Responsive image
博碩士論文 etd-0804108-144543 詳細資訊
Title page for etd-0804108-144543
論文名稱
Title
拉丁美洲新興國家未拋補利率學說之非線性模型分析
Nonlinear Analysis of the Uncovered Interest Parity in Latin American Countries
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
58
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
2008-06-18
繳交日期
Date of Submission
2008-08-04
關鍵字
Keywords
非線性分析、未拋補利率
uncovered interest parity, nonlinear analysis
統計
Statistics
本論文已被瀏覽 5790 次,被下載 3003
The thesis/dissertation has been browsed 5790 times, has been downloaded 3003 times.
中文摘要
摘 要

因多數匯率預測之文獻與研究焦點,大都著眼於世界主要工業國家,甚少有討論到開發中國家的匯率,由於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,利用線性模型難以補捉其動態調整行為(Sarno, 2002),再則,若外匯市場上存在交易成本或交易者普遍使用技術分析,則均衡匯率偏離可能呈現非線性調整走勢;故本研究使用Granger and Terasvirta(1993)和Terasvirta(1994)所發展的STAR(Smooth transition autoregression)模型的估計檢定法,探討拉丁美洲七國偏離UIP(deviation of UIP)的動態調整過程。未抛補利率平價假說(uncovered interest parity, UIP)在過去大多實證研究皆難成立故本研究旨在驗證在此非線性架構下在拉美地區之未抛補利率平價假說在非線性模型分析下是否成立的實證研究。
Abstract
Abstract

Most of literature and studies on prediction of exchange rate focus on main industrial countries with few discussions on the exchange rate of the developing countries. For model residual differences can be found in a linear model, so the linear model will adjust to find equilibrium at a fixed speed. However, it is difficult for the linear model to capture the character of dynamic adjustment behavior if a non-linear adjustment relationship exists (Sarno, 2002). Moreover, in case the trading costs exist in the foreign exchange market or the technical analysis is widely used among traders, then the deviations from equilibrium exchange rate may present a non-linear adjustment trend. In view of this, this study employed the STAR (smooth transition autoregression) model developed by Granger and Terasvirta (1993) to discuss the dynamic adjustment process of the deviations from UIP in the seven countries in Latin America. In most of the experimental studies conducted in the past, it was found difficult to establish the assumptions of uncovered interest parity (UIP). Therefore, this study is aimed to verify the experimental studies on UIP in the Latin America under the non-linear framework by means of non-linear model analysis.
目次 Table of Contents
目 錄

中文摘要…………………………………………………………………………………..I
Abstract……………………………………………………………………………….…...II
致謝詞…………………………………………………………………………………....III
目錄……………………………………………...……………………………………....IV
表目錄………………………………………………………...………………………... VI
圖目錄………………………………………………………………...………………...VII
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究目的與方法 3
第三節 研究架構與流程 3
第二章 文獻回顧 5
第一節 UIP理論介紹 5
第二節 傳統線性單根檢定相關文獻 6
第三節 非線性模型應用於匯率的相關文獻 13
第三章 研究方法 19
第一節 單根檢定 19
第二節 STAR模型與轉換函數 21
第三節 線性檢定 24
第四節 檢定其為非線性的ESTAR或LSTAR 28
第五節 模型診斷性檢定 29
第四章 實證結果與分析 32
第一節 資料來源與選擇說明 32
第二節 單根檢定 33
第三節 線性檢定 34
第四節 模型參數評估 39
第五節 非線性殘差單根檢定 43
第五章 結論與建議 44
參考文獻…………………………………………………………….…………………...45




















表 目 錄

表 2.1 UIP間接檢定文獻整理 6
表 2.2 UIP直接檢定文獻整理 11
表 2.3 STAR模型應用於匯率決定理論實證之文獻整理 17
表 4.1 七國 I D DF-GLS 單根檢定結果 33
表 4.2 LJUNG-BOX Q檢定結果 34
表 4.3 ARCH-LM 檢定結果 34
表4.4 落後期數的選擇及決定---AIC與SBIC之值 35
表 4.5 轉換函數檢定結果 F-TEST 36
表 4.6 各國非線性模型參數估計 39
表 4.7 各國之序列相關檢定(LJUNG-BOX Q) 40
表 4.8 各國之無剩餘其它非線性檢定( NRN TEST) 41
表 4.9 各國之估計參數不變性檢定(PC TEST) 41
表 4.10各國之異質變異檢定(ARCH-LM TEST) 42
表 4.11各國之常態分配檢定(JARQUE-BERA TEST) 43
表 4.12各國 I D 非線性殘差DF-GLS單根檢定 43








圖 目 錄

圖1.1研究流程圖…………………………………………………………………….…..4
圖3.1羅吉斯函數圖形 23
圖3.2指數函數圖形 23
圖3.3 線性檢定流程 27
圖4.1 阿根廷 LSTR1 模型之轉換函數 37
圖4.2 秘魯 LSTR1 模型之轉換函數 38
圖4.3 巴拉圭 LSTR2 模型之轉換函數 38
參考文獻 References
參考文獻

中文文獻部份:
1. 沈中華,1992,「用無拋補利率平價說解釋台灣利率與美元匯率的變動」,企銀季刊,第16卷第1期,頁1-13。
2. 胡春田,1994,「台灣地區開放性經濟變數間之關係探討」,國科會計劃,中央研究院中山人文社會科學研究所。
3. 黃德芬,1997,「台灣地區風險利率平價說之驗證-解除外匯管制前後之比較」,台灣銀行台灣經濟金融月刊,第33卷第1期,頁14-27。
4. 張豐榮,1993,「台灣地區無拋補利率平價說之研究」,台灣大學財務金融學研究所碩士論文。
5. 廖原益,1996,「臺灣地區資本移動自由化之衡量與探討」,東華大學國際經濟研究所碩士論文。

英文文獻部份:
1. Barkoulas, J. and Baum, C. F. (1997) “A re-examination of the fragility of evidence from cointegration-based tests of foreign exchange market efficiency,” Applied financial Economics, 7, 635-643.
2. Baum, C. F., Barkoulas, J. and Caglayan, M. (2001) “Nonlinear adjustment to purchasing power parity in the post-Bretton Woods Era,” Journal of International Money and Finance, 20, 379-399.
3. Campbell, J. Y. and Shiller, R. J. (1987) “Cointegration and tests of present value models,” Journal of Political Economy, 95, 1062-1088.
4. Chen, S. L. and Wu, J. L. (2000) “A re-examination of purchasing power parity in Japan and Taiwan,” Journal of Macroeconomics, 22, 271-284.
5. Chortareas, G. E., Kapetanios, G. and Shin, Y. (2002) “Nonlinear mean reversion in real exchange rates,” Economics Letters, 77, 411-417.
6. Cumby, R. E. and Obstfeld, M. (1981) “A note on exchange rate expectations and nominal interest differentials a test of the Fisher hypothesis,” Journal of Finance, 121, 697-703.
7. Davies, R. B. (1987) “Hypothesis testing when a nuisance parameter is present under the alternative,” Biometrika, 74, 33-43.
8. Dickey, D. A. and Fuller, W. A. (1979) “Distribution of the estimator for autoregressive times with a unit toot,” Journal of the American Statistical Association, 74, 427-431.
9. Donowitz, I. and Hakkio, C. S. (1985) “Conditional variance and the risk premium in the foreign exchange market,” Journal of International Economics, 53, 47-66.
10. Dumas, B. (1992) “Dynamic equilibrium and the real exchange rate in spatially separated world,” Review of Financial Studies, 5, 153-180.
11. Edwards, S. (1983) “Floating exchange rates, expectations and new information,” Journal of Monetary Economics, 11, 321-336.
12. Enders, W. (1995) Applied econometric time series, New York : John Wiley & Sons, Inc.
13. Engle, R. and Granger, C. (1987) “Cointegration and error correction: representation, estimation, and testing,” Econometrica, 55, 251-276.
14. Fama, F. (1984) “Forward and spot exchange rates,” Journal of Monetary Economics, 14, 319-338.
15. Frankel, A. (1982) “In search of the exchange risk premium: a six currency test assuming mean variance optimization,” Journal of International Money and Finance, 1, 255-274.
16. Frankel, A. (1992) “Measuring international capital mobility: a review,” American Economic Review, 82, 197-201.
17. Froot, K. A. and Thaler, R. H. (1990) “Anomalies foreign exchange,” Journal of Economic Perspectives, 4(3), 179-192.
18. Granger, C. W. J. and Terasvirta, T. (1993) Modeling nonlinear economic relationships, Oxford University Press, Oxford.
19. Guerra, R. (2001) “Nonlinear adjustment toward purchasing power parity: the Swiss Franc-German Mark case,” Working Paper No.1, Department of Economics, University of Geneva.
20. Hakkio, C. S. and Rush, M. (1989) “Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets,” Journal of International Money and Finance, 8, 75-88.
21. Hansen, L. P. and Hodrick, R. J. (1980) “Forward exchange rates as optimal predictors of future spot rates: an econometric analysis,” Journal of Political Economy, 88, 829-853.
22. Harvey, A. C. (1990) The econometric analysis of time series (2nd ed.), New York: Philip Allan.
23. Hodrick, R. J. and Srivastava, S. (1984) “An investigation of risk and return in forward foreign exchange,” Journal of International Money and Finance, 3, 5-29.
24. Hsieh, D. A. (1984) “Test of rational expectations and no risk premium in forward exchange markets,” Journal of International Economics, 171, 173-184.
25. Ito, T. (1988) “Use of (time-domain) vector autoregressions to test uncovered interest parity,” The review of Economics and Statistics, 70(2), 296-305.
26. Johansen, S. (1988) “Statistical analysis of cointegration vector,” Journal of Econometric Dynamic and Control, 2, 231-254.54
27. Kapetanios, G.., Shin, Y. and Snell, A. (2003) “Testing for a unit root in the nonlinear STAR. Framework,” Journal of Econometrics, 112, 359-379.
28. Kapetanios, G., Shin, Y. and Snell, A. (2003) “Testing for cointegration in nonlinear STAR error correction models,” The Economic Journal, 150, 107-128.
29. Kilian, L. and Taylor, M. P. (2003) “Why is it so difficult to beat the random walk forecast of exchange rates?” Journal of International Economics, 60, 85-107.
30. Lin, C. J. and Terasvirta, T. (1994) “Testing the constancy of regression parameters against continuous structural change,” Journal of Econometrics, 62, 211-228.
31. Liew, V. K.S., Baharumshah, A. Z. and Chong, T. T. L. (2004) “Are Asian real exchange rate stationary?” Economics Letters, 83, 313–316.
32. Longworth, D. (1981) “Testing the efficiency of the Canadian-U.S. exchange market under the assumption of no risk premium,” Journal of Finance, 36, 43-49.
33. Luukkonen, R., and Terasvirta, T. (1988) “Testing linearity against smooth transition autoregressive models,” Biometrika,75, 491-499.
34. MacDonald, R. and Taylor, M. P. (1993) “The monetary approach to the exchange rate: rational expectations, long-run equilibrium, and forecasting,” IMF Staff Papers, 40, 89-107.
35. MacDonald, R. and Torrance, T. S. (1989) “Some survey-based tests of uncovered interest parity,” In Exchange Rates and Open Economy Macroeconomics, edited by MacDonald, R. and Taylor, M. P., Mass.: Blackwell, 239-248.
36. Michael, P., Nobay, A. R. and Peel, D. A. (1997) “Transactions cost and nonlinear adjustment in real exchange rates: an empirical investigation,” Journal of Political Economy, 105, 862-879.
37. Mishkin, F. S. (1984) “Are real interest rates equal across countries? an empirical investigation of international parity conditions,” Journal of Finance, 39, 1345-1357.
38. Obstfeld, M. and Taylor, A. M. (1997) “Nonlinear aspects of goods-market arbitrage and adjustment: Heckscher’s commodity points revisited,” Journal of the Japanese and International Economies, 11, 441-417.
39. O’Connell, P. (1998) “Market frictions and real exchange rates,” Journal of International Money and Finance, 17, 71-95.
40. Paya, I., Venetis, I. A. and Peel, D. A. (2003) “Further evidence on PPP adjustment speeds:the case of effective real rates and the EMS,” Oxford Bulletin of Economics and Statistics, 4, 421-437.
41. Rogoff, K. (1996) “The purchasing power parity puzzle,” Journal of Economic Literature, 34, 647-668.
42. Sarno, L. and Chowdhury, I. (2003) “The behaviour of the real exchange rate: evidence from an alternative price index,” Economic Notes, 32, 295-333.
43. Sarno, L. and Taylor, M. P. (2002) The economics of exchange rates, Cambridge and New York: Cambridge University Press.
44. Sarantis, N. (1999) “Modeling non-linearities in real effective exchange rates,” Journal of International Money and Finance, 18, 27-45.
45. Sephton, P. S. and Larsen, H. K. (1991) “Tests of exchange market efficiency: fragile evidence from cointegration tests,” Journal of International Money and Finance, 10, 561-570.
46. Tsay, R. (1989) “Testing and modeling threshold autoregressive processes,” Journal of The American Statistical Association, 84, 231-240.
47. Taylor, M. P. (1987) “Risk premia and foreign exchange: a multiple time series approach to testing uncovered interest-rate parity,” Weltwirtsch aftliches Archiv, 123, 579-590.
48. Taylor, M. P. (2001) “Does official exchange rate intervention really matter?” unpublished mimeo, University of Warwick.
49. Taylor, M. P. and Allen, H. (1992) “The use of technical analysis in the foreign exchange market,” Journal of International Money and Finance, 11, 304-314.
50. Taylor, M. P. and Peel, D. A. (2000) “Nonlinear adjustment long-run equilibrium and exchange rate fundamental,” Journal of international money and finance, 19, 33-53
51. Taylor, M. P., Peel, D. A. and Sarno, L. (2001) “Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles,” International economic reviews, 42, 1015-1042.
52. Taylor, M. and Sarno, L. (1998) “The behavior of real exchange rates during the post Bretton Woods period,” Journal of International Economics, 46, 281-312.
53. Terasvirta, T. (1994) “Specification, estimation and evaluation of smooth transition autoregressive models,” Journal of the American Statistical Association, 89, 281-312.
54. Tong, H. (1983) Threshold models in nonlinear time series analysis: lecture notes in
Statistics, Berlon:Springer.
55. Wu, J. L. and Chen, S. L. (1999) “Are real exchange rate stationary based on panel unit-root tests? Evidence from Pacific Basin countries,” International Journal of Finance and Economies, 4, 243-252.
56. Wu J .L. and Lee H. Y. (2001) “Who drives interest rates around Pacific rim? A review,” Journal of Econometrics, 2, 111-120.
電子全文 Fulltext
本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
論文使用權限 Thesis access permission:校內校外完全公開 unrestricted
開放時間 Available:
校內 Campus: 已公開 available
校外 Off-campus: 已公開 available


紙本論文 Printed copies
紙本論文的公開資訊在102學年度以後相對較為完整。如果需要查詢101學年度以前的紙本論文公開資訊,請聯繫圖資處紙本論文服務櫃台。如有不便之處敬請見諒。
開放時間 available 已公開 available

QR Code