Ƙoƙarin hasashen motsin farashin canjin kuɗi, wanda shine ginshiƙin kuɗin duniya, ya daɗe yana ƙarƙashin inuwar takurawar Meese-Rogoff (1983), wadda ta nuna fifikon ƙirar Random Walk mai sauƙi akan hanyoyin da suka dogara da tushe. Wannan takarda ta Byrne, Korobilis, da Ribeiro (2014) ta fuskanci wannan kalubale kai tsaye ta hanyar gabatar da wani sabon abu mai mahimmanci: yarda da ƙirar yanayin canzawan lokaci na alaƙar tattalin arziƙin da ke ƙarƙashin farashin canjin kuɗi. Marubutan suna jayayya cewa gazawar ƙirar ma'auni mai tsayayye ta samo asali ne daga rashin iya ɗaukar rashin kwanciyar hankali a cikin ƙa'idodin manufofin kuɗi, musamman a lokutan rikice-rikice kamar Rikicin Kuɗi na Duniya. Maganinsu shine ƙirar Bayesian Time-Varying Parameter (TVP) da aka yi amfani da ita akan tushen Dokar Taylor, wanda ke nuna ingantaccen ingantaccen daidaiton hasashe na waje.
Wannan sashe ya kafa tushen ilimi na binciken, yana bin tafiya daga takurawar Meese-Rogoff zuwa nasarorin kwanan nan tare da ƙirar Dokar Taylor.
Aikin Meese da Rogoff (1983) ya nuna cewa manyan ƙirar tsarin (na kuɗi, ma'auni na fayil) ba za su iya fifita tafiya mai sauƙi ba a cikin hasashen farashin canjin kuɗi na waje, musamman a kan gajerun lokuta. Sakamakon ya haifar da babban kalubale ga ƙwararrun kuma ya ƙarfafa bincike na shekaru da yawa.
Engel da West (2005) da aikin da ya biyo baya sun sake tsara matsalar ta hanyar kallon farashin kadarori. Ƙirar inda bankunan tsakiya suka bi ƙa'idodin irin na Taylor—saita ƙimar riba bisa ga hauhawar farashi da gibin fitarwa—za a iya jefa su cikin sigar farashin yanzu. Engel da sauransu (2008) da Molodtsova da Papell (2009) sun ba da shaidar cewa ƙirar da ta dogara da Dokar Taylor za ta iya, a zahiri, doke Random Walk, wanda ke nuna ci gaba.
Duk da haka, ana samun hasashe sau da yawa na ɗan lokaci kuma ya dogara da samfurin. Rogoff da Stavrakeva (2008) da Rossi (2013) sun haskaka wannan rashin kwanciyar hankali, suna nuna cewa ma'auni masu haɗa tushe zuwa farashin canjin kuɗi ba su da ƙayyadaddun ƙima. Wannan takarda ta gano wannan rashin kwanciyar hankali na ma'auni a matsayin babban cikas ga ingantaccen hasashe.
Babban gudummawar hanyar bincike ita ce aikace-aikacen ƙirar Bayesian Time-Varying Parameter akan hasashen farashin canjin kuɗi.
Marubutan sun ƙayyade lissafin hasashe inda dawowar farashin canjin kuɗi (misali, USD/EUR) ya zama aiki na tushen Dokar Taylor—bambanci tsakanin hauhawar farashi na cikin gida da na waje da gibin fitarwa. Mafi mahimmanci, an ƙyale ma'auni ($\beta_t$) akan waɗannan tushe suyi juyin halitta akan lokaci a matsayin tafiya mai sauƙi: $\beta_t = \beta_{t-1} + \eta_t$, inda $\eta_t \sim N(0, Q)$. Wannan yana ɗaukar sauye-sauye a hankali a cikin farashin kasuwa na waɗannan tushe.
Ƙididdigar irin wannan ƙira tare da hanyoyin maimaitawa yana da wahala saboda "la'anar girma." Marubutan suna amfani da hanyoyin Bayesian (mai yiwuwa mai zana Gibbs ko irin wannan dabarar Markov Chain Monte Carlo) don zana ra'ayi akan duk hanyar ma'auni mai canzawan lokaci ($\{\beta_t\}_{t=1}^T$) da hyperparameters (kamar matrix covariance $Q$). Ana amfani da abubuwan da suka gabata don sanya tsari mai ma'ana da sarrafa yawan ma'auni.
Ana samar da hasashe na waje a maimaitawa. A kowane lokaci, ana ƙididdige ƙirar ta amfani da bayanai har zuwa wannan lokacin, ana samun rarrabawar bayan ma'auni, kuma ana ƙididdige yawan hasashe na farashin canjin kuɗi na gaba. Wannan yana haifar da rarraba hasashe, ba kawai ƙididdiga ba.
Sakamakon babban labari yana da gamsarwa. Ƙirar Dokar TVP-Taylor tana ba da ribar hasashe na waje mai ƙima a ƙididdiga akan ma'aunin Random Walk ga mafi yawan (aƙalla rabi, har zuwa takwas) daga cikin manyan farashin canjin kuɗi goma da aka bincika (mai yiwuwa sun haɗa da USD/EUR, USD/JPY, USD/GBP, da sauransu). Wannan adadin nasara ya fi yawan abin da aka samu ta hanyar ƙirar tsayayye na farko.
Wani muhimmin gwaji mai sarrafawa ya sa ƙirar TVP ta yi gaba da takwararta mai ma'auni mai tsayayye. Ƙarshen tana nuna ƙaramin ci gaba ko rashin daidaituwa akan Random Walk, yana jaddada mahimmin ƙimar da aka ƙara ta hanyar ƙirar rashin kwanciyar hankali na ma'auni. Wannan yana magance batun dogaro da samfurin na adabin farko kai tsaye.
Don nuna gabaɗayan hanyar bincikensu, marubutan suna amfani da tsarin TVP-Bayesian ɗaya ga wasu ƙirar tushe guda biyu na gargajiya: Daidaiton Ƙarfin Siyayya da Daidaiton Riba mara Rufe. Gano cewa waɗannan ƙirar da aka ƙara TVP suma sun doke Random Walk shaidar ƙarfi ce cewa hanyar—sarrafa canzawan lokaci—tana da mahimmanci kamar takamaiman ka'ida (Dokokin Taylor).
Za a iya wakilta babban ƙirar hasashen TVP a matsayin tsarin sararin samaniya:
Lissafin Lura:
$\Delta s_{t+1} = x_t' \beta_t + \epsilon_{t+1}, \quad \epsilon_{t+1} \sim N(0, \sigma^2_\epsilon)$
Inda $\Delta s_{t+1}$ shine dawowar farashin canjin kuɗi, $x_t$ ya ƙunshi bambance-bambancen Dokar Taylor (gibin hauhawar farashi, gibin fitarwa), kuma $\beta_t$ shine vector ɗin ma'auni mai canzawan lokaci.
Lissafin Jiha:
$\beta_t = \beta_{t-1} + \eta_t, \quad \eta_t \sim N(0, Q)$
Wannan juyin halitta na tafiya mai sauƙi don $\beta_t$ yana ɗaukar sauye-sauye masu dorewa. Ƙididdigar Bayesian ta haɗa da ƙayyadaddun abubuwan da suka gabata don $\beta_0$, $\sigma^2_\epsilon$, da $Q$, sannan a yi amfani da MCMC don samfurin daga haɗin gwiwar bayan $p(\{\beta_t\}, \sigma^2_\epsilon, Q | Data)$.
Misali: Hasashen USD/EUR a lokacin 2008-2012.
Wannan misalin yana nuna yadda tsarin TVP ke aiki azaman hanyar gyara kai, yana ba da damar alaƙar hasashe ta daidaita ta hanyar lokaci, ba kamar ƙirar tsayayye ba wanda zai ci gaba da yin kuskure yayin karyewar tsarin.
Byrne da sauransu sun sami nasarar canza tsarin. Matsala ba ita ce tushe ba su damu da farashin canjin kuɗi ba; shine yadda suke da mahimmanci yana canzawa akan lokaci. Tsarin TVP-Bayesian ba wani ƙarin gyara ne kawai ba—yarda ce ta asali cewa kasuwannin kuɗi tsarin daidaitawa ne, ba dakunan gwaje-gwaje masu tsayayye ba. Babban ci gaban shine na hanyar bincike: amfani da kayan aiki daga ƙididdigar tattalin arziki na Bayesian (wanda aka sani a cikin tattalin arzikin macro don sarrafa rashin kwanciyar hankali na ma'auni, kamar a cikin Cogley & Sargent, 2005) ga matsalar hasashen FX mai ƙaya.
Hujja tana da kyau kuma an tsara ta da kyau: (1) Kafa takurawar tarihi (Meese-Rogoff). (2) Hasashen mafita mai ban sha'awa ta ka'ida (Dokokin Taylor). (3) Gano fatalwarta a aikace (rashin kwanciyar hankali na ma'auni). (4) Ba da magani mai inganci na fasaha (TVP-Bayesian). (5) Tabbatar da shi ta hanyar bincike tare da bayyanannun sakamako na kwatanta. Gudun daga binciken matsalar zuwa mafita ta fasaha zuwa tabbatar da bincike yana da gamsarwa.
Ƙarfi: Babban ƙarfin takardar shine nasarar bincikensa inda mutane da yawa suka gaza. Doke Random Walk don kuɗaɗe 5-8 cikin 10 sakamako ne wanda ke ba da kulawa. Binciken ƙarfi ta amfani da PPP da UIP babban fasaha ne, yana tabbatar da gabaɗayan hanyar. A fasaha, hanyar Bayesian ita ce mafi kyau don wannan matsala.
Kurakurai & Gibe: Binciken, duk da haka, yana jin kamar hujja mai haske maimakon samfurin da aka gama. An yi watsi da cikakkun bayanai masu mahimmanci na aikace-aikace: ainihin ƙayyadaddun tushen Dokar Taylor, zaɓin abubuwan da suka gabata (wanda zai iya yin tasiri mai yawa akan sakamakon Bayesian), da nauyin lissafi. Mafi mahimmanci, yayin da yake ganowa rashin kwanciyar hankali, bai bayyana shi ba. Wadanne abubuwan tattalin arziki ke haifar da sauye-sauyen $\beta_t$? Haɗa canje-canjen ma'auni zuwa takamaiman tsarin manufofi ko abubuwan da suka faru na rashin kwanciyar hankali zai ƙara ƙarfin bayani mai yawa. Bugu da ƙari, kwatantawa da ƙarin ma'auni na zamani na koyon injina (kamar dazuzzukan bazuwar ko LSTMs waɗanda suma za su iya sarrafa rashin layi da karyewar tsarin) ba ya nan—gwaji mai mahimmanci ga kowane sabon ƙirar hasashe a yau.
Ga Masu Bincike: Wannan takarda tsari ne. Mataki na gaba kai tsaye shine buɗe "baƙar fata" na canzawan lokaci. Yi amfani da ƙayyadaddun hanyoyin $\beta_t$ a matsayin masu dogaro don ƙirar abin da ke haifar da rashin kwanciyar hankali (misali, ta amfani da fihirisar rashin kwanciyar hankali ko ma'aunin rashin tabbas na manufofi). Ga Manajoji na Ƙididdiga: Babban ra'ayin yana iya aiwatarwa. Fara ta hanyar haɗa ƙirar taga mai birgima ko canzawan tsari a matsayin binciken ƙarfi ga sigina na FX da kuke da su. Tunanin TVP yana gargaɗi game da dogaro da alaƙar da aka ƙididdige akan dogon lokaci, lokutan tarihi masu natsuwa. Ga Manazarta Manufofi: Binciken ya jaddada cewa hanyar watsa manufofin kuɗi zuwa farashin canjin kuɗi ba ta da tsayayye. Wannan ya kamata ya rage yawan amincewa a cikin simintin manufofi da aka dogara da ƙirar duniya mai ma'auni mai tsayayye.
A ƙarshe, wannan takarda ba ta warware duka takurawar hasashen farashin canjin kuɗi ba, amma ta gano kuma ta kai hari kan babban yanki na tsakiya: rashin kwanciyar hankali. Yana ba da tsari mai ƙarfi, mai sassauci wanda mai yiwuwa zai zama ma'auni na yau da kullun a fagen, yana tura aikin gaba zuwa ƙarin ƙira masu daidaitawa, na gaske na kasuwannin kuɗi.