跳到主要內容

臺灣博碩士論文加值系統

(44.200.27.215) 您好!臺灣時間:2024/04/24 16:51
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:王俊化
研究生(外文):Chun-Hua Wang
論文名稱:貨幣學派匯率偏離之非線性調整—門檻自我迴歸之應用
論文名稱(外文):Nonlinear Adjustments for Deviations from Equilibrium Exchange Rate by the Monetary Approach
指導教授:楊奕農楊奕農引用關係
指導教授(外文):YI NUNG-YANG
學位類別:碩士
校院名稱:中原大學
系所名稱:國際貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:48
中文關鍵詞:門檻自我迴歸
外文關鍵詞:TAR(Threshold Autoregression)
相關次數:
  • 被引用被引用:5
  • 點閱點閱:252
  • 評分評分:
  • 下載下載:1
  • 收藏至我的研究室書目清單書目收藏:3
過去研究名目匯率偏離市場基要多以線性模型來探討,而傳統的共整合模型無法探討此一偏離性可能存在非線性關係,本研究應用Tsay (1989)非線性的門檻自我迴歸模型(Threshold Autoregressive Model,簡寫成TAR),利用排序迴歸( arranged autoregression )方法加以診斷、檢定名目匯率偏離市場基要均衡匯率的動態調整過程是否存在非線性模型,檢定期間分為二段時期:1982:01-1997:09與1982:01-2002:12,實證結果發現,利用Engle and Granger(1987)共整合檢定法檢定出,亞太地區六個國家-日本、南韓、臺灣、菲律賓、馬來西亞、印度之名目匯率與市場基要,皆具有一條共整合關係式,表示存在長期均衡關係;另外以TAR模型檢定出六國在某一特定門檻值下,DGP皆具有不對稱性的現象,表示名目匯率偏離市場基要的動態調整過程存在非線性關係,也就是當名目匯率略微偏離市場基要時,調整可能不會立刻產生,唯有當匯率偏離大到超過某一門檻臨界值時,經濟個體才會進行加速運作使得經濟體系恢復均衡。
Concerning most literatures adopt nonlinear model to analyze the deviations of nominal exchange rate from market fundamentals, and there is no strong evidence of nonlinearity property by using Cointegration Test. For these reasons, this study employ arranged autoregression based on the TAR framework (Threshold Autoregressive Model)to test whether there is nonlinear model in the dynamic adjustment process for deviations of nominal exchange rate from equilibrium exchange rate suggested by market fundamentals. The result of this study which apply Cointegration Test of Engle and Granger(1987)shows it’s long-term equilibrium in the six countries of the Asian-Pacific area. In TAR model, it produces asymmetric threshold effect under specific threshold value which means nonlinear adjustment for deviations of nominal exchange rate from market fundamentals. I.E when exchange rate deviates from market fundamentals slightly, it might not adjust at once, only when exchange rate deviates from threshold critical value exceeding greatly, the economic system will get equilibrium because of the economic entity starting to adjust.
目錄
摘要………………………………………………………………………………………………….I
abstract……………………………………………………………………………………………....II
致謝辭……………………………………………………………………………………………....III
目錄……………………………………………………………………………………………..….IV
表目錄……………………………………………………………………………………………....V
圖目錄……………………………………………………………………………………………...VI
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………………………………………………………………………………4
第二章 文獻回顧………………………………………………………………………………5
第一節 名目匯率偏離長期均衡之相關研究…………………………………………………5
第二節 門檻自我迴歸模型的相關實證研究…………………………………………………7
第三章 理論模型與研究方法…….…………………….……………………………………10
第一節 理論模型……………………………………………………………………………..10
第二節 研究方法……………………………………………………………………………..12
(一) 定態檢定……………………………………………………………………………12
(二) 共整合檢定…………………………………………………………………………13
(三) 門檻自我迴歸模型…………………………………………………………………14
第四章 實證結果分析………………………………………………………………………..18
第一節 資料說明……………………………………………………………………………..18
第二節 單根檢定……………………………………………………………………………..19
第三節 共整合檢定…………………………………………………………………………..19
第四節 名目匯率偏離經濟基要的值………………………………………………………..20
第五節 AR線性模型估計…………………………………………………………………...22
第六節 TAR模型估計結果分析…………………………………………………………….25
第五章 結論及未來研究方向………………………………………………………………..31
參考文獻……………………………………………………………………………………………33
附錄一、移動式Chow檢定說明…………………………………………………………………35
表目錄
表1、匯率決定理論實證之文獻整理………………………………………………………………9
表2、變數資料來源及說明………………………………………………………………………..18
表3-1、貨幣學派模型係數估計結果(1982:01-1997:09)……………………………………….…21
表3-2、貨幣學派模型係數估計結果(1982:01-2002:12)……….…….…………………………...21
表4-1、AR模型參數估計結果(1982:01-1997:09)……………………………………………….23
表4-2、AR模型參數估計結果(1982:01-2002:12)……………………………………………….23
表5-1、線性檢定之F統計量(1982:01-1997:09)………………………………………………….24
表5-2、線性檢定之F統計量(1982:01-2002:12)………………………………………………….24
表6-1、TAR模型估計結果(1982:01-1997:09) …………………………………………….…….26
表6-2、TAR模型估計結果(1982:01-2002:12) …………………………………………………..27
表7-1、AR線性模型與TAR模型配適度比較 (1982:01-1997:09)……………………………….28
表7-2、AR線性模型與TAR模型配適度比較 (1982:01-2002:12)……………………………….28
表8-1、AR模型與TAR模型之收斂速度比較(1982:01-1997:09) ……………………………….30
表8-2、AR模型與TAR模型之收斂速度比較(1982:01-2002:12) ……………………………….30
附表1-1、匯率的敘述統計量(1982:01-1997:09)………………………………………………….36
附表1-2、匯率的敘述統計量(1982:01-2002:12)………………………………………………….36
附表2-1、貨幣供給的敘述統計量(1982:01-1997:09)……………..…………………………….36
附表2-2、貨幣供給的敘述統計量(1982:01-2002:12)……………..…………………………….37
附表3-1、工業生產指數的敘述統計量(1982:01-1997:09)………….…………………………..37
附表3-2、工業生產指數的敘述統計量(1982:01-2002:12)………….…………………………..37
附表4-1、利率的敘述統計量(1982:01-1997:09)……………………………………….…..…….38
附表4-2、利率的敘述統計量(1982:01-2002:12)……………………………………….…..…….38
附表5-1、匯率的單根檢定結果(1982:01-1997:09)…………………………………….….….…..39
附表5-2、匯率的單根檢定結果(1982:01-2002:12)…………………………………….……..…..39
附表6-1、貨幣供給的單根檢定結果(1982:01-1997:09)………………………………………….40
附表6-2、貨幣供給的單根檢定結果(1982:01-2002:12)………………………………………….40
附表7-1、工業生產指數的單根檢定結果(1982:01-1997:09)………………………..…………..41
附表7-2、工業生產指數的單根檢定結果(1982:01-2002:12)……………………..……………..41
附表8-1、利率的單根檢定結果(1982:01-1997:09)……………………………..………………..42
附表8-2、利率的單根檢定結果(1982:01-2002:12)……………………………..………………..42
附表9-1、名目匯率偏離市場基要程度的單根檢定結果(1982:01-1997:09)…………………….43
附表9-2、名目匯率偏離市場基要程度的單根檢定結果(1982:01-2002:12)…………………….43
附表10-1、名目匯率偏離市場基要程度的敘述統計量(1982:01-1997:09)……….….………….44
附表10-2、名目匯率偏離市場基要程度的敘述統計量(1982:01-2002:12)…………..………….44

圖目錄
附圖1-1、名目匯率偏離基要走勢圖(1982:01-1997:09)………………………..………………..45
附圖1-2、名目匯率偏離基要走勢圖(1982:01-2002:12)…………………………..……………..46
附圖2-1、轉換變數之門檻圖形(1982:01-1997:09)………………………………..……………..47
附圖2-2、轉換變數之門檻圖形(1982:01-2002:12)……………………………..………………..48
楊奕農,「時間序列分析-經濟與財務上應用」,雙葉書廊有限公司,台北,民國94年4月。
吳致寧(1995)「貨幣學派之匯率決定理論與匯率預測-台灣之實證研究」,經濟論文,23:1,頁159-187。
楊凱文(2004)「貨幣學派均衡匯率偏離之非線性動態調整」,中原大學國際貿易研究所碩士論文。
蔡淑惠(2005)「市場基要與名目匯率之樣本內預測-臺灣、韓國、日本、美國四國之非線性實證研究」,中正大學國際經濟研究所碩士論文。
Basci, E., and Caner, M.(2002), Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test, Bilkent University Working Papers in Economics.
Boero, G., and Marrocu, E.(2002), The Performance of Non-Linear Exchange Rate Model: A Forecasting Comparison. Journal of Forcasting,21,513-542
Caner, M.,and Hansen, B. E. (2001),Threshold Autoregression with a Unit Root, Econometrica,69,1555-1596.
Darba, G.,and U.R. Patel(2001), Nonlinear adjustment in real exchange rates and long run purchasing power parity-further evidence. NSEI, India.
Dumas, B.(1992), Dynamic equilibrium and the real exchange rate in a spatially separated world.Review of Financial Studies,5,153-180.
Ender, W.,and Dibooglu, S.(2001), Long-Run Purchasing Power Parity with Asymmetric Adjustment ,Southern Economics Statistics,68,2,433-45.
Engle, R.E.,and Granger, C.W.(1987), Co-integration and Error-Correction:Representation, Estimation,and Testing. Econometrica 55,251-276.
Engle, R.F.(1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica 50,987-1008.
Frankel, J.A.(1976), A monetary approach to the enchange rate:Doctrinal aspects and empirical evidence. Scandinavian Journal of Economics,78,200-224.
Frankel, J.A.and Rose, A.K.(1995), Empirical research on nominal exchange rates,in G..Grossman, and K. Rogoff. Handbook of international economics, vol 3.
Groen, J.J.(2000), The monetary exchange rate model as a long-run phenomenon. Journal of International Economics, 52,299-319.
Henry, O. T., Olekalns, N.,and Summer, P. M.(1999), Exchange Rate Instability: A Threshold Autoregressive Approach. The Economic Record,77,160-166.
Hopper, T. K.(2003)Nonlinear Mean Reversion in Long Horizon Real Exchange Rates. working papers, University of Houston.
Holmes, M. J.(2004), Is There Non-linear Real Exchange Rate Adjustments for the Asian Economies? ASEAN Economic Bulletin,21,198-212.
Hsieh, D. A.(1989), Testing for Nonlinear Dependence in Daily Foreign Exchange rates. The Journal of Business, 62,339-368.
Johansson, M. W.(2001),TAR models and real exchange rates. Lund University. Working Papers in Economics.
Kilian, L., and M.P. Taylor (2001), Why is it so Difficult to Beat the Random Walk Forecast of Exchange rates? mimeo, University of Michigan and University of Warwick.
Lucio Sarno , Giorgio Valente and Mark E. Wohar(2004), Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes. Economic Inquiry Oxford University Press ,42,179-193.
Mark, N. C.(1995), Exchange rates and fundamentals: Evidence on long-horizon predictability. The American Economics Review, 85,201-218.
March, I. W.(2000), High-frequency Markov Switching Model in the Foreign Exchange Market. Journal of Forecasting,19,123-134.
MacDonald, R. and Taylor, M. P.,(1994), Reexamining the monetary approach the exchange rate:the dollars-franc,1976-90. Applied Financial Economics,4,423-429.
Meese, R. A. and Rogoff, K.,(1983), Empirical exchange rate model of the seventies. Journal of Economics,14,3-24.
Michael, P., Nobay, A.R. and Peel, D. A.,(1997), Transactions cost and nonlinear adjustment in real exchange rates: an empirical investigation. Journal of Political Economy,105,862-879.
Neely, C. J. and Sarno, L.,(2002), How Well Do Monetary Fundamentals Forecast Exchange Rates,1976-90. Federal Reserve Bank of St.Louic Review ,84,51-74.
Rapach, D. E., and Wohar, M.E.,(2002), Testing the Monetary Model of Exchange Rate Determination: New Evidence from a Century of Data. Journal of International Economics,58,359-394.
Obstfeld, Maurice & Taylor, Alan M.(1997) Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited. Journal of the Japanese and International Economies, 11, 441-479.
Sekioua, S. H. (2003), The Nominal Exchange Rate and Monetary Fundamentals: Evidence from Nonlinear Unit Root Tests. Economics Bulletin,6,1-13.
Taylor, M. P.,Peel, D. A.(2000), Nonlinear adjustment long-run equilibrium and exchange rate fundamentals. Journal of international money and finance, 19,33-53.
Taylor, M. P.,Peel, D. A. and Sarno L.(2001), Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles. International economic reviews, 42,1015-1042.
Tsay, R. S.(1989), Testing and Modeling Threshold Autoregressive Processes. Journal of the American Statistical Association, 84,231-240.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top