貨幣學派匯率偏離之非線性調整—門檻自我迴歸之應用

Nonlinear Adjustments for Deviations from Equilibrium Exchange Rate by the Monetary Approach

王俊化(Chun-Hua Wang)

指導教授 ： 楊奕農

中原大學/商學院/國際貿易研究所/碩士(2006年)

https://doi.org/10.6840/CYCU.2006.00412

摘要

過去研究名目匯率偏離市場基要多以線性模型來探討，而傳統的共整合模型無法探討此一偏離性可能存在非線性關係，本研究應用Tsay (1989)非線性的門檻自我迴歸模型(Threshold Autoregressive Model，簡寫成TAR)，利用排序迴歸( arranged autoregression )方法加以診斷、檢定名目匯率偏離市場基要均衡匯率的動態調整過程是否存在非線性模型，檢定期間分為二段時期：1982:01-1997:09與1982:01-2002:12，實證結果發現，利用Engle and Granger(1987)共整合檢定法檢定出，亞太地區六個國家－日本、南韓、臺灣、菲律賓、馬來西亞、印度之名目匯率與市場基要，皆具有一條共整合關係式，表示存在長期均衡關係；另外以TAR模型檢定出六國在某一特定門檻值下，DGP皆具有不對稱性的現象，表示名目匯率偏離市場基要的動態調整過程存在非線性關係，也就是當名目匯率略微偏離市場基要時，調整可能不會立刻產生，唯有當匯率偏離大到超過某一門檻臨界值時，經濟個體才會進行加速運作使得經濟體系恢復均衡。

關鍵字

門檻自我迴歸

並列摘要

Concerning most literatures adopt nonlinear model to analyze the deviations of nominal exchange rate from market fundamentals, and there is no strong evidence of nonlinearity property by using Cointegration Test. For these reasons, this study employ arranged autoregression based on the TAR framework （Threshold Autoregressive Model）to test whether there is nonlinear model in the dynamic adjustment process for deviations of nominal exchange rate from equilibrium exchange rate suggested by market fundamentals. The result of this study which apply Cointegration Test of Engle and Granger（1987）shows it’s long-term equilibrium in the six countries of the Asian-Pacific area. In TAR model, it produces asymmetric threshold effect under specific threshold value which means nonlinear adjustment for deviations of nominal exchange rate from market fundamentals. I.E when exchange rate deviates from market fundamentals slightly, it might not adjust at once, only when exchange rate deviates from threshold critical value exceeding greatly, the economic system will get equilibrium because of the economic entity starting to adjust.

並列關鍵字

TAR(Threshold Autoregression)

參考文獻

楊凱文(2004)「貨幣學派均衡匯率偏離之非線性動態調整」，中原大學國際貿易研究所碩士論文。

Basci, E., and Caner, M.(2002), Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test, Bilkent University Working Papers in Economics.

Boero, G., and Marrocu, E.(2002), The Performance of Non-Linear Exchange Rate Model: A Forecasting Comparison. Journal of Forcasting,21,513-542

Caner, M.,and Hansen, B. E. (2001),Threshold Autoregression with a Unit Root, Econometrica,69,1555-1596.

Dumas, B.(1992), Dynamic equilibrium and the real exchange rate in a spatially separated world.Review of Financial Studies,5,153-180.