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題 名 | 臺灣美元遠期外匯市場訊息效率性之研究=Efficiency Tests of U.S. Dollar Forward Exchange Market in Taiwan |
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作 者 | 蔡麗茹; 彭榮茂; | 書刊名 | 統計與資訊評論 |
卷 期 | 4 1998.09[民87.09] |
頁 次 | 頁23-45 |
分類號 | 563.2 |
關鍵詞 | 外匯市場效率性; 共積檢定; 正交檢定; GARCH-M; Efficiency tests of foreign exchange market; Cointegration test; Orthogonal condition test; |
語 文 | 中文(Chinese) |
中文摘要 | 理論上若遠期匯率市場存在效率性,則遠期匯率是未來即期匯率的不偏估計值,但是,很多研究結果證實遠期匯率的不偏性假說在多數市場都不成立。晚近的文獻指出可能造成遠期匯率偏誤的原因,包括風險溢價、中央銀行干預行為、和交易成本等因素。因此,本文以這些可能解釋遠期匯率預測誤差的經濟因素,以及日圓兌美元外匯市場的訊息,來研究臺灣遠期匯率市場重新開放後(1991年12月至1997年12月),新臺幣兌美元遠期匯率之不偏性。此外,在本文的研究架構之下,我們考慮了匯率資料的非恆定特性,以及容許存在變異數異質暨序列相關問題的計量方法,期使遠期匯率不偏性檢定的實證結果更具可信度。就本文的實證結果歸納幾點論述如下:(1)在適當的遠期匯率與即期匯率先驗共積關係設定下,無法拒絕遠期匯率與未來即期匯率具有共積關係。(2)30天期和90天期遠期匯率預測誤差的正交條件並不滿足。顯示遠期匯率預測誤差涵蓋了其他經濟訊息,尤其是代表國際匯市的日圓兌美元市場,在30天和90天遠期匯率預測誤差的正交檢定中皆顯著。(3)關於GARCH-M估計,其結果與正交檢定類似。同時,在條件平均數(conditional mean)方程式,條件變異數(conditional variance)的係數並不顯著,亦即臺幣兌美元的遠匯市場,並不存在隨時間變動的系統性風險溢價。 |
英文摘要 | Much evidence indicates that the unbiasedness of the forward rates could be rejected. Most literatures state that there are several interpretations of this evidence including risk premium、central bank intervention、exchange cost and so on. This paper investigates the unbiasedness of N.T./U.S. dollar forward rates since its reopening (from December 1991 to December 1997). According to the interpretations of the biasendness, it is out of the ordinary that we consider not only the forward rate prediction errors at (t-1) period but also other economic information that we have mentioned at the same time. Furthermore, under a systematic research framework, this paper involves non-stationary data problem and considers the heteroskedasticity and autocorrelation consistent covariance matrix estimator to obtain more consistent and efficient results. And the research evidence consists of three parts. Firstly, under the prespecified relation of [1,-1], both 1-month and 3-month horizon do not reject the cointegrating relation between future spot rate and forward rate. Secondly, prediction errors are not orthogonal to economic information available at the time predictions are made, that is, the orthogonal condition of forward rate is not satisfied. Thirdly, the results of GARCH-M model are similar with that of orthogonality test, and we demonstrate that forward market does not exist time-varying risk premium. Besides, all of the available economic variables can not explain the condition variance. |
本系統中英文摘要資訊取自各篇刊載內容。