亞洲外匯市場行爲之探討－不對稱門檻GARCH模型之應用

The Dynamic Relationship between Spot and Forward Exchange Rate in Asia Area-Application in Asymmetric Threshold GARCH Model

邱建良(Chien-Liang Chiu) ； 吳佩珊(Pei-Shan Wu) ； 邱哲修(Jer-Shiou Chiou)

《台灣管理學刊》 4卷2期 (2004/08) Pp. 187-201

https://doi.org/10.6295/TAMJ.2004.0402.04

摘要

本研究以門檻雙變量GARCH為實證模型，分析亞洲地區國家即期與遠期匯率間之動態關連性，提供社會一個良好的預測準則，降低匯率風險。實證結果發現，遠期匯率報酬的波動程度均大於即期匯率報酬的波動程度，其原因可能由於遠期外匯市場對新資訊能迅速反應所致。在雙變量門檻GARCH模型實證結果方面，三個國家皆顯示不論是當期或是預期的心理因素，貨幣貶值所帶來的影響力皆遠高於貨幣升值的影響力，且即期匯率與遠期匯率彼此間的波動反應亦對外匯市場存在不對稱效果。此外，結果亦顯示遠期匯率與即期匯率間具有反饋之因果關係，無論是即期匯率或是遠期匯率，皆有能力將市場中新加入的所有可得資訊，迅速地反映在價格上。另外由外匯市場風險貼水估計值可知，即期匯率與遠期匯率在長期會經由誤差修正項的調整而回到長期均衡狀態，且遠期匯率受到長期均衡的調整影響較大，其移動速度較即期匯率快，顯示遠期外匯市場對新訊息的反應是較迅速的。

關鍵字

即期匯率 ； 遠期匯率 ； 門檻雙變量GARCH ； 不對稱效果 ； 因果關係

並列摘要

This paper analyzes the dynamic relationship between spot and forward exchange rate in Asia area, using bi-variable threshold GARCH model. It finds that forward exchange rate had more volatility than spot exchange rate, it means that forward market reflect the useful information efficiently. Moreover, in bi-variable threshold GARCH model, the results show that the depreciation effects are stronger than appreciation effects among these currencies. And the volatility also exist asymmetric effort among spot exchange rate and forward exchange rate. We also find that there is a feedback causality relationship between spot and forward exchange rate, that means they influence each other. By risk premium in forward market, the spot and forward exchange rate will adjust in the long-run equilibrium. And the speed of adjustment of forward exchange rates is greater, it means that the forward market is quick response to new information.

並列關鍵字

Spot exchange rate ； Forward exchange rate ； Threshold GARCH Model ； Asymmetric effect ； Causality

參考文獻

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