English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51921/87065 (60%)
Visitors : 8471703      Online Users : 103
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/105085

    Title: 日本QE政策下 : 東協五國與人民幣之關聯結構分析
    Other Titles: The Copula analysis of ASEAN, China and Japan's foreign exchange market under Quantitative Easing Policy of Japan
    Authors: 王鶴潔;Wang, He-Chieh
    Contributors: 淡江大學財務金融學系碩士班
    Keywords: 競貶效果;寬鬆政策;東協五國;關聯結構;列相關;depreciation effect;Quantitative easing;ASEAN;Copula;Rank Correlation
    Date: 2015
    Issue Date: 2016-01-22 14:47:23 (UTC+8)
    Abstract: 本研究目的在於探討東協五國貨幣與人民幣及日圓之間在日本實施寬鬆貨幣政策前後是否存在競貶效果。實證上透過ARMAX-GJR-GARCH-Copula模型檢視日本寬鬆貨幣政策前後日圓、新加坡幣、印尼盾、林吉特、披索、泰銖、人民幣之相關變化。實證結果顯示,安倍晉三實施寬鬆貨幣政策前後,日圓對人民幣及東協五國貨幣匯率均數方程式影響皆呈現顯著影響。
    本文繼續透過五種不同的Copula函數,包含Normal Copula、Student Copula、Clayton Copula、Gumbel Copula及Frank Copula分別來進行配適,並進一步求出列相關係數。
    The aim of this study is to investigate the existence of competition and reduce effect of ASEAN countries currency and RMB and YEN before and after using Quantitative easing by Japan. We use ARMAX-GJR-GARCH-Copula to view the correlation of Yen, Singapore dollar, Rupiah, Ringgit, Peso, Thai Baht and RMB. Empirical results show that there has the significant effects in mean equation of RMB , ASEAN countries currency and Yen before and after using QE by Abe.
    This article continues using the Copula functions, including Normal Copula, Student Copula, Clayton Copula, Gumbel Copula and Frank Copula, respectively for the match, and further find out the rank correlation coefficient.
    The results showed that yen has positive and significant effect for most currencies before using QE, but the correlation is not high. After using QE , the Yen has positive and significant effect for all ASEAN currencies and the correlation is more higher. But there has negative relationships of RMB and Yen.
    In view of the economic context and policy of Central bank of each country , these factors are seems to be the reason for affecting correlation of each other''s exchange rate.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

    Files in This Item:

    File Description SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback