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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/61101


    Title: The Exchange Rate-Interest Differential Relation with Infinite Variance Returns
    Other Titles: 匯率和利率之關聯性與厚尾數列
    Authors: Wang, Chun-hsuan;Lin, Chun-hung A.
    Contributors: 淡江大學產業經濟學系
    Keywords: 實質匯率;實質利率差;厚尾;共整合 Real exchange rate;Real interest differentials;Heavy tails;Cointegration
    Date: 2003-12
    Issue Date: 2013-03-12 13:04:43 (UTC+8)
    Publisher: 臺北市:臺灣大學經濟學系
    Abstract: 標準共整合檢定程序中用以評估檢定統計值之分配理論有一重要基本假設,即其誤差項之變異數需為有限。然而,近來有些研究發現,許多金融市場報酬率及匯率變動率可能具有無限變異數誤差之特性。此發現給予我們重新分析實質匯率和實質利率差之共整合關係的主要動機。此研究資料包括加拿大、法國、德國、英國及美國之有關利率、匯率、物價水準等季資料。結果發現,數列中具有厚尾之特性。在以殘差為基礎之共整合檢定中,無論其誤差項基本假設為有限或無限變異數,其結果均拒絕實質匯率和實質利率差之共整合關係。然而,傳統多變量共整合檢定則支持其共整合關係。相對於傳統多變量共整合檢定結果,考慮誤差項變異數為無限之多變量共整合檢定結果發現,其支持證據較為薄弱。
    Relation: 經濟論文叢刊=Taiwan Economic Review 31(4),頁463-482
    Appears in Collections:[Graduate Institute & Department of Industrial Economics] Journal Article

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