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博碩士論文 etd-0622107-072934 詳細資訊
Title page for etd-0622107-072934
論文名稱
Title
市場效率性之分析—以STAR模型為例
The Analysis of Market Efficiency—The Case of STAR Model
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
61
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2007-06-13
繳交日期
Date of Submission
2007-06-22
關鍵字
Keywords
匯率、非線性、平滑轉換自我回歸模型、市場效率性
exchange rate, market efficiency, nonlinear, STAR
統計
Statistics
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中文摘要
摘 要
隨著外匯市場的逐漸繁榮,使得投資人得以在外匯市場中從事投機、避險與套利等行為。因此,外匯市場效率性為國際金融上一重要命題。過去有關外匯市場效率性之實證研究,都是在線性模型下探討遠期匯率與未來即期匯率間是否在一長期均衡關係。然而對於外匯市場是否存在長期均衡關係,並未有一定論。
Sarno and Chowdhury(2003)指出線性模型隱含其模型殘差會以一固定的速度調整至均衡,若非線性調整關係存在,使用線性模型難以捕捉其動態調整行為。Enders(1995)指出共整合是指變數間具長期均衡關係,理論上是有可能存在非線性關係。再者,外匯市場若存在交易成本或交易者普遍使用技術分析,使得匯率可能偏離均值呈現非線性的調整走勢。
本研究即以Teräsvirta and Anderson(1992)所發展出之平滑轉換自我迴歸模型(Smooth Transition Autoregressive Model)之非線性方法,考慮匯率的波動存在非線性的動態調整行為,來重新檢驗遠期匯率與未來即期匯率是否存在長期均衡關係。實證結果指出,本研究之二十個OECD國家資料皆適合利用非線性方法來進行研究。其中法國、德國、加拿大、日本、挪威、西班牙、澳大利亞、愛爾蘭、義大利、奧地利、比利時、丹麥、盧森堡、荷蘭、瑞典、瑞士、希臘、紐西蘭等國家即期匯率與遠期匯率間存在長期均衡關係,另外英國以及芬蘭等國其即期匯率與遠期匯率間則不存在長期均衡關係,即外匯市場不具效率性。
Abstract
Abstract
There are gradually prosperous trades in foreign exchange markets, agents could hedge, speculate and arbitrage in markets. Market efficiency therefore is worthy of investigate in international finance. There are a lot of empirical studies examine whether the long-run relationship would exist between spot exchange rate and forward exchange rate in conventional linear models. However the conclusions were not similar.
Sarno and Chowdhury(2003)mentioned that linear models imply residuals of model adjust to equilibrium by fixed speed. If dynamic adjustment of nonlinear model exists, linear model is hard to capture the dynamic adjustment. Ender(1995)also mentioned that cointegration has long run linear relationship in variables. Theoretically, nonlinear relationship may exist. Furthermore, some literatures demonstrate how transaction cost and technical analysis induce nonlinear adjustment of the deviation for equilibrium exchange rate.
We consider a new approach that Tersävirta and Anderson(1992)provided the Smooth Transition Autoregressive Model(STAR), to re-examine the long-run relationship between spot exchange rate and forward exchange rate. According to the empirical results, we can find that all variables can be modeled by nonlinear models. The results of relationships exist between spot and forward exchange rates in France, Germany, Canada, Japan, Norway, Spain, Australia, Ireland, Italy, .Austria, Belgium, Denmark, Luxembourg, the Netherlands, Sweden, Switzerland, Greece and New Zealand, but it doesn’t exist in the United Kingdom and Finland.
目次 Table of Contents
目錄
第一章 緒論 1
第一節 研究背景與目的 1
第二節 研究架構 3
第二章 文獻回顧 4
第一節 效率市場之理論回顧 4
第二節 效率市場之實證回顧 6
第三章 研究方法 11
第一節 實證步驟流程 11
第二節 單根檢定 12
第三節 STAR模型簡介 19
第四節 線性檢定 24
第五節 參數估計 30
第四章 實證分析 31
第一節 資料選取與說明 31
第二節 資料處理 33
第三節 實證結果分析 34
第五章 結論與建議 47
第一節 結論 47
第二節 後續研究建議 49
參考文獻 50
參考文獻 References
參考文獻
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中文部份
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