English  |  正體中文  |  简体中文  |  Items with full text/Total items : 52047/87178 (60%)
Visitors : 8674234      Online Users : 118
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/987654321/32469

    Title: 匯價波動外溢效果與央行匯市干預之分析
    Other Titles: Spillover effects of exchange rates volatility and central bank intervention
    Authors: 錡淑美;Chi, Shu-mei
    Contributors: 淡江大學經濟學系碩士班
    萬哲鈺;Wan, Jer-yuh
    Date: 2005
    Issue Date: 2010-01-11 02:11:48 (UTC+8)
    Abstract: 本文主要在探究匯價波動間的連動性與央行干預對匯價波動的影響效果。以1991年~2004年為研究期間,運用多變量GARCH(1,1)模型進行分析,研究結果顯示,新台幣與日圓匯價波動間的連動性效果存在,日本央行干預會增加匯價波動,並產生匯價波動的外溢效果,於不同期間對匯價波動的影響亦不同。


    In this paper, we investigate the foreign exchange intervention effects of Bank of Japan on the volatility and covariance of NT dollar and Japanese Yen during 1991 and March 2004. By using multivariate GARCH model and daily foreign exchange intervention data of Bank of Japan, we estimate the effects of central bank intervention on both the variances and covariance between NT dollar and Japanese Yen. Our results show that Japan central bank intervention not only increase the volatility of exchange rates but also significantly increase the covariance between NT dollar and Japanese Yen.
    Appears in Collections:[經濟學系暨研究所] 學位論文

    Files in This Item:

    File 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