| Summary: | 碩士 === 國立高雄應用科技大學 === 企業管理系 === 101 === Mix results for monetary models of the exchange rate determination are obtain by many studies using linear framework. A possible explanation is that the literature focus on the average behavior of the deviation of the exchange rate from it fundamental without considering the possible effect of extreme shocks on the deviation. To this end, this thesis reexamines four versions of monetary models for behaviors of the deviation in selected 13 advanced economies, with the new quantile unit root test of Koenker and Xiao (2004).
Our empirical evidence shows that the size and sign of the shocks that hit nominal exchange rate. The deviation may display unit-root dynamics in some quantiles, but exhibit mean reversion behavior in the others. In detail, there are four conditions. First, at the lower quantiles, a mean reversion behavior is found as the negative shock hits the deviation series, but at the upper quantiles do not. Second, at the upper quantiles, a mean reversion behavior is found as the positive shock hits the deviation series, however, at the lower quantiles do not. Third, at the extreme quantiles, a mean reversion behavior is found as the positive or the negative shock hits the deviation series, but at the mean quantiles do not. Fourth, at the extreme quantiles, a mean reversion behavior can’t be found as the positive or the negative shock hits the deviation series, but at the mean quantiles do not. We also provide some possible explanations for above four situations.
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