外匯市場效率之再檢驗 - 考慮結構變動追蹤資料單根檢定之應用

a reexamination of foreign exchange market efficiency - application of panel unit root test with structural breaks

許玴豪(Yi-Hao Hsu)

指導教授 ： 陳珮芬

國立暨南國際大學/管理學院/國際企業學系/碩士(2009年)

https://doi.org/10.6837/NCNU.2009.00154

摘要

當外匯市場具有效率性，則遠期匯率應是未來即期匯率的不偏估計值。有許多關於市場效率的文獻，有用共整合檢定法探討遠期匯率與即期匯率間的長期均衡關係，也有用單根檢定對遠期溢酬作檢驗，但很少考慮到資料可能具有結構改變。本文利用Carrion-i-Silvestre et al. (2005)所提出能考慮多個結構改變的panel單根檢定法，來重新探討外匯市場效率性。對15種貨幣的遠期溢酬作單根檢定的結果發現，在考慮結構改變的情況下，無法拒絕序列不具單根的虛無假設，亦即15個國家是符合市場效率假說的。

關鍵字

市場效率 ； 追蹤資料單根檢定 ； 結構改變

並列摘要

In an efficient forward exchange market, the forward rate must be the unbiased estimator of future spot rate. Numerous researchers apply cointegration test to investigate the long-run relationship between spot exchange rate and forward exchange rate. Similarly, several other studies employ unit root test to examine the stationarity of forward premium. But less attention has been paid to the presence of structural breaks in the time series. This paper employs the panel unit root test proposed by Carrion-i-Silvestre et al. (2005) which consider multiple structural breaks to reexamine forward exchange market efficiency. The result demonstrate that the null hypothesis of panel stationarity for forward premiums of 15 countries can not be rejected, which in turn supports the hypothesis of foreign exchange market efficiency.

並列關鍵字

market efficiency ； panel unit root test ； structural break

參考文獻

Bai, J. and P. Perron, 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66 (1), 47–78.

Baillie, R. T. and T. Bollerslev, 1989. Common Stochastic Trends in a System of Exchange Rate. Journal of Finance 44, 167-181.

Barkoulas, J. and C. F. Baum, 1997. A re-examination of the fragility of evidence from cointegration-based tests of foreign exchange market efficiency. Applied Financial Economics 7, 635-643.

Barkoulas, J., C. F. Baum, A. Chakraborty, 2003. Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums. Journal of Macroeconomics 25, 109-122.

Bilson, J. F. O., 1981. The speculative efficiency hypothesis. Journal of Business 54, 435-452.