臺灣博碩士論文加值系統

1973年布列敦森林體系崩潰，世界各國紛紛改採浮動匯率，學者們嘗試以不同的經濟理論模型來詮釋匯率之走勢。而後Meese與Rogoff（1983）指出簡單隨機游走模型在匯率預測方面，其樣本外預測能力優於貨幣學派之結構式，更引發許多學者探討的熱潮，紛紛針對Meese與Rogoff（1983）文獻中之缺失，由不同的角度出發，從統計方法或模型設定上改進，重新評估匯率經濟模型之預測能力，希望能證實有經濟理論的結構式模型在匯率預測上並不遜色於隨機游走模型。
本文是以探討遠期匯率中是否含有未來即期匯率變動之有效訊息的問題，來建構一個解釋匯率波動的結構式模型。以台灣為研究對象，在有效市場假說不成立的情況下，仍然認為在遠期匯率貼水中，包含了未來即期匯率變動的訊息，直接地將遠期匯率貼水所含的訊息，放入晚近的向量誤差校正模型中，為一聯立方程式體系之結構式。最後，與隨機游走模型之樣本外預測能力做一比較；實證結果發現，結構式模型雖較佳，然其改善程度卻是有限。
就實證結果推論造成結構式模型改善不明顯之可能原因為本文之樣本期間包含了1998年5月25日中央銀行禁止國內法人參與無本金遠匯買賣事件，故可能造成1998年5月25日後遠期匯率中所含之訊息減少。基於此原因，可能降低了模型之預測能力；然而此結果並非表示遠期匯率貼水結構對匯率之預測無任何之貢獻，實仍然有許多的研究空間值得作深入之探討。

目 錄
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究方法 3
第三節 研究架構 5
本章註釋 6
第二章 文獻回顧 7
第一節 匯率預測之發展 8
第二節 相關文獻之回顧 10
本章註釋 14
第三章 實證架構與計量方法 15
第一節 實證架構 15
第二節 計量方法 19
一 單根檢定 19
二 共積檢定與共積空間基底檢定法 20
三 誤差校正模型-ECM 25
四 樣本外預測 26
本章註釋 28
第四章 實證分析 30
第一節 資料來源與資料處理 30
第二節 單根檢定 31
第三節 共積檢定 32
第四節 共積空間基底之檢定 34
第五節 誤差校正模型-ECM 35
第六節 樣本外預測 37
第七節 本章結語 39
本章註釋 52
第五章 結論與建議 53
參考文獻 55

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