檢定外匯市場效率性－三向量自我迴歸模型

Testing Efficiency of Fonvard Exchange Market -A Trivariate VAR Model

沈中華(Chung-Han Shen)

《中國財務學刊》 3卷1期 (1995/07) Pp. 21-47

https://doi.org/10.6545/JoFS.1995.3(1).2

摘要

由於投資人面臨的不止是一種投資機會，因此效率性撿定只考慮二個變數，並未能充分掌握不同到期日遠期外匯契約的交錯影響，因此本文延伸Campbell and Shiller（1987）的雙變量VAR到三變量VAR，推導出在此種情況下，如何進行效率性的跨式限制式檢定，並應用到全球五大外幣英鎊、加元、馬克、日圓、瑞士法郎的即期匯率，一個月和3個月的遠期匯率，本文的結論是簡單效率性並不同時存在這些外幣的一個月和三個月天期契約。

並列摘要

This paper tests the specualtive efficiency in the forward exchange market of British pound, Canadian dollar, German mark, Japanese yen and Swiss france. Conventional approach of selecting the spot and one forward exchange rates is extended to the spot and two forward exchange rates so as to consider the interactions among exchange rates of different maturities. In light of the unit root contained in the three series, the efficiency hypothesis requests the series must be cointegrated. Also, the vector of three rates follows an error-correction model in which the two yield spreads are equilibrium errors. Campbell and Shiller's (1987) show formally how a conventional error-correction model of two series can be written as a vector autoregression (VAR). This paper extends their approch to show how a three series error-correction being transformed into a trivariate VAR (TVAR). We then show how to derive the cross-equation restrict ions imposed on the TVAR. Wald test is finally conducted to examine the validity of the cross-equation restrictions.