臺灣博碩士論文加值系統

本文旨在探討新台幣、韓圜及新加坡幣實質匯率，是否具有隨機分段趨勢的波動行為。
亦即我們藉由計量模型的方式，來認定新台幣、韓圜及新加坡幣實質匯率因市場基要的改變而產生的狀態轉變，而呈現出上下交替的擺盪行為。我們的實證結果顯示，在樣本內的配適能力上，雙重狀態之截距項具馬可夫轉換機制之隨機漫步模型，優於傳統的單重狀態具有漂浮項隨機漫步模型的表現。其中新台幣呈現 5 次的狀態改變的長幅擺盪貶值狀態短幅擺盪升值狀態，韓圜及新加坡幣分別呈現 4 次及 9 次的狀態改變的長幅擺盪大貶值狀態短幅擺盪小貶值狀態。然而在檢驗樣本外的預測能力表現時，傳統的單重狀態具有漂浮項隨機漫步模型卻優於雙重狀態之截距項具馬可夫轉換機制之隨機漫步模型的表現。

1. 前言 1
2. 實質匯率的相關文獻回顧 4
2.1 實質匯率的定義 4
2.2 實質匯率的實證文獻 5
2.2.1 單根檢定文獻 5
2.2.2 實質匯率的非線性的動態調整 6
3.模型設定與估計 9
3.1 實證模型 9
3.2 假設檢定 10
3.3 估計程序 12
4.實證結果分析 16
4.1 資料來源與統計特性 16
4.2 概似比檢定及Wald 檢定結果 17
4.3 馬可夫轉換模型估計結果 18
4.4 各國實質匯率狀態期間劃分及分析 20
4.5 模型的預測表現 23
5. 結論 27
參考文獻 28

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