Modeling Non-Linearities in ASEAN’s Real Effective Exchange Rates

• Main Authors: Ji-Yuan Lee, 李季原
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/21255856943023729032

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 92 === A number of exchange rates forecast literature are focus on the major industrial country in the world, less discuss in the developing country; We use the smooth transition autoregression (STAR) developed by Granger and Terasvita (1993) to examame the ASEAN’s REER. The purpose of this article is studying whether the process of ASEAN had non-linear STAR model trend or not, and discuss the outlier remove or not、residual is follow t or normal distribution. Which one is more powerful explanation in four kind of corresponding situations. The result as follows: 1.Our tests have rejected the linearity hypothesis for the real effective exchange. rate in ASEAN, except for Singapore. 2.Whether the outlier removes or not, REER still had asymmetrical characteristic. 3.The situation of outlier doesn’t remove has better than others in non-linear STAR model. 4.t distribution is more powerful explanation for residual examination, but it is inferior to the normal distribution in prediction; The STAR model generally outperform AR (1) model.