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題名 近似無關迴歸模型：分量迴歸之應用
作者 張珣
貢獻者 林馨怡
張珣
關鍵詞 近似無關迴歸模型
資料重排分量迴歸
近似無關分量迴歸
遠期匯率不偏性
日期 2012
上傳時間 1-Jul-2013 17:38:01 (UTC+8)
摘要 本文探討如何將近似無關迴歸模型(SUR)與分量迴歸結合,聯合多條迴歸方程式,估計不同分量下自變數對應變數的影響效果。本文提出資料重排分量迴歸,以SUR模型的資料排列方式堆疊在一起,再以分量迴歸進行估計,估計方法容易理解,實際計算也較易操作,不僅可以考慮不同方程式間的同期相關性,也可觀察不同分量下的邊際效果,使估計結果更為準確,同時,本文以模擬方式比較分量迴歸、Zhao(2001)的加權分量迴歸、Jun and Pinkse(2009)的近似無關分量迴歸及資料重排分量迴歸等估計方法,結果顯示資料重排分量迴歸的估計式同時兼具準確性與精確性,為一良好的估計方法。接著,本文延伸Frankel and Poonawala(2010)的研究使用資料重排分量迴歸進行分析,實證結果顯示高階市場貨幣與新興市場貨幣以遠期溢酬作為未來即期匯率報酬的預測上都是偏誤的,且高階市場貨幣的偏誤大於新興市場貨幣,當匯率變化較大時,亦即高分量時,不論是高階市場或是新興市場匯率偏誤都會變小。
參考文獻 Bailey, R. W., Baillie, R. T., McMahon, P. C., 1984.
Interpreting econometric evidence on efficiency in the foreign exchange market.
Oxford Economic Papers 36, 67--85.

Bilson, J. F. O., 1981.
The speculative efficiency hypothesis.
The Journal of Business 54, 435--451.

Campbell, R., Kees, K., Lothian, J., Mahieu, R., 2007.
Irving Fisher, expectational errors, and the UIP puzzle.
Centre for Economic Policy Research discussion paper, 6294.

Chiang, T. C., 1988.
The forward rate as a predictor of the future spot rate: A stochastic coefficient approach.
Journal of Money, Credit and Banking 20, 212--232.

Cornell, B., 1977.
Spot rates, forward rates and exchange market efficiency.
Journal of Financial Economics 5, 55--65.

Cornell, B., 1989.
The impact of data errors on measurement of the foreign exchange risk premium.
Journal of International Money and Finance 8, 147--157.

Doroodian, C. J. K., Albarano, R., 1998.
The unbiased forward rate hypothesis: A re-examination.
Applied Financial Economics 8, 567--575.

Engel, C., 1996.
The forward discount anomaly and the risk premium: a survey of recent evidence.
Journal of Empirical Finance 3, 123--191.

Engel, C., 1996b.
A note on cointegration and international capital market efficiency.
Journal of International Money and Finance 15, 657--660.

Fama, E. F., 1970.
Efficiency capital markets: A review of theory and empirical work.
Journal of Finance 25, 383--471.

Fama, E. F., 1984.
Forward and spot exchange rates.
Journal of Monetary Economics 14, 319--338.

Frankel, J. A., 1980.
Tests of rational expectations in the forward exchange market.
Southern Economic Journal 46, 1083--110.

Frankel, J. A., Poonawala J., 2010.
The forward market in emerging currencies: Less biased than in major currencies.
Journal of International Money and Finance 29, 585--598.

Froot, K. A., Frankel, J. A., 1989.
Forward discount bias: is it an exchange risk premium?
Quarterly Journal of Economics 104, 139--161.

Froot, K. A., 1990.
Short rates and expected asset returns.
NBER, Cambridge, MA, working paper, 3247.

Hansen, L. P., Hodrick, R. J., 1980.
Forward exchange rates as optimal predictors of future spot rates: an econometric analysis.
Journal of Political Economy 88, 829--853.

Huisman, R., Koedijk, K., Kool, C., Nissen, F., 1998.
Extreme support for uncovered interest parity.
Journal of International Money and Finance 17, 211--228.

Jun, J. S., Pinkse, J., 2009.
Efficient semiparametric seemingly unrelated quantile regression estimation.
Econometric Theory 25, 1392--1414.

Koenker, R., Bassett, G., 1978.
Regression Quantiles.
Econometrica 46, 33--50.

Levich, R. M., 1979.
Are forward exchange rates unbiased predictors of future spot rates?
Columbia Journal of World Business 14, 49--61.

Lewis, K. K., 1989.
Changing beliefs and systematic rational forecast errors with evidence from foreign exchange.
American Economic Review 79, 621--636.

Liu, W., Maynard, A., 2005.
Testing forward rate unbiasedness allowing for persistent regressors.
Journal of Empirical Finance 12, 613--628.

Lobo, B. J., Tufte, D., 1998.
Exchange rate volatility: Does politics matter?
Journal of Microeconomics 20, 351--365.

McElroy, M. B., 1977.
Goodness of fit for seemingly unrelated regressions.
Journal of Econometrics 6, 381--387.

Newey, W. K., Powell, J. L., 1990.
Efficient estimation of linear and type I censored regression models under conditional quantile restrictions.
Econometric Theory 6, 295--317.

Rogoff, K., 1977.
Rational expectations in the foreign exchange market revisited.
Unpublished paper, MIT.

Sim, C. A., 1980.
Macroeconomics and reality.
Econometrica 48, 1--48.

Zellner, A., 1962.
An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias.
Journal of the American Statistical Association 57, 348--368.

Zhao, Q., 2001.
Asymptotically efficient median regression in the presence of heteroskedasticity of unknown form.
Econometric Theory 17, 765--784.
描述 碩士
國立政治大學
經濟學系
100258012
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100258012
資料類型 thesis
dc.contributor.advisor 林馨怡zh_TW
dc.contributor.author (Authors) 張珣zh_TW
dc.creator (作者) 張珣zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 1-Jul-2013 17:38:01 (UTC+8)-
dc.date.available 1-Jul-2013 17:38:01 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2013 17:38:01 (UTC+8)-
dc.identifier (Other Identifiers) G0100258012en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58705-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 100258012zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 本文探討如何將近似無關迴歸模型(SUR)與分量迴歸結合,聯合多條迴歸方程式,估計不同分量下自變數對應變數的影響效果。本文提出資料重排分量迴歸,以SUR模型的資料排列方式堆疊在一起,再以分量迴歸進行估計,估計方法容易理解,實際計算也較易操作,不僅可以考慮不同方程式間的同期相關性,也可觀察不同分量下的邊際效果,使估計結果更為準確,同時,本文以模擬方式比較分量迴歸、Zhao(2001)的加權分量迴歸、Jun and Pinkse(2009)的近似無關分量迴歸及資料重排分量迴歸等估計方法,結果顯示資料重排分量迴歸的估計式同時兼具準確性與精確性,為一良好的估計方法。接著,本文延伸Frankel and Poonawala(2010)的研究使用資料重排分量迴歸進行分析,實證結果顯示高階市場貨幣與新興市場貨幣以遠期溢酬作為未來即期匯率報酬的預測上都是偏誤的,且高階市場貨幣的偏誤大於新興市場貨幣,當匯率變化較大時,亦即高分量時,不論是高階市場或是新興市場匯率偏誤都會變小。zh_TW
dc.description.tableofcontents 1 緒論 1

2 近似無關迴歸模型與分量迴歸 3
2.1 近似無關迴歸模型.....................3
2.2 近似無關迴歸模型之估計................6
2.2.1 一般化最小平方法...............6
2.2.2 多變量迴歸模型.................9
2.3 近似無關迴歸模型以分量迴歸估計.........12
2.3.1 資料重排分量迴歸...............12
2.3.2 近似無關分量迴歸...............14

3 模擬 17
3.1 模擬步驟............................17
3.1.1 多條迴歸方程式模擬步驟..........17
3.1.2 標準差模擬步驟.................19
3.2 模擬結果............................20
3.2.1 兩條迴歸方程式模擬結果...........20
3.2.2 多條迴歸方程式模擬結果...........33
3.2.3 標準差模擬結果..................39

4 實證 43
4.1 文獻回顧.............................43
4.2 資料................................45
4.3 實證結果.............................46
4.3.1 月資料.........................46
4.3.2 日資料.........................49

5 結論 54

參考文獻 55		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100258012en_US
dc.subject (關鍵詞) 近似無關迴歸模型zh_TW
dc.subject (關鍵詞) 資料重排分量迴歸zh_TW
dc.subject (關鍵詞) 近似無關分量迴歸zh_TW
dc.subject (關鍵詞) 遠期匯率不偏性zh_TW
dc.title (題名) 近似無關迴歸模型：分量迴歸之應用zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Bailey, R. W., Baillie, R. T., McMahon, P. C., 1984.
Interpreting econometric evidence on efficiency in the foreign exchange market.
Oxford Economic Papers 36, 67--85.

Bilson, J. F. O., 1981.
The speculative efficiency hypothesis.
The Journal of Business 54, 435--451.

Campbell, R., Kees, K., Lothian, J., Mahieu, R., 2007.
Irving Fisher, expectational errors, and the UIP puzzle.
Centre for Economic Policy Research discussion paper, 6294.

Chiang, T. C., 1988.
The forward rate as a predictor of the future spot rate: A stochastic coefficient approach.
Journal of Money, Credit and Banking 20, 212--232.

Cornell, B., 1977.
Spot rates, forward rates and exchange market efficiency.
Journal of Financial Economics 5, 55--65.

Cornell, B., 1989.
The impact of data errors on measurement of the foreign exchange risk premium.
Journal of International Money and Finance 8, 147--157.

Doroodian, C. J. K., Albarano, R., 1998.
The unbiased forward rate hypothesis: A re-examination.
Applied Financial Economics 8, 567--575.

Engel, C., 1996.
The forward discount anomaly and the risk premium: a survey of recent evidence.
Journal of Empirical Finance 3, 123--191.

Engel, C., 1996b.
A note on cointegration and international capital market efficiency.
Journal of International Money and Finance 15, 657--660.

Fama, E. F., 1970.
Efficiency capital markets: A review of theory and empirical work.
Journal of Finance 25, 383--471.

Fama, E. F., 1984.
Forward and spot exchange rates.
Journal of Monetary Economics 14, 319--338.

Frankel, J. A., 1980.
Tests of rational expectations in the forward exchange market.
Southern Economic Journal 46, 1083--110.

Frankel, J. A., Poonawala J., 2010.
The forward market in emerging currencies: Less biased than in major currencies.
Journal of International Money and Finance 29, 585--598.

Froot, K. A., Frankel, J. A., 1989.
Forward discount bias: is it an exchange risk premium?
Quarterly Journal of Economics 104, 139--161.

Froot, K. A., 1990.
Short rates and expected asset returns.
NBER, Cambridge, MA, working paper, 3247.

Hansen, L. P., Hodrick, R. J., 1980.
Forward exchange rates as optimal predictors of future spot rates: an econometric analysis.
Journal of Political Economy 88, 829--853.

Huisman, R., Koedijk, K., Kool, C., Nissen, F., 1998.
Extreme support for uncovered interest parity.
Journal of International Money and Finance 17, 211--228.

Jun, J. S., Pinkse, J., 2009.
Efficient semiparametric seemingly unrelated quantile regression estimation.
Econometric Theory 25, 1392--1414.

Koenker, R., Bassett, G., 1978.
Regression Quantiles.
Econometrica 46, 33--50.

Levich, R. M., 1979.
Are forward exchange rates unbiased predictors of future spot rates?
Columbia Journal of World Business 14, 49--61.

Lewis, K. K., 1989.
Changing beliefs and systematic rational forecast errors with evidence from foreign exchange.
American Economic Review 79, 621--636.

Liu, W., Maynard, A., 2005.
Testing forward rate unbiasedness allowing for persistent regressors.
Journal of Empirical Finance 12, 613--628.

Lobo, B. J., Tufte, D., 1998.
Exchange rate volatility: Does politics matter?
Journal of Microeconomics 20, 351--365.

McElroy, M. B., 1977.
Goodness of fit for seemingly unrelated regressions.
Journal of Econometrics 6, 381--387.

Newey, W. K., Powell, J. L., 1990.
Efficient estimation of linear and type I censored regression models under conditional quantile restrictions.
Econometric Theory 6, 295--317.

Rogoff, K., 1977.
Rational expectations in the foreign exchange market revisited.
Unpublished paper, MIT.

Sim, C. A., 1980.
Macroeconomics and reality.
Econometrica 48, 1--48.

Zellner, A., 1962.
An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias.
Journal of the American Statistical Association 57, 348--368.

Zhao, Q., 2001.
Asymptotically efficient median regression in the presence of heteroskedasticity of unknown form.
Econometric Theory 17, 765--784.		zh_TW