Exchange Rate Target Zone, Stochastic Realignment and Free Trade Agreement

匯率目標區、匯率隨機重整與自由貿易協定

金慶平(Chin-Ping King)

《風險管理學報》 12卷3期 (2010/12) Pp. 315-347

https://doi.org/10.30003/JRM.201012.0004

摘要

本文利用一個新的計量架構對具隨機重整的匯率目標區模型進行實證檢驗。本文將重整視為一波氏隨機過程，並在計量模型中加入此隨機重整變數以檢驗匯率目標區是否具有隨機重整的性質。本文運用具有隨時間變動之重整機率與隨時間變動之匯率波動機率的體制轉換計量架構來評估具隨機重整的匯率目標區模型在實證上的配適程度。本文以最大概似法估計體制轉換模型，並進行參數估計值的t統計量檢定與相關假設的概似比檢定。實證的資料為北美自由貿易協定（NAFTA）中的加拿大幣／美元匯率以及墨西哥披索／美元匯率。實證結果基本上證實了加拿大幣／美元匯率存在具隨機重整匯率目標區的顯著現象，而相對來說墨西哥披索／美元匯率則並不存在如此顯著的具隨機重整匯率目標區現象。實證結果亦證實具隨機重整的匯率目標區確實能有效地降低匯率的波動。

關鍵字

匯率目標區 ； 隨機重整 ； 截斷常態分配 ； 波氏隨機過程 ； 體制轉換模型

並列摘要

This study provides an innovative empirical investigation of target zone models with stochastic realignment. The distinguishing point of this study, which has not been discussed in the previously, is that the probability of adjustments of central parity (i.e. realignment of target zone) can be appropriately described by Poisson distribution. Hence, we set the central parity process as the Poisson process. The present study applies a new regime switching econometric framework with time-varying realignment probability and time-varying volatility probability to evaluate the empirical fitness of the target zone theory with stochastic realignment. In practice, we estimate the regime-switching model by maximum likelihood estimation and investigate the t statistics of parameter estimates. Moreover, we also investigate the likelihood ratio test in order to get more statistical evidence. To compare with past studies, Engel and Hakkio (1996) and Bekaert and Gray (1998), the present study provides an innovative empirical evaluation of exchange rate target zone with stochastic realignment. The evidence of this study focuses on currencies in the North American Free Trade Agreement (NAFTA). We especially focus on the exchange rates of the Canadian dollar/U.S. dollar and the Mexican peso/ U.S. dollar. The empirical results indicate the Canadian dollar/U.S. dollar exchange rate exhibit significant exchange rate target zone phenomena with stochastic realignment. Relatively the Mexican peso/ U.S. dollar exchange rate does not exhibit such significant exchange rate target zone phenomena with stochastic realignment. We also find that exchange rate target zone with stochastic realignment can indeed stabilize the fluctuations of exchange rate.

並列關鍵字

Exchange Rate Target Zone ； Stochastic Realignment ； Truncated Normal ； Distribution ； Poisson Process ； Regime-Switching Model