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    題名: An Empirical Note on Testing the Safe-Haven Hypothesis for Selected African Currencies
    作者: Chang, Hsu-ling;Chu, Hsiao-ping;Su, Chi-wei
    貢獻者: 淡江大學國際貿易學系暨國際企業研究所
    日期: 2006-10
    上傳時間: 2011-07-28 00:56:17 (UTC+8)
    出版者: The Indian Journal of Economics
    摘要: In this empirical note, we test whether the U. S. dollar increases in value during times of uncertainty. Our test of this "safe-haven" hypothesis is based on an ARMA-GJR-GARCH-M model for the currencies of twenty-two selected Africa countries. We examine the period from January 1980 to May 2004. Our empirical results support the safe-haven hypothesis for Botswana, Central African Republic, South Africa, Zimbabwe, Burundi and Burkina Faso six countries only.
    關聯: The Indian Journal of Economics 87(345), pp.283-298
    顯示於類別:[國際企業學系暨研究所] 期刊論文


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