越南實質匯率非線性結構轉變之估計-平滑轉換回歸(STR)之應用
摘要
This study aims to investigate the behaviors of Vietnam’s real exchange rates by focusing on the application of the smooth transition regression models. In this paper, we employ Vietnam bilateral real exchange rates against US dollar, Singapore dollar, Thai baht, Indonesia Rupiah, Malaysia Ringgit and Philippine peso with the time period from January 1995 to June 2012 as our sample data. It is evident that there exists nonlinearity in the changes of Vietnam real exchange rates against above listed currencies by applying the STR methodology. We find that among six variables, the changes in real exchange rates of Vietnamese Dong against US dollar and Indonesia rupiah have nonlinear characteristics while other currencies might follow linear models. The transition function clenching closely with considerable changes indicates major switches in the changes of real exchange rate for Vietnam – USA and Vietnam – Indonesia. These results might be explained by the influences of major changes in exchange rate, politic, social and trade policy.