越南實質匯率非線性結構轉變之估計-平滑轉換回歸(STR)之應用

Nonlinear Structural Changes in Real Exchange Rates of Vietnam: An Application of STR Models.

潘清心(PHAN-THANH TAM)

指導教授 ： 楊奕農

中原大學/商學院/國際商學碩士學位學程/碩士(2013年)

https://doi.org/10.6840/cycu201300629

摘要

本文採用越南盾跟美元、越盾跟東南亞五個國家的實質匯率，時間從1995年1月至2012年6月作為樣本資料。本文的目的是應用非線性模型進行平滑轉換回歸的結構轉變估計。結構改變常常隱含著明確的變動，雖然如此，但大部份經濟的資料都隨著不同的制度之間而平滑流動。為了了解這個現象，我們進行平滑轉換回歸（STR）模型跟其檢定、估計和診斷，然後再應用STR模型於越南實質匯率上。

研究結果發現，在六個實質匯率之中，只有越盾跟泰銖實質匯率是定態，其他幣值皆為非定態。把四個實質匯率進行差分之後，有越盾跟美金、越南盾跟印尼盾有非線性特徵，而其他則為線性模型。平滑式的結構轉變出現在越盾跟美國、越盾跟印尼盾的實質匯率差分。依樣本資料的分析顯示，越南-美國 跟越南-印尼的實質匯率結構轉變發生的時間點恰好與當年的實質匯率波動跟社會、政治、貿易政策有所關聯。

關鍵字

結構轉變 ； 平滑轉換回歸 ； 越南實質匯率

並列摘要

This study aims to investigate the behaviors of Vietnam’s real exchange rates by focusing on the application of the smooth transition regression models. In this paper, we employ Vietnam bilateral real exchange rates against US dollar, Singapore dollar, Thai baht, Indonesia Rupiah, Malaysia Ringgit and Philippine peso with the time period from January 1995 to June 2012 as our sample data.

It is evident that there exists nonlinearity in the changes of Vietnam real exchange rates against above listed currencies by applying the STR methodology. We find that among six variables, the changes in real exchange rates of Vietnamese Dong against US dollar and Indonesia rupiah have nonlinear characteristics while other currencies might follow linear models. The transition function clenching closely with considerable changes indicates major switches in the changes of real exchange rate for Vietnam – USA and Vietnam – Indonesia. These results might be explained by the influences of major changes in exchange rate, politic, social and trade policy.

並列關鍵字

Structural Change ； Vietnam Bilateral Real Exchange Rates ； Smooth Transition Regression

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