經濟模型之動態設定與更正機能之探討：在台灣外匯市場之應用

Abstract

更正機能(Error Correction Mechanism;ECM)的概念在經濟應用計量領域中被廣泛使用,因為從實證角度,此概念對於資料本身及經濟理論所得到的訊息,都可提供一絕佳之理論架構,而且促使模型更符合統計的性質;目前常見之概念如單位根(unit root)、向量自迴歸(Vector Autoregression;VAR)、共積(co-integration)等概念之發展均有賴於ECM之建構。然而,學界對此一建構的詮釋不一:有視為調整策略,有當成界定參數之手法,亦有視為解釋長期均衡的條件,也有將其當作帶有共積向量VAR模型的表示方法,甚至也有學者認為ECM只能做為輔助性的設計,不能與經濟變數共構處理。本文擬先就上述論點闡述深入,其次討論ECM的理論基礎及衍生出的問題與方法論的考量,最後佐以實際案例驗證說明之。

The concept of Error Correction Mechanism (ECM) has been widely used in applied econometrics. Because from the angle of positive economics and empirical studies, this concept will retrieve from data itself and economic theories, and provides an excellent framework to conform the models to statistical properties. Those concepts most popular in applied works such as unit root, VAR and co-integration, dynamic adjustment, ... etc., developed under the construction of ECM. However, economists have different interpretations toward ECM. Some consider ECM as adjusting schemes; some take it as the means to reparameterize; and some treat it as the condition for long-term equilibrium. On the other side, ECM has been employed as a design for representation of VAR, and has been denied to be used with economic variables. This inquiry aims to explore the theoretical foundations of ECM and pinpoints the methodological issues, and verifies with an illustrating example.