English  |  正體中文  |  简体中文  |  Items with full text/Total items : 49633/84879 (58%)
Visitors : 7692541      Online Users : 53
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/987654321/31648


    Title: 匯率與總體變數非線性平滑轉換誤差修正模型之實證分析
    Other Titles: The exchange rate and among macroeconomic variables in smooth transition error correction model
    Authors: 鄭育姍;Cheng, Yu-shan
    Contributors: 淡江大學財務金融學系碩士班
    莊武仁;Chuang, Wu-jen
    Keywords: 匯率;失衡指數;共積分析;非線性平滑移轉誤差修正模型;Exchange rate;Cointegration;Disequilibrium Index;Nonlinear Smooth Transition Error Correction Model
    Date: 2006
    Issue Date: 2010-01-11 01:05:32 (UTC+8)
    Abstract: 本文探討匯率與總體變數的短期動態調整至長期均衡關係的調整過程,以曹添旺和朱美麗 (1990)所設定之模型為基礎,建立一個包括股票市場而價格可以調整的小型開放經濟模型。實證方法為匯率與總體變數之非線性平滑轉換誤差修正模型。
    本文利用Granger,Yan and Francis (2003)所提出的失衡指數(disequilibrium index)當作轉換變數,再利用Teräsvira(1994)給予配適非線性平滑移轉誤差修正模型。
    實證結果發現,匯率、物價、實質所得、實質股價、貨幣供給成長率與國外利率間存在兩條長期均衡關係。且其中一條共積關係符合利率評價理論與購買力平價說條件。
    而新台幣兌美元匯率之短期動態調整至長期均衡的過程呈現非線性的行為,其調整過程是非對稱性的Logistic平滑轉換誤差修正模型。
    The purpose of this paper is to investigate the relationship among exchange rate and macroeconomic variables. Theoretically, in a small open economy like Taiwan, the changes in current account have important effects on economic variables. A nonlinear smooth transition error correction model is specified and estimated with a disequilibrium index as a proxy for the transition variable.
    The empirical results show that exchange rate, price level, real income, real stock price, money growth rate and foreign interest rate are cointegrated with each other. Furthermore, the hypothesis of Interest Rate Parity and Purchasing Power Parity hold in Taiwan.
    The long-run equilibrium relationship among exchange rate and macroeconomic variables is stable with nonlinear adjustment. The evidences suggest that the LSTECM model is best for characterizing the behaviors.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

    Files in This Item:

    File SizeFormat
    0KbUnknown197View/Open

    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