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    Title: 英、日匯率之長短期互動關係實證研究
    Other Titles: The short dynamic relationship and long run relationship of the foreign exchange rate in united kingdom and Japan.
    Authors: 吳彥儒;Wu, Yen-ju
    Contributors: 淡江大學財務金融學系碩士班
    聶建中;Neih, Chien-chung
    Keywords: 即期匯率;遠期匯率;門檻自我迴歸模型;門檻誤差修正模型;Spot Exchange Rate;Forward Exchange Rate;Threshold Autoregressive Model;Threshold Error-Correction Model
    Date: 2009
    Issue Date: 2010-01-11 01:10:19 (UTC+8)
    Abstract: 外匯市場隨著國際貿易的發展而逐漸成為各國互通往來之重要媒介,在全球化之影響下蓬勃發展,也成為投資者積極參與之熱門場所,因此如何運用外匯進行投資及避險早已成為實務上及學術上爭相探討之重要話題,故本文以美元兌英鎊及日圓之外匯即期匯率與三十天期遠期匯率進行長短期互動關係之研究。
    本研究先以單根檢定法檢測日圓及英鎊之外匯即、遠期匯率是否存在單根現象。許多學術研究已證實大部分的金融性資產在經過一段時間之互動將具有非對稱之調整,因此本研究將會使用動差門檻自我迴歸模型(M-TAR)及動差非線性誤差修正模型(M-TCEM)檢測日圓、英鎊之外匯即、遠期匯率間之長短期互動關係。
    經本文之實證研究,日圓、英鎊之外匯即、遠期匯率原始序列存在單根現象,並在經過一次差分之後呈現定態,此表示日圓、英鎊之外匯即期匯率與遠期匯率皆屬於I(1)之時間數列資料。在門檻共整合檢定部分,實證結果顯示日圓外匯即、遠期匯率及英鎊之外匯即、遠期匯率間存在非對稱之門檻共整合關係。而在經非對稱之門檻誤差修正模型之檢定後發現﹕在短期互動下,日圓之即、遠期匯率只存在單向影響關係,並不存在雙向互動關係,另一方面,英鎊即、遠期匯率之間不存在短期之動態關係;在長期因果關係,日圓之遠期匯率對日圓即期匯率具有領先關係,而英鎊之即期匯率則是呈現領先英鎊遠期匯率的顯著關係。
    Recent research has increasingly suggested that exchange rates may be characterized by non-linear behaviors. This study investigates the asymmetric causal relationships between the spot exchange rate and the forward exchange rate in United Kingdom Sterling and Japan Yen using the daily data running from 2001 to 2008.
    The results from Granger-Causality tests based on corresponding threshold error-correction model clearly point out the following: In Japan, a unidirectional causality from the forward exchange rate market to the spot exchange rate market in the short run and a bidirectional causality running from the forward exchange rate market to the spot exchange rate market in the long run. In United Kingdom, there is not a short dynamic relationship between the spot exchange rate and the forward exchange rate market but there is a bidirectional causality running from the spot exchange rate market to the forward exchange rate market in the long run. These findings ought to be made readily available to individual investors and financial institutions holding investment portfolios in foreign exchange rate markets.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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