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標題: 匯率與總體基要-G-7國家的實證研究
Exchange Rates and Macroeconomic Fundamentals in the G-7 Countries
作者: 林欣怡
Lin, Hsin-Yi
關鍵字: Exchange Rates;匯率;Macroeconomic Fundamentals;nonlinear;Granger causality;G-7;總體基要;非線性;因果關係;G-7
出版社: 應用經濟學系所
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本文是探討加拿大、法國、德國、義大利、日本與英國等國家的名目匯率(相對於美元)與總體基要之間的長期關係及動態因果關係。本文除了採用傳統的Johansen (1988)線性共整合檢定法外,為了避免當誤差修正機制為非線性,或是避免由短期失衡調整至長期均衡的過程為非線性的情形下,亦採用Bierens (1997)無母數(non-parametric)共整合檢定法,用以檢定名目匯率與總體基要的長期關係,最後藉由Hiemstra and Jones (1994)與Diks and Panchenko (2006)的非線性因果關係檢定來探討名目匯率和總體基要之間的動態因果關係。
Johansen (1988)的共整合檢定結果顯示,這六個國家的名目匯率和總體基要皆不存在一長期線性共整合的關係;相對地,Bierens (1997)無母數共整合檢定結果卻顯示,這六個國家的名目匯率和總體基要之間存在一長期非線性的關係,支持名目匯率和總體基要之間存在非線性的證據。最後在Hiemstra and Jones (1994)的非線性因果關係檢定下,除了法國的總體基要對名目匯率有單向的因果關係,以及義大利和日本的名目匯率對總體基要有單向的因果關係外,其他國家的名目匯率與總體基要之間不存在任何非線性因果關係;但在Diks and Panchenko (2006)的非線性因果關係檢定下,加拿大、德國和英國的名目匯率和總體基要之間存在雙向的非線性因果關係;而義大利是名目匯率對總體基要有單向的非線性因果關係;日本則是總體基要對名目匯率有單向的非線性因果關係;法國則是名目匯率和總體基要之間不存在因果關係。本文的實證結果與Ma and Kanas (2000)的相同處是名目匯率和總體基要之間的關係為非線性關係;不同處是在非線性因果關係檢定結果上,Ma and Kanas (2000)所探討國家的名目匯率對總體基要只有單向的非線性因果關係,但本文可以得出多面向的因果關係結論。
其他識別: U0005-1107200709133600
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