匯率影響之實證研究—縱橫平滑轉換迴歸模型之應用

An Empirical Study of Foreign Exchange Rate- An Application of Panel Smooth Transition Regression Model

紀崧傑(Sung-Chieh Chi)

指導教授 ： 李正文

中原大學/商學院/國際經營與貿易研究所/碩士(2016年)

https://doi.org/10.6840/cycu201600314

摘要

摘 要
本研究以匯率變動率、股價指數變動率、出口年增率、消費者物價指數年增率與原油油價變動率利用縱橫平滑轉換迴歸(panel smooth transition regression, PSTR)模型探討匯率變動與其他變數所造成之影響。在模型中採用匯率變動為解釋變數，股價指數變動率作為轉換變數，估計匯率變動對股價指數變動所產生的門檻效果在其他變數產生影響。實證國家以日本、南韓、新加坡、台灣及香港為對象，樣本期間為2010年1月至2015年12月，共計1800個觀察值。
實證結果如下:
一、 在五個國家的匯率波動中，其影響程度是呈現非線性且平滑的轉換狀態，原因在於股價指數變動時對出口年增率、消費者物價指數年增率及原油油價變動率之影響程度，其結果決定在股價指數變動率門檻值分別為-6.5322與-5.9708。
二、 當股價指數變動處於低度波動及高度波動時，匯率變動的影響程度皆高於中度波動，顯示當門檻股價指數變動在-6.5322與-5.9708之間時，匯率變動的影響程度較差，研究結果也證明在低度波動的區間有較高的穩定性。
三、匯率變動相對在股價指數變動較低時，如果能有效地增加出口，適時使消費者物價指數年增率上升及降低原油價格的波動能顯著地穩定匯率的波動，降低各個國家在匯率上的風險。

關鍵字

匯率變動；縱橫平滑轉換迴歸模型；非線性

並列摘要

Abstract
In this study, exchange rate fluctuations, stock price index rate of change, annual growth rate of exports, annual growth rate of consumer price index and crude oil price rate of change in the use of panel smooth transition regression ( PSTR) model of exchange rate changes and other variables caused by the impact. Using exchange rate fluctuations as the regressors in the model, the stock index as the transition variable, the estimated exchange rate fluctuations on Price Indexes generated threshold effect impact on other variables. In empirical, we select Japan, South Korea, Singapore, Taiwan and Hong Kong as the sample object,the sample period is spans 2010 1M to 2015 12M. Thus,there are 1800 observations.
Empirical results were as follows:
First, exchange rate fluctuations in the five countries, which is the degree of influence is
nonlinear and smooth transition state, because the impact on exports annual growth rate
of the consumer price index annual growth rates of change in oil prices and oil price
movements when the index the extent of which was decided in the stock price index rate
of change threshold values were -6.5322 and -5.9708.
Second, when the change in the stock price index is low volatility and high volatility, the
impact of exchange rate changes were higher than moderate fluctuations, shows that
when the threshold of change in the stock price index is between -5.9708 and -6.5322,
poor impact of exchange rate changes, the results also demonstrated low volatility range
has a higher stability.
Third, exchange rate fluctuations in the relatively low stock price index changes, if they can
effectively increase exports, make timely annual rate of increase in the consumer price
index and reduce the volatility of crude oil prices stabilize exchange rate fluctuations can
significantly reduce the exchange rate on individual countries risks of.

並列關鍵字

Exchange Rate Fluctuations；Panel Smooth Transition Regression (PSTR) Model； Nonlinear

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