博碩士論文 90424023 詳細資訊




以作者查詢圖書館館藏 以作者查詢臺灣博碩士 以作者查詢全國書目 勘誤回報 、線上人數:17 、訪客IP:3.234.214.179
姓名 林貞廷(Jen-Ting Lin)  查詢紙本館藏   畢業系所 產業經濟研究所
論文名稱 重新驗證遠期匯率不偏性假說—Panel Unit Root Tests之應用
(A Re-Examination of Forward Rate Unbiasedness Hypothesis-Using Panel Unit Root Tests)
相關論文
★ 上市公司財務主管異動宣告對股價報酬與企業經營績效之影響★ 巢式與非巢式資產定價理論之比較與檢定
★ 小數化、市場流動性與交易時距★ 套利訂價模型中未知因子之分析:全球實證研究
★ Copula-based GARCH模型於期貨避險之應用★ 消費財富效果不對稱分析: 馬可夫轉換共同趨勢模型之應用
★ 股票市場報酬與波動性外溢效果分析★ 中國大陸勞動合同法與企業所得稅法對台商的衝擊與因應
★ 結構FAVAR模型與台灣貨幣政策分析★ 通貨膨脹率預測:考慮結構變動之動態因子模型應用
★ 匯率因子與市場基要之預測表現★ 台灣大小公司報酬與流動性之實證研究
★ 台灣外匯暨股票市場流動性與景氣循環關係之探討★ 台灣經濟成長率之混合頻率預測-MIDAS迴歸應用
★ 油價對匯率預測能力之分析★ 企業組織再造之分析-以某醫材業公司為例
檔案 [Endnote RIS 格式]    [Bibtex 格式]    [相關文章]   [文章引用]   [完整記錄]   [館藏目錄]   [檢視]  [下載]
  1. 本電子論文使用權限為同意立即開放。
  2. 已達開放權限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。
  3. 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。

摘要(中) 有別於以往文獻使用傳統單變量檢定迴歸式對遠期匯率不偏性假說進行檢定,本文採取4種panel unit root檢定對6個國家在1、2、3、6個月等不同合約期間下的遠期溢酬進行檢定。本文首先對LL、IPS、Fisher P_lambda與考慮結構性變動的panel LM檢定做一番簡要的導覽與回顧,瞭解各檢定提出的原始動機與其基本精神之後,便對各檢定的實證結果進行分析與探討。除了比較panel unit root檢定與單變量的ADF-GLS檢定之間的差異之外,還觀察並比較4種panel unit root檢定結果之間是否一致,並藉此瞭解1992年至2002年間新台幣相對於外幣在外匯市場內的變化情形。
由檢定結果可發現,不僅單變量的ADF-GLS檢定與4種panel unit root檢定之間存在差異,panel unit root檢定之間也因有無考慮資料具結構性變動特質而產生不同的檢定結果。在ADF-GLS檢定結果裡,不論是有無包含時間趨勢項,英鎊、歐元、加拿大幣與日圓大都傾向不拒絕單根的虛無假設。而在LL、IPS與Fisher P_lambda等檢定結果裡則除了歐元之外,其餘國家幾乎都可以拒絕虛無假設。造成這兩種檢定結果相差甚遠的原因,相信是因為使用了包含更多訊息的panel模型之後,影響了對個別數列的統計推論。而在進一步使用考慮資料具有結構性變動特質的panel LM檢定後,發現在5%的顯著水準下,能夠不受有無考慮時間趨勢因素的影響下皆能拒絕單根的有:加拿大幣、新加坡幣、日圓與台幣,而在LL、IPS與Fisher P_lambda等3種檢定中幾乎都能夠顯著拒絕虛無假設的英鎊,在考慮結構性變動後幾乎不能拒絕。
摘要(英) Unlike the earlier research, which used the conventional univariate regression to test the forward rate unbiased hypothesis, we adopt 4 panel unit root tests to examine forward premium series of 6 currencies over panels of 1-, 2-, 3-, and 6-month forward contract maturities. In the beginning of the thesis, we briefly present and review the LL, IPS, Fisher P_lambda and panel LM test, which consider the structure change of data, to realize the motivation of adducing these methods, and their original meanings, then we discuss and analyze our empirical findings. Not only compare the differences between panel unit root tests and the univariate ADF-GLS test, we also observe and compare the outcome of 4 panel unit root tests,
therefore we can understand how NT dollar vary in the foreign exchange market from 1992 to 2002,
by contrasting with other currencies.
From the test results we find not only the univariate ADF-GLS test is different to the 4 panel unit root tests, but also, the 4 panel unit root tests have different outcome, either. In the results of ADF-GLS test, no matter with or without the time trend term, British pound (BP), Euro, Canadian dollar (CD) and Japanese yen (JY) all can reject the null of unit root.
However, in the results of LL, IPS and Fisher P_lambda test, almost all currencies can reject the null except Euro. The reason of making the huge difference between the 2 kinds of tests might be by using the panel model, which can include more information, can effect the conclusion of statistical inference.
Furthermore, by applying panel LM test with allowing structure breaks of data, we find no matter with or without the time trend term, CD,
Singapore dollar, JY and NT dollar can reject the null hypothesis at 5% significance level.
However, BP, which can reject the null in LL,
IPS and Fisher P_lambda test, almost cannot reject when considering the structure change of data.
關鍵字(中) ★ 遠期匯率不偏性
★ 外匯市場效率性
★ 共整合
★ panel單根檢定
★ 遠期溢酬
關鍵字(英) ★ forward rate unbiased
★ market efficiency
★ cointegration
★ forward premium
★ panel unit root tests
論文目次 目錄
1 序論 8
1.1 研究動機與目的 8
1.2 研究方法 10
1.3 研究架構與主要結論 12
2 外匯市場理論與實證回顧 14
2.1 效率市場假說 14
2.2 遠期溢酬 16
3 Panel Unit Root檢定方法 20
3.1 LL檢定 20
3.2 IPS檢定 25
3.3 Maddala and Wu檢定 26
3.4 Bootstrap方法 28
3.5 考慮結構性變動下的Panel LM檢定 30
4 實證實證結果分析 35
4.1 資料來源與處理 35
4.2 Panel Unit Root檢定結果 36
5 結論與建議 42
表目錄
表1 6個國家遠期溢酬的敘述統計量 44
表2 6個國家遠期溢酬的ADF-GLS單根檢定結果-有常數項,無趨勢項 46
表3 6個國家遠期溢酬的ADF-GLS單根檢定結果-有常數項與趨勢項 47
表4 LL test檢定結果 48
表5 IPS test檢定結果 49
表6 Fisher P_lambda test檢定結果 49
表7 panel LM test檢定結果(沒有設時間虛擬變數下,考慮發生一次結構性變動) 50
表8 panel LM test檢定結果(有設時間虛擬變數下,考慮發生一次結構性變動) 51
表9 panel LM test檢定結果(在截距項上考慮發生二次結構性變動) 52
圖目錄
圖1 6個國家遠期溢酬的趨勢圖 45
參考文獻 Abauf, N. and P. Jorion, 1990. Purchasing power parity in the long run, Journal of Finance, 45, 154--174.
Allen, H. and M.P. Taylor, 1990. Charts, noise and fundamentals in the foreign exchange market, Economic Journal, 100, 49--59.
Baillie. R. and T. Bollerslev, 1989. Common stochastic trends in a system of exchange rates, Journal of Finance, 44, 167--181.
Baillie. R. and T. Bollerslev, 1994a. Cointegration, fractional cointegration, and exchange rate dynamics, Journal of Finance, 49, 737--745.
Baillie. R. and T. Bollerslev, 1994b.The long memory of the forward premium,
Journal of International Money and Finance, 13, 565--571.
Baillie. R. and T. Bollerslev, 2000. The forward premium anomaly is not as bad as you think, Journal of International Money and Finance, 19, 471--488.
Baillie. R., Y. W. Han and H. Koul, 2001. A high frequency perspective on the forward premium anomaly, Institute of Economics in Academia Sinica, Discussion Paper.
Banerjee, A., 1999. Panel data unit roots and cointegration: An overview, Oxford Bulletin of Economics and Statistics, special issue, 607--629.
Barkoulas, J., C. F. Baum and A. Chakraborty, 2003. Forward premiums and market efficiency: Panel unit root evidence from the term structure of forward premiums, Journal of Macroeconomics.
Bekert, G. and J. Hodrick, 1992. Characterizing predictable components in excess returns on equity and foreign exchanhe markets, Journal of Finance, 47, 467--509.
Bilson, J. F., 1981. The 'speculative efficiency' hypothesis, Journal of Business, 54, 435--452.
Bulter, Alison, 1990. A methodological mpproach to chaos: are economists missing the point? Federal Reserve Bank of ST. Louis: Review, Mar./April, 36--48.
Cornell, B., 1989. The impact of data errors on measurement of the foreign exchange risk premium, Journal of International Money and Finance, 8, 147--157.
Crowder, J., 1992. Spot and forward exchange rates and the efficiency of foreign exchange markets, University of Texas at Arlington, working paper.
Crowder, J., 1994. Foreign exchange market efficiency and common stochastic trends, Journal of International Money and Finance, 13, 551--564.
Crowder, J., 1996. A note on cointegration and international capital market efficiency: A reply, Journal of International Money and Finance, 15, 661--664.
Diebold, F. X., J. Gardeazabal and K. Yilmaz, 1994. On cointegration and exchange rate dynamics, Journal of Finance, 49, 727--735.
Engel, C., 1996a. The forward discount anomaly and the risk premium: A survey of recent evidence, Journal of Empirical Finance, 3, 123--192.
Engel, C., 1996b. A note on cointegration and international capital market efficiency, Journal of International Money and Finance, 15, 657--660.
Engle, F. and W. Granger, 1987. Cointegration and error correction:
Representation, estimation, and testing, Econometrica, 55, 251--276.
Elliot, G., T. Rothenberg and J. Stock, 1996. Efficient tests for an autoregressive unit root, Econometrica, 64, 813--836.
Fama, E., 1984. Forward and spot exchange rate, Journal of Monetary Economics, 14, 319--338.
Fisher, R. A., 1932. Statistical Methods for Research Workers, Oliver & Boyd, Edinburgh, 4th Edition.
Froot, K. A., 1990. Short rates and expected asset returns, NBER, Cambridge, MA, working paper, no. 3247
Froot, K. A. and J. A. Frankel, 1989. Forward discount bias: Is it an exchange risk premium? Quarterly Journal of Economics, 104, 139--161.
Hakkio, C. S. and M. Ruth, 1989. Market Efficiency and Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Market,
Journal of International Money and Finance, 88, 829--853.
Hansen, L. P. and R. J. Hodrick, 1980. Forward exchange rates as optimal predictors of future spot rates: An econometric analysis, Journal of Political Economy, 829--853.
Im, K. S., M. H. Pesaran, Y. Shin, 1997. Testing for unit roots in heterogeneous panels, Department of Applied Ecinimics, University of Cambridge.
Im, K. S. and J. Lee, 2001. Panel LM unit root test with level shifts, unpublished paper.
Levich, R. M., 1979. The denomination of foreign trade contracts once again discussion, Journal of Financial and Quantitative Analysis, 15, 945--947.
Levin, A. and C. F. Lin, 1992. Unit root in panel data: Asymptotic and finite sample properties, University of California at San Diego, Discussion Paper, 92--93.
Levin, A. and C. F. Lin, 1993. Unit root test in panel data: A new results,
University of California at San Diego, Discussion Paper, 93--56.
Lewis, K. K., 1989. Changing beliefs and systematic rational forecast errors with evidence from foreign exchange, American Economic Review, 79, 621--636.
Maddala, G. S. and S. Wu, 1999. A comparative study of unit root tests with panel data and a new simple test, Oxford Bulletin of Economics and tatistics, special issue, 631--651.
McCallum, B. T., 1993. Unit roots in macroeconomic time series: some critical issues, Federal Reserve Bank of Richmond: Economic Quarterly, Spring, 13--44.
Miron, J. A., 1991. Pitfalls and opportunities: what should know about unit roots:a commont, NBER Macroeconomic Annuals, 211--219.
Ngama, Y. C., 1992. Testing the efficiency of the forward foreign exchange markets: An application of instrumental variable multiple regression with integrated, I(1), variables, Manchester School of Economic and Social Studies, 60, 169--180.
O'Connell, P., 1998. The overvaluation of purchasing power parity, Journal of International Economics, 44, 1--20.
Sarno, L. and M. P. Taylor, 1998. Real exchange rates under the recent float: Unequivocal evidence of mean reversion, Economics letters, 60, 131--137.
Taylor, M. P. and L. Sarno, 1998. The behavior of real exchange rates during the post-Bretton Woods period, Journal of International Economics, 46, 281--312.
指導教授 徐之強(Chih-Chiang Hsu) 審核日期 2003-7-2
推文 facebook   plurk   twitter   funp   google   live   udn   HD   myshare   reddit   netvibes   friend   youpush   delicious   baidu   
網路書籤 Google bookmarks   del.icio.us   hemidemi   myshare   

若有論文相關問題,請聯絡國立中央大學圖書館推廣服務組 TEL:(03)422-7151轉57407,或E-mail聯絡  - 隱私權政策聲明