本研究提出UIP、PPP、 MF、TR及TRa五種匯率預測模型，以新台幣兌美元即期匯率、遠期匯率進行避險準確率及避險成效的實證分析。資料期間為1996年12月到2012年10月的新台幣兌美元即期匯率月資料，資料來源為資料庫Datastream。
實證結果發現UIP、PPP、 MF、TR及TRa五種匯率預測模型比較分析中，若以相對購買力平價模型(PPP)進行選擇性避險，再搭配適當避險比率，其報酬率可能由負報酬轉為正報酬；避險績效衡量方面，以相對購買力平價模型搭配完全避險的績效最好。若以不對稱泰勒模型(TRa)進行選擇性避險，再搭配適當避險比率，報酬率明顯由負轉為正；衡量避險績效衡量方面，完全避險在風險降幅及下方動差避險績效衡量下，以不對稱泰勒模型搭配完全避險的績效最好。 / This study provides five exchange rate models to predict future exchange rate (UIP,PPP,MF,Taylor rule and asymmetric Taylor rule). We illustrate these methods by assessing the forecasting performance of five exchange rate models using monthly returns on TWD/US dollar exchange rate. The data are monthly exchange rates ranging from December 1996 to October 2012, using spot and one-month forward exchange rates form Datastream.
We find that empirical models based on purchase power parity (PPP) and the asymmetric Taylor rule(TRa) outperform the other models in out-of-sample forecasting using the appropriate hedging ratio. Comparing the hedging performance between PPP and models, we find that the hedging performance by the PPP will get the higher return. However, the hedging performance by the will get the lower volatility.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0100352012 |
| Creators | 尤保傑 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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