摘要

本文利用長期購買力平價成立之長期預測方程式來探討其在名目匯率預測上相對於隨機遊走(random walk)模型之經濟顯著性與統計顯著性。
實證結果發現，在樣本內的估計，以購買力平價為基礎之長期預測方程式相對於隨機遊走(random walk)模型具統計顯著性。而在樣本外的預測結果，則顯示隨機遊走(random walk)模型較以購買力平價為基礎之長期預測方程式有較佳之統計顯著性。然而在經濟顯著性方面，以購買力平價為基礎之長期預測方程式在不同指標下，其預測能力皆優於隨機遊走(random walk)模型。

Abstract

In this paper, I use the establishment of long-term purchasing power parity equation to investigate nominal exchange rate predicted relative to the random walk model of economic significance and statistical significance.
Empirical results display that, in the sample estimates of purchasing power parity of long-term forecast equation relative to random walk model is more statistical significant. However, out of sample forecasting results show that the random walk model had a better long-term prediction of statistical significance than purchasing power parity-based long-term forecast equation. In addition, with economic significance of aspects, based on purchasing power parity of the long-term prediction equations under different indicators, forecasting ability are better than the random walk model.

目錄

1. 緒論 1
2. 文獻回顧 3
2.1 統計顯著 ...................................................3
2.2 經濟顯著 ...................................................6
3. 研究方法與模型設定 11
3.1 模型建立 ...................................................11
3.2 統計顯著檢定樣本內和樣本外設定 .............................12
3.2.1 樣本內設定 ...........................................12
3.2.2 樣本外設定 ...........................................14
3.3 經濟顯著檢定 ...............................................15
3.4 均值變異資產配置 ...........................................16
3.5 主成分分析 .................................................18
3.6 績效衡量 ...................................................20
4. 實證結果 24
4.1 資料說明 ...................................................24
4.2 統計顯著樣本內與樣本外 .....................................25
4.2.1 樣本內預測結果 .......................................25
4.2.2 樣本外預測結果 .......................................27
4.3 經濟顯著預測結果............................................30
5. 結論 32
參考文獻 ..........................................................33

參考文獻
中文參考文獻
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吳致寧(1995)，"貨幣學派之匯率決定模型與匯率預測-台灣之實證研究"，經濟論文，中央研究院總體研究所,159-187
周心怡(2004)，"拔靴法(Bootstrap)之探討及其應用"，碩士論文，國立中央大學統計研究所
陳旭昇(2009)，"時間序列分析-總體經濟與財務金融之應用"，台北∶東華書局

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