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通貨替代的非線性研究－東亞六國的實證分析 = Non-Linear In...

國立高雄大學經濟管理研究所

通貨替代的非線性研究－東亞六國的實證分析 = Non-Linear Investigation of Currency Substitution: an Empirical Study of Six East Asian Countries

Record Type:	Language materials, printed : monographic
Paralel Title:	Non-Linear Investigation of Currency Substitution: an Empirical Study of Six East Asian Countries
Author:	謝宗穎,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	2008[民97]
Description:	68面圖，表 : 30公分;
Subject:	通貨替代
Subject:	Currency Substitution
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/38391520651406751441
Notes:	指導教授：翁銘章
Notes:	參考書目：面57-61
Summary:	本文依據資產組合平衡模型，在考量通貨替代現象下，將外國利率與實質匯率兩個變數加入傳統的貨幣需求函數，而建構出包含本國實質所得、本國利率、外國利率、實質匯率的貨幣需求函數，探討在開放經濟體系下，東亞六國 (印尼、韓國、菲律賓、新加坡、泰國、台灣) 對歐元、日圓、美元等三種貨幣是否存在通貨替代現象，以及通貨替代現象對東亞六國貨幣需求的影響。本文應用Johansen (1991) 共整合方法分析東亞六國1999年1月至2007年10月的資料，並應用Granger and Teräsvirta (1993) 所提出的非線性平滑轉換迴歸 (smooth transition regression, STR) 模型來探討通貨替代的非線性關係，並利用誤差均方根 (root mean square error, RMSE) 比較線性模型與非線性模型的配適度。資料來源為Datastream資料庫。實證結果發現，只有韓圜對歐元、新加坡元對歐元存在通貨替代現象。部分實證結果並未支撐經濟理論，可能的原因是本文在貨幣市場達成均衡的假設下，以貨幣供給額作為取代貨幣需求的變數，然而事實上，貨幣市場並未達成均衡，因而造成實證結果與經濟理論不一致之情形。 According to the portfolio balance model, we modify the money demand function by including foreign interest rate, and real exchange rate. To take account of currency substitution, the demand for money includes income, interest rate, foreign interest rate, and real exchange rate. We apply Johansen test for cointegration and the smooth transition regression (STR) model by Granger and Teräsvirta (1993) to reinvestigate the effect of nonlinear combination of currency substitution for six East Asian Countries. And we make comparision of the in-sample fitness between linear and nonlinear STR model. The data span the period January 1999 to October 2007 using monthly data form Datastream.We find that the EU dollars are held significantly by domestic residents with the domestic currency in Korea and Singapore. The partial empirical results are contradicted to the theory of money demand. The possible reason is that we assume the balance for money market, and take the substitution money demand by the money supply volume. However, money market does not reach a balance.

通貨替代的非線性研究－東亞六國的實證分析 = Non-Linear Investigation of Currency Substitution: an Empirical Study of Six East Asian Countries
謝, 宗穎

通貨替代的非線性研究－東亞六國的實證分析 = Non-Linear Investigation of Currency Substitution: an Empirical Study of Six East Asian Countries / 謝宗穎撰 - [高雄市] : 撰者, 2008[民97]. - 68面 ; 圖，表 ; 30公分.
指導教授：翁銘章參考書目：面57-61.
通貨替代Currency Substitution

通貨替代的非線性研究－東亞六國的實證分析 = Non-Linear Investigation of Currency Substitution: an Empirical Study of Six East Asian Countries
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330 $a 本文依據資產組合平衡模型，在考量通貨替代現象下，將外國利率與實質匯率兩個變數加入傳統的貨幣需求函數，而建構出包含本國實質所得、本國利率、外國利率、實質匯率的貨幣需求函數，探討在開放經濟體系下，東亞六國 (印尼、韓國、菲律賓、新加坡、泰國、台灣) 對歐元、日圓、美元等三種貨幣是否存在通貨替代現象，以及通貨替代現象對東亞六國貨幣需求的影響。本文應用Johansen (1991) 共整合方法分析東亞六國1999年1月至2007年10月的資料，並應用Granger and Teräsvirta (1993) 所提出的非線性平滑轉換迴歸 (smooth transition regression, STR) 模型來探討通貨替代的非線性關係，並利用誤差均方根 (root mean square error, RMSE) 比較線性模型與非線性模型的配適度。資料來源為Datastream資料庫。實證結果發現，只有韓圜對歐元、新加坡元對歐元存在通貨替代現象。部分實證結果並未支撐經濟理論，可能的原因是本文在貨幣市場達成均衡的假設下，以貨幣供給額作為取代貨幣需求的變數，然而事實上，貨幣市場並未達成均衡，因而造成實證結果與經濟理論不一致之情形。 According to the portfolio balance model, we modify the money demand function by including foreign interest rate, and real exchange rate. To take account of currency substitution, the demand for money includes income, interest rate, foreign interest rate, and real exchange rate. We apply Johansen test for cointegration and the smooth transition regression (STR) model by Granger and Teräsvirta (1993) to reinvestigate the effect of nonlinear combination of currency substitution for six East Asian Countries. And we make comparision of the in-sample fitness between linear and nonlinear STR model. The data span the period January 1999 to October 2007 using monthly data form Datastream.We find that the EU dollars are held significantly by domestic residents with the domestic currency in Korea and Singapore. The partial empirical results are contradicted to the theory of money demand. The possible reason is that we assume the balance for money market, and take the substitution money demand by the money supply volume. However, money market does not reach a balance.
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