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題名 | 貨幣學派之匯率決定模型與匯率預測--臺灣之實證研究= |
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作者 | 吳致寧; |
期刊 | 經濟論文 |
出版日期 | 19950300 |
卷期 | 23:1 1995.03[民84.03] |
頁次 | 頁159-187 |
分類號 | 561.1 |
語文 | chi |
關鍵詞 | 貨幣學派; 匯率決定模型; 匯率; 預測; 臺灣; |
中文摘要 | 本文以晚近發展出來的計量方法,重新檢定貨幣學派之匯率決定模型。在靜態貨幣學派模型所隱含之市場基要下,實證結果支持匯率與市場基要(Market Fundamentals)間存有共積的關係。然理性預期之貨幣學派模型所隱含之匯率前瞻性(forward Looking)對模型估計係數的限制則無法由Campell and Shuiler (1987)之檢定法中得到支持。最後就靜態貨幣學派模型樣本外預測之準確性而言,當預測期間不短於1季時,以靜態貨幣學派模型所隱含之市場基要為基礎之誤差校正模型的樣本外預測能力優於具漂浮項之隨機游走模型之預測能力。 |
英文摘要 | We apply recently developed econometric methods to reinvestigate the monetary model of the exchange rate. Empirical findings support the hypothesis of cointegration between the exchange rate and market fundamentals implied according to the static monetary approach. However, the full set of rational expectation restrictions imposed according to the forward-looking monetary model is rejected. Moreover, imposing the long-run monetary model restrictions in a dynamic error-correction framework leads to forecasts of exchange rates that are superior to those generated by a random-walk forecasting model as long as the forecasting period is not less than three months. |
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