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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72548


    Title: Regime-switching analysis for the impacts of exchange rate volatility on corporate values: a Taiwanese case
    Authors: Nieh, Chien-chung;Lin, Jeng-bau
    Contributors: 淡江大學財務金融學系
    Keywords: Exchange rate uncertainty;Corporate values;GARCH;Markov switching model
    Date: 2008-02
    Issue Date: 2013-05-31 10:49:13 (UTC+8)
    Publisher: Abingdon: Routledge
    Abstract: A second-moment, regime-switching model with not only a switching intercept and a switching slope, but also a switching error variance, is applied to examine the impacts of exchange rate volatility (ERV) on corporate values (CV) for the 10 industries investigated in Taiwan. Two different regimes categorized as strong-impact and weak-impact are identified. The dominant power varies from one industry to another. The Wald statistics for the null of equality are ambiguous, which show that if the Markov-switching (MS) model is plausible, then the ERV might not be one major factor, but another factor that could switch the CV of Taiwan's industries. For the model's volatility influence, the data of 8 out of 10 industries are shown to fit a two-state model when the volatility is stimulated. A two-state, first-order MS model is appropriate for the ‘goodness of fit’ analysis at the 10% significant level.
    Relation: Applied Economics 40(4), pp.491-504
    DOI: 10.1080/00036840600690066
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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