Forward and spot exchange rates in a bivariate TAR framework
针对结构汇率模型预测能力差的问题，本文构建了两个二元阈值自回归模型，分别由汇率对数差和远期即期无套利条件驱动，能捕捉汇率市场的摆动行为，并评估了美元/马克汇率的预测能力。
Structural exchange rate models explain only a small part of the movements in dollar exchange rate. Recent empirical work has focused on the failure to account for nonlinearities in the data generating mechanism, as an explanation of this bad performance. Here two bivariate threshold autoregressive models for the spot and forward exchange rates are considered. In the first model the regimes are determined by the log difference of the two rates; in the second one the regimes are driven by the forward spot no-arbitrage condition. These processes are able to capture the ‘swing’ behaviour observed in the exchange rate market. Finally the forecasting ability of the models for the dollar/DM exchange rate is evaluated by stochastic simulation.