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Ex rate forecast Model

2011/01/15 14:35:39瀏覽10｜回應0｜推薦0

Ex rate forecast Model

1. Taylor rule:

$\text{[math]}$

$\,i_t\,$ 目標短期利率(FED)= $\,\pi_t\,$ 通澎 $\pi^*_t$ 目標通膨, $r_t^*$ equilibrium real interest rate, $\,y_t\,$ GDP, $\text{[math]}$ 目標GDP

Fed funds rate target = inflation rate + equilibrium real fed funds rate + 1/2 (inflation gap) +
1/2 (output gap)

2. Monetary Fundamentals Model :
m , p , and y are the logs of money supply, price level and income,

f = (m-m *)+k( y-y *)

3. PPP model:Purchasing Power Parity Fundamentals Model

ft =( pt - pt*)

以上經濟學家實證研究說明影響匯率=利率, 通澎(物價), GDP or 所得, 貨幣供給...等

model對歐元美元幣解釋較佳, 因亞洲人民幣/台幣貶本國貨幣以利出口的央行政策