the financial crisis of Asia happened.
5.Add the asymmetry variable in the ARCH components of the change rate of exchange rate model, and find out the existing the asymmetry effect in overall sample period, before, after the financial crisis of Asia, not including in the financial crisis of Asia.

第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 2
第三節 研究架構與流程 6
第二章 文獻回顧 7
第一節 匯率與外資關係傳統文獻回顧 7
第二節 馬可夫轉換模型相關實證研究 8
第三節 本章小結 11
第三章 研究方法 12
第一節 狀態轉換模型之分類 12
第二節 兩狀態馬可夫鏈 14
第三節 馬可夫轉換模型的設定 16
第四節 參數的估計方法 22
第四章 實證結果與分析 24
第一節 資料來源與說明 26
第二節 資料的處理與分析 28
第三節 實證模型的設定 32
第四節 實證結果 38
第五章 結論與建議 54
第一節 結論 54
第二節 研究限制與建議 55
參考文獻 57

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