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  • 學位論文

貨幣學派均衡匯率偏離之非線性動態調整

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

指導教授 : 楊奕農
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摘要


許多的文獻指出,導致名目匯率偏離經濟基要均衡匯率的調整行為,呈現非線性走勢的原因,包括交易成本的存在、投資者的技術分析和政府的干預(Dumas, 1992;Allen and Taylor, 1992;Taylor,2001);然而,投資者間的異質性會導致不同的投資決策與進出市場的時間,且政府的干預過程多半以漸近的方式在進行,因此均衡匯率偏離的調整過程可能是呈現平滑或漸進的非線性走勢。另外也有文獻指出,以一般之線性模型或突發性(abrupt)的門檻自我迴歸模型(Threshold autoregression model, TAR)來探討名目匯率偏離基要均衡匯率調整至均衡的動態走勢,可能無法確切地描述其平滑漸近的變動過程(Terasvirta, 1994;Sarantis, 1999)。 近年來有許多文獻應用具有漸近式轉變特性之平滑轉換自我迴歸模型來探討名目匯率偏離經濟基要均衡匯率的非線性動態調整行為,但大部份皆著重於實質匯率偏離購買力平價說(purchasing power parity, PPP)的調整走勢,如Michael et al.(1997)、Baum et al.(2001)、Kilian and Taylor(2004)等研究,其實證結果指出實質匯率的調整是以平滑之非線性方式在運行。而PPP為貨幣學派模型的主要架構之一,因此,在貨幣學派模型下的均衡匯率偏離是否也呈現非線性的動態調整走勢,是值得探討的議題。 本研究藉由Granger and Terasvirta(1993)和Terasvirta(1994)所提出之平滑轉換自我迴歸模型的估計檢定方法,探討當七大工業國家名目匯率偏離經濟基要均衡匯率時,其動態調整過程是否為一非線性程序。由實證結果得知,七大工業國家中除了加拿大均衡匯率的偏離動態調整路徑符合線性模型外,其餘各國皆呈現非線性的動態調整;另外,本研究探討當轉換函數為零和一時所形成的極端區域,發現在ESTAR模型中,英國、法國、日本、義大利,在轉換函數為零時,呈現單根走勢;而轉換函數為一時,則呈現收斂的現象。推究其原因,此可解釋為當交易成本存在時,其匯率的偏離基要超過門檻值時(超過無套利區),則會有均值回復的現象,但是若偏離程度較小時(位於無套利區內),即無超過門檻值,則呈現單根的現象,此與Michael et al.(1997)和Taylor and Peel(2000)所得到的結論類似;在LSTAR模型中,德國在轉換函數為零和一的區域,皆有均值回復的現象。

並列摘要


Recent empirical literatures analyze the deviations of the nominal exchange rate from the level suggested by economic fundamentals. These literatures demonstrate how transaction cost, technical analysts, or official interventions induce nonlinear adjustment of the deviations from equilibrium exchange rate by economic fundamentals. This study employ the STAR framework to analyze the dynamic behavior of deviations from monetary model, which may be advantageous relative to the standard TAR framework in which regime changes occur abruptly. Consistent with Terasvirta (1994), if an aggregated process is observed, which is the case with our data set here, regime changes may be smooth rather than discrete as long as heterogeneous economic agents do not act simultaneously even if the individually make dichotomous decisions. This study applies the STAR methodology to a sample of post-Bretton Woods quarterly data for the G7 countries. This study finds reveal that the deviations from equilibrium exchange rates by the monetary approach for the five countries show strong evidence of nonlinearity property. The deviations of the nominal exchange rates from monetary fundamentals for United Kingdom, France, Japan, and Italy can be explained by the ESTAR model. However, Germany can be explained by LSTAR model. It is helpful to compute the roots of characteristic polynomial at given values of the transition function as in Terasvirta (1994). It considers two regimes: first, F=0, which corresponds to the lower regime in the LSTAR model, and the middle regime in the ESTAR model. Second, F=1, which corresponds to the upper regime in the LSTAR model, and the outer regime in the ESTAR model. The extreme values F=0 and F=1 are particularly. This study finds nonlinear mean reversion of the deviation of the exchange from economic fundamentals for most countries.

並列關鍵字

Nonlinearity Exchange rates Mean reversion STAR

參考文獻


Baillie, R. T. and Selover, D. D., (1987), Cointegration and models of exchange rate determination. International Journal of Forecasting, 3, 43-51
Bleaney, M. and Mizen, P., (1996), Nonlinear in exchange rate dynamics: evidence from five currencies, 1973-94. Economic Record, 72, 36-45.
Campbell, J. Y. and Shiller, R. J., (1987), Cointegration and tests of present value models. Journal of Political Economy, 95, 1062-1088.
Chortareas, G. E., Kapetanios, G. and Shin, Y., (2002), Nonlinear mean reversion in real exchange rates. Economics Letters, 77, 411-417.
Cushman, D. O., (2000), The failure of the monetary exchange rate model for the Canadian-US dollar. Canadian Economics Association, 33, 591-603.

被引用紀錄


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蔡育蓉(2007)。匯率之非線性平滑轉換誤差修正模型實證研究〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846%2fTKU.2007.00906
陳厚丞(2009)。匯率報酬率風險值評估 —線性與非線性模型之比較〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu200900853
林佳京(2009)。總體資訊的發佈與匯率的關聯性:以新台幣兌美元為例〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu200900079
王俊化(2006)。貨幣學派匯率偏離之非線性調整—門檻自我迴歸之應用〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fCYCU.2006.00412

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