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研究生:林雅雯
研究生(外文):Ya-Win Lin
論文名稱:遠期匯率與即期匯率之隨機共整合關係
論文名稱(外文):Re-examine the Spot Exchange Rates and the Forward Exchange Rates by Stochastic cointegration
指導教授:李慶男李慶男引用關係
指導教授(外文):Ching-nun Lee
學位類別:碩士
校院名稱:國立中山大學
系所名稱:經濟學研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:59
中文關鍵詞:即期匯率遠期匯率隨機共整合市場效率性外匯市場
外文關鍵詞:forwardspotefficiency marketstochastic cointegrationexchange rate
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  • 被引用被引用:1
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外匯市場交易日趨活絡,投資者可藉由對外匯的操作進而達到獲利以及避險的目的.因此外匯市場的效率性便成為一門直得探討的課題. Hakkio and Rush (1989) 表示共整合是市場效率性的必要條件,因此遠期與即期匯率間長期的關係便成為重要指標.本文利用一個新的共整合方法--隨機共整合,此法包含了線性的傳統共整合與非線性的異質共整合.利用對台灣,日本與新加坡的實證分析,發現此三國的遠期與即期匯率有隨機共整合的關係.
There are gradually prosperous trades in foreign exchange markets, agents could hedge, speculate and arbitrage in markets. Market efficiency and whether future spot rates could be predicted by forward rates are worthy of investigate. Hakkio and Rush (1989) demonstrated that cointegration is a necessary condition for market efficiency hypothesis, so that the examination of cointegration to investigate the long-run relationship between the spot rates and forward rates is important. We consider a new method -- stochastic coinegration which contains heteroscedastic and stationary cointegration, to re-examine the relationships between spot and forward rates. The feature of stochastic cointegraion is that the cointegrating residuals contain the integrated of order one process and heteroscedastic integrated process. However the special residuals would stochastically trendless over time, so that the spot rates and forward rates has long run equilibrium relationship. Conclusively, the future spot rates empirically are stochastic (and conventional) coinegrated with forward rates in Taiwan, Japan, and Singapore.
1 Introduction .....................................1


2 Theoretical Framework and Literature Reviews .....4
2.1 Theoretical Framework ..........................4
2.2 Literature Reviews .............................7


3 Approach Analysis ...............................15
3.1 Unit Roots Tests ..............................15
3.1.1 Dickey-Fuller Test ..........................16
3.1.2 Phillips-Perron Test ........................17
3.1.3 Augmented Dickey-Fuller Test ................18

3.2 Conventional Cointegration ....................20
3.2.1 Engle and Granger Two Steps Method ..........21
3.2.2 Johansen Maximum Likelihood Method ..........23

3.3 Stochastic cointegration ......................28
3.3.1 The model ...................................29
3.3.2 The Regression ..............................31
3.3.3 Estimation ..................................32
3.3.4 Hypothesis Tests and Test Statistics ........35


4 Empirical Results ...............................38
4.1 Data Description ..............................38
4.2 Unit Roots Tests ..............................39
4.3 Johansen Maximum Likelihood Method Test .......43
4.4 Stochastic Cointegration Empirical Results ....47


5 Conclusion and Suggestion .......................51


Appendix A ........................................53
Appendix B ........................................54
References ........................................55
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