Abstract
There are gradually prosperous trades in foreign exchange markets, agents could hedge, speculate and arbitrage in markets. Market efficiency therefore is worthy of investigate in international finance. There are a lot of empirical studies examine whether the long-run relationship would exist between spot exchange rate and forward exchange rate in conventional linear models. However the conclusions were not similar.
Sarno and Chowdhury¡]2003¡^mentioned that linear models imply residuals of model adjust to equilibrium by fixed speed. If dynamic adjustment of nonlinear model exists, linear model is hard to capture the dynamic adjustment. Ender¡]1995¡^also mentioned that cointegration has long run linear relationship in variables. Theoretically, nonlinear relationship may exist. Furthermore, some literatures demonstrate how transaction cost and technical analysis induce nonlinear adjustment of the deviation for equilibrium exchange rate.
We consider a new approach that Tersävirta and Anderson¡]1992¡^provided the Smooth Transition Autoregressive Model¡]STAR¡^, to re-examine the long-run relationship between spot exchange rate and forward exchange rate. According to the empirical results, we can find that all variables can be modeled by nonlinear models. The results of relationships exist between spot and forward exchange rates in France, Germany, Canada, Japan, Norway, Spain, Australia, Ireland, Italy, .Austria, Belgium, Denmark, Luxembourg, the Netherlands, Sweden, Switzerland, Greece and New Zealand, but it doesn¡¦t exist in the United Kingdom and Finland.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0622107-072934 |
| Date | 22 June 2007 |
| Creators | Lin, Hung-Ta |
| Contributors | Ming-Jang Weng, Yung-hsiang Ying, Jai-His Weng |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0622107-072934 |
| Rights | not_available, Copyright information available at source archive |
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