匯率預測績效之評估—資產組合平衡學派與貨幣學派之比較—

The forecasting performance of exchange rate: A comparison between the monetary fundamentals model and the portfolio balance approach

劉恩序(En-Hsu Liu)

指導教授 ： 吳博欽

中原大學/商學院/國際貿易研究所/碩士(2010年)

https://doi.org/10.6840/cycu201000301

摘要

浮動匯率的走勢難以掌握，為了更加準確預測其趨勢的變動，國際金融上常以不同的匯率決定理論模型來探討，期望尋求最適的匯率預測模型，以降低經濟衝擊產生時造成的影響。本研究利用兩個不同基本假設的理論—資產組合平衡學說與貨幣基要建立匯率預測模型，檢定模型是否存在非線性區間轉換的調整行為，並在找出適當的模型後以RW模型為依據，評估各模型的樣本外預測績效。

實證結果指出，美元兌歐元、日圓、英鎊的匯率皆存在平滑轉換的型式，在PB模型方面均適合以logistic函數來表示；在MF模型方面，歐元與英鎊適合以exponential函數表示，日圓則為logistic函數。樣本內估計的結果顯示，加入GARCH的PB模型相較於未加入的模型有較佳的配適度。在樣本外預測上，日圓與英鎊可用貨幣基要模型來預測短期和長期的匯率，歐元的RW模型在短期下有較佳的預測績效，長期下則適用MF模型。

關鍵字

資產組合平衡模型 ； 貨幣基要 ； 平滑轉換迴歸 ； 預測績效

並列摘要

The trend of floating exchange rate is difficult to catch. In order to predict change of the trend more accurately, many scholars in international finance often use different kinds of theoretical model to make a study of exchange rate, and hope to find the optimal exchange rate forecasting model, so that it will decrease the impact on the economic shock. This study use two theories with different basic hypotheses –the portfolio balance approach and monetary fundamentals to build the exchange rate models, test whether the models exist the nonlinear adjustment behavior between the different regimes, and evaluate the models’ out-of-sample forecasting performance base on random walk model.

The empirical results show that all exchange rates of USD against EUR, JPY and GBP exist smooth transition, all of them are suitable to be expressed by logistic function in PB model; in MF model, EUR and GBP are suitable to exponential function, JPY is expressed by logistic function. The result of in-of-sample estimation demonstrate that PB/GARCH model has better fittness than PB model. The result of out-of-sample prediction demonstrate that JPY and GBP could use MF model to forecast exchange rate in the short and long run; In EUR, RW model has better forecasting performance in the short run and MF model is in the long run.

並列關鍵字

portfolio balance model ； smooth transition regression ； monetary fundamentals ； forecasting performance

參考文獻

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