臺灣博碩士論文加值系統

本研究是採用兩狀態馬可夫轉換模型 (two-state Markov switching model) 來檢驗由日本銀行 (Bank of Japan) 針對美元兌日圓匯率 (yen-dollar) 所執行的外匯干預的效果。在估計模型的參數之前，我們先利用 Hansen (1992, 1996) 所提出的標準化概似比檢定統計量 (standardized likelihood ratio test statistic) 對匯率資料進行檢定，以確認匯率動態存在兩種狀態 (regime)。而檢驗結果拒絕匯率動態只有一種狀態的虛無假說，因此本研究進一步以固定移轉機率馬可夫轉換模型 (fixed transition probability Markov switching model) 檢驗匯率是否出現結構性改變。估計結果顯示雖然平均數並不顯著，但是兩個顯著且差異很大的變異數仍說明了匯率存在兩個狀態。接著，本研究以變動移轉機率馬可夫轉換模型 (time-varying transition probability Markov switching model) 檢驗外匯干預是否能有效改變匯率的走勢。另一方面，本研究也分析前一天發生的干預是否會增加隔天日本銀行進行干預操作的機率。實證結果顯示若日本銀行前一天有進行干預，隔天仍然有干預的機率會增加。

In this study, we use a two-state Markov switching model to examine the effect of foreign exchange intervention operations manipulated by the Bank of Japan (BOJ) on the yen-dollar exchange rates from 1993 to 2006. First, we will test the number of regimes in our exchange rate data by using the standardized likelihood ratio test statistic proposed by Hansen (1992, 1996). We find that the exchange rate can be characterized by a two-state Markov switching model. Second, we will use the fixed transition probability Markov switching model to estimate the dynamics of the exchange rate. Although the two means are not statistically significant, the two different variances suggest that there are two regimes. Third, we will employ the time-varying transition probability Markov switching model to examine whether interventions are effective to reverse the trend of exchange rate. Furthermore, we shall investigate whether interventions occurring at date t-1 will amplify the probability that interventions are conducted at date t. The estimated results suggest that if the BOJ had intervened yesterday, then the probability that the BOJ intervenes today increases.

Contents
Chapter 1.Introduction
1.1 Research Motivation..1
1.2 Research Objectives1..1
Chapter 2.Literature Review
2.1 A Brief History of Coordinated Intervention..3
2.2 Effects of Interventions: Direction, Persistence, and Volatility..3
2.2.1 Direction and Persistence..4
2.2.2 Volatility..6
2.3 Intervention and Event Study..7
2.4 Intervention and Markov Switching Model..8
Chapter 3.Methodology
3.1 Introduction of the Regime-Switching..10
3.2 Markov Chain..13
3.3 Inference about Regimes..14
3.4 Markov-Switching Model with Fixed Transition Probability..17
3.5 Markov-Switching Model with Time-Varying Transition Probability..18
3.6 Empirical Model..20
3.7 Test for the Number of States..23
Chapter 4. Empirical Results
4.1 Data Description..25
4.2 Estimation for An AR(p) Model..27
4.3 Test for the Presence of Markov Process..28
4.4 Estimation for the FTP and the TVTP Model..29
Chapter 5.Conclusion..31
References..38
Figures
Figure 1. Daily Yen-Dollar Exchange Rate and BOJ Intervention..33
Figure 2. Daily Returns of Yen-Dollar Exchange Rate..33
Tables
Table 1. Descriptive Statistics..34
Table 2. Selection of An Optimal Model..34
Table 3. Estimation of An AR(2) Model..35
Table 4. Standardized Likelihood Ratio Statistics..35
Table 5. Hamilton’s FTP model..35
Table 6. Category Statistics of Exchange Rate Changes and Interventions..36
Table 7. Filardo and Gordon’s TVTP mode1..36
Table 8. Success and Failure of Interventions..37

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