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博碩士論文 etd-0801111-165454 詳細資訊
Title page for etd-0801111-165454
Effective Factors of Real Exchange Rate-Under Markov Regime Switch model
Year, semester
Number of pages
Ming-Chi Chen
Advisory Committee
Chien-Chiang Lee
Date of Exam
Date of Submission
regime switch, Markov regime switch model, fluctuation, real exchange rate, fundamental
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此外對於目前國際化社會而言如何精確捕捉匯率走勢相信是不可忽視的課題,而在過去匯率研究中貨幣模型扮演相當重要的角色,因此進一步比較本文研究提出之匯率模型與由Frankel Jerry(1979)提出的實質利差模型(real interest differential monetary) 以知何者較能精確地預測實質匯率波動。
With financial liberalization and economic globalization, international trade and capital transactions result in larger exchange rate fluctuations than in the past. Besides, it can’t be ignored that the change of exchange rate influences the economics and real exchange rate which be regarded as the indicator of external competitiveness becomes more important than before, so my paper aims to know not only whether there is stochastic segmented trend in their fluctuation but also the factors which are closely related to regime switches.
As we all know that it is significant to forecast the volatility of exchange rate in the global society. A number of previous studies discussed the relationship between exchange rate and fundamentals under the monetary models, however many people found that these models are handicapped in out-of sample forecasting. Therefore, I compare the forecasting performance of the real interest differential monetary (RID) model of Frankel (1979) with the models which I built in the paper.
By using the market share of the top ten currencies in 2010 which is published by Bank for International Settlements (BIS) and the fundamentals. The empirical results indicate that fundamentals do not only matter for real exchange rate, but are also related to the switches between the regimes. Besides, the real exchange rates are highly persistent in each regime and the effect of fundamentals is different in different countries. At last, my result suggest that the models which I built in the paper provide better forecast in the yen, pound sterling and New Zealand dollar than the RID model.
目次 Table of Contents
論文審定書 i
摘 要 ii
Abstract iii
圖 次 vi
表 次 vii
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究流程與架構 2
第二章 文獻探討 3
第一節 定義實質匯率 3
第二節 實質匯率之實證回顧 4
第三節 研究變數 5
第四節 實證方法 7
第五節 狀態轉換之研究 8
第三章 模型建立 10
第一節 馬可夫轉換模型(Markov Switching Model) 10
第二節 檢定 12
第四章 資料說明與檢定 13
第一節 資料說明 13
第二節 敘述統計 14
第三節 單根檢定 17
第四節 逐步迴歸 22
第五章 實證結果 24
第一節 模型比較 24
第二節 各國估計結果 25
第三節 Wald檢定結果 36
第四節 估計結果之比較 37
第五節 實質匯率之預測 40
第六章 結論與建議 43
參考文獻 44
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