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汇率泡沫的卡尔曼率波估计.PDF

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C-2011-003 2011 2 18 A Kalman-Filtering Analysis of Exchange Rate Bubbles * Zhao-Wei (Wayne) WANG Department of Finance, School of Economics, Peking University * Tel: 1#No. 256 1 E-mail: wayne.eco818@163.com A Kalman-Filtering Analysis of Exchange Rate Bubbles F31 C32 C51 Abstract In the past literatures, “bubbles” is defined as the deviation of an asset’s price from the value of its market fundamentals. Based on Flood and Hodrick(1990) and Meese(1986) this paper sets up a exchange rate determination equation including a bubble size term, then we adopt a state space model and make a MLE recursive estimation in use of Kalman-Filter. We use the samples of the exchange rates of RMB/U.S. dollars from 2005/07 when China adopted the exchange rate policy reform to 2010/11, and the exchange rates of Japanese Yen/U.S. Dollars from 1990/01 to 2010/11 to examine if there are exchange rate bubbles. The result shows that the parameters of bubbles are significant both for China and Japan. The trend of the bubbles and the gradients correspond to the behavior of exchange rate during the sample, and the deviation of exchange rate from its market fundamentals could be explained reasonably. Keywords: Exchange Rate Bubbles, State Space Model, Kalman-Filter JEL classification: F31 C32 C51 2 “ ”(bubbles) 1 1719 1970 1987 1994 2 1720 1837 17-18 3 1997 1907 20 1637 1929 2007 Diba and Grossman(1984) (market fundamental value) (self-fulfilling belief) ”(speculative bubbles)4 “ Blanchard and Watson(1982) (Deterministic Bubbles) (Stochastic Bubbles) Hamilton(1986) (Collapsing Bubbles) (Continuously Regenerating Bubbles) Flood and Garber(1980) 1918-1923 (hyperinflation) Burmeister and Wall(1982) (Kalman Filter) LeRoy and Porter(1981) (variance bound) 1971-1979 Blanchard and Watson(1982) 1871-1979 West(1987a) Hausman(1978) (specification test) SP 500(1971-1980) (1928-1978) Diba and Grossman(1988) (cointegration theory) 1871-1986 Yangru Wu(1997) 1870-1995 1960 40%-50% West(1987b) Le