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題名 使用最近鄰域法預測匯率—以美元兌新台幣為例
Predicting exchange rates with nearest-neighbors method: The case of NTD/USD作者 郭依帆 貢獻者 郭炳伸
郭依帆關鍵詞 最近鄰域法
隨機漫步
匯率
Nearest-Neighbors Method
Random Walk
Exchange Rates日期 2009 上傳時間 9-May-2016 14:53:14 (UTC+8) 摘要 建立模型來估計匯率早已行之有年。較早期的匯率模型，不論是在樣本內的配適或是樣本外的預測，其實表現的並不理想。之後的研究針對這樣的結果指出，這是因為匯率的表現是非線性的，並非傳統線性模型可描繪出來。而對於捕捉匯率非線性的特性，傾向使用無母數的估計方式。因此，本研究採用最近鄰域法進行美元兌新台幣的匯率預測。另外，許多早期的研究發現，隨機漫步模型與其他模型相比較之後，在匯率預測上的表現最好，因而引發了”打敗隨機漫步”的一連串熱潮。本研究欲延續這項議題，將隨機漫步模型做為與最近鄰域模型比較的基準。
A wide variety of empirical exchange rate models have been estimated over the years. Earlier findings indicated that exchange rate equations do not fit particularly well, and forecast no better. Later researches then provided a potential reason for the poor performance that traditional exchange rate models, because they are nonlinear. To find a resolution for nonlinearity, nonparametric techniques tend to be useful tools. In this study, we use one of nonparametric techniques called nearest-neighbors method to predict NTD against USD. Besides, many earlier papers found that forecasts from popular models for the foreign exchange rate generally fail to improve upon the random walk out-of-sample. “Beat the random walk” became an emerging issue then. This has motivated this research, and thus we include the random walk as a linear benchmark.參考文獻 Diebold, F. X. (1988), ‘Empirical modeling of exchange rate dynamics’. (Sprin-ger-Verlag, New York)Diebold, F. X., and J. Nason (1990), ‘Nonparametric exchange rate prediction?’, Journal of International Economics, 28, 315-332.Domowitz I. and C. S. Hakkio (1985), ‘Conditional variance and the risk premium in the foreign exchange market’, Journal of International Economics, 19, 47-66.Fernandez-Rodriguez F., and Sosvilla-Rivero S., (1998), ‘Testing Nonlinear Forecas-tability in Time Series: Theory and Evidence from the EMS’, Economics Letters, 59, 49-63.Fernandez-Rodriguez F., Sosvilla-Rivero S., and Andrada-Felix J. (1999), ‘Ex-change-Rate Forecasts with Simultaneous Nearest-Neighbour Methods: Evidence from the EMS’, International Journal of Forecasting, 15, 383-392.Francis J. Mulhern, and Robert J. Caprara (1994), ‘A nearest neighbor model for fo-recasting market response’, International Journal of Forecasting, 10, 191-207.Gencay R., (1999), ‘Linear, non-linear and essential foreign exchange rate prediction with simple trading rules’, Journal of International Economics, 47, 91-107.Kuan C.-M., and Liu T., (1995), ‘Forecasting exchange rates using feedforward and recurrent neural networks’, Journal of Applied Econometrics, 10, 347-364.Lisi F., and A. Medio (1997), ‘Is a random walk the best exchange rate predictor?’, International Journal of Forecasting, 13, 255-267.Meese, R. A., and A. K. Rose (1990), ‘Nonlinear, nonparametric, nonessential ex-change rate estimation’, American Economic Review Papers and Proceedings, 80, 192-196.Meese, R. A., and K. Rogoff (1983), ‘Empirical exchange rate models of the seventies: do they fit out of sample?’, Journal of International Economics, 14, 3-24.Mizrach, B. (1992), ‘Multivariate nearest-neighbor forecasts of EMS exchange rates’, Journal of Applied Econometrics, 7, 151-163.Stone, C. J. (1977), ‘Consistent non-parametric regression’, Annals of Statistics, 5, 595-645.Ted Jaditz, and Leigh A. Riddick (2000), ‘Time-series near-neighbor regression’, Stu-dies I Nonlinear Dynamics & Econometrics, 4, Algorithm 1.W. Hardle (1990), ‘Applied nonparametric regression’, Econometric society mono-graphs.Westerfield, J. A. (1977), ‘An examination of foreign exchange risk under fixed and floating rate regimes’, Journal of International Economics, 7, 181-200. 描述 碩士
國立政治大學
國際經營與貿易學系
96351028資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096351028 資料類型 thesis dc.contributor.advisor 郭炳伸 zh_TW dc.contributor.author (Authors) 郭依帆 zh_TW dc.creator (作者) 郭依帆 zh_TW dc.date (日期) 2009 en_US dc.date.accessioned 9-May-2016 14:53:14 (UTC+8) - dc.date.available 9-May-2016 14:53:14 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 14:53:14 (UTC+8) - dc.identifier (Other Identifiers) G0096351028 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95061 - 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) 96351028 zh_TW dc.description.abstract (摘要) 建立模型來估計匯率早已行之有年。較早期的匯率模型，不論是在樣本內的配適或是樣本外的預測，其實表現的並不理想。之後的研究針對這樣的結果指出，這是因為匯率的表現是非線性的，並非傳統線性模型可描繪出來。而對於捕捉匯率非線性的特性，傾向使用無母數的估計方式。因此，本研究採用最近鄰域法進行美元兌新台幣的匯率預測。另外，許多早期的研究發現，隨機漫步模型與其他模型相比較之後，在匯率預測上的表現最好，因而引發了”打敗隨機漫步”的一連串熱潮。本研究欲延續這項議題，將隨機漫步模型做為與最近鄰域模型比較的基準。 zh_TW dc.description.abstract (摘要) A wide variety of empirical exchange rate models have been estimated over the years. Earlier findings indicated that exchange rate equations do not fit particularly well, and forecast no better. Later researches then provided a potential reason for the poor performance that traditional exchange rate models, because they are nonlinear. To find a resolution for nonlinearity, nonparametric techniques tend to be useful tools. In this study, we use one of nonparametric techniques called nearest-neighbors method to predict NTD against USD. Besides, many earlier papers found that forecasts from popular models for the foreign exchange rate generally fail to improve upon the random walk out-of-sample. “Beat the random walk” became an emerging issue then. This has motivated this research, and thus we include the random walk as a linear benchmark. en_US dc.description.tableofcontents ABSTRACT....................................... ICONTENTS....................................... IICHAPTER 1. INTRODUCTION........................ 1CHAPTER 2. LITERATURE REVIEW................... 4CHAPTER 3. METHODOLOGY......................... 6 3.1 NONPARAMETRIC PREDICTION................. 6 3.2 NEAREST-NEIGHBORS MODEL.................. 8 3.3 NEIGHBOR SELECTION AND CONSISTENCY....... 12 3.4 LOCALLY WEIGHTED REGRESSION.............. 14 3.5 THE RANDOM WALK MODEL.................... 20 3.6 ERROR MEASUREMENT STATISTICS............. 21 3.6.1 Mean Absolute Error (MAE)........... 21 3.6.2 Root Mean Squared Error (RMSE)...... 22 3.6.3 Advantages of MAE and RMSE.......... 23CHAPTER 4. EMPIRICAL ANALYSIS.................. 24 4.1 DATA DESCRIPTION......................... 24 4.2 UNIFORM WEIGHTS.......................... 26 4.3 LOCAL WEIGHTS............................ 28CHAPTER 5. SUMMARY AND CONCLUSIONS............. 39REFERENCES..................................... 41 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096351028 en_US dc.subject (關鍵詞) 最近鄰域法 zh_TW dc.subject (關鍵詞) 隨機漫步 zh_TW dc.subject (關鍵詞) 匯率 zh_TW dc.subject (關鍵詞) Nearest-Neighbors Method en_US dc.subject (關鍵詞) Random Walk en_US dc.subject (關鍵詞) Exchange Rates en_US dc.title (題名) 使用最近鄰域法預測匯率—以美元兌新台幣為例 zh_TW dc.title (題名) Predicting exchange rates with nearest-neighbors method: The case of NTD/USD en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Diebold, F. X. (1988), ‘Empirical modeling of exchange rate dynamics’. (Sprin-ger-Verlag, New York)Diebold, F. X., and J. Nason (1990), ‘Nonparametric exchange rate prediction?’, Journal of International Economics, 28, 315-332.Domowitz I. and C. S. Hakkio (1985), ‘Conditional variance and the risk premium in the foreign exchange market’, Journal of International Economics, 19, 47-66.Fernandez-Rodriguez F., and Sosvilla-Rivero S., (1998), ‘Testing Nonlinear Forecas-tability in Time Series: Theory and Evidence from the EMS’, Economics Letters, 59, 49-63.Fernandez-Rodriguez F., Sosvilla-Rivero S., and Andrada-Felix J. (1999), ‘Ex-change-Rate Forecasts with Simultaneous Nearest-Neighbour Methods: Evidence from the EMS’, International Journal of Forecasting, 15, 383-392.Francis J. Mulhern, and Robert J. Caprara (1994), ‘A nearest neighbor model for fo-recasting market response’, International Journal of Forecasting, 10, 191-207.Gencay R., (1999), ‘Linear, non-linear and essential foreign exchange rate prediction with simple trading rules’, Journal of International Economics, 47, 91-107.Kuan C.-M., and Liu T., (1995), ‘Forecasting exchange rates using feedforward and recurrent neural networks’, Journal of Applied Econometrics, 10, 347-364.Lisi F., and A. Medio (1997), ‘Is a random walk the best exchange rate predictor?’, International Journal of Forecasting, 13, 255-267.Meese, R. A., and A. K. Rose (1990), ‘Nonlinear, nonparametric, nonessential ex-change rate estimation’, American Economic Review Papers and Proceedings, 80, 192-196.Meese, R. A., and K. Rogoff (1983), ‘Empirical exchange rate models of the seventies: do they fit out of sample?’, Journal of International Economics, 14, 3-24.Mizrach, B. (1992), ‘Multivariate nearest-neighbor forecasts of EMS exchange rates’, Journal of Applied Econometrics, 7, 151-163.Stone, C. J. (1977), ‘Consistent non-parametric regression’, Annals of Statistics, 5, 595-645.Ted Jaditz, and Leigh A. Riddick (2000), ‘Time-series near-neighbor regression’, Stu-dies I Nonlinear Dynamics & Econometrics, 4, Algorithm 1.W. Hardle (1990), ‘Applied nonparametric regression’, Econometric society mono-graphs.Westerfield, J. A. (1977), ‘An examination of foreign exchange risk under fixed and floating rate regimes’, Journal of International Economics, 7, 181-200. zh_TW
