美元兌新台幣匯率的緩長記憶

Long Memory in US/NT Exchange Rates

洪茂蔚(Mao-Wei Hung) ； 鍾經樊(Ching-Fan Chung) ； 李丹(Tan Lee)

《管理學報》 15卷3期 (1998/09) Pp. 455-472

https://doi.org/10.6504/JOM.1998.15.03.05

摘要

本研究採用「自迴歸移動平均部份整合模式」，並以近似最大概似法估計美元兌新台幣匯率的長短期行為。實證結果發現，美元匯率為一具緩長記憶之非恆定序列，而此種現象將改變外匯避險的最適避險比率。我們也發現，美元匯率的長期持續現象在「中心匯率」制度實施期間較強，在民國78年3月4日匯率改制後，該種長期持續現象有轉弱的趨勢，但仍舊相當顯著。

關鍵字

匯率 ； 緩長記憶 ； 部分差分 ； 模型估計

並列摘要

A flexible and parsimonious auto-regressive fractionally integrated moving average (ARFIMA) model is applied to examine both the long-term and short-term behavior of the US/NT spot rates. The approximate maximum likelihood methods are used for estimation. The fractional differencing parameter is found to be significantly different from zero, indicating that the US/NT spot rates exhibit long memory. We also find that the long-range persistence behavior is weaker after the “Negotiated Exchange Rate Systems” abolished on April 3, 1989.

並列關鍵字

exchange rate ； long memory ； farctinal differencing ； model estimation

參考文獻

Aydogam, K.,Booth, G. G.(1988).Are There Long Cycles in Common Stock Returns?.Southern Economic Journal.

Backus, D. K.,Zin, S. E.(1993).Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates.Journal of Money, Credit, and Banking.25

Baillie, R. T.,Bollerslev, T.(1988).Common Stochastic Trends in A System of Exchange Rates.Journal of Finance.44

Baillie, R. T.,Chung, C. -F.,Tieslau, M. A.(1996).Analyzing Inflation by the Fractionally Integrated ARFIMA-GARCH Model.Journal of Applied Econometrics.11

Baillie, R. T.,McMahon, P. C.(1989).The Foreign Exchange Market: Theory and Econometric Evidence.Cambridge University Press.