實質匯率是否具有隨機分段趨勢的波動行為？台灣、韓國及新加坡的實證研究

在經濟全球化及金融自由化的浪潮下，國際間貿易量及資本移動隨之提高，使得外匯市場的成交量日益擴大，相形之下匯率的波動幅度較以往更為擴大且頻繁。因為匯率是影響進出口、經濟景氣與國內物價的重要變數，其波動會以直接及間接的方式，影響一國國內的經濟情勢，尤其近十多年來，各國經濟發展日益自由化與國際化，因此，匯率對國家的生產與國民生活的影響會愈來愈直接。

This paper examines the real exchange rates of the New Taiwan dollar, Korean won and Singapore dollar with a view to determining whether there is stochastic segmented trend in their fluctuation. An econometric model is used to identify transitions in state in the real exchange rates of the three currencies resulting from changes in market fundamentals, and to present the alternation of upward and downward swings. The empirical results indicate that, in terms of in-sample fitness capacity, the performance of the two-regime-drift random walk model with Markov switching mechanism is superior to that of the traditional single-regime random walk with drift model. The New Taiwan dollar presented five regime changes with long depreciation swings and short appreciation swings. The Korean won and Singapore dollar presented four and nine regime changes, respectively, with long large-depreciation swings and short small-depreciation swings. However, in terms of out-of-sample forecasting performance, the traditional single-regime random walk with drift model is superior to the two-regime-drift random walk model with Markov switching mechanism.