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    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。
    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

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