The Random Walk Behavior of Foreign Exchange Rates: An Examination of Nine Pacific-Basin Countries

太平洋盆地九國外匯匯率隨機走勢行為之檢定

劉亞秋(Y. Angela Liu) ； 潘明勳(Ming-Shiun Pan) ； 邱忠榮(Jong-Rong Chiou)

《中國財務學刊》 2卷1期 (1994/07) Pp. 1-16

https://doi.org/10.6545/JoFS.1994.2(1).1

摘要

本篇論文採用太平洋盆地九個國家的名目匯率過資料，針對其短期與長期之隨機行為作檢定。樣本期間是1976年到1991年，研究方法包括修正的與傳統的R／S分析法，以及H-R變異數比率法。實證結果發現，香港、韓國、及台灣的匯率各有短期相依的現象，港幣並同時呈現長期依存性，其他國家的匯率則未有持續性移動的現象。因此本文結果顯示，在外匯及資本管制較多的國家，匯率呈隨機走勢之假說是不足以被支持的。

並列摘要

This study examines the short-term and long-term behavior of weekly nominal exchange rates for the nine Pacific-Basin countries during the period 1976 to 1991. The main testing method is the two different versi.ons of the rescaled range analysis and for comparison purpose, we also employ the heteroscedasticity-robust variance ratio test. Evidence indicates that short term dependence exists in the Hong Kong dollar, the Korean won, and the Taiwan dollar. Furthermore, the findings show that the Hong Kong dollar demonstrates strong long-term dependence. Other currencies examined (the Indonesian rupiah, Malaysian ringgit, Philippine peso, Singapore dollar, and Thailand baht) do not display persistent movements. In view of the three currencies that exhibit short-or long-term dependence, our results indicate that the random walk hypothesis tends to be rejected for the currencies of the countries that have more rigid exchange rate arrangements or restricted capital control policies.