臺灣博碩士論文加值系統

近幾年來的文獻指出，在探討金融標的物，如股價、期貨基差及匯率呈現非線性的原因包含交易成本的存在、投資者間的異質性和政府的干預。其波動大都呈平滑而不是間斷的狀態，尤其是有著大量投資者的外匯市場，因為投資者有著不同的投資觀點及學習的效率，所以以平滑轉換模型來解釋匯率狀態的波動過程會比較適當。

其中有許多文獻探討有關非線性及結構性變化的時間序列模型。但是Lundbergh et al. (2003) 指出非線性及結構性變化這兩種特性在時間序列資料是有關聯的，但是此兩種特性還是被分開來研究居多。於是Lundbergh et al.(2003) 結合此兩種特性發展出TV-STAR (time-varying smooth transition autoregressive)模型。

因此本文以Teräsvirta (1994)提出之平滑轉換自我迴歸(smooth transition autoregressive; STAR) 非線性模型和Lundbergh et al. (2003)提出的TV-STAR模型來探究台灣、中國及日本之實質有效匯率之行為。其實證結果如下：
1、 台灣的TV-STAR模型預測績效比STAR模型好。
2、 日本的TV-STAR模型預測績效比STAR模型差。
3、 中國所配適的STAR、TV-STAR模型預測績效是一樣的。
關鍵字：平滑轉換自我迴歸、時間變異及實質有效匯率。

Over the years, many empirical literatures analyzed financial underlying, such as the stock price, future basis and exchange rate. These literatures demonstrated how transaction cost, technical analyst or official interventions induce nonlinear process. Especially in a foreign exchange markets with a large number of investors, regime change might be smooth rather than discrete was due to heterogeneous investment horizons and varying learning speeds, so a smooth transition between regimes seemed more appropriate.

Nonlinear regime switching and structural change are often perceived as competing alternative to linearity, but Lundbergh et al. (2003) indicated nonlinear and structural change were relevant for many time series, and furthermore these features had mainly been analyzed in isolation. Lundbergh et al. (2003) combined these features to develop TV-STAR (time-varying smooth transition autoregressive) model.

In this article, we apply the STAR (smooth transition autoregressive) model and TV-STAR model to analyze real effective exchange rates of Taiwan, China and Japan. The empirical results are as follows:
1.The predictive performance of TV-STAR model in Taiwan is better than STAR model.
2.The predictive performance of TV-STAR model in Japan is worse than STAR model.
3.The predictive performances of STAR and TV-STAR models in China are the same.
Keywords: smooth transition autoregressive, time-varying, real effective exchange rate.

目 錄
中文摘要…………………………………………………………………………I
英文摘要…………………………………………………………………………II
誌謝………………………………………………………………………………III
目錄………………………………………………………………………………IV
表目錄…………………………………………………………………………..V
圖目錄……………………………………………………………………………VI
第一章 緒論................................................................ 1
第一節 研究動機與背景.............................................1
第二節 研究目的...................................................7
第三節 研究方法...................................................8
第四節 研究架構.................................................. 9
第二章 文獻回顧.............................................................10
第一節 匯率呈現非線性的走勢.......................................10
第二節 STAR 模型之文獻探討........................................11
第三章 模型介紹.............................................................17
第一節 概述STAR 模型之起源....................................... 17
第二節 STAR 模型介紹............................................. 17
第三節 STAR 模型認定............................................. 21
第四節 概述TV-STAR 模型...........................................26
第五節 TV-STAR 模型的介紹.........................................27
第六節 STAR 及TV-STAR 模型的估計和檢定............................33
第七節 預測績效的比較.............................................37
第四章 實證結果與分析.......................................................38
第一節 資料描述...................................................38
第二節 單根檢定...................................................42
第三節 模型鑑別及參數估計.........................................42
第四節 模型診斷性檢定.............................................53
第五節 樣本外預測評估.............................................56
第五章 結論與建議...........................................................58
第一節 結論.......................................................58
第二節 後續研究建議...............................................60
附錄一、 TV-STAR 模型推導...................................................62
參考文獻....................................................................64
表目錄
表4-1 各國實質有效匯率基本統計量............................................41
表4-2 各國實質有效匯率單根檢定..............................................42
表4-3 各國之SBIC 值.........................................................43
表4-4 各國線性檢定結果......................................................44
表4-5 各國轉換函數檢定結果..................................................45
表4-6 台灣及日本線性檢定結果................................................46
表4-7 各國轉換函數檢定結果..................................................47
表4-8 TV-STAR 非線性模型之最適延遲參數......................................48
表4-9 各國函數檢定結果......................................................49
表4-10 STAR 模型之參數估計結果-台灣 ( t distribution ) .....................50
表4-11 STAR 模型之參數估計結果-中國 ( t distribution )......................51
表4-12 STAR 模型之參數估計結果-日本 (Normal distribution) ..................51
表4-13 TV- STAR 模型之參數估計結果-台灣 (Normal distribution ) .............52
表4-14 TV-STAR 模型之參數估計結果-中國 (Normal distribution) ...............52
表4-15 TV-STAR 模型之參數估計結果-日本 (Normal distribution) ...............53
表4-16 Jarque-Bera 檢定結果.................................................54
表4-17 STAR 模型各國的Ljnug-Box Q 檢定結果..................................55
表4-18 TV-STAR 模型各國的檢定結果...........................................55
表4-19 STAR 模型各國的ARCH 檢定結果.........................................56
表4-20 TV-STAR 模型各國的ARCH 檢定結果......................................56
表4-21 STAR 模型樣本外預測之RMSE............................................57
表4-22 TV-STAR 模型樣本外預測之RMSE.........................................57
圖目錄
圖1-1 研究流程圖............................................................9
圖3-1 羅吉斯函數圖形........................................................19
圖3-2 指數函數圖形..........................................................20
圖4-1 台灣實質有效匯率走勢圖................................................39
圖4-2 中國實質有效匯率走勢圖................................................39
圖4-3 日本實質有效匯率走勢圖................................................40
圖4-4 取對數台灣實質有效匯率走勢圖..........................................40
圖4-5 取對數之中國實質有效匯率走勢圖........................................40
圖4-6 取對數之日本實質有效匯率走勢圖........................................41

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