臺灣博碩士論文加值系統

Abstract
The difficulty in predicting exchange rates has been a long-standing problem in international economics. But Baharumshah and Masih (2005) conclude that the monetary model include current account variable can fit the data well and produce good in-sample as well as out-of-sample forecasts. Therefore, we follow the suggestion of B&M (2005) and re-examine the monetarist model by including the current account.

In Asia, Korea is Taiwan’s main trading and compete country. And both countries do lots of trade with Japan. Therefore, the New Taiwanese dollar and the Korea won against the yen are taken as our case studies.

In empirical investigation, using quarterly data, the study find that current account exhibits a long-run relationship with the exchange rate, income, interest rate and money supply in both countries. Second, we suggested that the large superior short-horizon performance of this model. Third, our finding indicates that the monetary model with current account variables performed better than standard monetary model. Therefore, we can confirm that the inclusion of current account variables in exchange rate determined model can improve forecasting ability.

Keywords: exchange rate; current account; cointegration; VECM

Abstract I
Contents .....................................................................................................................................Ⅱ
List of Tables Ⅲ
Contents
CHAPTER 1 INTRODUCTION 1
1.1. THE BACKGROUND OF THE STUDY 1
1.2. THE MOTIVATION AND PURPOSES OF THE STUDY 1
1.3. ORGANIZATION OF THE DISSERTATION 3
CHAPTER 2 LITERATURE REVIEW 4
2.1. THE MONETARY MODELS 4
2.2. THE EMPIRICAL EVIDENCE ON MONETARY MODELS 6
2.3 THE IMPORTANCE OF CURRENT ACCOUNT IN THE FOREIGN EXCHANGE EQUATION 11
CHAPTER 3 RESEARCH HYPOTHESIS AND METHODOLOGY 12
3.1. RESEARCH HYPOTHESIS 12
3.2. RESEARCH METHODOLOGY 13
3.2.1. Vector Error Correction Model 13
3.2.2. Data Description ........................................................................................14
3.2.2.1. Definition of Variables 14
3.2.2.2. Dataset 15
3.2.3. The Performance Measurement of Out-of-Sample Forecasting 16
CHAPTER 4 DATA 18
4.1. SUMMARY STATISTICS 18
4.2. UNIT ROOT TEST 19
4.3. THE JOHANSEN COINTEGRATION TEST 24
CHAPTER 5 RESULTS 29
5.1 VECTOR ERROR CORRECTION MODEL 29
5.2 FORECASTING PERFORMANCE 34
CHAPTER 6 CONCLUSIONS 37
REFERENCES 38
List of Tables
TABLE 1 DATASET 16
TABLE 2 DESCRIPTIVE STATISTICS OF TAKING FIRST DIFFERENCES OF ALL VARIABLES 18
TABLE 3 AUGMENTED DICKEY-FULLER UNIT ROOT TEST RESULTS 22
TABLE 4 PHILLIPS-PERRON UNIT ROOT TEST RESULTS 23
TABLE 5 JOHANSEN’S COINTEGRATION TEST 27
TABLE 6 ESTIMATED COINTEGRATED VECTORS IN JOHANSEN ESTIMATION 29
TABLE 7 TESTS OF EXCLUSION RESTRICTIONS 30
TABLE 8 THE ERROR-CORRECTION REGRESSION 32
TABLE 8 THE ERROR-CORRECTION REGRESSION (CONTINUED) 33
TABLE 9 DYNAMIC FORECASTING- RMSE AND MAE 35
TABLE 10 DYNAMIC FORECASTING- THEIL’S U-STATISTICS 35

References
Baharumshah, A.Z., and A.M.M. Masih, 2005, Current account, exchange rate dynamics and the predictability: The experience of Malaysia and Singapore, Journal of International Financial Markets, Institutions and Money 15, 255-270.
Baillie, R. T., and D.D. Selover, 1987, Cointegration and models of exchange rate determination, international Journal of forecasting 3, 43-52.
Bilson, J.F.O., 1978, The Monetary Approach to the Exchange Rate: Some Empirical Evidence, International Monetary Fund Staff Papers 25, 48-75.
Blough, Stephen R., 1992, The Relationship Between Power and Level for Generic Unit Root Tests in Finite Samples, Journal of Applied Econometrics 7, 295-308.
Cheung, Y. W., and K. S. Lai, 1993, Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration, Oxford Bulletin of Economics & Statistics 55, 313-328.
Chinn, M.D., 2000, Before the fall: were East Asian currencies overvalued?, Emerging Markets Review 1, 101-126.
Chinn, M.D., and R.A. Meese, 1995, Banking on currency forecasts: How predictable is change in money?, Journal of International Economics 38, 161-178.
Cushman, D.O., S.S. Lee, and T. Thorgeirsson, 1996, Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries, Journal of International Money and Finance 15, 337-368.
Dickey, David A, and Wayne A Fuller, 1979, Distribution of the Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association 74, 427-431.
Dornbusch, R., 1976, Expectations and Exchange Rate Dynamics, Journal of political Economy 84, 1161-1176.
Dornbusch, R., and S. Fischer, 1980, Exchange Rates and the current Account, American Economic Review 70, 960-71.
Edison, H.J., and W.R. Melick, 1999, Alternative approaches to real exchange rates and real interest rates: Three up and three down, International Journal of Finance and Economics 4, 93-111.
Enders, 2004. Applied Econometric Time Series (New York: John Willey & Sons, Inc).
Engle, R. F., and C. W. J. Granger, 1987, Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica 55, 251-276.
Frenkel, J. A, 1976, A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence, Scandinavian Journal of Economics 78, 200-224.
Frenkel, J. A, 1979, On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials, American Economic Review 69, 610-622.
Granger, C. W. J., and P. NewBold, 1974, spurious regressions in econometrics, Journal of Econometrics 2, 111-120.
Hodrick, R. J., 1978, An Empirical Analysis of the Monetary Approach to the Determination of the Exchange Rate, in J. A. Frandel, and H.A. Johnson (eds.), The Economics of Exchange Rates: Selected Studies, Reading, Mass.: Addison-Wesley 97-116.
Hooper, P., and J. Morton, 1982, Fluctuations in the Dollar: a model of nominal and real exchange rate determination, Journal of International Money and Finance 1, 39-56.
Husted, S., and R. MacDonald, 1999, The Asian currency crash: Were badly driven fundamentals to blame?, Journal of Asian Economics 10, 537-550.
Johansen, S., 1988, Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control 12, 231-254.
Johansen, S., 1991, Estimation and hypothesis testing of cointegration vectors, in Gaussian vector autoregressive models, Econometrica 59, 1551-1580.
Johansen, S., and K. Juselius, 1990, Maximum likelihood estimation and inference on cointegration-with applicationsto the demand for money, Oxford Bulletin of Economics and Statistics 52, 169-210.
Kouri, Pentti J. K., 1976, Balance of Payments and the Foreign Exchange Market: A Dynamic Partial Equilibrium Model, In Jagdeep S. Bhandari and Bluford H. Putnam eds., Economic Interdependence and flexible Exchange Rates, the MIT Press, Cambridge, Massachusetts 116-156.
MacDonald, R., 1999, Exchange rate behaviour: are fundamentals important?, The Economic Journal 109, 673-691.
MacDonald, R., and M.P. Taylor, 1993, The monetary approach to the exchange rate: rational expectations, long-run equilibrium, and forecasting, International Monetary Fund Staff Papers 40, 89-107.
MacDonald, R., and M.P. Taylor, 1994, The monetary model of the exchange rate: long-run relationships, short-run dynamics, and how to beat a random walk, Journal of International Money and Finance 13, 276-290.
Madura, J., 1998. International Financial Management (South-western college).
Mark, N. C., 1992, exchange rates and fundametals: evidence on long-horizon predictability and overshooting, Working Paper, The Ohio State University.
McNown, R., and M.S. Wallace, 1989, Co-integration tests for long run equilibrium in the monetary exchange rate model, Economics Letters 31, 263-267.
McNown, R., and M.S. Wallace, 1994, Cointegration tests of the monetary exchange rate model for three high inflation economies, Journal of Money, Credit and Banking 26, 396-411.
Meese, R.A., 1986, testing for bubbles in exchange markets: a case of sparkling rates, Journal of political Economy 94, 345-373.
Meese, R.A., and K.S. Rogoff, 1983, Empirical exchange rate models of the seventies: do they fit out of sample?, Journal of International Economics 14, 3-24.
Miyakoshi, T., 2000, The monetary approach to the exchange rate: Empirical observations from Korea, Applied Economics Letters 7, 791-794.
Moosa, I. A., 1994, The monetary model of exchange rates revisited., Applied Financial Economics 4, 279-287.
Nelson, C. R., and C. I. Plosser, 1982, Trends and random walks in macroeconomic time series, Journal of Monetary Economics 10, 139-162.
Osterwald-Lenum, Michael, 1992, A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics, Oxford Bulletin of Economics & Statistics 54, 461-72.
Phillips, P.C.B., and P Perron, 1988, Testing for a unit root in time series regression, Biometrika 75, 335-346.
Reimers, H.E., 1992, Comparisons of tests of multivariate cointegration, Statistical Papers 33, 335-359.
Said, S. E., and D. A Dickey, 1984, Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika 71, 599-607.
Taylor, M.P., 1995, The economics of exchange rates, Journal of Economic Literature 33, 13-47.
Wu, J. L., 1999, A re-examination of the exchange rate-interest differential relationship: Evidence from Germany and Japan, Journal of International Money and Finance 18, 319-336.
Wu, J. L. 吳致寧 1995. 貨幣學派之匯率決定模型與匯率預測-台灣之實證研究. 中央研究院經濟研究所, 經濟論文 23, 159-187.