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題名 匯率金融泡沫之檢定與分析: 以台幣/美元匯率為例
The statistical test and analysis of the forex rate bubble: The case of TWD/USD作者 黃澈
Huang, Che貢獻者 郭維裕
Kuo, Wei-Yu
黃澈
Huang, Che關鍵詞 泡沫
因子
美元
台幣
匯率
GSADF
USD/TWD
Bubble
Factor日期 2023 上傳時間 6-Jul-2023 16:31:35 (UTC+8) 摘要 本文研究主要探討 GSADF 方法對於 USD/TWD 是否存在泡沫進行檢定，並且使用因子預測。目前國內外有關泡沫發生的研究，其論文大多以各國指數以及貴金屬等原物料為主，很少使用新型的泡沫檢定做為匯率是否存在泡沫的檢測主軸。藉由檢定的優化以及可標示日期和準確的特性，使得我們能更進一步探討泡沫發生區間所對應到的國際事件，甚至是使用因子進一步做出未來預測，每一區間都有其發生日以及截止日之時間，前向遞歸的返回算法使得泡沫的檢測不會因為市場的長期趨勢向上而做出不正確的判斷。本文使用周頻率以及日頻率資料作為檢定的輸入，運用三種總經因子，進行回測，找尋泡沫發生區間與因子是否有顯著性關聯，判斷台幣對美元於發生泡沫時是否能透過本文中的總經因子找尋軌跡。
This paper focuses on the GSADF method for detecting the presence of bubbles in USD/TWD and using factor forecasts. Currently, most of the domestic and international research on bubble occurrence focuses on national indices or raw materials such as precious metals, but rarely uses the new bubble detection method as the main axis for detecting bubbles in exchange rates. With the optimization of the check and the dateable and accurate characteristics, we can further explore the international events corresponding to the bubble occurrence interval, and even use the factors to make further future predictions.In this paper, we use weekly frequency and daily frequency data as inputs for the test, and use the three GSADFs to find out whether there is a significant correlation between the bubble interval and the factors, and to determine whether the Taiwan dollar can find the trajectory through the GSADFs in this paper when a bubble occurs.參考文獻 Abreu, D., & Brunnermeier, M. K. (2003). "Bubbles and crashes." Econometrica, 71(1), 173-204.Anna Scherbina & Bernd Schlusche (2014) Asset price bubbles: a survey, Quantitative Finance, 14:4, 589-604, DOI: 10.1080/14697688.2012.755266Benjamin, R. G., et al. (2004). "The effect of background music on work performance in an office setting." Journal of Applied Psychology, 89(2), 311-316.Bostic, R. W., et al. (2009). "The impact of the Community Reinvestment Act on banks`lending to minorities." Journal of Banking & Finance, 33(5), 770-779.Brunnermeier, M. K. (2009a). Deciphering the liquidity and credit crunch 2007-2008.Journal of Economic Perspectives, 23(1), 77-100. doi:10.1257/jep.23.1.77Chaney, T., et al. (2012). "The network structure of international trade." Journal of Economic Perspectives, 26(2), 121-144.Darius, P., & Yangyan, X. (2008). Exchange rates and high-yield bond spreads. Journal of Fixed Income, 18(4), 76-87. doi: 10.3905/jfi.2008.18.4.076Diba, B.T., & Grossman, H.I. (1987). The implied cost of capital and the importance of investor taxation. The Journal of Political Economy, 95(1), 1-29. doi: 10.1086/261435Francisc, N., Manuel, P., & Jorg, S. (2003). Exchange rate determination: Models and strategies for exchange rate forecasting. Journal of Economic Surveys, 17(2), 235-266. doi: 10.1111/1467-6419.00194Gromb, D., & Vayanos, D. (2002). "Equilibrium and welfare in markets with financially constrained arbitrageurs." Journal of Financial Economics, 66(2-3), 361- 407.Iacoviello, M. (2012). "Household debt and housing market dynamics." Journal of Monetary Economics, 59(5), 533-549.Junhui Fu , Xiang Wu , Yufang Liu , Rongda Chen (2021) Firm-specific investor sentiment and stock price crash risk, Finance Research Letters .Wei-Fong Pan (2020) Does Investor Sentiment Drive Stock Market Bubbles? Beware of Excessive Optimism!, Journal of Behavioral Finance, 21:1, 27-41Wei-Fong Pan(2018) Sentiment and asset price bubble in the precious metals markets ,Finance Research Letters .Wang, G.-J., Xie, C., & Zhu, J. (2016). How do brand personality and personal characteristics influence travel intention? The moderating effect of destination brandfit. Journal of Travel Research, 55(6), 774–786.https://doi.org/10.1177/0047287515578796Peter C. B. Phillips and Shuping Shi (2018) REAL TIME MONITORING OF ASSET MARKETS: BUBBLES AND CRISES , COWLES FOUNDATION DISCUSSION PAPER NO. 2152Phillips, P.C.B., Shi, S., 2017. Detecting financial collapse and ballooning sovereign risk. Cowles Foundation Discussion Paper No. 2110. Available at SSRN:https://ssrn.com/abstract=3036545.Phillips, P.C.B., Shi, S., 2018. Financial bubble implosion and reverse regression. Econometric Theory 34, 705–753.Phillips, P.C.B., Shi, S., Caspi, I., 2018. Real-Time Monitoring of Asset Markets with R. R Foundation for Statistical Computing. Vienna, Austria. URL: https://CRAN.Rproject.org/package=psymonitor.Phillips, P.C.B., Shi, S., Yu, J., 2014. Specification sensitivity in right-tailed unit root testing for explosive behaviour. Oxford Bulletin of Economics and Statistics 76, 315–333.Phillips, P.C.B., Shi, S., Yu, J., 2015a. Testing for multiple bubbles: Historical episodes of exuberance and collapse in the s&p 500. International Economic Review 56,1043–1078.Phillips, P.C.B., Shi, S., Yu, J., 2015b. Testing for multiple bubbles: Limit theory of real-time detectors. International Economic Review 56, 1079– 1134.Shleifer, A., & Vishny, R. W. (1997). "The limits of arbitrage." Journal of Finance, 52(1), 35-55.Xiong, W. (2001). "Convergence trading with wealth effects: An amplification mechanism in financial markets." Journal of Financial Economics, 62(2), 247-292 描述 碩士
國立政治大學
國際經營與貿易學系
110351032資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110351032 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Kuo, Wei-Yu en_US dc.contributor.author (Authors) 黃澈 zh_TW dc.contributor.author (Authors) Huang, Che en_US dc.creator (作者) 黃澈 zh_TW dc.creator (作者) Huang, Che en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Jul-2023 16:31:35 (UTC+8) - dc.date.available 6-Jul-2023 16:31:35 (UTC+8) - dc.date.issued (上傳時間) 6-Jul-2023 16:31:35 (UTC+8) - dc.identifier (Other Identifiers) G0110351032 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145786 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 110351032 zh_TW dc.description.abstract (摘要) 本文研究主要探討 GSADF 方法對於 USD/TWD 是否存在泡沫進行檢定，並且使用因子預測。目前國內外有關泡沫發生的研究，其論文大多以各國指數以及貴金屬等原物料為主，很少使用新型的泡沫檢定做為匯率是否存在泡沫的檢測主軸。藉由檢定的優化以及可標示日期和準確的特性，使得我們能更進一步探討泡沫發生區間所對應到的國際事件，甚至是使用因子進一步做出未來預測，每一區間都有其發生日以及截止日之時間，前向遞歸的返回算法使得泡沫的檢測不會因為市場的長期趨勢向上而做出不正確的判斷。本文使用周頻率以及日頻率資料作為檢定的輸入，運用三種總經因子，進行回測，找尋泡沫發生區間與因子是否有顯著性關聯，判斷台幣對美元於發生泡沫時是否能透過本文中的總經因子找尋軌跡。 zh_TW dc.description.abstract (摘要) This paper focuses on the GSADF method for detecting the presence of bubbles in USD/TWD and using factor forecasts. Currently, most of the domestic and international research on bubble occurrence focuses on national indices or raw materials such as precious metals, but rarely uses the new bubble detection method as the main axis for detecting bubbles in exchange rates. With the optimization of the check and the dateable and accurate characteristics, we can further explore the international events corresponding to the bubble occurrence interval, and even use the factors to make further future predictions.In this paper, we use weekly frequency and daily frequency data as inputs for the test, and use the three GSADFs to find out whether there is a significant correlation between the bubble interval and the factors, and to determine whether the Taiwan dollar can find the trajectory through the GSADFs in this paper when a bubble occurs. en_US dc.description.tableofcontents 中文摘要…………………………………………………………………………..……. iv英文摘要 …………………………………………………………...…………………… v第一章 緒論…………………………………………………...………………………… 1第一節 研究背景與動機…………………………………………...…………….………1第二節 研究目的 ………………………………………………………………………...1第三節 研究架構 ………………………………………………………………………. 2第二章 文獻回顧……………………………………………………………….……….. 3第一節 泡沫形成…………………………………………………………………………2第二節 Generalized Supremum Augmented Dickey-Fuller 6第三節 中央銀行是否應該干泡預沫 ……………………………………...……………9第三章 研究資料與方法……………………………………………………………..…10第一節 研究方法………………………………………………………………………. 10第二節 R語言應用 ……………………………………………………………………..11第三節 研究資料 ……………………………………………………………………… 13第四章 研究結果與分析 ……………………………………………………………….16第一節 GSADF USD/TWD……………………………………………………………..16第五章 結論與建議……………………………………………………………………..24第一節 結論…………………………………..…………………………………………24第二節 建議……………………………………………………………………………..25附錄……………………………………………………………………………………...26參考文獻 ………………………………………………………………………………..29 zh_TW dc.format.extent 1523676 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110351032 en_US dc.subject (關鍵詞) 泡沫 zh_TW dc.subject (關鍵詞) 因子 zh_TW dc.subject (關鍵詞) 美元 zh_TW dc.subject (關鍵詞) 台幣 zh_TW dc.subject (關鍵詞) 匯率 zh_TW dc.subject (關鍵詞) GSADF en_US dc.subject (關鍵詞) USD/TWD en_US dc.subject (關鍵詞) Bubble en_US dc.subject (關鍵詞) Factor en_US dc.title (題名) 匯率金融泡沫之檢定與分析: 以台幣/美元匯率為例 zh_TW dc.title (題名) The statistical test and analysis of the forex rate bubble: The case of TWD/USD en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Abreu, D., & Brunnermeier, M. K. (2003). "Bubbles and crashes." Econometrica, 71(1), 173-204.Anna Scherbina & Bernd Schlusche (2014) Asset price bubbles: a survey, Quantitative Finance, 14:4, 589-604, DOI: 10.1080/14697688.2012.755266Benjamin, R. G., et al. (2004). "The effect of background music on work performance in an office setting." Journal of Applied Psychology, 89(2), 311-316.Bostic, R. W., et al. (2009). "The impact of the Community Reinvestment Act on banks`lending to minorities." Journal of Banking & Finance, 33(5), 770-779.Brunnermeier, M. K. (2009a). Deciphering the liquidity and credit crunch 2007-2008.Journal of Economic Perspectives, 23(1), 77-100. doi:10.1257/jep.23.1.77Chaney, T., et al. (2012). "The network structure of international trade." Journal of Economic Perspectives, 26(2), 121-144.Darius, P., & Yangyan, X. (2008). Exchange rates and high-yield bond spreads. Journal of Fixed Income, 18(4), 76-87. doi: 10.3905/jfi.2008.18.4.076Diba, B.T., & Grossman, H.I. (1987). The implied cost of capital and the importance of investor taxation. The Journal of Political Economy, 95(1), 1-29. doi: 10.1086/261435Francisc, N., Manuel, P., & Jorg, S. (2003). Exchange rate determination: Models and strategies for exchange rate forecasting. Journal of Economic Surveys, 17(2), 235-266. doi: 10.1111/1467-6419.00194Gromb, D., & Vayanos, D. (2002). "Equilibrium and welfare in markets with financially constrained arbitrageurs." Journal of Financial Economics, 66(2-3), 361- 407.Iacoviello, M. (2012). "Household debt and housing market dynamics." Journal of Monetary Economics, 59(5), 533-549.Junhui Fu , Xiang Wu , Yufang Liu , Rongda Chen (2021) Firm-specific investor sentiment and stock price crash risk, Finance Research Letters .Wei-Fong Pan (2020) Does Investor Sentiment Drive Stock Market Bubbles? Beware of Excessive Optimism!, Journal of Behavioral Finance, 21:1, 27-41Wei-Fong Pan(2018) Sentiment and asset price bubble in the precious metals markets ,Finance Research Letters .Wang, G.-J., Xie, C., & Zhu, J. (2016). How do brand personality and personal characteristics influence travel intention? The moderating effect of destination brandfit. Journal of Travel Research, 55(6), 774–786.https://doi.org/10.1177/0047287515578796Peter C. B. Phillips and Shuping Shi (2018) REAL TIME MONITORING OF ASSET MARKETS: BUBBLES AND CRISES , COWLES FOUNDATION DISCUSSION PAPER NO. 2152Phillips, P.C.B., Shi, S., 2017. Detecting financial collapse and ballooning sovereign risk. Cowles Foundation Discussion Paper No. 2110. Available at SSRN:https://ssrn.com/abstract=3036545.Phillips, P.C.B., Shi, S., 2018. Financial bubble implosion and reverse regression. Econometric Theory 34, 705–753.Phillips, P.C.B., Shi, S., Caspi, I., 2018. Real-Time Monitoring of Asset Markets with R. R Foundation for Statistical Computing. Vienna, Austria. URL: https://CRAN.Rproject.org/package=psymonitor.Phillips, P.C.B., Shi, S., Yu, J., 2014. Specification sensitivity in right-tailed unit root testing for explosive behaviour. Oxford Bulletin of Economics and Statistics 76, 315–333.Phillips, P.C.B., Shi, S., Yu, J., 2015a. Testing for multiple bubbles: Historical episodes of exuberance and collapse in the s&p 500. International Economic Review 56,1043–1078.Phillips, P.C.B., Shi, S., Yu, J., 2015b. Testing for multiple bubbles: Limit theory of real-time detectors. International Economic Review 56, 1079– 1134.Shleifer, A., & Vishny, R. W. (1997). "The limits of arbitrage." Journal of Finance, 52(1), 35-55.Xiong, W. (2001). "Convergence trading with wealth effects: An amplification mechanism in financial markets." Journal of Financial Economics, 62(2), 247-292 zh_TW
