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2012-11-06

Mean reversion in real exchange rates

題目:Mean reversion in real exchange rates
Yin-Wong Cheung, Kon S. Lai
University of California, Santa Cruz, CA 95604, USA
Department of Economics, School of Business and Economics, Californis State University, Los Angeles, CA 90032, USA
Received 26 October 1993 ;accepted 20 April 1994
http://people.ucsc.edu/~cheung/EL/RealFX_EL94.pdf

重點摘要Summary

l   一個檢定結果發現,在長期下,實質匯率應顯示出均值回歸,但事前PPP理論表明,實質匯率可能會遵循平賭過程(martingale process),而沒有均值回歸。

l   理論上,實質匯率應遵守 random walk模型(RW模型)。

l   本文以修改後的DF檢定(稱為DF-GLS )來檢測,發現此檢定在有限的樣本與相關錯誤下,具有良好的大小和調整檢定力大小的屬性。

基本理論Theoretic Grounds

購買力平價理論(PPP

研究方法Methodology

augmented Dickey-Fuller test

modified Dickey-Fuller test

需要的統計數據Required Data

l  期間是從19001992年,藉由消費者物價指數(CPI)和躉售物價指數(WPI)的每年實質匯率。

l  國家是針對加拿大、法國、德國、義大利、日本、荷蘭、瑞士及英國等八個國家對美國的比較。

主要實證結果Main Findings

l  修改後的DF檢定能夠顯示出,UMPI比一般的單根檢定還更有強大的能力,改善後的檢定力可以正確的顯示出估算實質匯率的均值回歸行為。

l  從標準DF檢定所獲得的結果相比,DF-GLS檢定所獲得的證據更有利於均值回歸的假設。

困難處或遭遇之問題Your Questions and Difficulties

² 英文paper需要多看幾次才能略懂文章內容。

²  英文翻譯出的結果和作者所要表達的意義有些不同。

²  對於專有名詞的定義及用法還不是很熟悉。

參考文獻Other Useful Resources

Yin-Wong Cheung, Kon S. Lai, 1994,Mean reversion in real exchange rates, economics letters 46,251-256

楊奕農,《時間序列分析:經濟與財務上之應用》,雙葉書廊有限公司,台北,20098月二版

--------------------------------------------------------------------------------------------------------------------------


CPI

台灣

美國

日本

南韓

香港

199001

74.49

66.9

94.11

51.71

63.6

199101

77.18

69.74

97.21

56.52

70.81

199201

80.63

71.85

98.87

60.08

77.58

199301

83

73.97

100.12

62.93

84.35

199401

86.41

75.9

100.81

66.87

91.79

199501

89.58

78.03

100.69

69.87

100.11

199601

92.33

80.32

100.82

73.31

106.44

199701

93.17

82.19

102.6

76.57

112.65

199801

94.73

83.47

103.28

82.32

115.87

199901

94.9

85.3

102.94

82.99

111.21

200001

96.09

88.18

102.27

84.87

107.1

200101

96.08

90.67

101.44

88.32

105.33

200201

95.89

92.11

100.53

90.76

102.11

200301

95.62

94.2

100.28

93.95

99.56

200401

97.17

96.72

100.27

97.32

99.11

200501

99.41

100

100

100

100

200601

100

103.23

100.24

102.24

102.11

200701

101.8

106.17

100.3

104.83

104.11

WPI
台灣
美國
日本
南韓
香港
199001
83.13
73.85
110.79
64.83
103.71
199101
83.26
74.02
111.95
67.89
107.23
199201
80.21
74.45
110.93
69.36
109.2
199301
82.22
75.55
109.21
70.41
109.95
199401
84.01
76.52
107.42
72.31
112.24
199501
90.2
79.26
106.51
75.72
115.35
199601
89.3
81.12
104.74
78.17
115.24
199701
88.89
81.07
105.43
81.2
114.91
199801
89.42
79.06
103.84
91.1
112.79
199901
85.35
79.72
102.32
89.2
111.01
200001
86.91
84.32
102.37
91
111.24
200101
85.74
85.26
100.03
90.6
109.46
200201
85.78
83.3
97.95
90.3
106.45
200301
87.91
87.75
97.13
92.3
106.12
200401
94.09
93.18
98.37
97.9
108.57
200501
94.67
100
100
100
100
200601
100
104.67
102.18
100.9
102.23
200701
106.47
109.69
103.95
102.3
105.34

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