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博碩士論文 etd-0626106-130555 詳細資訊
Title page for etd-0626106-130555
論文名稱
Title
受限制模型下單根檢定之實證研究以匯率目標區及日本利率為例
Unit root test of limited time series-- empirical analysis in exchange rate target zone and Japan interbank interest rate
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
2006-06-23
繳交日期
Date of Submission
2006-06-26
關鍵字
Keywords
單根檢定、吉氏抽樣、利率、匯率目標區
exchange rate target zone, bounded unit root, unit root test, interest rate, Gibbs sampling
統計
Statistics
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The thesis/dissertation has been browsed 5750 times, has been downloaded 2400 times.
中文摘要
現今的經濟學架構中,存在許多變數是被限制住或是被截斷的,這些被限制住的變數由於無法自由波動,故其原始資料所呈現的狀況可能無法表達其真實的統計特性,而我們相信在被限制住的變數背後均隱含了潛在變數,此潛在變數是無法直接觀察到的,但是卻可以確實表達出資料的實際特性,本文的主旨就是在探討當資料有被限制住或是被截斷的特性時,應該如何分析其真實的統計特性。
本文利用Cavaliere (2005) 所提出的限制下單根檢定與Gibbs sampling將潛在變數還原的方法,探討當資料受到限制時的單根檢定問題,並以丹麥克朗與比利時法郎兌德國馬克的雙邊匯率以及日本同業間一個月期拆款利率為例,比較其與傳統單根檢定的結果有何異同。研究結果顯示:利用傳統單根檢定方法檢定後,此三種時間數列資料均為定態數列;利用限制下單根檢定方法檢定後,此三種時間數列資料均為非定態數列;而利用Gibbs sampling模擬所得之數列再帶入傳統單根檢定方法檢定後,除了日本同業間拆款利率為非定態數列之外,另兩種雙邊匯率的時間數列資料均為定態數列。
Abstract
There are much economic and financial data which are restricted by some bounds, such as expenditure shares, unemployment, norminal interest rate, or target zone exchange rate. How to interpret and analyze time series whose behaviors can be well approximated by means of integrated processes, I(1), but are “limited” in the sense that their range is constrained by fixed bounded is what this thesis develops.
One method to analyze bounded variable of this paper is “The Bounded Unit Root” which provided by Cavaliere (2005), and the other is using Gibbs sampling simulation and trying to recover the part of hidden variables. We would examin some empirical problems that has often been tackled in the literature and we give three time series which include Danish kron/Deutshe mark, Belgium Franc/ Deutshe mark, and Japan 1 mouth interbank interest rate for examples.
We conclude that these three time series data are I(0) in classical unit root test framework, but are all I(1) in The Bounded Unit Root test framework. And the results of Gibbs sampling simulation are that Danish kron/Deutshe mark and Belgium Franc/ Deutshe mark are I(0), but Japan 1 mouth interbank interest rate is I(1).
目次 Table of Contents
目錄
第一章 前言 1
第二章 文獻探討 4
第一節 單根檢定 4
一 Augmented Dickey-Fuller單根檢定 5
二 Phillips-Perron單根檢定 8
第二節 匯率目標區 12
第三節 Gibbs sampling 15
第三章 研究方法 19
第一節 限制下單根檢定 19
一 受限制下的AR過程 20
二 限制下單根檢定分配 22
第二節 截堵單根過程的Gibbs sampling 25
一 求算
26
二 求算
26
三 求算
27
四 Gibbs sampling的過程 29
第四章 實證結果分析 31
第一節 資料的定義與來源 32
第二節 限制下的單根檢定結果 35
第三節 Gibbs sampling模擬數列之單根檢定結果 38
第四節 單根檢定結果之比較 43
第五章 結論 46
附錄一 47
附錄二 48
參考文獻 50
參考文獻 References
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