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博碩士論文 etd-0805104-192336 詳細資訊
Title page for etd-0805104-192336
論文名稱
Title
遠期匯率與即期匯率之隨機共整合關係
Re-examine the Spot Exchange Rates and the Forward Exchange Rates by Stochastic cointegration
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
59
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
2004-07-27
繳交日期
Date of Submission
2004-08-05
關鍵字
Keywords
即期匯率、遠期匯率、隨機共整合、市場效率性、外匯市場
forward, spot, efficiency market, stochastic cointegration, exchange rate
統計
Statistics
本論文已被瀏覽 5702 次,被下載 3777
The thesis/dissertation has been browsed 5702 times, has been downloaded 3777 times.
中文摘要
外匯市場交易日趨活絡,投資者可藉由對外匯的操作進而達到獲利以及避險的目的.因此外匯市場的效率性便成為一門直得探討的課題. Hakkio and Rush (1989) 表示共整合是市場效率性的必要條件,因此遠期與即期匯率間長期的關係便成為重要指標.本文利用一個新的共整合方法--隨機共整合,此法包含了線性的傳統共整合與非線性的異質共整合.利用對台灣,日本與新加坡的實證分析,發現此三國的遠期與即期匯率有隨機共整合的關係.
Abstract
There are gradually prosperous trades in foreign exchange markets, agents could hedge, speculate and arbitrage in markets. Market efficiency and whether future spot rates could be predicted by forward rates are worthy of investigate. Hakkio and Rush (1989) demonstrated that cointegration is a necessary condition for market efficiency hypothesis, so that the examination of cointegration to investigate the long-run relationship between the spot rates and forward rates is important. We consider a new method -- stochastic coinegration which contains heteroscedastic and stationary cointegration, to re-examine the relationships between spot and forward rates. The feature of stochastic cointegraion is that the cointegrating residuals contain the integrated of order one process and heteroscedastic integrated process. However the special residuals would stochastically trendless over time, so that the spot rates and forward rates has long run equilibrium relationship. Conclusively, the future spot rates empirically are stochastic (and conventional) coinegrated with forward rates in Taiwan, Japan, and Singapore.
目次 Table of Contents
1 Introduction .....................................1


2 Theoretical Framework and Literature Reviews .....4
2.1 Theoretical Framework ..........................4
2.2 Literature Reviews .............................7


3 Approach Analysis ...............................15
3.1 Unit Roots Tests ..............................15
3.1.1 Dickey-Fuller Test ..........................16
3.1.2 Phillips-Perron Test ........................17
3.1.3 Augmented Dickey-Fuller Test ................18

3.2 Conventional Cointegration ....................20
3.2.1 Engle and Granger Two Steps Method ..........21
3.2.2 Johansen Maximum Likelihood Method ..........23

3.3 Stochastic cointegration ......................28
3.3.1 The model ...................................29
3.3.2 The Regression ..............................31
3.3.3 Estimation ..................................32
3.3.4 Hypothesis Tests and Test Statistics ........35


4 Empirical Results ...............................38
4.1 Data Description ..............................38
4.2 Unit Roots Tests ..............................39
4.3 Johansen Maximum Likelihood Method Test .......43
4.4 Stochastic Cointegration Empirical Results ....47


5 Conclusion and Suggestion .......................51


Appendix A ........................................53
Appendix B ........................................54
References ........................................55
參考文獻 References
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